For some problems it works rather nicely:
n <- 100 x0 <- -runif(n) fbroyden <- function(x) { n <- length(x) F <- rep(NA,n) F[1] <- x[1]*(3-0.5*x[1]) - 2*x[2] + 1 i <- 2:(n-1) F[i] <- x[i]*(3-0.5*x[i]) - x[i-1] - 2*x[i+1] + 1 F[n] <- x[n]*(3-0.5*x[n]) - x[n-1] + 1 F } library(BB) dfsane(par=x0,fn=fbroyden,control=list(triter=1))
This solves very quickly especially given BB is written in pure R (no C or Fortran):
Iteration: 0 ||F(x0)||: 1.441474 iteration: 1 ||F(xn)|| = 11.23496 iteration: 2 ||F(xn)|| = 7.900779 iteration: 3 ||F(xn)|| = 6.542131 iteration: 4 ||F(xn)|| = 3.139281 iteration: 5 ||F(xn)|| = 4.031394 iteration: 6 ||F(xn)|| = 5.183635 iteration: 7 ||F(xn)|| = 0.5650939 iteration: 8 ||F(xn)|| = 0.1870383 iteration: 9 ||F(xn)|| = 0.09536832 iteration: 10 ||F(xn)|| = 0.04728994 iteration: 11 ||F(xn)|| = 0.0231393 iteration: 12 ||F(xn)|| = 0.01204457 iteration: 13 ||F(xn)|| = 0.01253904 iteration: 14 ||F(xn)|| = 0.004658623 iteration: 15 ||F(xn)|| = 0.00671189 iteration: 16 ||F(xn)|| = 0.002562044 iteration: 17 ||F(xn)|| = 0.0007190788 iteration: 18 ||F(xn)|| = 0.000526917 iteration: 19 ||F(xn)|| = 0.0004205647 iteration: 20 ||F(xn)|| = 0.0003359958 iteration: 21 ||F(xn)|| = 0.0002087812 iteration: 22 ||F(xn)|| = 2.471228e-05 iteration: 23 ||F(xn)|| = 7.605672e-06 iteration: 24 ||F(xn)|| = 1.304184e-05 iteration: 25 ||F(xn)|| = 3.089383e-05 iteration: 26 ||F(xn)|| = 6.874306e-05 iteration: 27 ||F(xn)|| = 3.30784e-05 iteration: 28 ||F(xn)|| = 1.16808e-05 iteration: 29 ||F(xn)|| = 3.541111e-06 iteration: 30 ||F(xn)|| = 8.387173e-07 $par [1] -1.0323920 -1.3150464 -1.3887103 -1.4076713 -1.4125364 -1.4137837 -1.4141034 -1.4141853 -1.4142063 -1.4142117 -1.4142131 [12] -1.4142135 -1.4142135 -1.4142135 -1.4142135 -1.4142136 -1.4142135 -1.4142136 -1.4142136 -1.4142136 -1.4142136 -1.4142136 [23] -1.4142136 -1.4142136 -1.4142135 -1.4142136 -1.4142135 -1.4142136 -1.4142135 -1.4142136 -1.4142135 -1.4142136 -1.4142135 [34] -1.4142136 -1.4142136 -1.4142136 -1.4142135 -1.4142136 -1.4142136 -1.4142136 -1.4142136 -1.4142136 -1.4142135 -1.4142136 [45] -1.4142136 -1.4142136 -1.4142136 -1.4142136 -1.4142136 -1.4142136 -1.4142136 -1.4142135 -1.4142136 -1.4142135 -1.4142136 [56] -1.4142136 -1.4142136 -1.4142136 -1.4142136 -1.4142136 -1.4142136 -1.4142136 -1.4142135 -1.4142136 -1.4142136 -1.4142136 [67] -1.4142136 -1.4142136 -1.4142135 -1.4142136 -1.4142136 -1.4142135 -1.4142135 -1.4142135 -1.4142135 -1.4142135 -1.4142134 [78] -1.4142132 -1.4142128 -1.4142121 -1.4142107 -1.4142080 -1.4142027 -1.4141924 -1.4141722 -1.4141328 -1.4140561 -1.4139064 [89] -1.4136144 -1.4130448 -1.4119339 -1.4097678 -1.4055460 -1.3973251 -1.3813439 -1.3503811 -1.2907820 -1.1775120 -0.9675106 [100] -0.5965290 $residual [1] 8.387173e-08 $fn.reduction [1] 14.41473 $feval [1] 31 $iter [1] 30 $convergence [1] 0 $message [1] "Successful convergence"
There is always to say something. First note how clever the test function was implemented. By setting up the vector i we don't need to do any loops. But also note that the test function is not correctly evaluated with \(n=2\). In R the sequence "\(2:1\)" results in counting backwards. It generates the numbers \([2\> 1]\).
The second thing: the first number \(||F(x^0)||\) looks a bit funny. Indeed we have:
> f <- fbroyden(x0) > norm(f,type="2") [1] 16.11595 >
Looking at the source I see:
F0 <- normF <- sqrt(sum(F * F)) if (trace) cat("Iteration: ", 0, " ||F(x0)||: ", F0/sqrt(n), "\n")
I do not understand the reason for the division by \(\sqrt{n}\). It is only doing this for the initial value. Subsequent log lines are correctly printing \(||F(x)||\).
One possible reason is that the termination criterion is:
\[ ||F(x)|| \le \mathit{tol} \cdot \sqrt{n} \]
so the author wanted to compare \(\displaystyle\frac{||F(x^0)||}{\sqrt{n}}\) with \(\mathit{tol}\). Obviously this first log line is still mislabeled.
References
- Varadhan, Ravi, and Paul D. Gilbert. 2009. “BB: An R Package for Solving a Large System of Nonlinear Equations and for Optimizing a High-Dimensional Nonlinear Objective Function.” Journal of Statistical Software 32 (4): 1–26. http://www.jstatsoft.org/v32/i04/.
- Cruz, William La, and Marcos Raydan. 2003. “Nonmonotone Spectral Methods for Large-Scale Nonlinear Systems.” Optimization Methods and Software 18: 583–99.
- Cruz, William La, Jose Mario Martınez, and Marcos Raydan. 2006. “Spectral Residual Method Without Gradient Information for Solving Large-Scale Nonlinear Systems of Equations.” Mathematics of Computation 75: 1449–66.
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