R help - Oct 2012 - likelihood function involving integration, error in nlm

Dear R users,

I am trying to find the mle that involves integration. 

I am using the following code and get an error when I use the nlm function

d<-matrix(c(1,1,0,0,0,0,0,0,2,1,0,0,1,1,0,1,2,2,1,0),nrow=10,ncol=2)
h<-matrix(runif(20,0,1),10)

integ<-matrix(c(0),nrow=10, ncol=2)
ll<-function(p){
for (k in 1:2){
for(s in 1:10){
integrand<-function(x)
x^d[s,k]*exp(-x*gamma(1+1/p))^p*p*x^(p-1)*exp(-x*h[s,k]) 
integ[s,k]<-integrate(integrand,0,Inf)$value
}
}
lik<-colSums(integ)
-lik
}
initial<-c(1)
t<-nlm(ll,initial)
Error in nlm(ll, initial) : invalid function value in 'nlm' optimizer

Any suggestions will be greatly appreciated. 
Thank you in advance





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On 19-10-2012, at 04:40, stats12 wrote:
> Dear R users,
> 
> I am trying to find the mle that involves integration. 
> 
> I am using the following code and get an error when I use the nlm function
> 
> d<-matrix(c(1,1,0,0,0,0,0,0,2,1,0,0,1,1,0,1,2,2,1,0),nrow=10,ncol=2)
> h<-matrix(runif(20,0,1),10)
> 
> integ<-matrix(c(0),nrow=10, ncol=2)
> ll<-function(p){
> for (k in 1:2){
> for(s in 1:10){
> integrand<-function(x)
> x^d[s,k]*exp(-x*gamma(1+1/p))^p*p*x^(p-1)*exp(-x*h[s,k]) 
> integ[s,k]<-integrate(integrand,0,Inf)$value
> }
> }
> lik<-colSums(integ)
> -lik
> }
> initial<-c(1)
> t<-nlm(ll,initial)
> Error in nlm(ll, initial) : invalid function value in 'nlm'
optimizer
Before the call of nlm you should insert

ll(initial)

to check. You'll see that your function returns a vector and not a scalar as
it should.
I guess that ll() should return sum(-lik) or better -sum(integ)

Berend

Thanks for pointing that out. Made some modifications and it worked.



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