Miximum Likelihood - using Optim package - julia

Question

Dear users of the language julia. I have a problem when using the optimize function of the Optim package. What is the error of the code below?
using Optim
using Distributions
rng = MersenneTwister(1234);
d = Weibull(1,1)
x = rand(d,1000)
function pdf_weibull(x, lambda, k)
k/lambda * (x/lambda).^(k-1) * exp((-x/lambda)^k)
end
function obj(x::Vector, lambda, k)
soma = 0
for i in x
soma = soma + log(pdf_weibull(i,lambda,k))
end
-soma
end
obj(x, pars) = obj(x, pars...)
optimize(vars -> obj(x, vars...), [1.0,1.0])
Output
julia> optimize(vars -> obj(x, vars...), [1.0,1.0])
ERROR: DomainError:
Exponentiation yielding a complex result requires a complex argument.
Replace x^y with (x+0im)^y, Complex(x)^y, or similar.
Stacktrace:
[1] nan_dom_err at ./math.jl:300 [inlined]
[2] ^ at ./math.jl:699 [inlined]
[3] (::##2#4)(::Float64, ::Float64, ::Float64) at ./<missing>:0
[4] pdf_weibull(::Float64, ::Float64, ::Float64) at ./REPL[6]:2
[5] obj(::Array{Float64,1}, ::Float64, ::Float64) at ./REPL[7]:4
[6] (::##5#6)(::Array{Float64,1}) at ./REPL[11]:1
[7] value(::NLSolversBase.NonDifferentiable{Float64,Array{Float64,1},Val{false}}, ::Array{Float64,1}) at /home/pedro/.julia/v0.6/NLSolversBase/src/interface.jl:19
[8] initial_state(::Optim.NelderMead{Optim.AffineSimplexer,Optim.AdaptiveParameters}, ::Optim.Options{Float64,Void}, ::NLSolversBase.NonDifferentiable{Float64,Array{Float64,1},Val{false}}, ::Array{Float64,1}) at /home/pedro/.julia/v0.6/Optim/src/multivariate/solvers/zeroth_order/nelder_mead.jl:139
[9] optimize(::NLSolversBase.NonDifferentiable{Float64,Array{Float64,1},Val{false}}, ::Array{Float64,1}, ::Optim.NelderMead{Optim.AffineSimplexer,Optim.AdaptiveParameters}, ::Optim.Options{Float64,Void}) at /home/pedro/.julia/v0.6/Optim/src/multivariate/optimize/optimize.jl:25
[10] #optimize#151(::Array{Any,1}, ::Function, ::Tuple{##5#6}, ::Array{Float64,1}) at /home/pedro/.julia/v0.6/Optim/src/multivariate/optimize/interface.jl:62
[11] #optimize#148(::Array{Any,1}, ::Function, ::Function, ::Array{Float64,1}) at /home/pedro/.julia/v0.6/Optim/src/multivariate/optimize/interface.jl:52
[12] optimize(::Function, ::Array{Float64,1}) at /home/pedro/.julia/v0.6/Optim/src/multivariate/optimize/interface.jl:52
[13] macro expansion at ./REPL.jl:97 [inlined]
[14] (::Base.REPL.##1#2{Base.REPL.REPLBackend})() at ./event.jl:73
It is a simple problem to obtain the maximum likelihood estimates of the parameters that index the weibull distribution.
Best regards.

Answer 1

The reason of your problem is that your definition of pdf_weibull is incorrect. Here is a corrected definition:
function pdf_weibull(x, lambda, k)
k/lambda * (x/lambda)^(k-1) * exp(-(x/lambda)^k)
end
Note that I have moved - sign in exp part of the expression. If you change this all will work as expected.
Now - why does Julia complain with DomainError. The reason is that because of the error in your code you try to calculate the value of something like (-1.0)^0.5. In Julia ^ is implemented in type stable way. This means, in particular, that when it is passed Float64 as both arguments it guarantees to return Float64 or throw an error. Clearly (-1.0)^0.5 cannot be computed in real domain - that is why an error is thrown. If you passed (-1+0im)^0.5 then there would be no error as we are passing a complex number to ^ so the result can also be complex number in a type stable way.