This optimization should not take you 1-2 mins. My guess is that your coding of the likelihood is inefficient, perhaps containing for loops. Would you mind sharing your code with us?
As far as incorporating inequality constraints, there are at least 4 approaches: 1. You could use `constrOptim' to incorporate inequality constraints. 2. I have written a function `constrOptim.nl' that is better than `constrOptim', and it can be used here. 3. The projection method in spg() function in the "BB" package can be used. 4. You can create a penalized objective function, where the inequalities c < a and c < b can be penalized. Then you can use optim's L-BFGS-B or spg() or nlminb(). Ravi. ____________________________________________________________________ Ravi Varadhan, Ph.D. Assistant Professor, Division of Geriatric Medicine and Gerontology School of Medicine Johns Hopkins University Ph. (410) 502-2619 email: rvarad...@jhmi.edu ----- Original Message ----- From: R_help Help <rhelp...@gmail.com> Date: Thursday, October 29, 2009 9:21 pm Subject: Re: [R] Fast optimizer To: Ravi Varadhan <rvarad...@jhmi.edu> Cc: r-help@r-project.org, r-sig-fina...@stat.math.ethz.ch > Ok. I have the following likelihood function. > > L <- p*dpois(x,a)*dpois(y,b+c)+(1-p)*dpois(x,a+c)*dpois(y,b) > > where I have 100 points of (x,y) and parameters c(a,b,c,p) to > estimate. Constraints are: > > 0 < p < 1 > a,b,c > 0 > c < a > c < b > > I construct a loglikelihood function out of this. First ignoring the > last two constraints, it takes optim with box constraint about 1-2 min > to estimate this. I have to estimate the MLE on about 200 rolling > windows. This will take very long. Is there any faster implementation? > > Secondly, I cannot incorporate the last two contraints using optim function. > > Thank you, > > rc > > > > On Thu, Oct 29, 2009 at 9:02 PM, Ravi Varadhan <rvarad...@jhmi.edu> wrote: > > > > You have hardly given us any information for us to be able to help > you. Give us more information on your problem, and, if possible, a > minimal, self-contained example of what you are trying to do. > > > > Ravi. > > ____________________________________________________________________ > > > > Ravi Varadhan, Ph.D. > > Assistant Professor, > > Division of Geriatric Medicine and Gerontology > > School of Medicine > > Johns Hopkins University > > > > Ph. (410) 502-2619 > > email: rvarad...@jhmi.edu > > > > > > ----- Original Message ----- > > From: R_help Help <rhelp...@gmail.com> > > Date: Thursday, October 29, 2009 8:24 pm > > Subject: [R] Fast optimizer > > To: r-help@r-project.org, r-sig-fina...@stat.math.ethz.ch > > > > > >> Hi, > >> > >> I'm using optim with box constraints to MLE on about 100 data points. > >> It goes quite slow even on 4GB machine. I'm wondering if R has any > >> faster implementation? Also, if I'd like to impose > >> equality/nonequality constraints on parameters, which package I should > >> use? Any help would be appreciated. Thank you. > >> > >> rc > >> > >> ______________________________________________ > >> R-help@r-project.org mailing list > >> > >> PLEASE do read the posting guide > >> and provide commented, minimal, self-contained, reproducible code. > > ______________________________________________ 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.
