[R] numerical differentiation in R? (for optim "SANN" parscale)

BORGULYA Gábor borgulya at gyer2.sote.hu
Wed Jul 16 12:21:40 CEST 2003

Dear R users,

I am running a maximum likelihood model with optim. I chose the 
simulated annealing method (method="SANN").

SANN is not performing bad, but I guess it would be much more effecive 
if I could set the `parscale' parameter.

The help sais:
`parscale' A vector of scaling values for the parameters.
           Optimization is performed on `par/parscale' and these should
           be comparable in the sense that a unit change in any element
           produces about a unit change in the scaled value.

Since I know the approximate optimal parameters of the function to 
optimise I could use these values to calculate `parscale'.
If I understand the role of `parscale' well, I have to differentiate my 
function numerically.

How can I perform the numerical differentiation in R? I thought about 
writing a small function, but I am sure it is already written. It must 
be present at least in some of the optimisation algorithms.
Anyway, I couln't find it neither in the help, nor in the non-internal, 
displayable source of optim.

Could anyone tell me where to find such a function?
And if it really is what I need for `parscale'?

Thank you!

Semmelweis University of Budapest, 2nd Dept of Paediatrics
Hungarian Paediatric Cancer Registry
phone: +36 - 1 - 4591500 / 2834

More information about the R-help mailing list