Of the tools I know (and things change every day!), only package trust uses the Hessian explicitly.
It would not be too difficult to include explicit Hessian by modifying Rvmmin which is all in R -- I'm currently doing some cleanup on that, so ask offline if you choose that route. Given that some parameters are between 0 and 1, you could use the hyperbolic transformation (section 11.2 of my book Nonlinear parameter optimization using R tools) with trust, and I think I'd try that as a first attempt. You probably need to adjust the Hessian for the transformation carefully. Generally the work in computing the Hessian ( # obs * (# parameters)^2 in size) is not worth the effort, but there are problems for which it does make a lot of sense. JN On 14-12-18 06:00 AM, r-help-requ...@r-project.org wrote: > Message: 12 > Date: Wed, 17 Dec 2014 21:46:16 +0100 > From: Xavier Robin <ro...@lindinglab.org> > To: r-help@r-project.org > Subject: [R] Maximum likelihood with analytical Hessian and > Message-ID: <5491eb98.6090...@lindinglab.org> > Content-Type: text/plain; charset=utf-8 > > Dear list, > > I have an optimization problem that I would like to solve by Maximum > Likelihood. > I have analytical functions for the first and second derivatives of my > parameters. > In addition, some parameters are constrained between 0 and 1, while some > others can vary freely between -Inf and +Inf. > > I am looking for an optimization function to solve this problem. > > I understand that the base optim function doesn't take a Hessian > function, it only computes it numerically. > I found the maxLik package that takes the function as a "hess" parameter > but the maxNR method (the only one that uses the Hessian function) can't > be bounded. > Surprisingly I couldn't find a function doing both. > > Any suggestions for a function doing bounded optimization with an > analytical Hessian function? > > Thanks, > Xavier > > ______________________________________________ R-help@r-project.org mailing list -- To UNSUBSCRIBE and more, see https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code.