Dear all,

I'm trying to use the "optim" function to replicate the results  from the "glm" using an example from the help page of "glm", but I could not get the "optim" function to work. Would you please point out where I did wrong? Thanks a lot.

The following is the code:

# Step 1: fit the glm
clotting <- data.frame(
    u = c(5,10,15,20,30,40,60,80,100),
    lot1 = c(118,58,42,35,27,25,21,19,18),
    lot2 = c(69,35,26,21,18,16,13,12,12))
fit1 <- glm(lot1 ~ log(u), data=clotting, family=Gamma)

# Step 2: use optim
# define loglikelihood function to be maximized over
# theta is a vector of three parameters: intercept, cofficient for log(u) and dispersion parameter
loglik <- function(theta,data){
        E <- 1/(theta[1]+theta[2]*log(data$u))
        V <- theta[3]*E^2
        loglik <- sum(dgamma(data$lot1,shape=1/theta[3],rate=1/(E*theta[3]),log=T))
        return(loglik)
}

# use the glm result as initial values
theta <- c(as.vector(coef(fit1)),0.002446059)
fit2 <- optim(theta, loglik,  clotting, gr = NULL, hessian = TRUE,
        control = list(fnscale = -1))

# Then I got the following error message:
Error in optim(theta, loglik, clotting, gr = NULL, hessian = TRUE, control = list(fnscale = -1)) :
  non-finite finite-difference value [3]


Wayne (Yanwei) Zhang
Statistical Research
CNA
Phone: 312-822-6296
Email: Yanwei.Zhang@cna.com<mailto:Yanwei.Zhang@cna.com>




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