On 11/08/11 11:36, michael wrote:
Hi,
Is there available package on the optimization function using
Newton-Raphson method (iterative quadratic approximation)? I have been using
the 'optim' function in R and found it really unstable (it depends heavily
on the initial values and functional forms). If I have to code it by myself,
can I get some advice on how to start (any good reference or sample code)? I
really appreciate any help.
I find it very strange that you say that optim() is ``unstable''. I have
never found it so. In problems that I have worked on involving hidden
Markov models (maximizing the likelihood thereof) I have found Newton's
method to break down frequently whereas optim() never failed to yield
a sensible result.
I don't understand why you refer to the Newton-Raphson method (more
properly called just Newton's method) as ``iterative *quadratic*
approximation''.
Newton's method uses just the first order Taylor series approximation to
the function whose zeros are sought.
All that being said, I have written a function which effects Newton's
method.
Email me off-list if you would like me to provide this function.
cheers,
Rolf Turner
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