This directory contains a set of R functions and matlab m files that do unconstrained
optimization and nonlinear equations-solving. It also contains some
auxiliary files. The R code was developed by translating the m files, but is
currently in more active use.
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- 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.
- called by csminwel.
- 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.
- The BFGS update for the inverse hessian.
- 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. This
program was updated 3/10/99