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MathGroup Archive 2002

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Davidon-Fletcher-Powell Algorithm

  • To: mathgroup at smc.vnet.net
  • Subject: [mg36831] Davidon-Fletcher-Powell Algorithm
  • From: Kyriakos Chourdakis <k.chourdakis at qmul.ac.uk>
  • Date: Sat, 28 Sep 2002 04:34:28 -0400 (EDT)
  • Sender: owner-wri-mathgroup at wolfram.com

Dear all,

As far as I understand, FindMinimum can be requested to use the
Berndt-Hall-Hall-Hausman method, if the option 
Method->QuasiNewton 
is specified.  I am pretty convinced that there is no way to tell
mathematica to produce as an output the Jacobian vector and the Hessian
matrix at every step. In addition, I have not found a way to specify the
Davidon-Fletcher-Powell algorithm to be used.

Before I start to program it myself, I was wondering if anybody has written
some [non-commercial] code that produces such an output for BFGS and even
better for DFP optimization.

Regards

Kyriakos 


_____+*"*+____+*"*+___+*"*+__+*"*+_

Kyriakos Chourdakis
Lecturer in Financial Economics

URL: http://www.qmw.ac.uk/~te9001
tel: (++44) (+20) 7882 5086
Dept of Economics
University of London, QM
London E1 4NS
U.K.


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