optim() and solving a diagonal matrix (fitting argument error) in R

1
votes

I'm trying to find the solution in the following problem:

Arbitrary values for reproducability:

AZ2k <- seq(1:14) 
noAZ2k <- matrix(seq(1:25), 14, 50)
par <- rep(0.02 , 50)


vw <- function(w)
{

    t(AZ2k - noAZ2k %*% par)%*%w%*%(AZ2k - noAZ2k %*% par ) 

}


vweights <- optim(diag(1,14), vw, gr = NULL,
  method = c("L-BFGS-B"),
  lower = 0, upper = 10000,control = list( factr = 1e4, maxit = 1000, pgtol = .01 ), 
  hessian = FALSE)

When I type in 

t(AZ2k - noAZ2k %*% par)%*%diag(1,14)%*%(AZ2k - noAZ2k %*% par )

I get a result, however when I try to run the optimization it says that the values aren't fitting which is surprising to me.

I'm probably missing something totally obvious, but I just can't find where I went wrong, unless optim is just the wrong function to use, but I can't figure out the appropriate alternative.

1
roptimizationmatrixdiagonal

1 Answers

0
votes

Your w parameter is converted to a vector , so you need to coerce it to a matrix with the right dimensions:

vw <- function(w){
    w <- matrix(w,nrow=14,ncol=14,byrow=T)
    t(AZ2k - noAZ2k %*% par)%*%w%*%(AZ2k - noAZ2k %*% par ) 
}