- 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.