[R] question about nlminb

From: John Pitchard <johnpitchard_at_googlemail.com>
Date: Tue, 08 Apr 2008 11:23:21 +0100

 Dear All,

I wanted to post some more details about the query I sent to s-news last week.

I have a vector with a constraint. The constraint is that the sum of the vector must add up to 1 - but not necessarily positive, i.e.

x[n] <- 1 -(x[1] + ...+x[n-1])

I perform the optimisation on the vector x such that

x <- c(x, 1-sum(x))

In other words,

fn <- function(x){
  x <- c(x, 1 - sum(x))
  # other calculations here

then feed this into nlminb()

out <- nlminb(x, fn)

out.x <- out$parameters
out.x <- c(out.x, 1 - sum(out.x))

I would like to calculate standard errors for each of the components of x. Is this possible by outputing the Hessian matrix? Furthermore, how would I calculate this for the last component (if this is indeed possible) which has the restriction (i.e. 1-sum(out.x))?

Any help would be much appreciated.


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