[Rd] Numerical optimisation and "non-feasible" regions

Ben Bolker bolker at ufl.edu
Thu Aug 7 02:47:11 CEST 2008

Mathieu Ribatet <mathieu.ribatet <at> epfl.ch> writes:

> Dear list,
> I'm currently writing a C code to compute the (composite) likelihood - 
> well this is done but not really robust. The C code is wrapped in an R 
> one which call the optimizer routine - optim or nlm. However, the 
> fitting procedure is far from being robust as the parameter space 
> depends on the parameter - I have a covariance matrix that should be a 
> valid one for example.
  One reasonably straightforward hack to deal with this is
to add a penalty that is (e.g.) a quadratic function of the
distance from the feasible region, if that is reasonably
straightforward to compute -- that way your function will
get gently pushed back toward the feasible region.

  Ben Bolker

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