[R] When using Rdonlp2 to do a MLE, I got some "system is exactly singular" error

From: Hsiao-nan Cheung <niheaven_at_gmail.com>
Date: Tue, 08 Mar 2011 22:01:02 +0800


Hi,

Recently I use Rdonlp2 to do a MLE of Markov-switching with TVTP, but during the optimization, there is always a "Error in solve.default(...) : Lapack routine dgesv: system is exactly singular" error, what's wrong? When searching on the web, someone said it is because the Hessian matrix, and could be fixed by modified Marquardt algorithm, and is this algorithm realized in R? Or what else could I do?

Thanks!

Hsiao-nan Cheung



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