[R] How to improve the "OPTIM" results

From: kathie <kathryn.lord2000_at_gmail.com>
Date: Fri, 04 Apr 2008 22:10:20 -0700 (PDT)

Dear R users,

I used to "OPTIM" to minimize the obj. function below. Even though I used the true parameter values as initial values, the results are not very good.

How could I improve my results? Any suggestion will be greatly appreciated.

Regards,

Kathryn Lord

#------------------------------------------------------------------------------------------

x = c(0.35938587, 0.34889725, 0.20577608, 0.15298888, -4.24741146,
-1.32943326,

        0.29082527, -2.38156942, -6.62584473, -0.22596237, 6.97893687, 0.22001081,

       -1.39729222, -5.17860124, 0.52456484, 0.46791660, 0.03065136, 0.32155177,

       -1.12530013, 0.02608057, -0.22323154, 3.30955460, 0.54653982, 0.29403011,

        0.47769874, 2.42216260, 3.93518355, 0.23237890, 0.09647044,
-0.48768933,

        0.37736377, 0.43739341, -0.02416010, 4.02788119, 0.07320802,
-0.29393054,

        0.25184609, 0.76044448, -3.34121918, 1.16028677, -0.60352008,
-2.86454069,

       -0.84411691, 0.24841071, -0.11764954, 5.92662106, 1.03932953,
-6.21987657,

       -0.54763352,  0.20263192)                         # data

theta0= c(log(2),0,c(0,-.3,.3),log(c(10,.05,.05))) # initial value(In fact, true parameter value)
n = length(x)

fr2 = function(theta)
{

	a1 = theta[1]; a2 = theta[2]
	mu1 = theta[3]; mu2 = theta[4]; mu3 = theta[5]
	g1 = theta[6]; g2 = theta[7]; g3 = theta[8]
	
	w1=exp(a1)/(1+exp(a1)+exp(a2))
	w2=exp(a2)/(1+exp(a1)+exp(a2))
	w3=1-w1-w2

	obj =((w1^2)/(2*sqrt(exp(g1)*pi)) 
         +  (w2^2)/(2*sqrt(exp(g2)*pi))
         +  (w3^2)/(2*sqrt(exp(g2)*pi))

	 +  2*w1*w2*dnorm((mu1-mu2)/sqrt(exp(g1)+exp(g2)))/sqrt(exp(g1)+exp(g2))
         + 
2*w1*w3*dnorm((mu1-mu3)/sqrt(exp(g1)+exp(g3)))/sqrt(exp(g1)+exp(g3))
         + 

2*w2*w3*dnorm((mu2-mu3)/sqrt(exp(g2)+exp(g3)))/sqrt(exp(g2)+exp(g3))

        return(obj)
}

optim(theta0, fr2, method=BFGS", control = list (fnscale=10, parscale=c(.01,.01,.01,.01,.01,1,1,1), maxit=100000))

--

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