A New Algorithm for Continuous Optimization

Desai Tejas A

No WP2006-08-04, IIMA Working Papers from Indian Institute of Management Ahmedabad, Research and Publication Department

Abstract: We present a new algorithm for continuous, nonlinear or linear, and constrained or unconstrained optimization. After proving its convergence, we apply it to unconstrained and constrained maximum likelihood estimation, and compare its performance to that of the Newton-Raphson algorithm.

Date: 2006-08-04
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