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
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Citations: View citations in EconPapers (1)

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

DOI: 10.22004/ag.econ.272178

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