[R] problem of "constrOptim.nl", no hessian and convergence values
Sunny2011
2373985 at gmail.com
Thu Dec 29 07:47:56 CET 2011
Dear Helper,
I used "constrOptim.nl" and got the value of par. The estimations looks good
even if the number of iterations is only 16. But the values of hessian and
convergence are both "NULL".
I tested the objective function and gradient function by "optim" and didn't
see any problem there. With these functions, "optim" gives the convergence
value of "0".
Since constraints are necessary for the identifiability of my mode, I have
to switch to "constrOptim.nl".
Following is my code of the constraint. Could you please help me to check
is there anything wrong?
Thank a lot!
# define the equality constraint
heq<-function(par){
u<-par[1:m]
a<-par[(m+1):(m+n)]
b<-par[(m+n+1):(m+2*n)]
h<-rep(NA,2)
h[1]<-mean(u)-0
h[2]<-var(u)-1
h
}
heq.jac<-function(par){
u<-par[1:m]
a<-par[(m+1):(m+n)]
b<-par[(m+n+1):(m+2*n)]
j <- matrix(NA, 2, length(par))
j[1,]<-c(rep(1,m),rep(0,2*n))
j[2, ] <- c(2/(m-1)*(u-mean(u)),rep(0,2*n))
j
}
# use optim
library(alabama)
myoptim<-constrOptim.nl(par=par0, fn=obj, heq=heq, heq.jac=heq.jac,
control.outer=list(maxit=5000000,method="L-BFGS-B"))
--
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