[R] NAs in optim

From: Hannu Kahra <hkahra_at_gmail.com>
Date: Mon 23 Jan 2006 - 04:37:00 EST


Hi,

I am trying to maximize a utility function using optim. I have a problem with optim, since some of the values in the caw, mom, me and btm matrixes in the code bellow are missing. Is there a handy way just to skip the missing values in the loop?

g <- 5
retp <- NULL
object <- function (x)
{

    b1 <- x[1]
    b2 <- x[2]
    b3 <- x[3]
    for(i in 1:nrow(ret)){
        for(j in 1:ncol(ret)){
        retp[i] <- (caw[i,j]+1/24*(b1*mom[i,j] + b2*me[i,j] +
b3*btm[i,j]))*ret[i,j]
        }

    }
    util <- (1+retp)^(1-g)/(1-g)
    return(-sum(util))
}
result <- optim(c(2.0,-1.0,3.5
),object,control=list(maxit=500),hessian=TRUE,method="BFGS")

Thank you in advance.
Hannu Kahra

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