Optim(...parscale...)
Werner Bier <aliscla at yahoo.com> writes:
Hi there, The optim(par, fn, ...parscale...) function in R requires 'parscale' which is defined as: "A vector of scaling values for the parameters. Optimisation is performed on 'par/parscale' and these should be comparable in the sense that a unit change in any element (??) produces a unit change in the scaled value". I am just not understanding the "comparable...produces". Should we compare "fn(par/parscale+1)- fn(par/parscale)" with "fn(parscale+1) - fn(parscale)"? With this respect, we might refer to the choice of parscale=20 in the "wild function" given in the optim R documentation if you wish. Many thanks in advance for your consideration.
You need to take a more pragmatic view. All that the help page is trying to say is that you have a problem if realistic values for one parameter are on the order of 0.0001-0.0010 while another parameter varies in the thousands. This tends to cause convergence issues, and parscale is there to bring the variables closer to a common scale. In my experience, getting the scales right within a factor of 100 or so is usually sufficient.
O__ ---- Peter Dalgaard Blegdamsvej 3 c/ /'_ --- Dept. of Biostatistics 2200 Cph. N (*) \(*) -- University of Copenhagen Denmark Ph: (+45) 35327918 ~~~~~~~~~~ - (p.dalgaard at biostat.ku.dk) FAX: (+45) 35327907