[R] Likelihood returning inf values to optim(L-BFGS-B) other options?

From: <r_at_micom-solutions.de>
Date: Thu 05 Apr 2007 - 10:11:39 GMT

Dear R-help list,

I am working on an optimization with R by evaluating a likelihood function that contains lots of Gamma calculations (BGNBD: Hardie Fader Lee 2005 Management Science). Since I am forced to implement lower bounds for the four parameters included in the model, I chose the optim() function mith L-BFGS-B as method. But the likelihood often returns inf-values which L-BFGS-B can't deal with.

Are there any other options to implement an optimization algorithm with R accounting for lower bounds and a four parameter-space?

Here is the error message I receive (german):


> out=optim(c(.1,.1,.1,.1),fn,method="L-BFGS-B",lower=c(.0001,.0001,.0001,.0001,.0001))
Fehler in optim(c(0.1, 0.1, 0.1, 0.1), fn, method = "L-BFGS-B", lower = c(1e-04, : L-BFGS-B benötigt endliche Werte von 'fn' Zusätzlich: Es gab 50 oder mehr Warnungen (Anzeige der ersten 50 mit warnings()) -- And this is the likelihood function: -- fn<-function(p) { A1=(gamma(p[1]+x)*p[2]^p[1])/(gamma(p[1])) A2=(gamma(p[3]+p[4])*gamma(p[4]+x))/(gamma(p[4])*gamma(p[3]+p[4]+x)) A3=(1/(p[2]+Tvec))^(p[1]+x) A4=(p[3]/(p[4]+x-1))*((1/(p[2]+t_x))^(p[1]+x)) ll=sum(log(A1*A2*(A3+flag*A4))) return(ll) } Thank you very much for your help in advance! Best regards, Michael ______________________________________________ R-help@stat.math.ethz.ch mailing list 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 Apr 05 20:19:42 2007

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