[ADMB Users] How to extract the 'real' Hessian from XXX.hes file
johnoel at hawaii.edu
Wed Feb 29 13:23:31 PST 2012
On Tue, Feb 21, 2012 at 5:32 PM, James Thorson <JimThor at uw.edu> wrote:
> Hi all,
> I've seen a question posted previously (e.g.
> but I've never seen an answer: How does one extract the hessian from the
> .hes file in ADMB.
> I'm attaching two simple examples.
> First simple.tpl and simple.dat are taken from the ADMB examples webpage.
> When run, the hessian can be extracted from the .hes in R using the
> following commands
> When inverted, the square-root of the diagonals of the inverted-Hessian
> are identical to the standard deviations in the STD file.
> However, the simple_bounded.tpl and simple_bounded.dat differ only in
> having bounds placed on the two parameters. When run, the hessian in the
> HES file has no obvious relation to the standard deviations in the STD
> file. I assume this is because of some transformation being done on
> bounded parameters internally to ADMB. I cannot identify the
> transformation used by simply exploring the effect of changing the bounds.
> It would be useful to extract the hessian from ADMB for two reasons:
> 1. Using a generalized inverse for a non-positive-definite Hessian as a
> sampling kernal for Metropolis MCMC a la Gill and King (2004:
> http://artsci.wustl.edu/~jgill/papers/gill_king.pdf) either in the
> REPORT_SECTION or externally
> 2. Using ADMB computations of the hessian when using ADMB within a larger
> Does anyone know how to extract the "real" hessian from the HES file?
> Thanks in advance,
> Users mailing list
> Users at admb-project.org
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