bfgs: bfgs

In gragusa/grpack: Utility functions for econometric applications

bfgs

Description

Implements the Broyden-Fletcher-Goldfarb-Shanno algorithm for function minimization.

Usage

  bfgs(x0, f_, g_, min.x = rep(-Inf, length(x0)),
    max.x = rep(Inf, length(x0)), prec = 1e-05,
    verbose = FALSE)

Arguments

x0	Tthe initial solution guess
f_	The function to be minimized
g_	The gradient of f_
min.x	lower bounds
max.x	upper bounds
prec
verbose	if TRUE diplay iteration nformation

Details

The function attempts to find

argmin_x s.t. min.x < x < max.x coord-wise f(x)

Value

A list

Apart from returning the maximizer x, it also returns the function value f(x) the gradient f'(x), and the inverse hessian f”(x)^-1.

Author(s)

Giuseppe Ragusa

gragusa/grpack documentation built on July 6, 2023, 12:07 a.m.