[R] Hessian in box-constraint problem - concern OPTIM function

Cleber Nogueira Borges klebyn at yahoo.com.br
Tue Jun 24 04:13:31 CEST 2008


Hello all useRs,

I am using the OPTIM function with particular interest in the method 
L-BFGS-B,
because it is a box-constraint method.

I have interest in the errors estimates too.
I make:

s.e. <- sqrt( diag( solve(  optim(...,method='L-BFGS-B', 
hessian=TRUE)$hessian   )))

but in help say:
"Note that this is the Hessian of the unconstrained problem even if the
 box constraints are active."

My doubts is:

How to obtain a authentic hessian for a box-constraint problem?
How I should make a interpretation of this result (concern the hessian) ?
Is possible make some transformation or so can I considerate this result 
a good approximation??

I am grateful for some help!

References are welcome! :-D


Cleber Borges



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