Features

Installation

install.packages("devtools")library(devtools)devtools::install_github("ypan1988/roptim",dependencies=TRUE)

install.packages("roptim")

A Quick Example

fr<-function(x) {## Rosenbrock Banana functionx1<-x[1]x2<-x[2]100* (x2-x1*x1)^2+ (1-x1)^2}grr<-function(x) {## Gradient of 'fr'x1<-x[1]x2<-x[2]    c(-400*x1* (x2-x1*x1)-2* (1-x1),200*      (x2-x1*x1))}res<- optim(c(-1.2,1),fr,grr,method="BFGS",control=list(trace=T),hessian=TRUE)res

#include<cmath>// std::pow#include<RcppArmadillo.h>// [[Rcpp::depends(RcppArmadillo)]]#include<roptim.h>// [[Rcpp::depends(roptim)]]usingnamespaceroptim;classRosen :publicFunctor {public:doubleoperator()(const arma::vec &x)override {double x1 =x(0);double x2 =x(1);return100 *std::pow((x2 - x1 * x1),2) +std::pow(1 - x1,2);  }voidGradient(const arma::vec &x, arma::vec &gr)override {    gr = arma::zeros<arma::vec>(2);double x1 =x(0);double x2 =x(1);gr(0) = -400 * x1 * (x2 - x1 * x1) -2 * (1 - x1);gr(1) =200 * (x2 - x1 * x1);  }};// [[Rcpp::export]]voidrosen_bfgs() {  Rosen rb;  Roptim<Rosen>opt("BFGS");  opt.control.trace =1;  opt.set_hessian(true);    arma::vec x = {-1.2,1};  opt.minimize(rb, x);    Rcpp::Rcout <<"-------------------------" << std::endl;  opt.print();}

library(Rcpp)sourceCpp("~/demo.cpp")# you may need to change the directoryrosen_bfgs()

initial  value 24.200000 iter  10 value 1.367383iter  20 value 0.134560iter  30 value 0.001978iter  40 value 0.000000final  value 0.000000 converged-------------------------.par()   1.0000   1.0000.value()9.59496e-018.fncount()110.grcount()43.convergence()0.message()NULL.hessian()  8.0200e+002 -4.0000e+002 -4.0000e+002  2.0000e+002