[R] Maximum likelihood with analytical Hessian and
robin at lindinglab.org
Wed Dec 17 21:46:16 CET 2014
I have an optimization problem that I would like to solve by Maximum
I have analytical functions for the first and second derivatives of my
In addition, some parameters are constrained between 0 and 1, while some
others can vary freely between -Inf and +Inf.
I am looking for an optimization function to solve this problem.
I understand that the base optim function doesn't take a Hessian
function, it only computes it numerically.
I found the maxLik package that takes the function as a "hess" parameter
but the maxNR method (the only one that uses the Hessian function) can't
Surprisingly I couldn't find a function doing both.
Any suggestions for a function doing bounded optimization with an
analytical Hessian function?
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