[R] nlminb doesn't converge and produce a warning

[Prof. John C Nash]

Kamel,

You have already had several comments suggesting some ideas for improvement, namely,

1) correct name for iteration limit (Karl Ove Hufthammer)
2) concern about number of parameters and also possibilities of multiple minima (Doug Bates)
3) use of optimx to allow several optimizers to be tried (Ravi Varadhan).

Here is another. Within optimx() we call can call Rcgmin, which possibly might help with
box-constrained minimization of a function of a lot of parameters like yours. There is a
"but", and it is that analytic gradients are almost mandatory. Moreover, our experience
base is mainly on unconstrained functions of many parameters. However, if you can debug
the function/gradient so that the number of parameters is correct and there is a known
correct value for f(x) for a given x, I'll be willing to give the problem a try. Send it
to me off-list, preferably as a zip file of R code and data (or alternatively a tarball).
We need to gain more experience with such functions and methods, as well as learn how to
formulate the problems for a good chance of success.

Best,

JN