[R] Likelihood returning inf values to optim(L-BFGS-B) other options?

[Ravi Varadhan]

Hi,

In your code, the variables x (which I assume is the observed data), Tvec,
and flag are not passed to the function as arguments.  This could be a
potential problem.  Another problem could be that you have to use "negative"
log-likelihood function as input to optim, since by default it "minimizes"
the function, whereas you are interested in finding the argmax of
log-likelihood.  So, in your function you should return (-ll) instead of ll.

If the above strategies don't work, I would try different initial values (it
would be best if you have a data-driven strategy for picking a starting
value) and different optimization methods (e.g. conjugate gradient with
"Polak-Ribiere" steplength option, Nelder-Mead, etc.).  

Ravi.


----------------------------------------------------------------------------
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Ravi Varadhan, Ph.D.

Assistant Professor, The Center on Aging and Health

Division of Geriatric Medicine and Gerontology 

Johns Hopkins University

Ph: (410) 502-2619

Fax: (410) 614-9625

Email: rvaradhan at jhmi.edu

Webpage:  http://www.jhsph.edu/agingandhealth/People/Faculty/Varadhan.html

 

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-----Original Message-----
From: r-help-bounces at stat.math.ethz.ch
[mailto:r-help-bounces at stat.math.ethz.ch] On Behalf Of r at micom-solutions.de
Sent: Thursday, April 05, 2007 6:12 AM
To: r-help at stat.math.ethz.ch
Subject: [R] Likelihood returning inf values to optim(L-BFGS-B) other
options?

Dear R-help list,

I am working on an optimization with R by evaluating a likelihood  
function that contains lots of Gamma calculations (BGNBD: Hardie Fader  
Lee 2005 Management Science). Since I am forced to implement lower  
bounds for the four parameters included in the model, I chose the  
optim() function mith L-BFGS-B as method. But the likelihood often  
returns inf-values which L-BFGS-B can't deal with.

Are there any other options to implement an optimization algorithm  
with R accounting for lower bounds and a four parameter-space?

Here is the error message I receive (german):
--
>
out=optim(c(.1,.1,.1,.1),fn,method="L-BFGS-B",lower=c(.0001,.0001,.0001,.000
1,.0001))
Fehler in optim(c(0.1, 0.1, 0.1, 0.1), fn, method = "L-BFGS-B", lower  
= c(1e-04,  :
	L-BFGS-B benötigt endliche Werte von 'fn'
Zusätzlich: Es gab 50 oder mehr Warnungen (Anzeige der ersten 50 mit  
warnings())
--
And this is the likelihood function:
--
fn<-function(p) {
     A1=(gamma(p[1]+x)*p[2]^p[1])/(gamma(p[1]))
     A2=(gamma(p[3]+p[4])*gamma(p[4]+x))/(gamma(p[4])*gamma(p[3]+p[4]+x))
     A3=(1/(p[2]+Tvec))^(p[1]+x)
     A4=(p[3]/(p[4]+x-1))*((1/(p[2]+t_x))^(p[1]+x))
     ll=sum(log(A1*A2*(A3+flag*A4)))
     return(ll)
}

Thank you very much for your help in advance!

Best regards,

Michael

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