[R] Problems with Optimization

[Prof Brian Ripley]

On Wed, 20 Dec 2006, Tobias wrote:

>
> Dear R-helpers,
>
> I am having following problem:
>
> Let P be an observed quantity, F(...) a function describing P, and e = P -
> F(...) the error.
>
> F(...) is essentially a truncated mean whose value is obtained via
> integrating from some value X to inf over a probability density with six
> parameters. That's what usually causes the problem: for certain parameter
> values, the integral goes very quickly to infinity which the optimization
> algorithm can't handle. At least nlm() and some of the optim() algorithms
> cant. The default optim() algorithm appears to be able to handle it (takes
> very long to converge though) and so is nlminb().

>From the help page

      Function 'fn' can return 'NA' or 'Inf' if the function cannot be
      evaluated at the supplied value, but the initial value must have a
      computable finite value of 'fn'. (Except for method '"L-BFGS-B"'
      where the values should always be finite.)

so you are not being fair to the R developers (who were kind enough to 
both implement and document this).

> My question is thus not really about which algorithm to use but rather
> whether there is a 'on error ... do...' catcher in R? I have had a look at
> try() but I am not quite sure if that is what I am looking for. I
> essentially look for a command that, in plain English, allows me to specify
> that if the integral goes to infinity, skip these parameters, and simply
> continue optimizing into another direction.

Given that the underlying algorithms are in C not R, this is what 
returning NA asks them to do.

> Is this possible? How do you guys handle situtations like this?

In the documented way, returning NA.


-- 
Brian D. Ripley,                  ripley at stats.ox.ac.uk
Professor of Applied Statistics,  http://www.stats.ox.ac.uk/~ripley/
University of Oxford,             Tel:  +44 1865 272861 (self)
1 South Parks Road,                     +44 1865 272866 (PA)
Oxford OX1 3TG, UK                Fax:  +44 1865 272595