Le 30 oct. 2009 à 02:21, R_help Help a écrit :
Ok. I have the following likelihood function.
L <- p*dpois(x,a)*dpois(y,b+c)+(1-p)*dpois(x,a+c)*dpois(y,b)
where I have 100 points of (x,y) and parameters c(a,b,c,p) to
estimate. Constraints are:
0 < p < 1
a,b,c > 0
c < a
c < b
I construct a loglikelihood function out of this. First ignoring the
last two constraints, it takes optim with box constraint about 1-2 min
to estimate this. I have to estimate the MLE on about 200 rolling
windows. This will take very long. Is there any faster implementation?
Take a look at the CRAN task view on optimisation, you may find faster
algorithms.
Secondly, I cannot incorporate the last two contraints using optim
function.
you can test the trick
Ltilde <- function(a,b,c,p) ifelse( c < a & c < b, p*dpois(x,a)*dpois
(y,b+c)+(1-p)*dpois(x,a+c)*dpois(y,b), -10^6)
Christophe
Thank you,
rc
On Thu, Oct 29, 2009 at 9:02 PM, Ravi Varadhan <rvarad...@jhmi.edu>
wrote:
You have hardly given us any information for us to be able to help
you. Give us more information on your problem, and, if possible, a
minimal, self-contained example of what you are trying to do.
Ravi.
____________________________________________________________________
Ravi Varadhan, Ph.D.
Assistant Professor,
Division of Geriatric Medicine and Gerontology
School of Medicine
Johns Hopkins University
Ph. (410) 502-2619
email: rvarad...@jhmi.edu
----- Original Message -----
From: R_help Help <rhelp...@gmail.com>
Date: Thursday, October 29, 2009 8:24 pm
Subject: [R] Fast optimizer
To: r-help@r-project.org, r-sig-fina...@stat.math.ethz.ch
Hi,
I'm using optim with box constraints to MLE on about 100 data
points.
It goes quite slow even on 4GB machine. I'm wondering if R has any
faster implementation? Also, if I'd like to impose
equality/nonequality constraints on parameters, which package I
should
use? Any help would be appreciated. Thank you.
rc
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Christophe Dutang
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