Alternating Optimization in R with {ao}

CRAN status CRAN downloads R-CMD-check Codecov test coverage

This R package implements alternating optimization, which is an iterative procedure for optimizing some function jointly over all parameters by alternating restricted optimization over individual parameter subsets. For more details, see the package vignette.

Installation

You can install the released version from CRAN with:

install.packages("ao")

And the development version from GitHub with:

# install.packages("devtools")
devtools::install_github("loelschlaeger/ao")

Example

The following lines perform alternating optimization of the Himmelblau’s function, separately for x1 and x2, with the parameter restrictions −5≤x1,x2≤5:

library("ao")
himmelblau <- function(x) (x[1]^2 + x[2] - 11)^2 + (x[1] + x[2]^2 - 7)^2
ao(
  f = himmelblau, p = c(0,0), partition = list(1, 2),
  base_optimizer = optimizer_optim(lower = -5, upper = 5, method = "L-BFGS-B")
)
#> $optimum
#> [1] 1.940035e-12
#> 
#> $estimate
#> [1]  3.584428 -1.848126
#> 
#> $sequence
#>    iteration partition         time       p1        p2
#> 1          0         0 0.0000000000 0.000000  0.000000
#> 2          1         1 0.0184102058 3.395691  0.000000
#> 3          1         2 0.0002691746 3.395691 -1.803183
#> 4          2         1 0.0002059937 3.581412 -1.803183
#> 5          2         2 0.0001771450 3.581412 -1.847412
#> 6          3         1 0.0002670288 3.584381 -1.847412
#> 7          3         2 0.0001451969 3.584381 -1.848115
#> 8          4         1 0.0001440048 3.584427 -1.848115
#> 9          4         2 0.0001239777 3.584427 -1.848126
#> 10         5         1 0.0001220703 3.584428 -1.848126
#> 11         5         2 0.0001230240 3.584428 -1.848126
#> 
#> $time
#> Time difference of 0.022825 secs

Contact

Have a question, found a bug, request a feature, want to contribute? Please file an issue.