nlminb doesn't converge and produce a warning
On Fri, Jan 21, 2011 at 3:51 AM, kamel gaanoun <kamel.gaanoun at gmail.com> wrote:
Hi Everybody, My problem is that nlminb doesn't converge, in minimising a logLikelihood function, with 31*6 parameters(2 weibull parameters+29 regressors repeated 6 times).
Hmm, the length of the parameter vector shown below is 189, which is neither 31*6 nor 2 + 29*6. I suppose it is possible to do nonlinear optimization with box constraints on such a large number of parameters but you should expect it to take a long time and perhaps a lot of memory. Even if the optimizer converges, it would be optimistic to expect that the parameter value returned is necessarily the global optimum. I would recommend trying to simplify the optimization problem. A method like this is just using the computer as a blunt instrument with which to bludgeon the problem to death (sometimes called the "SAS approach").
I use nlminb like this : res1<-nlminb(vect, V, lower=c(rep(0.01, 12), rep(0.01, 3), rep(-Inf, n-15)), upper=c(rep(Inf, 12), rep(0.99, 3), rep(Inf, n-15)), control = list(maxit=1000) ) and that's the result : Message d'avis : In nlminb(vect, V, lower = c(rep(0.01, 12), rep(0.01, 3), rep(-Inf, ?: ?unrecognized control element(s) named `maxit' ignored
res1
$par ?[1] ? 2.48843979 ? 4.75209125 ? 2.57199837 ?16.80712783 ? 3.15211075 16.86606178 ?58.61925499 ?37.85793462 ?48.78215699 ?[10] 151.64638501 ?43.60420299 ?15.14639541 ? 0.58754382 ? 0.76180935 0.66191763 ?-0.26802757 ?-0.96378197 ?-0.68369525 ?[19] ? 0.37813096 ? 0.89778593 -10.26471908 ?-0.87265813 ? 6.43973968 -1.74417166 ?12.00193419 ? 0.60638326 ?-1.66675589 ?[28] ? 1.29312079 ? 1.39846863 ?-0.48449361 ?20.14470193 ?-0.50729841 -2.15177967 ?-0.78155345 ? 0.41857810 ?-0.40863744 ?[37] -17.18489562 ?-1.69140562 ? 1.45236861 ?-0.23738183 ? 5.47688642 -0.71546576 ? 9.95015047 ?-2.16096138 ?-0.74503151 ?[46] ?-0.66258461 ? 5.38871217 ? 2.53147752 -12.58827379 ?-0.45669589 -0.37285088 ? 2.15116198 ?-2.50414066 ?-0.99752892 ?[55] ? 4.83972450 ?-1.16496925 ?-3.53429528 ? 0.56083677 ?-9.87490932 -1.75153657 ? 9.87912224 ?-0.75783517 ?-9.95423392 ?[64] ?-0.07530469 ?-0.73466191 ?-0.27397382 ?15.15891548 ?-0.02489436 12.91493065 ?-4.65335356 ? 0.03524561 ? 0.00000000 ?[73] ?-9.06720312 ?-0.25413758 ?-0.18578765 ? 0.53283198 ?-4.02688497 -0.50581412 ?-0.31544940 ? 0.57450848 ? 6.15206152 ?[82] ? 0.08178377 ? 0.82978606 ? 0.39337352 ?-3.65304712 ?-0.06833839 3.87790848 ?-1.08017043 ? 3.62779184 ?-0.14700541 ?[91] -13.95610827 ?-1.50385432 ? 8.05851743 ?-1.24250013 ?-0.01249817 0.38085483 ?-4.97064573 ?-0.98852401 ?-3.00305183 [100] ? 0.35053875 ?-4.26833889 ?-0.12463188 ?16.05828402 ? 0.41736764 -0.94678922 ?-0.75813452 ? 2.15378348 ? 0.39586048 [109] ? 1.41359441 ? 0.81603207 ?-4.43963958 ?-0.79438435 ? 0.49530882 0.11197484 ?-8.43196798 ? 1.00456535 -22.04423030 [118] ?-0.11532887 ? 2.58085765 ? 1.41912515 ?-0.78120889 ?-1.23850824 12.39079062 ? 0.23567444 ? 1.39557879 ?-2.22993802 [127] -12.58827379 ?-0.45669589 ?-0.37285088 ?-0.73563805 ? 3.40201735 0.58550247 ?-3.62769828 ? 0.21657740 ?-7.37785506 [136] ?-0.68218180 ? 6.41876225 ? 0.38708385 ?-0.33009429 ?-0.25230736 3.53672719 ? 1.53676202 ? 3.65074513 ? 0.42623602 [145] ?-7.26982010 ? 0.70597611 -23.15198788 ?-0.36822845 ?-2.29863267 0.70223129 -14.45665129 ?-0.54094864 ?-2.17858443 [154] ?-0.56501734 ? 2.50032796 ?-0.45677181 ?12.04113439 ?-1.42294094 -16.16874444 ?-0.49101846 ?-6.29724769 ?-1.38333722 [163] -14.16552579 ? 1.57502968 ? 5.04329383 ? 0.24857745 ?-1.69885428 -0.46757266 ? 4.41795651 ?-2.41006349 ? 4.61648610 [172] ? 0.42235314 ?-3.22153895 ?-0.15443857 ? 1.07661101 ?-0.63653449 -2.74034265 ? 0.20898466 ? 1.37927183 ? 0.26722477 [181] -15.09685067 ? 0.87160467 -24.79722150 ? 1.48810684 ? 1.70068893 -0.22538026 ? 7.63908028 ? 1.60431981 ?-7.52661064 $objective [1] 1514.691 $convergence [1] 1 $message [1] "iteration limit reached without convergence (9)" $iterations [1] 150 $evaluations function gradient ? ? 176 ? ?44935 I tried many times to take the res1$par as initial values and retry againe but still doesn't converge. Any help will save me Thanks -- Kamel Gaanoun (+33) (0)6.76.04.65.77 ? ? ? ?[[alternative HTML version deleted]]
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