Hello Chris,

I am trying to fit a 4 state multi-state model using hidden markov routine in the msm package.

1. initial parameters:



twoway4.q <- rbind(c(0, 0.25, 0, 0.25), c(0.166,
0, 0.166, 0.166), c(0, 0.25, 0, 0.25), c(0,
0, 0, 0))



ematrix <- rbind(
c(0, 0.01, 0, 0),
c(0.01, 0, 0.01,0),
c(0, 0.1, 0, 0),
c(0, 0, 0, 0))

2. the model:



msm_covariates_sexandage <- msm(state ~ duration, subject = SerialNo,
data = Data, qmatrix = twoway4.q, ematrix = ematrix,death = 4, obstrue = firstobs, covariates = ~ sex + age, method = "BFGS", control = list(reltol = 1e-10, fnscale = 50000, trace=1,REPORT=1))

msm stops after only 100 iterations and fails to compute the Hessian (See the output below).  Why is it stopping at 100 only iterations yet i have specified reltol = 1e-10?

One additional information is that when i exclude age, the model converges without any problem. I have tried using age groups instead of actual age but no convergence can be achieved.
I have also tried subsetting the data in various biologically meaningful groups but there would be no convergence.





3. the R output:

> msm_covariates_sex <- msm(state ~ duration, subject = SerialNo,
+ data = Data, qmatrix = twoway4.q, ematrix = ematrix,death = 4, obstrue = firstobs, covariates = ~ sex + age, method = "BFGS", control = list(reltol = 1e-10, fnscale = 50000, trace=1,REPORT=1))
initial  value 0.567920
iter   2 value 0.547379
iter   3 value 0.463524
iter   4 value 0.439987
iter   5 value 0.426417
iter   6 value 0.420621
iter   7 value 0.417181
iter   8 value 0.414153
iter   9 value 0.410340
iter  10 value 0.406045
iter  11 value 0.403618
iter  12 value 0.403025
iter  13 value 0.402781
iter  14 value 0.402672
iter  15 value 0.402653
iter  16 value 0.402630
iter  17 value 0.402560
iter  18 value 0.402429
iter  19 value 0.402221
iter  20 value 0.402051
iter  21 value 0.401978
iter  22 value 0.401944
iter  23 value 0.401903
iter  24 value 0.401811
iter  25 value 0.401622
iter  26 value 0.401311
iter  27 value 0.400978
iter  28 value 0.400814
iter  29 value 0.400788
iter  30 value 0.400780
iter  31 value 0.400759
iter  32 value 0.400714
iter  33 value 0.400602
iter  34 value 0.400372
iter  35 value 0.400056
iter  36 value 0.399865
iter  37 value 0.399761
iter  38 value 0.399743
iter  39 value 0.399706
iter  40 value 0.399636
iter  41 value 0.399464
iter  42 value 0.399158
iter  43 value 0.398792
iter  44 value 0.398584
iter  45 value 0.398524
iter  46 value 0.398516
iter  47 value 0.398490
iter  48 value 0.398478
iter  49 value 0.398443
iter  50 value 0.398400
iter  51 value 0.398308
iter  52 value 0.398223
iter  53 value 0.398222
iter  54 value 0.398192
iter  55 value 0.398190
iter  56 value 0.398164
iter  57 value 0.398163
iter  58 value 0.398162
iter  59 value 0.398159
iter  60 value 0.398151
iter  61 value 0.398136
iter  62 value 0.398115
iter  63 value 0.398099
iter  64 value 0.398093
iter  65 value 0.398092
iter  66 value 0.398091
iter  67 value 0.398089
iter  68 value 0.398082
iter  69 value 0.398066
iter  70 value 0.398033
iter  71 value 0.397984
iter  72 value 0.397950
iter  73 value 0.397936
iter  74 value 0.397934
iter  75 value 0.397933
iter  76 value 0.397927
iter  77 value 0.397919
iter  78 value 0.397906
iter  79 value 0.397897
iter  80 value 0.397894
iter  81 value 0.397894
iter  82 value 0.397893
iter  83 value 0.397891
iter  84 value 0.397887
iter  85 value 0.397877
iter  86 value 0.397855
iter  87 value 0.397818
iter  88 value 0.397772
iter  89 value 0.397731
iter  90 value 0.397715
iter  91 value 0.397710
iter  92 value 0.397706
iter  93 value 0.397701
iter  94 value 0.397697
iter  95 value 0.397689
iter  96 value 0.397668
iter  97 value 0.397645
iter  98 value 0.397628
iter  99 value 0.397611
iter 100 value 0.397597
final  value 0.397597
stopped after 100 iterations
Warning message:
In msm(state ~ duration_in_years, subject = SerialNo, data = type1Data,  :
  Could not calculate asymptotic standard errors - Hessian is not positive definite. Optimisation has probably not converged to the maximum likelihood
>

The University of Dundee is a registered Scottish Charity, No: SC015096

	[[alternative HTML version deleted]]

