There's no reason that the optimum cannot be at the bounds. Bounded problems
really do
sometimes have solutions on those bounds.
Compute the unconstrained gradient of your objective function at the bounds and
see if the
function is reduced when going across the bounds. The function here is assumed
to be the
neg. LL that one is MINIMIZING.
There are many aspects of R, optimization in particular, where it would help if
we
required an operator's license. It is not a magical spell that solves
problems
automatically, but a tool much like a chainsaw that can as easily cut your arm
off as saw
a log.
JN
On 05/01/2012 06:00 AM, r-help-request at r-project.org
wrote:> Message: 54 Date: Mon, 30 Apr 2012 08:30:24 -0700 (PDT) From: barb
<mainzel89 at hotmail.com>
> To: r-help at r-project.org Subject: [R] Optim (fct):
Parameters=LowerBounds!? Message-ID:
> <1335799824557-4598504.post at n4.nabble.com> Content-Type:
text/plain; charset=UTF-8 Hey, i
> am trying to do the MLE for Garch and have a problem with the optim
function. Initally i
> tried optim with Method=BFGS. Reading trhough the forum i found out i would
neet bounds.
> So i went on with Method=L-BFGS-B. But now my parameters equal the lower
bounds.
>> > out <- optim(par=initial, fn=LogLik.GARCH,X=X, P=1, Q=1, method
>> > "L-BFGS-B",lower =c(0.01,0.01,0.01), upper
=c(0.99,0.99,0.99))
>> > out
> -----------------------------------
> *$par
> [1] 0.01 0.01 0.01*
> [...]
> $convergence
> [1] 0
>
> *$message
> [1] "CONVERGENCE: NORM OF PROJECTED GRADIENT <>
PGTOL"*-----------------------------------
>
