In order to compute the optimal theta eg in logistic regression, I have to create a costFunction (the function to be minimized) which is then passed to fminunc in order to obtain the optimal theta. Also, if the gradient of costFunction can be computed, I set the 'GradObj' option to 'on' using
options = optimset('GradObj','on');
and code the costFunction so that it returns, as a second output argument, the gradient value g of X. Then I give
[theta, cost] = fminunc(@(t)(costFunction(t, X, y)), initial_theta, options);
where X is the data matrix and y the response. How can I implement the above in R?
Take a look at the optim
function. It can do unconstrained minimization using method = 'L-BFGS-B'
and you can specify an analytical function to compute the gradient as well
EDIT. As Ben has pointed out correctly, fminunc
does unconstrained optimization, which can also be achieved using the optim
function choosing Nelder-Mead
or BFGS
. Moreover, I also noticed from the documentation of fminunc
that it does large-scale optimization using trust
region methods. There is an R package trust
that I believe does the same thing. I would recommend taking a look at the optimization
task view of R.
In the R, you can use the function nlminb
in the R to do constrained optimization!
nlminb(start, objective, gradient = NULL, hessian = NULL, ..., scale = 1, control = list(), lower = -Inf, upper = Inf)
The start is a vector include all initial value of parameters. objective is the cost function or any other function that you want to minimize.
Have you tried the ucminf
function of the ucminf package? If yours is an unconstrained problem (and in many cases you can easily convert constrained problems into unconstrained ones), the ucminf
is quite similar to Matlab's fmincon
. The two are similar in the sense that both use a trust-region type monitoring. Unlike fmincon
(that relies on the interior-point algorithm), ucminf
is based on a quasi-Newton type of algorithm. However, usminf
provides you with the same types of controls as fmincon
. From my experience, ucminf
is pretty good at replicating fmincon
's output, give it a shot.
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