Displaying 1 result from an estimated 1 matches for "optimhessian".
2012 Nov 15
1
hessian fails for box-constrained problems when close to boundary?
Hi
I am trying to recover the hessian of a problem optimised with
box-constraints. The problem is that in some cases, my estimates are very
close to the boundary, which will make optim(..., hessian=TRUE) or
optimHessian() fail, as they do not follow the box-constraints, and hence
estimate the function in the unfeasible parameter space.
As a simple example (my problem is more complex though, simple param
transformations do not apply ashere), imagine estimating mu and sigma
(restricted to be >0) of a simple norm...