Re: [R] output hessian matrix in constrOptim

From: Spencer Graves <spencer.graves_at_pdf.com>
Date: Sat 04 Feb 2006 - 15:50:20 EST

          The documentation for "constrOptim" says it has a "..." argument, which can contain "Other arguments passed to 'optim', which will pass them to 'f' and 'grad' if it does not used them." I routinely get an estimated "hessian" from 'optim' just by specifying the argument 'hessian=TRUE'. This led me to try the following

# an example from 'constrOptim' that works:

      fQP <- function(b) {-sum(c(0,5,0)*b)+0.5*sum(b*b)}
      Amat       <- matrix(c(-4,-3,0,2,1,0,0,-2,1),3,3)
      bvec       <- c(-8,2,0)
      constrOptim(c(2,-1,-1), fQP, NULL, ui=t(Amat),ci=bvec)

# The following generated an error:
constrOptim(c(2,-1,-1), fQP, NULL, ui=t(Amat),ci=bvec,

                     hessian=TRUE)

Error in f(theta, ...) : unused argument(s) (hessian ...)

          If it were my problem, I might first try 'fit <- constrOptim(...)'. Then if the optimum was NOT at a constraint, I'd use the outpt from 'constrOptim' as an input to "optim" with 'hessian=TRUE'. If it was at a constraint, I'd have to think very carefully about what I wanted in terms of a "hessian", because that does not seem obvious to me at the moment. Then I'd program something to get that. If I wanted more than that, I'd list 'constrOptim' and / or 'optim', and walk through them line by line using "debug" until I figured out what I wanted to do next.

          If you'd like more help from this listserve, please submit another post -- but first, PLEASE do read the posting guide! http://www.R-project.org/posting-guide.html.

	  hope this helps,
	  spencer graves

liu wrote:

> Hi,
>
> Is there any way to get the hessian matrix from the "constrOptim"
function without supplying gradient function? Thanks.
>
>
>
>
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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 Received on Sat Feb 04 15:56:40 2006

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