[R] Error: Gradient function might be wrong - check it! OPTMX

[ProfJCNash]

There are tolerances in the checks, and sometimes scaling of the problem
leads to false positives on the checks.

Try control = list(starttest=FALSE, etc.) to suppress the test.

JN

On 15-08-13 01:20 PM, Olu Ola via R-help wrote:
> Hello,
> I am trying to estimate a non-linear GMM in R using Optimx. However, when I do the start test to compare my analytical gradient with the numerical gradient, I get the following error message
> 
> Error: Gradient function might be wrong - check it!
> 
> Below are the print out of my analytical and numerical gradient. They are close to an extent and I want to use my analytical gradient. The first column is the analytical gradient while the second column is the numerical gradient
> 
>                      numgrad
>  [1,]   -9862.118   -9862.103
>  [2,]  -20855.001  -20854.985
>  [3,]  -12277.764  -12277.767
>  [4,]    3332.864    3332.865
>  [5,]    3562.808    3562.804
>  [6,]  -14971.913  -14971.915
>  [7,]   27394.457   27394.451
>  [8,]  -15634.531  -15634.532
>  [9,]  -16893.399  -16893.402
> [10,]   -1330.469   -1330.468
> [11,]   16877.994   16877.991
> [12,]   -9406.643   -9406.643
> [13,]  -40451.881  -40451.881
> [14,]  -48052.941  -48052.944
> [15,]  -29997.114  -29997.116
> [16,]   34546.011   34546.002
> [17,]  -65540.191  -65540.200
> [18,]  -24400.970  -24400.972
> [19,]  -26655.760  -26655.760
> [20,]  -59128.576  -59128.576
> [21,]  -40026.926  -40026.931
> [22,]  -34780.662  -34780.655
> [23,] -119284.474 -119284.473
> [24,]   22336.013   22336.025
> [25,]  -40665.139  -40665.139
> [26,]  -21596.959  -21596.959
> [27,]  -33859.274  -33860.747
> [28,]  -30536.938  -30539.807
> [29,]  -95411.022  -95416.182
> [30,]  -33016.450  -33018.690
> [31,]  -90052.772  -90059.612
> [32,]    8008.684    8009.342
> [33,]  -45084.823  -45086.720
> [34,]  -34071.584  -34074.802
> [35,] -259960.860 -259990.135
> [36,]  -69986.472  -69990.537
> [37,]   24870.530   24874.012
> 
> The code for my optimization is as follows:
> 
> 
> nlgmm = optimx(par=b0, fn=obj,gr=gra, method ="BFGS", itnmax=10000, control=list(follow.on = TRUE,usenumDeriv=FALSE,kkttol=10,starttests=TRUE, save.failures=TRUE, trace=0))
> 
> Is there a way to turn off the gradient check? this is because if I do not run the start test, it will still eventually display the error message. Any help to cross this bridge will be greatly appreciated.
> 
> Thank you
> 
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