[R] Optim in R
Z P
nusbj at hotmail.com
Wed Sep 1 12:13:24 CEST 2004
Dear all,
I recently use the optim function to find the maxima for some likelihood
function. I have many parameters, more than 12. As the help file mention,
the default method does not do well in univariate case. How about the
different method in optim?
I notice the nlm function uses newton method. I have also done the newton
method by myself, the iteration does not converge due to the difficulty in
solve the hessian matrix for this large dimension matrix. Is the newton
method worse than the method supplied in optim? In the mle package, optim is
used instead of nlm.
For the different methods in optim, they give somewhat quite different
estimate for some of the parameters. And the most annoying one is that the
hessian matrix is sometimes not positive definite after the optim gives
output using method (the default one and BFGS). Shall we admit that we have
arrived at the maximum point?
For CG and SANN method, they are both very very slow, however, their maximum
values are usually bigger than the default method.
Is there any suggestion in choosing these methods? I know it is a very hard
optimazation question, however, I can not find the reference book in optim
help at the moment. Thank you.
Yours,
Zhen
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