[R] Hessian in box-constraint problem - concern OPTIM function

From: Cleber Nogueira Borges <klebyn_at_yahoo.com.br>
Date: Mon, 23 Jun 2008 23:13:31 -0300

Hello all useRs,

I am using the OPTIM function with particular interest in the method L-BFGS-B,
because it is a box-constraint method.

I have interest in the errors estimates too. I make:

s.e. <- sqrt( diag( solve( optim(...,method='L-BFGS-B', hessian=TRUE)$hessian )))

but in help say:
"Note that this is the Hessian of the unconstrained problem even if the  box constraints are active."

My doubts is:

How to obtain a authentic hessian for a box-constraint problem? How I should make a interpretation of this result (concern the hessian) ? Is possible make some transformation or so can I considerate this result a good approximation??

I am grateful for some help!

References are welcome! :-D

Cleber Borges



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