R optim - select values ​​from individual iterations

Question

Sorry for the possible duplication of the question mentioned below.

I want to restore the values ​​of optimized parameters in different iterations of a function optim. The goal is to check for error convergence in the validation dataset.

My question is closely related to this question , and I tried to implement code in it that was supposed to solve my problem. However, both the value iand $countsuggest that the optimized function is called more times than specified in the parameter maxit:

vals <- list()
f1 <- function(x) {
  i <<- i+1
  vals[[i]] <<- x

  x1 <- x[1]
  x2 <- x[2]
  x1^2 + 3*x2^2  
}

# countBFGS 
i <- 0  
optim(c(1,1), f1, method="BFGS",control = list(trace=1, maxit = 10))$count
i
# countCG 
i <- 0 
optim(c(1,1), f1, method="CG",control = list(trace=1, maxit = 10))$count
i
# countSANN
i <- 0 
optim(c(1,1), f1, method="SANN",control = list(trace=1, maxit = 10))$count
i

Any suggestions on how to capture optimized parameters on the fly?

Answer 1

, , , . , , i . 24:

vals <- NULL; i <- 0
gr1 <- function(x) c(2, 6) * x  # gradient
optim(c(1, 1), f1, gr1, method = "BFGS", control = list(trace = 1))$count

## initial  value 4.000000 
## final  value 0.000000 
## converged
## function gradient 
##       24        9 

i
## [1] 24

, , , Nelder Mead, count . :

vals <- NULL; i <- 0
optim(c(1, 1), f1, method = "Nelder", control = list(trace = 1))$count
i

:. maxit f1 gr1. gr1 maxit , f1 gr1 f1.

vals <- NULL; i <- 0
gr1 <- function(x) c(2, 6) * x  # gradient
trace(gr1, exit = quote(print(c(returnValue(), x))))
trace(f1, exit = quote(print(c(i, returnValue(), x))))
optim(c(1, 1), f1, gr1, method = "BFGS", control = list(trace = 10, maxit = 5))$count
untrace(f1)
untrace(gr1)

:

Tracing fn(par, ...) on exit 
[1] 1 4 1 1
initial  value 4.000000 
Tracing gr(par, ...) on exit 
[1] 2 6 1 1
Tracing fn(par, ...) on exit 
[1]  2 76 -1 -5
Tracing fn(par, ...) on exit 
[1]  3.00  0.48  0.60 -0.20
Tracing gr(par, ...) on exit 
[1]  1.2 -1.2  0.6 -0.2
Tracing fn(par, ...) on exit 
[1]  4.00000000  0.55976676 -0.73469388  0.08163265
Tracing fn(par, ...) on exit 
[1]  5.0000000  0.1728560  0.3330612 -0.1436735
Tracing gr(par, ...) on exit 
[1]  0.6661224 -0.8620408  0.3330612 -0.1436735
Tracing fn(par, ...) on exit 
[1] 6.000000e+00 1.207714e-05 1.192941e-03 1.884501e-03
Tracing gr(par, ...) on exit 
[1] 0.002385882 0.011307005 0.001192941 0.001884501
Tracing fn(par, ...) on exit 
[1]  7.000000e+00  7.788526e-09 -5.338595e-05 -4.057284e-05
Tracing gr(par, ...) on exit 
[1] -1.067719e-04 -2.434371e-04 -5.338595e-05 -4.057284e-05
final  value 0.000000 
stopped after 5 iterations
function gradient 
       7        5