optimization algorithms

Econometrics questions and discussions

optimization algorithms

Unread postby kenjudd » Tue May 31, 2022 5:02 pm

What optimization algorithms are used to compute maximum likelihood? Is automatic differentiation done by RATS or is the default finite difference derivatives?
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Re: optimization algorithms

Unread postby TomDoan » Tue May 31, 2022 10:44 pm

The variational methods listed in https://estima.com/ratshelp/optimizationmethods.html do numerical derivatives only, though you can choose several different levels of accuracy (with a corresponding increase in calculation time for greater accuracy).
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