[R] Constrained minimisation

John Logsdon j.logsdon at lancaster.ac.uk
Mon Feb 8 18:02:30 CET 1999


Apart from nlm() with the stepmax= argument, is there any other >1
dimensional minimisation function where I can limit the step size
dynamically.  With the NAG routine E04NBF (I think)  I used to bound the
size of the next step using a*arctan(x/a) tricks where a function was
particularly difficult near a boundary and thus 'steer' the result within
legal limits.

The function I am trying to minimise is (negative) log likelihood for the
GEV but with a *lot* of right-censoring.  I am not currently sure whether
it is a numerical problem (it could well) but I would like to explore
any other optimiser if there is one in the many libraries.


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