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Error when calculating Hessian #122

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guilhermebodin opened this issue Feb 4, 2021 · 0 comments
Closed

Error when calculating Hessian #122

guilhermebodin opened this issue Feb 4, 2021 · 0 comments

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@guilhermebodin
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function update_aux_estimation!(aux_est::AuxEstimation{T}, func::Optim.TwiceDifferentiable,
                                opt_result::Optim.OptimizationResults) where T
                                
    push!(aux_est.loglikelihood, -opt_result.minimum)
    push!(aux_est.psi, opt_result.minimizer)
    push!(aux_est.numerical_hessian, Optim.hessian!(func, opt_result.minimizer))
    push!(aux_est.opt_result, opt_result)
    return
end

should be

function update_aux_estimation!(aux_est::AuxEstimation{T}, func::Optim.TwiceDifferentiable,
                                opt_result::Optim.OptimizationResults) where T
    push!(aux_est.numerical_hessian, Optim.hessian!(func, opt_result.minimizer))
    push!(aux_est.opt_result, opt_result)
    push!(aux_est.loglikelihood, -opt_result.minimum)
    push!(aux_est.psi, opt_result.minimizer)
    return
end
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