Alternating optimization

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The {ao} package implements a numerical optimization algorithm called alternating optimization in R.

Alternating optimization is an iterative procedure which optimizes a function jointly over all parameters by alternately performing restricted optimization over individual parameter subsets.

For additional details on the method, please refer to the package vignette.

Installation

You can install the released version of {ao} from CRAN with:

install.packages("ao")

Example

The following is a simple example to perform alternating optimization of the Himmelblau’s function, separately for \(x_1\) and \(x_2\), with the parameter restrictions \(-5 \leq x_1, x_2 \leq 5\).

Step 1: Load the package

library("ao")
#> Loading required package: optimizeR
#> Thanks for using {ao} 0.3.2, happy alternating optimization!
#> Documentation: https://loelschlaeger.de/ao

Step 2: Define the function to be optimized

himmelblau <- function(x, a, b) (x[1]^2 + x[2] + a)^2 + (x[1] + x[2]^2 + b)^2

The function is optimized over its first argument (x), which needs to be a numeric vector. Other function arguments (a and b in this case) remain fixed during the optimization. The function should return a single numeric value.

Step 3: Define a base optimizer

Alternating optimization requires a base optimizer that numerically solves the optimization problems in the partitions of the parameter vector. Such an optimizer must be defined through the framework provided by the {optimizeR} package, please see its documentation for details.

base_optimizer <- optimizeR::Optimizer$new(which = "stats::optim", lower = -5, upper = 5, method = "L-BFGS-B")

Step 4: Call the ao() function

Despite f and base_optimizer, which have been defined above, the ao() function requires the following arguments:

ao(f = himmelblau, p = c(0, 0), a = -11, b = -7, partition = list(1, 2), base_optimizer = base_optimizer)
#> $value
#> [1] 1.940035e-12
#> 
#> $estimate
#> [1]  3.584428 -1.848126
#> 
#> $sequence
#>    iteration partition        value      seconds       p1        p2
#> 1          0        NA 1.700000e+02 0.0000000000 0.000000  0.000000
#> 2          1         1 1.327270e+01 0.0094270706 3.395691  0.000000
#> 3          1         2 1.743666e+00 0.0010139942 3.395691 -1.803183
#> 4          2         1 2.847292e-02 0.0008139610 3.581412 -1.803183
#> 5          2         2 4.687472e-04 0.0006930828 3.581412 -1.847412
#> 6          3         1 7.368063e-06 0.0012190342 3.584381 -1.847412
#> 7          3         2 1.157612e-07 0.0004658699 3.584381 -1.848115
#> 8          4         1 1.900153e-09 0.0004830360 3.584427 -1.848115
#> 9          4         2 4.221429e-11 0.0003638268 3.584427 -1.848126
#> 10         5         1 3.598278e-12 0.0003728867 3.584428 -1.848126
#> 11         5         2 1.940035e-12 0.0003712177 3.584428 -1.848126
#> 
#> $seconds
#> [1] 0.01522398

The output contains:

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