[R] scaling constant in optim("L-BFGS-B")

[Dimitris Rizopoulos]

maybe it would be better to scale the parameters (using 'parscale') 
instead of NLL.


I hope it helps.

Best,
Dimitris

----
Dimitris Rizopoulos
Ph.D. Student
Biostatistical Centre
School of Public Health
Catholic University of Leuven

Address: Kapucijnenvoer 35, Leuven, Belgium
Tel: +32/(0)16/336899
Fax: +32/(0)16/337015
Web: http://med.kuleuven.be/biostat/
     http://www.student.kuleuven.be/~m0390867/dimitris.htm


----- Original Message ----- 
From: "Simon Ruegg" <s.ruegg at access.unizh.ch>
To: <r-help at stat.math.ethz.ch>
Sent: Wednesday, August 09, 2006 2:52 PM
Subject: [R] scaling constant in optim("L-BFGS-B")


> Hi all,
>
>
>
> I am trying to find estimates for 7 parameters of a model which 
> should fit
> real data. I have a function for the negative log likelihood (NLL) 
> of the
> data. With optim(method="L-BFGS-B",lower=0) I am now minimizing the 
> NLL to
> find the best fitting parameters.
>
>
>
> My problem is that the algorithm does not converge for certain data 
> sets. I
> have read that one should scale the fn (i.e. the NLL in my case), 
> however I
> am having trouble with the scaling constant: If I change it, the 
> algorithm
> converges for certain data sets, for which it didn't before, but for 
> others
> it doesn't converge although it did before. In addition, the scaling
> constant affects the value of the optimal parameters and the 
> converging
> value of the NLL (evidently). So to be able to compare the 
> parameters
> between different data sets I need to use the same scaling constant. 
> Trying
> out all values between 0.1 and 1 is very laborious and is not quite 
> a
> systematic approach.
>
>
>
> My question is: Are there any rules of thumb to choose a scaling 
> constant?
> And how do I justify it's application (it looks a bit like a "magic
> constant" that tricks the algo to converge, but does not have a 
> systematic
> justification)?
>
>
>
> I'd greatly appreciate any hints, tricks or references about the 
> scaling
> constant
>
>
>
> Thanks for your help!
>
>
>
> Simon
>
>
>
> ********************************************************************
>
> Simon Ruegg
>
> Dr.med.vet.,  PhD student
>
> Institute for Parasitology
>
> Winterthurstr. 266a
>
> 8057 Zurich
>
> Switzerland
>
>
>
> phone: +41 44 635 85 93
>
> fax: +41 44 635 89 07
>
> e-mail: s.ruegg at access.unizh.ch
>
>
>
>
> [[alternative HTML version deleted]]
>
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