Objective transformations — objective

Construct reusable scalar transformations for objective functions. A transform is described by its value function and first and second derivatives with respect to the scalar objective value. The returned object can be supplied to Objective instances to obtain transformed values, gradients, and Hessians without re-deriving model specific logic.

Usage

objective_transform(value, d1, d2, id = "custom", domain = NULL)

objective_transform_identity()

objective_transform_log(eps = 0)

Arguments

value: (function(v)) Scalar transformation applied to the base objective value.
d1: (function(v)) First derivative of the transformation with respect to v.
d2: (function(v)) Second derivative of the transformation with respect to v.
id: (character(1)) Identifier used for logging and labels.
domain: (function(v)) Optional guard that should throw an informative error if the transform is undefined for v. Called before evaluating the transformation or its derivatives.
eps: (numeric(1)) Non-negative smoothing constant added before taking the logarithm. Use a positive value to guard against zero crossings.

Value

A list describing the transform. The list carries class "objective_transform" and contains the entries value, d1, d2, id, and domain.

Examples

identity_transform = objective_transform_identity()
log_transform = objective_transform_log()

identity_transform$value(10)
#> [1] 10
log_transform$d1(10)
#> [1] 0.1