grback function

Backward difference numerical gradient approximation.

grback computes the backward difference approximation to the gradient of user function userfn.

grback(par, userfn, fbase=NULL, env=optsp, ...)

Arguments

• par: parameters to the user objective function userfn
• userfn: User-supplied objective function
• fbase: The value of the function at the parameters, else NULL. This is to save recomputing the function at this point.
• env: Environment for scratchpad items (like deps for approximation control in this routine). Default optsp.
• ...: optional arguments passed to the objective function.

Details

Package:	grback
Depends:	R (>= 2.6.1)
License:	GPL Version 2.

Returns

grback returns a single vector object df which approximates the gradient of userfn at the parameters par. The approximation is controlled by a global value optderiveps that is set when the package is attached.

Author(s)

John C. Nash

Examples

cat("Example of use of grback\n")

myfn<-function(xx, shift=100){
    ii<-1:length(xx)
    result<-shift+sum(xx^ii)
}

xx<-c(1,2,3,4)
ii<-1:length(xx)
print(xx)
gn<-grback(xx,myfn, shift=0)
print(gn)
ga<-ii*xx^(ii-1)
cat("compare to analytic gradient:\n")
print(ga)

cat("change the step parameter to 1e-4\n")
optsp$deps <- 1e-4
gn2<-grback(xx,myfn, shift=0)
print(gn2)