There are tolerances in the checks, and sometimes scaling of the problem leads to false positives on the checks.
Try control = list(starttest=FALSE, etc.) to suppress the test. JN On 15-08-13 01:20 PM, Olu Ola via R-help wrote: > Hello, > I am trying to estimate a non-linear GMM in R using Optimx. However, when I > do the start test to compare my analytical gradient with the numerical > gradient, I get the following error message > > Error: Gradient function might be wrong - check it! > > Below are the print out of my analytical and numerical gradient. They are > close to an extent and I want to use my analytical gradient. The first column > is the analytical gradient while the second column is the numerical gradient > > numgrad > [1,] -9862.118 -9862.103 > [2,] -20855.001 -20854.985 > [3,] -12277.764 -12277.767 > [4,] 3332.864 3332.865 > [5,] 3562.808 3562.804 > [6,] -14971.913 -14971.915 > [7,] 27394.457 27394.451 > [8,] -15634.531 -15634.532 > [9,] -16893.399 -16893.402 > [10,] -1330.469 -1330.468 > [11,] 16877.994 16877.991 > [12,] -9406.643 -9406.643 > [13,] -40451.881 -40451.881 > [14,] -48052.941 -48052.944 > [15,] -29997.114 -29997.116 > [16,] 34546.011 34546.002 > [17,] -65540.191 -65540.200 > [18,] -24400.970 -24400.972 > [19,] -26655.760 -26655.760 > [20,] -59128.576 -59128.576 > [21,] -40026.926 -40026.931 > [22,] -34780.662 -34780.655 > [23,] -119284.474 -119284.473 > [24,] 22336.013 22336.025 > [25,] -40665.139 -40665.139 > [26,] -21596.959 -21596.959 > [27,] -33859.274 -33860.747 > [28,] -30536.938 -30539.807 > [29,] -95411.022 -95416.182 > [30,] -33016.450 -33018.690 > [31,] -90052.772 -90059.612 > [32,] 8008.684 8009.342 > [33,] -45084.823 -45086.720 > [34,] -34071.584 -34074.802 > [35,] -259960.860 -259990.135 > [36,] -69986.472 -69990.537 > [37,] 24870.530 24874.012 > > The code for my optimization is as follows: > > > nlgmm = optimx(par=b0, fn=obj,gr=gra, method ="BFGS", itnmax=10000, > control=list(follow.on = TRUE,usenumDeriv=FALSE,kkttol=10,starttests=TRUE, > save.failures=TRUE, trace=0)) > > Is there a way to turn off the gradient check? this is because if I do not > run the start test, it will still eventually display the error message. Any > help to cross this bridge will be greatly appreciated. > > Thank you > > ______________________________________________ > R-help@r-project.org mailing list -- To UNSUBSCRIBE and more, see > 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. > ______________________________________________ R-help@r-project.org mailing list -- To UNSUBSCRIBE and more, see 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.