[R] nlm's Hessian update method
amy.willis at anu.edu.au
Thu Sep 22 04:15:41 CEST 2011
I'm trying to understand how R's nlm function updates its estimate of the Hessian matrix. The Dennis/Schnabel book cited in the references presents a number of different ways to do this, and seems to conclude that the positive-definite secant method (BFGS) works best in practice (p201). However, when I run my code through the optim function with the method as "BFGS", slightly different estimates are produced to that of nlm:
-0.4016808 0.6057144 0.3744790 -7.1819734 3.0230386 0.4446641
 -0.4016825 0.6057159 0.3744765 -7.1819737 3.0230386 0.4446623
Can anyone tell me if nlm employs the BFGS method for updating its estimates? Or does it use another algorithm?
More information about the R-help