A Toolkit for Optimizing Functions in Economics

William Goffe

Computational Economics from University Library of Munich, Germany

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.

Keywords: optimization; estimation; simulation; algorithm (search for similar items in EconPapers)
JEL-codes: C8 (search for similar items in EconPapers)
Pages: 14 pages
Date: 1997-07-16
Note: Type of Document - ; prepared on Linux/LaTeX; to print on PostScript; pages: 14; figures: included. none
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Working Paper: A Toolkit for Optimizing Functions in Economics
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Persistent link: https://EconPapers.repec.org/RePEc:wpa:wuwpco:9707001

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