Index of /~sims/pub/optimize

      Name                    Last modified       Size  Description


[DIR] Parent Directory        13-Feb-1999 21:29      -  
[   ] bfgsi.m                 13-Aug-1996 17:24     1k  
[   ] csminit.m               03-Feb-1999 20:17     5k  
[   ] csminwel.m              03-Feb-1999 20:17     9k  
[   ] csolve.m                13-May-1997 18:40     3k  
[   ] numgrad.m               03-Feb-1999 20:18     3k  

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.  This
program was updated 5/13/97