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Antonio Coppola edited Examples.tex
over 9 years ago
Commit id: 9cd0e633edf6873fb96d46f81cd704c90385ebe9
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We begin by using lbfgs to minimize a suite of simple test functions, and benchmarking the package against the L-BFGS-B optim method.
\begin{itemize}
\item \textit{The Rosenbrock function:} We define the Rosenbrock function mapping $\mathbf{R}^2$ to $\mathbf{R}$ as $f(x,y) = 100 \cdot (y - x^2)^2 + (1 - x)^2$. The function has a global minimum at $(0,0)$ that lies within a a long, flat valley. We define the function and its gradient as R
object, objects, and then run the optimization
routine: routine using both lbfgs and optim:
\begin{lstlisting}
objective <- function(x) {
100 * (x[2] - x[1]^2)^2 + (1 - x[1])^2
...
200 * (x[2] - x[1]^2))
}
out out.lbfgs <- lbfgs(objective, gradient, c(-1.2, 1))
out.optim <- optim(c(-1.2, 1), objective, gradient)
\end{lstlisting}
The results are the following:
\begin{lstlisting}
\end{lstlisting}
\end{itemize}