[R] how can i get hessian matrix at "constrOptim"

[Ravi Varadhan]

Hi,

Hessian for a consttarined problem can be tricky, when the converged
parameter vector lies on the boundary, i.e. when one or more of the
constraints are active at convergence.  This can be handled by
reparametrization when the constraints are linear, but is difficult
otherwise.  

Ravi.

-----Original Message-----
From: r-help-bounces at r-project.org [mailto:r-help-bounces at r-project.org] On
Behalf Of Roland Rau
Sent: Tuesday, August 19, 2008 11:51 AM
To: Kanak Choudhury
Cc: r-help at r-project.org
Subject: Re: [R] how can i get hessian matrix at "constrOptim"

Hi,

Kanak Choudhury wrote:
> Hi,
> i have made a code for optimizing a function using "constrOptim". i 
> need hessain matrix of the parameters. how could i get hessain matrix 
> when i will use "constrOptim"? May i get get any help from anyone?
> 

the function fdHess from package 'nlme' can help you?

library(nlme)
?fdHess

I hope this helps,
Roland

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