[R] Optim and hessian

Ravi Varadhan RVaradhan at jhmi.edu
Wed Apr 29 21:18:43 CEST 2009


Are you using optim() function in R?

Although I am not sure what your problem really is (as you haven't provided
sufficient information), it may be that the hessian computation in optim()
is not accurate enough for you.

Try the function hessian() in the "numDeriv" package.  It is very accurate.

Here is an example:

	require(numDeriv)  # to compute hessian

fr <- function(x) {   ## Rosenbrock Banana function
    x1 <- x[1]
    x2 <- x[2]
    100 * (x2 - x1 * x1)^2 + (1 - x1)^2
}

	ans <- optim(par=c(-1,1), fn=fr, method="BFGS")

	hess <- hessian(x=ans$par, func=fr)
	
	hess

Hope this helps,
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 r-project.org [mailto:r-help-bounces at r-project.org] On
Behalf Of Marcel Rodrigues Lopes
Sent: Wednesday, April 29, 2009 10:42 AM
To: r-help at r-project.org
Subject: [R] Optim and hessian

Hi, my name is Marcel R. Lopes. My problem is,

I made a code to calculate the estimates of a Cox model with random effects.
Used to optimize the R command for this. The estimates were calculated
correctly, but the Hessian matrix does not have good values. The same thing
was done in SAS and gave good results for the Hessian Matrix. Where is the
problem in R? As the Hessian is calculated?. How could I solve this
problem?. I would be grateful if you could help me ....

	[[alternative HTML version deleted]]

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