[R] issue with L-BFGS-B in optim (optim just hangs)

[Tiago Marques]

Dear R-help list,

Just a wrap up for this issue. Thanks to Ravi Varadan and Paul Smith for 
useful feedback (both on and off list).

It seems like the culprit was another function being called within 
optim, namely adapt (used to solve numerically a double integral in the 
likelihood I am maximizing). From what I was able to track down, it is 
adapt that just hangs. I do not know exactly why, but decreasing the 
precision in adapt, using parameter eps, solves it somewhat.

I have not yet investigated thoroughly if decreasing eps does have an 
impact on my results, but that is another story!

Best,

Tiago

Ravi Varadhan wrote:
> Hi Tiago,
> 
> It is hard for me to speculate without knowing more about your problem.  
> 
> Here is what I would suggest, assuming your problem specification and its
> computer implementation are correct:
> 
> (1) You may try to terminate the algorithm by specifying a different
> stopping criterion than the default values, and see whether the solution is
> of acceptable accuracy.  You can increase "factr" and/or "pgtol" to see if
> this problem goes away.  
> 
> (2) Another option is to increase "lmm" parameter, which is the number of
> BFGS updates saved for approximating the hessian.  Results in Zhu et al.
> (ACM 1997) show that increasing "lmm" tends to improve the reliability of
> the algorithm.  Try, for example, lmm=17 (default is lmm = 5).  Also, try
> using "trace" to get more information on what goes on. 
> 
> I can also suggest some alternative solutions:
> 
> (3).  An easy solution is to try a different optimization algorithm: YOU can
> try either nlminb() or spg() in package "BB". 
> 
> (4).  If it is easy to do so, specify analytic score function, i.e. the
> gradient of log-likelohood, and re-run optim() or nlminb() or spg().
> 
> 
> Hope this helps,
> Ravi.
> 
> ----------------------------------------------------------------------------
> Ravi Varadhan, Ph.D.
> Assistant Professor, The Center on Aging and Health
> Division of Geriatric Medicine and Gerontology 
> Johns Hopkins University
> Ph: (410) 502-2619
> Fax: (410) 614-9625
> Email: rvaradhan at jhmi.edu
> Webpage:  http://www.jhsph.edu/agingandhealth/People/Faculty/Varadhan.html
> 
> ----------------------------------------------------------------------------
> --------

> -----Original Message-----
> From: r-help-bounces at r-project.org [mailto:r-help-bounces at r-project.org] On
> Behalf Of Tiago Marques
> Sent: Wednesday, April 15, 2009 10:57 AM
> To: r-help at r-project.org
> Subject: [R] issue with L-BFGS-B in optim (optim just hangs)
> 
> Dear R-Help List,
> 
> I am using optim, with method=L-BFGS-B, to maximize a likelihood inside a
> large simulation exercise. This runs fine for most simulated data sets, but
> for some reason, about 1 out of 100 times, optim will just hang.
> Using a dumb approach to the problem (i.e. printing the parameter values
> each time the function being maximized is evaluated), I tracked down when
> this happens, and although I do not understand optim's behavior or what
> triggers it, it seems to happen specifically when one of the parameter
> boundaries is reached - and then the function just stops being evaluated.
> 
> But there is nothing special with the parameter boundary, i.e., if  I
> decrease or increase the boundary using say lower and upper arguments in
> optim, the function seems to hang at the new values. So it does not seem to
> be a specific value that triggers the behavior, but the fact that the value
> is the boundary defined in the function call.
> 
> As anyone seen this behavior before? Is it me missing something or is this
> some bug in "method=L-BFGS-B"? Any suggestions on how to deal with it?
> 
> Many thanks for any useful feedback,
> 
> Tiago
> 
> --
> 
> Tiago André Marques
> Research Unit for Wildlife Population Assessment Centre for Research into
> Ecological and Environmental Modelling University of St Andrews The
> Observatory Buchanan Gardens St Andrews Fife KY16 9LZ Scotland
> 
> Tel: 00441334461842 Fax: 00441334461800 (Scotland office)
> Tel: 00351210198736 (Portugal home)
> 
> http://www-maths.mcs.st-andrews.ac.uk/homepages/tam2.html
> http://www.creem.st-and.ac.uk/tiago/
> 
> The University of St Andrews is a charity registered in Scotland : No
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