Hi,
Am not sure if my code itself is correct. Here's what am trying to do:
Minimize integration of a function of gaussian distributed variable 'x' over
the interval qnorm(0.999) to Inf by changing value of parameter 'mu'. mu is
the shift in mean of 'x'.
Code:
# x follows gaussian distribution
# fx2 to be minimized by changing values of mu
# integration to be done over the interval (qnorm(0.999),Inf)
p<-0.009 #constant
R<-0.25 # constant
e<-11 #constant
integrand<-function(x){
(e*pnorm((qnorm(p)+sqrt(R)*x)/sqrt(1-R))*dnorm(x))^2/dnorm(x+mu)}
fx2<-function(mu) {
integrate(integrand, lower = qnorm(0.999), upper=Inf)$value}
mu<-c(-1) #initial value for mu, which needs to be optimized such that fx2
is minimized
output<-optim(par=mu, fx2, method="BFGS")
I get the following error message:
Error in integrate(integrand, lower = qnorm(0.999), upper = Inf) :
non-finite function value
If upper is changed to 10, error doesn't appear. However, mu retains its
value and is not optimized.
Pls. help.
Thanks
Dinesh
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