[R] optim question
When I run your problem in optimx (with all.methods=TRUE), L-BFGS-B fails because the function is evaluated out of range. optimx (actually the optfntools package) from R-forge can trap these, and it is usually a good idea to stop and figure out what is going on. Nevertheless, it seems a solution can be found by other methods, and even by L-BFGS-B if one is prepared to ignore these glitches. A big +++ for including an executable example. Of course, I would not have answered otherwise. Note that the optimx and optfntools on R-forge are at the moment undergoing a lot of review and change. Best, JN Message: 4 Date: Tue, 8 May 2012 14:35:10 -0500 From: Wenhao Gui guiwen...@gmail.com To: r-help@r-project.org Subject: [R] optim question Message-ID: CABZdO=zKr1wsXmTOQ54UieVQfpkAx=cyt0dzip7yt1cjb6e...@mail.gmail.com Content-Type: text/plain Hello, I used optim to find the MLE estimates of some parameters. See the code below. It works for data1(x). but It did not work for data2 and the error says L-BFGS-B needs finite values of 'fn' . data2: c(x, 32) that is, if I added the number 32 at the end of data1. The error appears non-finite function value etc. Any comments or suggestions? Thanks! Wenhao __ R-help@r-project.org 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.
[R] optim question
Hello,
I used optim to find the MLE estimates of some parameters. See the code
below. It works for data1(x). but It did not work for data2 and the error
says L-BFGS-B needs finite values of 'fn' .
data2: c(x, 32) that is, if I added the number 32 at the end of data1.
The error appears non-finite function value etc.
Any comments or suggestions?
Thanks!
Wenhao
##
x-c(8, 11, 20, 15, 21, 16, 19, 15, 19, 17, 14, 8, 20, 7, 20, 25, 4, 17,
10, 28, 14, 13, 6, 109, 11, 29, 14, 17, 43, 75, 7, 19, 14, 12, 16, 3, 42,
40, 15,42,31,33,52, 45, 46,54)
n-length(x)
j-1
int-numeric(n)
log.lik-function(theta,x){
repeat{
integrand-function(t,theta){
((2*pnorm(x[j]*t)-1)^(theta[1]-1))*((1-(pnorm(x[j]*t)))^(theta[2]-1))*(dnorm(x[j]*t))*(t^theta[4])
}
int[j]-integrate(integrand, lower=0,upper=1/theta[3],theta=theta)$val
j-j+1
if(jlength(x))
break
}
-length(x)*(log((2^theta[2]*theta[3]^theta[4]*theta[4]/(beta(theta[1],theta[2])-sum(log(int))
}
aaa-optim(c(2,2,10,5),method=L-BFGS-B,fn=log.lik,lower=c(1,1,1,1),
hessian=T,x=x, control=list(trace=T))
[[alternative HTML version deleted]]
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and provide commented, minimal, self-contained, reproducible code.
Re: [R] optim() question
Some thought about this overnight led to conclusion that a capability to follow from one method to another could be quite useful. Moreover, it should be pretty easy to fit it into our current trial version of optimx() as we call the function. More at UseR. JN Ravi Varadhan wrote: Stephen, No. Currently, AFAIK, there is no such switching algorithm for optimization in R. John Nash and I are working on a package for integrating various optimization tools (for smooth, box-constrained optimization) in R. This will have a function that can run through multiple algorithms. While this is not exactly what you are asking for, it can be quite useful for your purposes, which I assume is to find a local optimum in a reliable fashion. Ravi. ... -Original Message- From: r-help-boun...@r-project.org [mailto:r-help-boun...@r-project.org] On Behalf Of Stephen Collins Sent: Tuesday, May 26, 2009 2:48 PM To: r-h...@stat.math.ethz.ch Subject: [R] optim() question I've seen with other software the capability for the optimizer to switch algorithms if it is not making progress between iterations. Is this capability available in optim()? Thanks, Stephen Collins, MPP | Analyst Health Benefits | Aon Consulting __ R-help@r-project.org 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.
[R] optim() question
I've seen with other software the capability for the optimizer to switch algorithms if it is not making progress between iterations. Is this capability available in optim()? Thanks, Stephen Collins, MPP | Analyst Health Benefits | Aon Consulting [[alternative HTML version deleted]] __ R-help@r-project.org 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.
