Re: [R] Maximization of a loglikelihood function with double sums

From: Ravi Varadhan <rvaradhan_at_jhmi.edu>
Date: Sat, 14 May 2011 05:27:34 -0400

It should not be very hard to find information on optimization. Have you tried any of the search facilities in R?

?optim # comes with `base'
library(optimx) # you need to install this first from CRAN

Ravi.



From: r-help-bounces_at_r-project.org [r-help-bounces_at_r-project.org] On Behalf Of Klaus Langohr [klaus.langohr_at_upc.edu] Sent: Thursday, May 12, 2011 3:29 PM
To: r-help_at_r-project.org
Subject: [R] Maximization of a loglikelihood function with double sums

Dear R experts,
Attached you can find the expression of a loglikelihood function which I would like to maximize in R.
So far, I have done maximization with the combined use of the mathematical programming language AMPL (www.ampl.com) and the solver SNOPT (http://www.sbsi-sol-optimize.com/manuals/SNOPT%20Manual.pdf). With these tools, maximization is carried out in a few seconds. I wonder if that could possible with R, too. Therefore, I would highly appreciate if any R user with experience in maximization could tell me if a function like that could be maximized using R and if s/he could point me to a package which might be useful for that. Just to give you some more details on the loglikelihood function attached:
* Data vectors:u, zr, s

I'd be very grateful for any helpful information.

Klaus.

--
----------------------------------------------------
 Klaus Langohr
 Departament d'Estadística i Investigació Operativa
 Universitat Politècnica de Catalunya
 Edifici C5 (Campus Nord)
 C/ Jordi Girona, 1-3
 E-08034 Barcelona
 Tel: (+34) 934 054 093
 Fax: (+34) 934 015 855

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Received on Sat 14 May 2011 - 09:31:54 GMT

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