FindMinimum
- To: mathgroup at smc.vnet.net
- Subject: [mg22644] FindMinimum
- From: "Johannes Ludsteck" <ludsteck at zew.de>
- Date: Thu, 16 Mar 2000 09:11:02 -0500 (EST)
- Organization: Zentr. f. Europ. Wirtschaftsforsch
- Sender: owner-wri-mathgroup at wolfram.com
Dear Mathgroup members I have some problems with the sparse documentation of the FindMinimum Procedures. 1) To the best of my knowledge the Newton and QuasiNewton methods use the gradient and the hessian of the minimand or an approximation to them. Mathematica, however allows me only to supply an analytical gradient, but not the hessian. Why? (I think that it would speed up the minimization considerably if an analytical hessian could be used. 2) I suspect that Mathematica uses a secant method if it cannot compute analytical gradients. In my application it would be efficient to compute a numerical gradient (an hessian) and to use the gradient or quasi-newton method, since my minimand is smooth and globally convex, but not differentiable analytically. Can I force Mathematica to use this strategy? Thank you, Johannes Ludsteck Johannes Ludsteck Centre for European Economic Research (ZEW) Department of Labour Economics, Human Resources and Social Policy Phone (+49)(0)621/1235-157 Fax (+49)(0)621/1235-225 P.O.Box 103443 D-68034 Mannheim GERMANY Email: ludsteck at zew.de