I am running a maximum likelihood model with optim. I chose the simulated annealing method (method="SANN").
SANN is not performing bad, but I guess it would be much more effecive if I could set the `parscale' parameter.
The help sais:
`parscale' A vector of scaling values for the parameters.
Optimization is performed on `par/parscale' and these should
be comparable in the sense that a unit change in any element
produces about a unit change in the scaled value.Since I know the approximate optimal parameters of the function to optimise I could use these values to calculate `parscale'.
If I understand the role of `parscale' well, I have to differentiate my function numerically.
How can I perform the numerical differentiation in R? I thought about writing a small function, but I am sure it is already written. It must be present at least in some of the optimisation algorithms.
Anyway, I couln't find it neither in the help, nor in the non-internal, displayable source of optim.
Could anyone tell me where to find such a function? And if it really is what I need for `parscale'?
Thank you!
Gábor -- Gabor BORGULYA MD MSc Semmelweis University of Budapest, 2nd Dept of Paediatrics Hungarian Paediatric Cancer Registry phone: +36 - 1 - 4591500 / 2834
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