Thomas, Thanks a lot. This solves my problem.
Wayne (Yanwei) Zhang Statistical Research >CNA -----Original Message----- From: Thomas Lumley [mailto:tlum...@u.washington.edu] Sent: Thursday, September 02, 2010 11:24 AM To: Zhang,Yanwei Cc: r-help@r-project.org Subject: Re: [R] Help on glm and optim On Thu, 2 Sep 2010, Zhang,Yanwei wrote: > Dear all, > > I'm trying to use the "optim" function to replicate the results from the > "glm" using an example from the help page of "glm", but I could not get the > "optim" function to work. Would you please point out where I did wrong? > Thanks a lot. > > The following is the code: > > # Step 1: fit the glm > clotting <- data.frame( > u = c(5,10,15,20,30,40,60,80,100), > lot1 = c(118,58,42,35,27,25,21,19,18), > lot2 = c(69,35,26,21,18,16,13,12,12)) > fit1 <- glm(lot1 ~ log(u), data=clotting, family=Gamma) > > # Step 2: use optim > # define loglikelihood function to be maximized over > # theta is a vector of three parameters: intercept, cofficient for log(u) and > dispersion parameter > loglik <- function(theta,data){ > E <- 1/(theta[1]+theta[2]*log(data$u)) > V <- theta[3]*E^2 > loglik <- > sum(dgamma(data$lot1,shape=1/theta[3],rate=1/(E*theta[3]),log=T)) > return(loglik) > } > > # use the glm result as initial values > theta <- c(as.vector(coef(fit1)),0.002446059) > fit2 <- optim(theta, loglik, clotting, gr = NULL, hessian = TRUE, > control = list(fnscale = -1)) > > # Then I got the following error message: > Error in optim(theta, loglik, clotting, gr = NULL, hessian = TRUE, control = > list(fnscale = -1)) : > non-finite finite-difference value [3] > If you use trace(loglik, tracer=quote(print(theta))) to trace the inputs to loglik() you will find that it is being called with negative values of theta[3] to get finite differences. One fix is to reparametrize and use the log scale rather than the scale as a parameter. -thomas Thomas Lumley Professor of Biostatistics University of Washington, Seattle NOTICE: This e-mail message, including any attachments and appended messages, is for the sole use of the intended recipients and may contain confidential and legally privileged information. If you are not the intended recipient, any review, dissemination, distribution, copying, storage or other use of all or any portion of this message is strictly prohibited. If you received this message in error, please immediately notify the sender by reply e-mail and delete this message in its entirety. ______________________________________________ R-help@r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code.
