maybe it would be better to scale the parameters (using 'parscale') instead of NLL.
I hope it helps. Best, Dimitris ---- Dimitris Rizopoulos Ph.D. Student Biostatistical Centre School of Public Health Catholic University of Leuven Address: Kapucijnenvoer 35, Leuven, Belgium Tel: +32/(0)16/336899 Fax: +32/(0)16/337015 Web: http://med.kuleuven.be/biostat/ http://www.student.kuleuven.be/~m0390867/dimitris.htm ----- Original Message ----- From: "Simon Ruegg" <[EMAIL PROTECTED]> To: <[email protected]> Sent: Wednesday, August 09, 2006 2:52 PM Subject: [R] scaling constant in optim("L-BFGS-B") > Hi all, > > > > I am trying to find estimates for 7 parameters of a model which > should fit > real data. I have a function for the negative log likelihood (NLL) > of the > data. With optim(method="L-BFGS-B",lower=0) I am now minimizing the > NLL to > find the best fitting parameters. > > > > My problem is that the algorithm does not converge for certain data > sets. I > have read that one should scale the fn (i.e. the NLL in my case), > however I > am having trouble with the scaling constant: If I change it, the > algorithm > converges for certain data sets, for which it didn't before, but for > others > it doesn't converge although it did before. In addition, the scaling > constant affects the value of the optimal parameters and the > converging > value of the NLL (evidently). So to be able to compare the > parameters > between different data sets I need to use the same scaling constant. > Trying > out all values between 0.1 and 1 is very laborious and is not quite > a > systematic approach. > > > > My question is: Are there any rules of thumb to choose a scaling > constant? > And how do I justify it's application (it looks a bit like a "magic > constant" that tricks the algo to converge, but does not have a > systematic > justification)? > > > > I'd greatly appreciate any hints, tricks or references about the > scaling > constant > > > > Thanks for your help! > > > > Simon > > > > ******************************************************************** > > Simon Ruegg > > Dr.med.vet., PhD student > > Institute for Parasitology > > Winterthurstr. 266a > > 8057 Zurich > > Switzerland > > > > phone: +41 44 635 85 93 > > fax: +41 44 635 89 07 > > e-mail: [EMAIL PROTECTED] > > > > > [[alternative HTML version deleted]] > > ______________________________________________ > [email protected] mailing list > 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. > Disclaimer: http://www.kuleuven.be/cwis/email_disclaimer.htm ______________________________________________ [email protected] mailing list 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.
