[R] optimx parameter scale warning

Will Hopper wjhopper510 at gmail.com
Thu Sep 3 17:14:16 CEST 2015

 Hi all,

I'm using optimx (version 2013.8.7) to perform parameter estimation with
the nelder-mead method, and received a warning that the parameters are on
different scales, which can hurt optimization performance on derivative
free methods. This warning is accurate as some parameters are small
(between 0 and 1) and others can be quite large.

So, I tried using the parscale option in the control list to put them on
more equal scaling. There are 8 parameters, so I supplied a vector of
length 8 to the parscale option, which if I understand correctly, would
scale the large parameters down by their starting values so everything will
start out near 1 Here is the call to optimx itself I used:

    fit <- optimx(par = c(ER=.6,LR=.035,TR
                  fn = RT_ErrorFcn,
                  method = "Nelder-Mead"
                  control = list(maxit=1000,
                                     parscale = c(1,1,1,1,50, 1,1,40)),
                  fcn = model$fn, # passed to RT_ErrorFcn
                  fix = model$fixed,  #RT_ErrorFcn
                  obs = data) # passed to RT_ErrorFcn

However, the warning about different parameter scales is still given. Is it
intended behavior for the warning to be given even when the parscale option
is used? Or am I misunderstanding the point of the parscale option, or
implementing it wrong?

Thanks for any info on this topic.

- Will

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