[R] issue with L-BFGS-B in optim (optim just hangs)

[Tiago Marques]

Dear R-Help List,

I am using optim, with method=L-BFGS-B, to maximize a likelihood inside 
a large simulation exercise. This runs fine for most simulated data 
sets, but for some reason, about 1 out of 100 times, optim will just hang.
Using a dumb approach to the problem (i.e. printing the parameter values 
each time the function being maximized is evaluated), I tracked down 
when this happens, and although I do not understand optim's behavior or 
what triggers it, it seems to happen specifically when one of the 
parameter boundaries is reached - and then the function just stops being 
evaluated.

But there is nothing special with the parameter boundary, i.e., if  I 
decrease or increase the boundary using say lower and upper arguments in 
optim, the function seems to hang at the new values. So it does not seem 
to be a specific value that triggers the behavior, but the fact that the 
value is the boundary defined in the function call.

As anyone seen this behavior before? Is it me missing something or is 
this some bug in "method=L-BFGS-B"? Any suggestions on how to deal with it?

Many thanks for any useful feedback,

Tiago

-- 
____________________________________________________________________________________________________ 

Tiago André Marques
Research Unit for Wildlife Population Assessment
Centre for Research into Ecological and Environmental Modelling
University of St Andrews
The Observatory
Buchanan Gardens
St Andrews
Fife KY16 9LZ
Scotland

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http://www.creem.st-and.ac.uk/tiago/

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