src/library/stats/demo/nlm.R

#  Copyright (C) 1997-2009, 2017 The R Core Team

### Helical Valley Function
### Page 362 Dennis + Schnabel

require(stats); require(graphics); require(utils)

theta <- function(x1,x2) (atan(x2/x1) + (if(x1 <= 0) pi else 0))/ (2*pi)
## but this is easier :
theta <- function(x1,x2) atan2(x2, x1)/(2*pi)

f <- function(x) {
    f1 <- 10*(x[3] - 10*theta(x[1],x[2]))
    f2 <- 10*(sqrt(x[1]^2+x[2]^2)-1)
    f3 <- x[3]
    return(f1^2 + f2^2 + f3^2)
}

## explore surface {at x3 = 0}
x <- seq(-1, 2, length.out=50)
y <- seq(-1, 1, length.out=50)
z <- apply(as.matrix(expand.grid(x, y)), 1, function(x) f(c(x, 0)))
contour(x, y, matrix(log10(z), 50, 50))
str(nlm.f <- nlm(f, c(-1,0,0), hessian = TRUE))
points(rbind(nlm.f$estim[1:2]), col = "red", pch = 20)
stopifnot(all.equal(nlm.f$estimate, c(1, 0, 0)))

### the Rosenbrock banana valley function

fR <- function(x)
{
    x1 <- x[1]; x2 <- x[2]
    100*(x2 - x1*x1)^2 + (1-x1)^2
}

## explore surface
fx <- function(x)
{   ## `vectorized' version of fR()
    x1 <- x[,1]; x2 <- x[,2]
    100*(x2 - x1*x1)^2 + (1-x1)^2
}
x <- seq(-2, 2, length.out=100)
y <- seq(-0.5, 1.5, length.out=100)
z <- fx(expand.grid(x, y))
op <- par(mfrow = c(2,1), mar = 0.1 + c(3,3,0,0))
contour(x, y, matrix(log10(z), length(x)))

str(nlm.f2 <- nlm(fR, c(-1.2, 1), hessian = TRUE))
points(rbind(nlm.f2$estim[1:2]), col = "red", pch = 20)

## Zoom in :
rect(0.9, 0.9, 1.1, 1.1, border = "orange", lwd = 2)
x <- y <- seq(0.9, 1.1, length.out=100)
z <- fx(expand.grid(x, y))
contour(x, y, matrix(log10(z), length(x)))
mtext("zoomed in");box(col = "orange")
points(rbind(nlm.f2$estim[1:2]), col = "red", pch = 20)
par(op)
with(nlm.f2,
     stopifnot(all.equal(estimate, c(1,1), tol = 1e-5),
               minimum < 1e-11, abs(gradient) < 1e-6, code %in% 1:2))

fg <- function(x)
{
    gr <- function(x1, x2)
        c(-400*x1*(x2 - x1*x1)-2*(1-x1), 200*(x2 - x1*x1))
    x1 <- x[1]; x2 <- x[2]
    structure(100*(x2 - x1*x1)^2 + (1-x1)^2,
              gradient = gr(x1, x2))
}

nfg <- nlm(fg, c(-1.2, 1), hessian = TRUE)
str(nfg)
with(nfg,
     stopifnot(minimum < 1e-17, all.equal(estimate, c(1,1)),
               abs(gradient) < 1e-7, code %in% 1:2))

## or use deriv to find the derivatives

fd <- deriv(~ 100*(x2 - x1*x1)^2 + (1-x1)^2, c("x1", "x2"))
fdd <- function(x1, x2) {}
body(fdd) <- fd
nlfd <- nlm(function(x) fdd(x[1], x[2]), c(-1.2,1), hessian = TRUE)
str(nlfd)
with(nlfd,
     stopifnot(minimum < 1e-17, all.equal(estimate, c(1,1)),
               abs(gradient) < 1e-7, code %in% 1:2))

fgh <- function(x)
{
    gr <- function(x1, x2)
        c(-400*x1*(x2 - x1*x1) - 2*(1-x1), 200*(x2 - x1*x1))
    h <- function(x1, x2) {
        a11 <- 2 - 400*x2 + 1200*x1*x1
        a21 <- -400*x1
        matrix(c(a11, a21, a21, 200), 2, 2)
    }
    x1 <- x[1]; x2 <- x[2]
    structure(100*(x2 - x1*x1)^2 + (1-x1)^2,
              gradient = gr(x1, x2),
              hessian  =  h(x1, x2))
}

nlfgh <- nlm(fgh, c(-1.2,1), hessian = TRUE)
str(nlfgh)
## NB: This did _NOT_ converge for R version <= 3.4.0
with(nlfgh,
     stopifnot(minimum < 1e-15, # see 1.13e-17 .. slightly worse than above
	       all.equal(estimate, c(1,1), tol=9e-9), # see 1.236e-9
	       abs(gradient) < 7e-7, code %in% 1:2)) # g[1] = 1.3e-7