A NUMERICAL COMPARISON OF SELF SCALING VARIABLE METRIC ALGORITHMS

G. van der Hoek and M. W. Dijkshoorn

No 272178, Econometric Institute Archives from Erasmus University Rotterdam

Abstract: Recently developed quasi-Newton algorithms for unconstrained optimization focus on the solution of badly scaled problems. A uniform numerical comparison of these algorithms is performed to get insight in their relative behaviour and to verify emperically their ability to solve badly scaled problems. A suitable battery of testproblems is suggested. The design of the experiments and their results are preceded by a short description of the theoretical backgrounds as they were developed by Oren and Luenberger. Recent alternatives of Oren and Spedicato and of Shanno and Phua are mentioned The classical DFP- and BFGS-algorithms are considered as well.

Keywords: Agricultural and Food Policy; Research Methods/Statistical Methods (search for similar items in EconPapers)
Pages: 62
Date: 1979-06
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
https://ageconsearch.umn.edu/record/272178/files/erasmus114.pdf (application/pdf)
https://ageconsearch.umn.edu/record/272178/files/erasmus114.pdf?subformat=pdfa (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:ags:eureia:272178

DOI: 10.22004/ag.econ.272178

Access Statistics for this paper

More papers in Econometric Institute Archives from Erasmus University Rotterdam Contact information at EDIRC.
Bibliographic data for series maintained by AgEcon Search (aesearch@umn.edu).