[R] Error message when using optim

[Prof Brian Ripley]

(Subject changed to something less perjorative.  This is not `optim 
error'.)

On Wed, 9 Aug 2006, Frank Black wrote:

> Dear all,
> 
> There have been one or two questions posted to the list regarding the optim 
> error "non-finite finite-difference value [4]."  The error apparently means 
> that the 4th element of the gradient is non-finite.

(Without an example of the optim usage, we have little to go on.  This 
does not occur in the default method, so we don't even know which method 
was asked for.  Please do study the posting guide: we ask to information 
for good reasons.)

It means that the finite-difference approximation to the gradient is 
non-finite (as it says).  Most likely this occurs when the user-supplied 
function is returning Inf (so the finite difference is Inf - Inf) or
returning NA/NaN.

> My question is what part(s) of my program should I fiddle with in an 
> attempt to fix it?  Starting values?  Something in the log-likelihood 
> itself?  Perhaps the data (which is generated)?  Any thoughts would be 
> greatly appreciated.

If the function you are optimizing never returns Inf or NA/NaN, the 
message will not occur.  Nor will it occur if you supply a gradient 
function.

-- 
Brian D. Ripley,                  ripley at stats.ox.ac.uk
Professor of Applied Statistics,  http://www.stats.ox.ac.uk/~ripley/
University of Oxford,             Tel:  +44 1865 272861 (self)
1 South Parks Road,                     +44 1865 272866 (PA)
Oxford OX1 3TG, UK                Fax:  +44 1865 272595