Re: [Rd] Numerical optimisation and "non-feasible" regions

From: Ben Bolker <bolker_at_ufl.edu>
Date: Thu, 07 Aug 2008 00:47:11 +0000 (UTC)

Mathieu Ribatet <mathieu.ribatet <at> epfl.ch> writes:

>
> Dear list,
>
> I'm currently writing a C code to compute the (composite) likelihood -
> well this is done but not really robust. The C code is wrapped in an R
> one which call the optimizer routine - optim or nlm. However, the
> fitting procedure is far from being robust as the parameter space
> depends on the parameter - I have a covariance matrix that should be a
> valid one for example.
  

  One reasonably straightforward hack to deal with this is to add a penalty that is (e.g.) a quadratic function of the distance from the feasible region, if that is reasonably straightforward to compute -- that way your function will get gently pushed back toward the feasible region.

  Ben Bolker



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