[R] Optim and hessian

[John C Nash]

The technical issue of this query has been answered by Ravi Varadhan (essentially
use numDeriv on the final parameter set to get the hessian). 

This msg is about getting feedback to those of us trying to improve optimization
capabilities.

Ravi and I, among others, are working on a substitute package for optim() 
and related issues. This will still allow access to existing codes -- some
of which I wrote in the mid 1970s for strange antique computers with 4K words 
of storage for program AND data. Some of these codes need updating, but even 
more, our knowledge base for advising people what to use needs better evidence of
how well things perform in modern R settings, including new platforms as
they come along. Tools to build such a base of information are part of an
ancillary project. 

For those interested, please get in touch off-list. We have a wiki where we
are sharing ideas. It's currently "users only", as it is a work in progress
that we would not want quoted, but I'll be happy to provide access on 
request.

John Nash



Original Msg.

Hi, my name is Marcel R. Lopes. My problem is,

I made a code to calculate the estimates of a Cox model with random effects.
Used to optimize the R command for this. The estimates were calculated
correctly, but the Hessian matrix does not have good values. The same thing
was done in SAS and gave good results for the Hessian Matrix. Where is the
problem in R? As the Hessian is calculated?. How could I solve this
problem?. I would be grateful if you could help me ....