Hi R-help! I'm trying to understand how R's nlm function updates its estimate of the Hessian matrix. The Dennis/Schnabel book cited in the references presents a number of different ways to do this, and seems to conclude that the positive-definite secant method (BFGS) works best in practice (p201). However, when I run my code through the optim function with the method as "BFGS", slightly different estimates are produced to that of nlm:
> optim(strt,jointll2,method="BFGS",hessian=T)$par -0.4016808 0.6057144 0.3744790 -7.1819734 3.0230386 0.4446641 > nlm(jointll2,strt,hessian=T)$estimate [1] -0.4016825 0.6057159 0.3744765 -7.1819737 3.0230386 0.4446623 Can anyone tell me if nlm employs the BFGS method for updating its estimates? Or does it use another algorithm? Thank you! ______________________________________________ R-help@r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code.
