[R] convergence error (lme) which depends on the version of nlme (?)

Douglas Bates dmbates at gmail.com
Tue Dec 13 17:28:37 CET 2005


On 12/12/05, Leo Gürtler <leog at anicca-vijja.de> wrote:
> Dear list members,
>
> the following hlm was constructed:
>
> hlm <- groupedData(laut ~ design | grpzugeh, data = imp.not.I)
>
> the grouped data object is located at and can be downloaded:
>
> www.anicca-vijja.de/lg/hlm_example.Rdata
>
> The following works:
>
> library(nlme)
> summary( fitlme <- lme(hlm) )
>
> with output:
>
> ...
>        AIC      BIC    logLik
>   425.3768 465.6087 -197.6884
>
> Random effects:
>  Formula: ~design | grpzugeh
>  Structure: General positive-definite
>              StdDev    Corr
> (Intercept)  0.3772478 (Intr) dsgn:8 dsgn:7
> designmit:8  0.6776543  0.183
> designohne:7 0.6619983 -0.964  0.086
> designohne:8 1.0680576 -0.966  0.077  1.000
> Residual     1.3468816

Notice that the estimated variance-covariance matrix for the random
effects is singular (a correlation of +1.000).  The estimates of the
parameters in the model are on the boundary and it is not a proper
linear mixed model.  The definition of a linear mixed model (or at
least my definition) requires that the variance-covariance matrix of
the random effects be positive definite and this one is only positive
semidefinite.

> Fixed effects: laut ~ design
>                  Value Std.Error  DF   t-value p-value
> (Intercept)   3.857143 0.2917529 102 13.220579  0.0000
> designmit:8  -0.285714 0.4417919 102 -0.646717  0.5193
> designohne:7 -0.107143 0.4383878 102 -0.244402  0.8074
> designohne:8  0.607143 0.5408713 102  1.122527  0.2643
>  Correlation:
>              (Intr) dsgnm:8 dsgn:7
> designmit:8  -0.451
> designohne:7 -0.775  0.363
> designohne:8 -0.763  0.304   0.699
>
> Standardized Within-Group Residuals:
>        Min         Q1        Med         Q3        Max
> -2.5074669 -0.4530573  0.1755326  0.5837670  2.3700004
>
> Number of Observations: 112
> Number of Groups: 7
>
>
> The following does _not_ work and leads to a convergence error:
>
> fitlme1 <- lme(laut ~ design, random = ~ design | grpzugeh, data = hlm)
> Fehler in lme.formula(laut ~ design, random = ~design | grpzugeh, data =
> hlm) :
>         iteration limit reached without convergence (9)
>
> This was tried with
>
> R : Copyright 2005, The R Foundation for Statistical Computing
> Version 2.2.0  (2005-10-06 r35749)
>
> Using another R version (2.1.0, also windows with nlme version built
> under R 2.1.1) , it works. Thus, what's the problem then? I tried
> without the random effects, i.e.
>
> random = ~ 1 | grpzugeh
>
> This works. Comparing both calls on the version R2.1.0 that goes well,
> the following differences in the output of the random effects can be
> identified:
>
> summary( fitlme <- lme(hlm) )
>
> <-->
> Random effects:
>  ...
>   Structure: General positive-definite
> </-->
> compared to
>
> summary(lme(laut ~ design, random = ~ design | grpzugeh, data = hlm))
>
> <-->
> Random effects:
>   ...
>   Structure: General positive-definite, Log-Cholesky parametrization
> </-->
>
> The estimates of the fixed effects are similar, the S.E.s not.
> The random effects are different, too. AIC/BIC/logLik are slightly
> different.
>
> Thus my question:
>
> 1) Do I have overseen a switch for the structure of the random effects?
> Is something wrong with the call/ formular?
> 2) What is the cause of the convergence error which seems to depend on
> the built of R/nlme?
>
>
> Thank you very much. Best wishes,
>
> leo gürtler
>

As Dieter indicated in his response, the more current function lmer
from the lme4 package (actually it's in the Matrix package but it
would be in the lme4 package if a certain capability related to
packages were available) is preferred to lme.  Fitting your model with
the control options for verbose output in both the EM and nlminb
iterations produces

> (fm1 <- lmer(laut ~ design + (design | grpzugeh), hlm, control = list(msV=1,EMv=1)))
  EM iterations
  0 407.611 ( 6.00000  1.50000  1.50000  1.50000  0.00000  0.00000 
0.00000  0.00000  0.00000  0.00000:  -0.409    -1.07    -2.19   -0.969
 -0.0472   -0.344  -0.0282   -0.491   -0.163    0.941)
  1 402.107 ( 10.4497  1.95422  3.22722  2.22340 0.196761  1.02069
0.00757874  1.13553 0.110538 -0.685820:  -0.122   -0.550   -0.567  
-0.181   0.0294   -0.112 -0.00789   -0.204  -0.0184    0.361)
  2 399.890 ( 14.8865  2.30933  5.18627  2.99207 0.242029  2.06595
-0.0167045  2.18847 0.173349 -1.51318: -0.0497   -0.331   -0.209 
0.00812   0.0311  -0.0667 -0.00119   -0.129  0.00942    0.222)
  3 398.756 ( 19.0686  2.58783  7.19874  3.76967 0.147926  3.04342
-0.0686073  3.14563 0.190736 -2.40480: -0.0224   -0.217  -0.0877  
0.0682   0.0250  -0.0508  0.00304  -0.0968   0.0178    0.166)
  4 398.074 ( 23.0243  2.81061  9.22509  4.55494 -0.0495774  3.95755
-0.140106  4.03331 0.174045 -3.33077:-0.00975   -0.150  -0.0362  
0.0864   0.0192  -0.0422  0.00605  -0.0784   0.0213    0.134)
  5 397.620 ( 26.8048  2.99284  11.2543  5.34938 -0.321835  4.82191
-0.225236  4.87317 0.132590 -4.27703:-0.00344   -0.108  -0.0119  
0.0876   0.0145  -0.0360  0.00810  -0.0653   0.0229    0.111)
  6 397.297 ( 30.4530  3.14530  13.2827  6.15353 -0.648070  5.64798
-0.319808  5.68021 0.0733009 -5.23609:-0.000236  -0.0797 -8.03e-05  
0.0817   0.0110  -0.0310  0.00936  -0.0549   0.0233   0.0935)
  7 397.056 ( 34.0009  3.27575  15.3091  6.96705 -1.01331  6.44439
-0.420871  6.46453 0.00126948 -6.20372: 0.00132  -0.0599  0.00554  
0.0729  0.00841  -0.0267  0.00998  -0.0465   0.0229   0.0790)
  8 396.869 ( 37.4726  3.38984  17.3332  7.78911 -1.40672  7.21745
-0.526327  7.23293 -0.0797758 -7.17737: 0.00200  -0.0458  0.00794  
0.0636  0.00652  -0.0230   0.0101  -0.0394   0.0220   0.0669)
  9 396.719 ( 40.8855  3.49170  19.3548  8.61870 -1.82039  7.97186
-0.634686  7.99007 -0.167115 -8.15547: 0.00219  -0.0355  0.00866  
0.0547  0.00515  -0.0198  0.00992  -0.0334   0.0207   0.0568)
 10 396.597 ( 44.2529  3.58443  21.3740  9.45479 -2.24856  8.71109
-0.744889  8.73911 -0.258776 -9.13700: 0.00214  -0.0278  0.00854  
0.0466  0.00414  -0.0171  0.00950  -0.0285   0.0193   0.0484)
 11 396.496 ( 47.5843  3.67032  23.3909  10.2964 -2.68700  9.43779
-0.856191  9.48223 -0.353339 -10.1213: 0.00197  -0.0221  0.00800  
0.0397  0.00341  -0.0147  0.00894  -0.0244   0.0177   0.0414)
 12 396.410 ( 50.8871  3.75110  25.4058  11.1428 -3.13263  10.1540
-0.968068  10.2209 -0.449787 -11.1079: 0.00175  -0.0177  0.00731  
0.0337  0.00287  -0.0128  0.00831  -0.0209   0.0162   0.0356)
 13 396.336 ( 54.1668  3.82804  27.4187  11.9931 -3.58321  10.8612
-1.08016  10.9563 -0.547403 -12.0965: 0.00152  -0.0144  0.00658  
0.0287  0.00246  -0.0111  0.00767  -0.0180   0.0147   0.0307)
 14 396.273 ( 57.4277  3.90213  29.4298  12.8467 -4.03710  11.5606
-1.19223  11.6890 -0.645684 -13.0868: 0.00130  -0.0119  0.00587  
0.0245  0.00216 -0.00974  0.00703  -0.0156   0.0134   0.0267)
 15 396.217 ( 60.6728  3.97408  31.4391  13.7032 -4.49313  12.2533
-1.30411  12.4196 -0.744284 -14.0787: 0.00111 -0.00989  0.00523  
0.0210  0.00192 -0.00856  0.00642  -0.0136   0.0121   0.0233)
  0      396.217: 0.0164819 0.274624 0.0345766 0.601897 -0.0740551
0.201957 0.204699 -0.108941 0.0481838 -0.572859
  1      395.396: 5.00000e-10 0.265395 5.00000e-10 0.605834 -0.126945
0.228346 0.201255 -0.0635685 0.0429722 -0.617086
  2      395.396: 5.00000e-10 0.265395 5.09510e-10 0.605834 -0.126945
0.228346 0.201255 -0.0635685 0.0429722 -0.617086
  3      395.396: 5.01157e-10 0.265395 5.28494e-10 0.605834 -0.126945
0.228346 0.201255 -0.0635685 0.0429722 -0.617086
  4      395.396: 5.01157e-10 0.265395 5.28494e-10 0.605834 -0.126945
0.228346 0.201255 -0.0635685 0.0429722 -0.617086
Linear mixed-effects model fit by REML
Formula: laut ~ design + (design | grpzugeh)
   Data: hlm
      AIC      BIC    logLik MLdeviance REMLdeviance
 425.3957 466.1732 -197.6979   393.5971     395.3957
Random effects:
 Groups   Name         Variance Std.Dev. Corr
 grpzugeh (Intercept)  0.13685  0.36993
          designmit:8  0.48167  0.69403   0.244
          designohne:7 0.41869  0.64706  -0.971 -0.006
          designohne:8 1.09950  1.04857  -0.971 -0.006  1.000
 Residual              1.81486  1.34717
# of obs: 112, groups: grpzugeh, 7

Fixed effects:
              Estimate Std. Error  DF t value Pr(>|t|)
(Intercept)    3.85714    0.29046 108 13.2795   <2e-16
designmit:8   -0.28571    0.44547 108 -0.6414   0.5226
designohne:7  -0.10714    0.43525 108 -0.2462   0.8060
designohne:8   0.60714    0.53545 108  1.1339   0.2593
Warning message:
optim or nlminb returned message false convergence (8)
 in: "LMEoptimize<-"(`*tmp*`, value = list(maxIter = 200, tolerance =
1.49011611938477e-08,

which, again, shows the problem with the convergence.




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