Maximization of a loglikelihood function with double sums

classic Classic list List threaded Threaded
2 messages Options
Reply | Threaded
Open this post in threaded view
|

Maximization of a loglikelihood function with double sums

klaus.langohr
Dear R experts,
Attached you can find the expression of a loglikelihood function which I
would like to maximize in R.
So far, I have done maximization with the combined use of the
mathematical programming language AMPL (www.ampl.com) and the solver
SNOPT (http://www.sbsi-sol-optimize.com/manuals/SNOPT%20Manual.pdf).
With these tools, maximization is carried out in a few seconds. I wonder
if that could possible with R, too. Therefore, I would highly appreciate
if any R user with experience in maximization could tell me if a
function like that could be maximized using R and if s/he could point me
to a package which might be useful for that.
Just to give you some more details on the loglikelihood function attached:
* Data vectors:u, zr, s
* Indicator variables: epsilon, delta1, delta2
* Matrix with indicator variables: alpha
* Unknown parameters: mu, beta, sigma
* Unknown parameter vector: omega (contains probabilities).

I'd be very grateful for any helpful information.

Klaus.

--
----------------------------------------------------
 Klaus Langohr
 Departament d'Estadística i Investigació Operativa
 Universitat Politècnica de Catalunya
 Edifici C5 (Campus Nord)
 C/ Jordi Girona, 1-3
 E-08034 Barcelona
 Tel: (+34) 934 054 093
 Fax: (+34) 934 015 855
----------------------------------------------------



______________________________________________
[hidden email] 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.

MaximizationProblem.pdf (107K) Download Attachment
Reply | Threaded
Open this post in threaded view
|

Re: Maximization of a loglikelihood function with double sums

Ravi Varadhan
It should not be very hard to find information on optimization.  Have you tried any of the search facilities in R?

?optim # comes with `base'
library(optimx)  # you need to install this first from CRAN

Ravi.
________________________________________
From: [hidden email] [[hidden email]] On Behalf Of Klaus Langohr [[hidden email]]
Sent: Thursday, May 12, 2011 3:29 PM
To: [hidden email]
Subject: [R] Maximization of a loglikelihood function with double sums

Dear R experts,
Attached you can find the expression of a loglikelihood function which I
would like to maximize in R.
So far, I have done maximization with the combined use of the
mathematical programming language AMPL (www.ampl.com) and the solver
SNOPT (http://www.sbsi-sol-optimize.com/manuals/SNOPT%20Manual.pdf).
With these tools, maximization is carried out in a few seconds. I wonder
if that could possible with R, too. Therefore, I would highly appreciate
if any R user with experience in maximization could tell me if a
function like that could be maximized using R and if s/he could point me
to a package which might be useful for that.
Just to give you some more details on the loglikelihood function attached:
* Data vectors:u, zr, s
* Indicator variables: epsilon, delta1, delta2
* Matrix with indicator variables: alpha
* Unknown parameters: mu, beta, sigma
* Unknown parameter vector: omega (contains probabilities).

I'd be very grateful for any helpful information.

Klaus.

--
----------------------------------------------------
 Klaus Langohr
 Departament d'Estadística i Investigació Operativa
 Universitat Politècnica de Catalunya
 Edifici C5 (Campus Nord)
 C/ Jordi Girona, 1-3
 E-08034 Barcelona
 Tel: (+34) 934 054 093
 Fax: (+34) 934 015 855

______________________________________________
[hidden email] 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.