Description Usage Arguments Details Value Author(s) See Also Examples
Combine variable parameters with with fixed parameters and pass to
fnFull
. Useful for optimizing over a subset of parameters
without writing a separate function. Values are combined by name if
available. Otherwise, xFull
is constructed by position (the
default).
1 |
x |
Variable parameters to be passed to |
fnFull |
Function whose first argument has length = length(xFull). |
xFixed |
Parameter values to be combined with |
xFull |
Prototype initial argument for |
... |
Optional arguments passed to |
This function first confirms that
length(x) + length(xFixed) == length(xFull)
.
Next,
If xFull
has names, match at least xFixed
by
name.
Else xFull = c(x, xFixes)
, the default.
Finally, call fnFull(xFull, ...)
.
value returned by fnFull
Spencer Graves
1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30 31 32 33 34 35 36 | ##
## Example with 'optim'
##
fn <- function(x) (x[2]-2*x[1])^2
# note: true minimum is 0 on line 2*x[1] == x[2]
fullEst <- optim(par=c(1,1), method="BFGS", fn=fn)
fullEst$par
# par = c(0.6, 1.2) at minimum (not convex)
# Fix the last component to 4
est4 <- optim(par=1, fn=fnSubset, method="BFGS", fnFull=fn, xFixed=4)
est4$par
# now there is a unique minimun x[1] = 2
# Fix the first component
fnSubset(x=1, fnFull=fn, xFixed=c(a=4), xFull=c(a=1, b=2))
# After substitution: xFull = c(a=4, b=1),
# so fn = (1 - 2*4)^2 = (-7)^2 = 49
est4. <- optim(par=1, fn=fnSubset, method="BFGS",
fnFull=fn, xFixed=c(a=4),
xFull=c(a=1, b=2))
est4.$par
# At optimum: xFull=c(a=4, b=8),
# so fn = (8 - 2*4)^2 = 0
##
## Example with 'maxLik'
##
fn2max <- function(x) -(x[2]-2*x[1])^2
# -> need to have a maximum
max4 <- maxLik(fnSubset, start=1, fnFull=fn2max, xFixed=4)
summary(max4)
# Similar result using fixed parameters in maxNR, called by maxLik
max4. <- maxLik(fn2max, start=c(1, 4), fixed=2)
summary(max4.)
|
Loading required package: miscTools
Please cite the 'maxLik' package as:
Henningsen, Arne and Toomet, Ott (2011). maxLik: A package for maximum likelihood estimation in R. Computational Statistics 26(3), 443-458. DOI 10.1007/s00180-010-0217-1.
If you have questions, suggestions, or comments regarding the 'maxLik' package, please use a forum or 'tracker' at maxLik's R-Forge site:
https://r-forge.r-project.org/projects/maxlik/
[1] 0.6 1.2
[1] 2
b
49
[1] 8
--------------------------------------------
Maximum Likelihood estimation
Newton-Raphson maximisation, 2 iterations
Return code 1: gradient close to zero
Log-Likelihood: -4.173074e-28
1 free parameters
Estimates:
Estimate Std. error t value Pr(> t)
[1,] 2.0000 0.3536 5.657 1.54e-08 ***
---
Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
--------------------------------------------
--------------------------------------------
Maximum Likelihood estimation
Newton-Raphson maximisation, 2 iterations
Return code 1: gradient close to zero
Log-Likelihood: -4.173074e-28
1 free parameters
Estimates:
Estimate Std. error t value Pr(> t)
[1,] 2.0000 0.3536 5.657 1.54e-08 ***
[2,] 4.0000 0.0000 NA NA
---
Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
--------------------------------------------
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