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

From: Ravi Varadhan <rvaradhan_at_jhmi.edu>
Date: Thu 05 Apr 2007 - 13:27:46 GMT

Hi,

In your code, the variables x (which I assume is the observed data), Tvec, and flag are not passed to the function as arguments. This could be a potential problem. Another problem could be that you have to use "negative" log-likelihood function as input to optim, since by default it "minimizes" the function, whereas you are interested in finding the argmax of log-likelihood. So, in your function you should return (-ll) instead of ll.

If the above strategies don't work, I would try different initial values (it would be best if you have a data-driven strategy for picking a starting value) and different optimization methods (e.g. conjugate gradient with "Polak-Ribiere" steplength option, Nelder-Mead, etc.).

Ravi.



Ravi Varadhan, Ph.D.

Assistant Professor, The Center on Aging and Health

Division of Geriatric Medicine and Gerontology

Johns Hopkins University

Ph: (410) 502-2619

Fax: (410) 614-9625

Email: rvaradhan@jhmi.edu

Webpage: http://www.jhsph.edu/agingandhealth/People/Faculty/Varadhan.html  



-----Original Message-----
From: r-help-bounces@stat.math.ethz.ch
[mailto:r-help-bounces@stat.math.ethz.ch] On Behalf Of r@micom-solutions.de Sent: Thursday, April 05, 2007 6:12 AM
To: r-help@stat.math.ethz.ch
Subject: [R] Likelihood returning inf values to optim(L-BFGS-B) other options?

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,.000 1,.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. ______________________________________________ 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 23:37:22 2007

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