Matlab programs that solve nonlinear equations and minimize using quasi-Newton with BFGS update. The programs are somewhat more robust, apparently, than the stock Matlab programs that do about the same thing. The minimizer can negotiate discontinuous "cliffs" without getting stuck. This directory contains a set of matlab m files that do unconstrained optimization and nonlinear equations-solving. It also contains some auxiliary m files. csminwel: minimization. Uses a quasi-Newton method with BFGS update of the estimated inverse hessian. It is robust against certain pathologies common on likelihood functions. It attempts to be robust against "cliffs", i.e. hyperplane discontinuities, though it is not really clear whether what it does in such cases succeeds reliably. csminit: called by csminwel. numgrad: crude numerical derivative. Called by csminwel if no analytic gradient supplied. Beware of this or any other numerical derivative on large or ill-conditioned problems. bfgsi: The BFGS update for the inverse hessian. csolve: nonlinear equation solver. More robust than many. Tries random search directions if things look bad and will not get stuck at a flat spot in the sum of deviations objective function that is not a solution
Download Info
To download:
If you experience problems downloading a file, check if you have the
proper application to
view it first. Information about this may be contained
in the File-Format links below. In case of further problems read
the IDEAS help
file. Note that these files are not on the IDEAS
site. Please be patient as the files may be large.
Publisher Info
Software component provided by Quantitative Macroeconomics & Real Business Cycles in its series QM&RBC Codes with number
13.