This may be one of the many mysteries of the internals of L-BFGS-B,
which I have found fails from time to time. That is one of the reasons
for Rvmmin and Rcgmin (and hopefully sooner rather than later Rtn - a
truncated Newton method, currently working for unconstrained problems,
but still glitchy for bounds constraints). These are all-R codes so that
users and developers can get inside to control special situations.
If you have a test problem -- the infamous reproducible example -- there
are several of us who can likely help to sort out your troubles.
JN
On 13-09-02 06:00 AM, r-help-requ...@r-project.org wrote:
Message: 10
Date: Sun, 1 Sep 2013 17:09:35 +0200
From: Simon Zehnder<szehn...@uni-bonn.de>
To: R-help help<r-help@r-project.org>
Subject: [R] How to catch errors regarding the hessian in 'optim'
Message-ID:<eb37670e-8544-4c89-9172-245eb6cc5...@uni-bonn.de>
Content-Type: text/plain; charset=us-ascii
Dear R-Users and R-Developers,
in a comparison between two different estimation approaches I would like to
catch errors from optim regarding the hessian matrix.
I use optim with method = "L-BFGS-B" thereby relying on numerical
differentiation for the hessian matrix. I do know, that the estimation approach that uses
numerical optimization has sometimes problems with singular hessian matrices and I
consider it as one of its disadvantages of this method. To show the frequency of such
problems in my simulation study I have to set 'hessian = TRUE' and to collect the errors
from optim regarding the hessian.
Now I am a little stucked how I could catch specifically errors from the
hessian matrix in 'optim'. I do know that such errors are thrown most certainly
from function 'La_solve' in Lapack.c. Does anyone has an idea how I could solve
this task (clearly with tryCatch but how to choose only errors for the hessian)?
Best
Simon
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