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2008 Oct 15
0
Maximizing a function - optim does not always converge
...sometimes not. Since I¢m planning to do this 5000 times, is there a way where I can make sure the solution always converge?
size <- 25
n <- rbinom(1, size, 0.6)
data <- log(rlnorm(n, -0.075, sqrt(.15)))
xbar <- mean(data)
sigma2 <- var(data)
s <- n*xbar
tsq <- sum(data^2)
t_init <- xbar-2*sqrt(sigma2/n)
l2 <- function(x){
x1 <- x[1]
x2 <- x[2]
(size - n)*log(1 - exp(t_init - x1 - x2/2)) + n*(t_init -x1 - x2/2) - (n/2)*log(2*pi) - (n/2)*log(x2) - tsq/(2*x2) + x1*s/x2 - n*(x1^2)/(2*x2)
}
gr.l2 <- function(x){
x1 <- x...