Matlab Optimization Software

Christopher Sims ()

QM&RBC Codes from Quantitative Macroeconomics & Real Business Cycles

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

Language: Matlab
Date: 1999-03-10
References: Add references at CitEc
Citations:

Downloads: (external link)
https://dge.repec.org/codes/sims/optimize/ program code (application/x-matlab)
none

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:dge:qmrbcd:13

Access Statistics for this software item

More software in QM&RBC Codes from Quantitative Macroeconomics & Real Business Cycles
Bibliographic data for series maintained by Christian Zimmermann ().