[R] nlmin

[Jim Lindsey]

> 
> 
> I'm a very recent user of R. I have been adapting my Splus programmes
> and I found only one (important) problem. There exists no function
> "nlmin" in R and its substitute, "nlm", does not work well with my kind
> of problems, sometimes no achieving convergence, other tines
> "converging" to impossible values. My models are highly nonlinear and
> are to be estimated by both GMM and empirical likelihood methods.

I have also been using nlm for the past 4-5 years in R and for another
5-10 years before that as a Fortran program. Most of my problems are
also highly nonlinear and I rarely have had a problem unless the model
is unsuitable for the data. nlm has several arguments that can be
modified to aid in convergence. If you obtain impossible values, then
you appear to have a constrained optimization problem. Often parameter
transformation can fix this (e.g. log for positive values, logit if
between 0 and 1). Constrained optimization is a difficult problem
for which really good algorithms are not available. All of the
numerical analysts that I have spoken to agree that the algorithm in
nlm for unconstrained optimization without supplying analytic
derivatives is about the best available. Note that, as of 0.90, you
can supply the derivatives to nlm, which may also solve your problem
(although my experience is that it makes little difference if the
model is suitable for the data). Jim

> 
> Is there any alternative nonlinear optimization command in R? In the
> help file it is said that "nlm" is only a preliminary version, is it
> expected to replace/improve it soon? Does anyone have any alternative
> algorithm?
> 
> Thanks for your help,
> 
> Joaquim Ramalho
> Department of Economics
> University of Bristol
> 
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