[R] problems with numerical optimisation
otoomet at econ.dk
Wed Mar 12 09:43:37 CET 2003
this is not a particular R question but perhaps someone can help.
I am running a maximum likelihood estimation (competing risk duration
model with unobserved heterogeneity) on 30 different datasets. The
problem is that on 2 datasets the model does not converge. I am
interested if there are any methods, based on the gradients or (an
approximation of) the hessian which helps to determine what is the
problem. Can anybody recommend a good textbook about numerical
Currently I am using 100 BFGS iterations + 100 BHHH iterations and I
have programmed analytic gradients. The fool-proof method of
excluding the variables one-by-one and simplifying the structure is
quite a slow and not particularily insightsful.
Thanks in advance
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