Sunny2011
2011-Dec-29 06:47 UTC
[R] problem of "constrOptim.nl", no hessian and convergence values
Dear Helper, I used "constrOptim.nl" and got the value of par. The estimations looks good even if the number of iterations is only 16. But the values of hessian and convergence are both "NULL". I tested the objective function and gradient function by "optim" and didn't see any problem there. With these functions, "optim" gives the convergence value of "0". Since constraints are necessary for the identifiability of my mode, I have to switch to "constrOptim.nl". Following is my code of the constraint. Could you please help me to check is there anything wrong? Thank a lot! # define the equality constraint heq<-function(par){ u<-par[1:m] a<-par[(m+1):(m+n)] b<-par[(m+n+1):(m+2*n)] h<-rep(NA,2) h[1]<-mean(u)-0 h[2]<-var(u)-1 h } heq.jac<-function(par){ u<-par[1:m] a<-par[(m+1):(m+n)] b<-par[(m+n+1):(m+2*n)] j <- matrix(NA, 2, length(par)) j[1,]<-c(rep(1,m),rep(0,2*n)) j[2, ] <- c(2/(m-1)*(u-mean(u)),rep(0,2*n)) j } # use optim library(alabama) myoptim<-constrOptim.nl(par=par0, fn=obj, heq=heq, heq.jac=heq.jac, control.outer=list(maxit=5000000,method="L-BFGS-B")) -- View this message in context: http://r.789695.n4.nabble.com/problem-of-constrOptim-nl-no-hessian-and-convergence-values-tp4242031p4242031.html Sent from the R help mailing list archive at Nabble.com.