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Matlab Optimization Software

Author

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  • Christopher Sims

    (Princeton University)

Abstract

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

Suggested Citation

  • Christopher Sims, 1999. "Matlab Optimization Software," QM&RBC Codes 13, Quantitative Macroeconomics & Real Business Cycles.
  • Handle: RePEc:dge:qmrbcd:13
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    File URL: http://dge.repec.org/codes/sims/optimize/
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