try to use method "L-BFGS-B" and give boudary condition to the parameters in
use so that the algorithm search is limited to a particular region as it
seems u have to many parameters.
On Fri, 4 Apr 2008 22:10:20 -0700 (PDT) kathie wrote:
>
> 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))
>
> - (2/n)*(sum(w1*dnorm((x-mu1)/sqrt(exp(g1)))/sqrt(exp(g1))
> + w2*dnorm((x-mu2)/sqrt(exp(g2)))/sqrt(exp(g2))
> + w3*dnorm((x-mu3)/sqrt(exp(g3)))/sqrt(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))
>
> --
> View this message in context:
> http://www.nabble.com/How-to-impr!
ove-the-%22OPTIM%22-results-tp16509144p16509144.html
> Sent from the R help mailing list archive at Nabble.com.
>
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> and provide commented, minimal, self-contained, reproducible code.
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