Klaus Langohr
2011-May-12 19:29 UTC
[R] Maximization of a loglikelihood function with double sums
Dear R experts, Attached you can find the expression of a loglikelihood function which I would like to maximize in R. So far, I have done maximization with the combined use of the mathematical programming language AMPL (www.ampl.com) and the solver SNOPT (http://www.sbsi-sol-optimize.com/manuals/SNOPT%20Manual.pdf). With these tools, maximization is carried out in a few seconds. I wonder if that could possible with R, too. Therefore, I would highly appreciate if any R user with experience in maximization could tell me if a function like that could be maximized using R and if s/he could point me to a package which might be useful for that. Just to give you some more details on the loglikelihood function attached: * Data vectors:u, zr, s * Indicator variables: epsilon, delta1, delta2 * Matrix with indicator variables: alpha * Unknown parameters: mu, beta, sigma * Unknown parameter vector: omega (contains probabilities). I'd be very grateful for any helpful information. Klaus. -- ---------------------------------------------------- Klaus Langohr Departament d'Estad?stica i Investigaci? Operativa Universitat Polit?cnica de Catalunya Edifici C5 (Campus Nord) C/ Jordi Girona, 1-3 E-08034 Barcelona Tel: (+34) 934 054 093 Fax: (+34) 934 015 855 ---------------------------------------------------- -------------- n?chster Teil -------------- Ein Dateianhang mit Bin?rdaten wurde abgetrennt... Dateiname : MaximizationProblem.pdf Dateityp : application/pdf Dateigr??e : 80168 bytes Beschreibung: nicht verf?gbar URL : <https://stat.ethz.ch/pipermail/r-help/attachments/20110512/6c096d3a/attachment.pdf>
Ravi Varadhan
2011-May-14 09:27 UTC
[R] Maximization of a loglikelihood function with double sums
It should not be very hard to find information on optimization. Have you tried any of the search facilities in R? ?optim # comes with `base' library(optimx) # you need to install this first from CRAN Ravi. ________________________________________ From: r-help-bounces at r-project.org [r-help-bounces at r-project.org] On Behalf Of Klaus Langohr [klaus.langohr at upc.edu] Sent: Thursday, May 12, 2011 3:29 PM To: r-help at r-project.org Subject: [R] Maximization of a loglikelihood function with double sums Dear R experts, Attached you can find the expression of a loglikelihood function which I would like to maximize in R. So far, I have done maximization with the combined use of the mathematical programming language AMPL (www.ampl.com) and the solver SNOPT (http://www.sbsi-sol-optimize.com/manuals/SNOPT%20Manual.pdf). With these tools, maximization is carried out in a few seconds. I wonder if that could possible with R, too. Therefore, I would highly appreciate if any R user with experience in maximization could tell me if a function like that could be maximized using R and if s/he could point me to a package which might be useful for that. Just to give you some more details on the loglikelihood function attached: * Data vectors:u, zr, s * Indicator variables: epsilon, delta1, delta2 * Matrix with indicator variables: alpha * Unknown parameters: mu, beta, sigma * Unknown parameter vector: omega (contains probabilities). I'd be very grateful for any helpful information. Klaus. -- ---------------------------------------------------- Klaus Langohr Departament d'Estad?stica i Investigaci? Operativa Universitat Polit?cnica de Catalunya Edifici C5 (Campus Nord) C/ Jordi Girona, 1-3 E-08034 Barcelona Tel: (+34) 934 054 093 Fax: (+34) 934 015 855