[R] fundamental guide to use of numerical optimizers?
Paul Johnson
pauljohn32 at gmail.com
Thu Dec 15 17:37:54 CET 2011
I was in a presentation of optimizations fitted with both MPlus and
SAS yesterday. In a batch of 1000 bootstrap samples, between 300 and
400 of the estimations did not converge. The authors spoke as if this
were the ordinary cost of doing business, and pointed to some
publications in which the nonconvergence rate was as high or higher.
I just don't believe that's right, and if some problem is posed so
that the estimate is not obtained in such a large sample of
applications, it either means the problem is badly asked or badly
answered. But I've got no traction unless I can actually do
better....
Perhaps I can use this opportunity to learn about R functions like
optim, or perhaps maxLik.
>From reading r-help, it seems to me there are some basic tips for
optimization, such as:
1. It is wise to scale the data so that all columns have the same
range before running an optimizer.
2. With estimates of variance parameters, don't try to estimate sigma
directly, instead estimate log(sigma) because that puts the domain of
the solution onto the real number line.
3 With estimates of proportions, estimate instead the logit, for the
same reason.
Are these mistaken generalizations? Are there other tips that
everybody ought to know?
I understand this is a vague question, perhaps the answers are just in
the folklore. But if somebody has written them out, I would be glad to
know.
--
Paul E. Johnson
Professor, Political Science
1541 Lilac Lane, Room 504
University of Kansas
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