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A Toolkit for Optimizing Functions in Economics

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  • William L. Goffe

    (Univ. of Southern Mississippi)

Abstract

Optimization algorithms must be among the most common numerical methods used by economists. Yet, there is surprisingly little guidance on choosing the appropriate one. This problem is most notable with regard to conventional versus global optimizers. Typically, a global optimizer is used when a conventional one fails after substantial ``fiddling'' with a conventional optimizer. This paper introduces three different, easy-to-use, tools (cross-sections, radius plots, and a measure of the non-quadratic behavior of a function) that are designed to indicate when a global optimizer is needed. With their use, researchers should spend less time fiddling and more time generating results.

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Bibliographic Info

Paper provided by EconWPA in its series Computational Economics with number 9707001.

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Length: 14 pages
Date of creation: 16 Jul 1997
Date of revision:
Handle: RePEc:wpa:wuwpco:9707001

Note: Type of Document - ; prepared on Linux/LaTeX; to print on PostScript; pages: 14; figures: included. none
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Web page: http://128.118.178.162

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Keywords: optimization; estimation; simulation; algorithm;

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  1. Veall, Michael R, 1990. "Testing for a Global Maximum in an Econometric Context," Econometrica, Econometric Society, Econometric Society, vol. 58(6), pages 1459-65, November.
  2. Hoffman, Dennis L. & Schmidt, Peter, 1981. "Testing the restrictions implied by the rational expectations hypothesis," Journal of Econometrics, Elsevier, vol. 15(2), pages 265-287, February.
  3. Dorsey, Robert E & Mayer, Walter J, 1995. "Genetic Algorithms for Estimation Problems with Multiple Optima, Nondifferentiability, and Other Irregular Features," Journal of Business & Economic Statistics, American Statistical Association, American Statistical Association, vol. 13(1), pages 53-66, January.
  4. Goffe William L., 1996. "SIMANN: A Global Optimization Algorithm using Simulated Annealing," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 1(3), pages 1-9, October.
  5. Goffe, William L. & Ferrier, Gary D. & Rogers, John, 1994. "Global optimization of statistical functions with simulated annealing," Journal of Econometrics, Elsevier, vol. 60(1-2), pages 65-99.
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