[R] optim with upper and lower bounds

[peter dalgaard]

This stuff is of course dependent on exactly which optimization problem you have, but optimx::optimr is often a very good drop-in replacement for optim, especially when bounds are involved (e.g., optim has an awkward habit of attempting evaluations outside the domain when numerical derivatives are needed).

You might want to look at the last examples in ?stats4::mle (in R 4.x.x)

-pd

> On 10 Aug 2020, at 22:08 , Roy Mendelssohn - NOAA Federal via R-help <r-help using r-project.org> wrote:
> 
> I am running a lot of optimization problems, at the moment using 'optim'  ('optim' is actually called by another program).  All of the problems have variables with simple upper and lower bounds,  which I can easily transform into a form that is unconstrained and solve using 'BFGS'.  But I was wondering is if it is more robust to solve the problem this way,  or to use L-BFGS-B instead.
> 
> Also how much difference can it make using 'optimx' instead 'optim'?  The program I am using (KFAS) allows this,  I just have to do some extra programming to use it.
> 
> Thanks,
> 
> -Roy
> 
> 
> 
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Peter Dalgaard, Professor,
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