[R] problem with optim()

From: chirine wolley <wolley.chirine_at_hotmail.com>
Date: Thu, 19 May 2011 15:17:31 +0200

Dear R-users,  

I would like to maximize the function g above which depends on 4 parameters (2 vectors, 1 real number, and 1 matrix) using optim() and BFGS method. Here is my code:  

# fonction to maximize  

g=function(x)
{

x1 = x[1:ncol(X)]
x2 = x[(ncol(X)+1)]
x3 = matrix(x[(ncol(X)+2):(ncol(X)+1+ncol(X)*ncol(Y))],nrow=ncol(X),ncol=ncol(Y))
x4 = x[(ncol(X)+1+ncol(X)*ncol(Y)+1):length(x)]
res1=rep(0,nrow(X))
res2=matrix(0,nrow=nrow(X),ncol=ncol(Y)) log.res2=matrix(0,nrow=nrow(X),ncol=ncol(Y)) res2.b=rep(0,nrow(X))
res3 = rep(0,nrow(X))
res3.b = rep(0,nrow(X))
for (i in 1:nrow(X))
{

res1[i]=1/(1+exp(-t(x1)%*%X[i,]-x2))
for (t in 1:ncol(Y))
{

res2[i,t] = ((1-(1+exp(-t(x3[,t])%*%X[i,]-x4[t]))^(-1))^(abs(Y[i,t]-Yb[i])))*(((1+exp(-t(x3[,t])%*%X[i,]-x4[t]))^(-1))^(1-abs(Y[i,t]-Yb[i]))) log.res2[i,t]=log(res2[i,t])
res2.b[i]=res2.b[i]+log.res2[i,t]
}
res3[i] = p_tilde[i]*log(res1[i])
res3.b[i] = p_tilde[i]*(res2.b[i])
}
-(ncol(Y)*sum(res3)+sum(res3.b))

}
 
##### Gradiants:  

gr=function(x)
{

x1 = x[1:ncol(X)]
x2 = x[(ncol(X)+1)]
x3 = matrix(x[(ncol(X)+2):(ncol(X)+1+ncol(X)*ncol(Y))],nrow=ncol(X),ncol=ncol(Y))
x4 = x[(ncol(X)+1+ncol(X)*ncol(Y)+1):length(x)]
gr1 = rep(0,ncol(X))

gr4 = rep(0,ncol(Y))
gr3 = matrix(0,nrow=ncol(X),ncol=ncol(Y)) gr1.b = matrix(0,nrow=nrow(X),ncol=ncol(X)) gr2.b = rep(0,nrow(X))
eta = matrix(0,nrow=nrow(X),ncol=ncol(Y)) d.eta.3 = array(0,dim=c(nrow(X),ncol(X),ncol(Y))) d.eta.4 = matrix(0,nrow=nrow(X),ncol=ncol(Y)) gr3.b1 = array(0,dim=c(nrow(X),ncol(X),ncol(Y))) gr4.b1 = matrix(0,nrow=nrow(X),ncol=ncol(Y))  
#Gradiant of alpha and beta

for (i in 1:nrow(X))
{

gr1.b[i,] = (2*p_tilde[i]-1)*((exp(-t(x1)%*%X[i,]-x2)*X[i,])/(1+exp(-t(x1)%*%X[i,]-x2))^2) gr2.b[i] = (2*p_tilde[i]-1)*((exp(-t(x1)%*%X[i,]-x2))/(1+exp(-t(x1)%*%X[i,]-x2))^2) }
for (j in 1:ncol(X))
{

gr1[j] = sum(gr1.b[,j])
}
gr2 = sum(gr2.b)  

#Gradiant de w et gamma
for (i in 1:nrow(X))
{

for (t in 1:ncol(Y))

{

eta[i,t] = 1/(1+exp(-t(x3[,t])%*%X[i,]-x4[t]))

d.eta.3[i,,t] = eta[i,t]*(1-eta[i,t])*X[i,]
d.eta.4[i,t] = eta[i,t]*(1-eta[i,t])
gr3.b1[i,,t] = p_tilde[i]*((-abs(Y[i,t]-Yb[i]))*(1-eta[i,t])^(-1)+(1-abs(Y[i,t]-Yb[i]))*
(eta[i,t])^(-1))*d.eta.3[i,,t]
gr4.b1[i,t] = p_tilde[i]*((-abs(Y[i,t]-Yb[i]))*(1-eta[i,t])^(-1)+(1-abs(Y[i,t]-Yb[i]))* (eta[i,t])^(-1))*d.eta.4[i,t]
}
}
for (t in 1:ncol(Y))
{

for (j in 1:ncol(X))
{

gr3[j,t] = sum(gr3.b1[,j,t])
}
gr4[t] = sum(gr4.b1[,t])
}
c(-gr1,-gr2,-gr3,-gr4)
}  

opt = optim(c(alpha[,c+1],beta[c+1],w,gamma),g,gr,method="BFGS")  

The problem is that it gives me wrong results, and I have noticed that if I change my function to maximize (for example if, instead of -(ncol(Y)*sum(res3)+sum(res3.b)), I try to maximise -(ncol(Y)*sum(res3)), it gives me the exactly same results...which is not possible! So maybe I am using optim() in a wrong way...Does someone have an idea what could be wrong in my code ?  

Thank you very much in advance

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https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code. Received on Thu 19 May 2011 - 13:20:58 GMT

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