On 3/14/2013 10:55 AM, Ross Boylan wrote:
Optimization was originally via a custom optimizer using rho. The
custom optimizer did not incorporate bounds, and blew up when it got
rho outside of [-1, 1]. So we switched to atanh(rho) as the target of
optimization. However, for some simulated datasets that failed to
converge, as atanh(rho) marched slowly off toward infinity. We
switched to optim with bounds to cut that process off.
So perhaps we should go back to rho, but using optim or the other
bounded optimizers you suggested.
So the fact that atanh(rho) is unbounded is a feature from some
perspectives, but a bug from others.
I forgot to mention that we actually have analytic second (and first)
derivatives. Switching to optim from the packages internal optimizer
meant we're no longer using the analytic 2nd derivative.