The Devil is in the Detail: Hints for Practical Optimisation
The Devil is in the Detail: Hints for Practical Optimisation
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DOI：
10.1016/s0313-5926(08)50025-7
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发表时间：
2008-09-01
影响因子：
6.5
通讯作者：
Lindsay, K. A.
中科院分区：
文献类型：
--
作者：
Christensen, T. M.;Hurn, A. S.;Lindsay, K. A.
寻找目标函数（例如最小二乘或负对数似然函数）相对于未知模型参数的最小值是计量经济学中经常遇到的问题。因此，计量经济学学生和应用计量经济学家通常对解决这些问题所采用的数值程序之间的广泛差异有充分的了解。然而，当遇到不良问题时，通常很少有时间来理解实施这些方案的实际微妙之处。本文讨论了实际优化中涉及的一些细节，例如处理参数约束、指定起始值、终止标准和分析梯度，并通过几个指导性示例说明了一些一般思想。
Finding the minimum of an objective function, such as a least squares or negative log-likelihood function, with respect to the unknown model parameters is a problem often encountered in econometrics. Consequently, students of econometrics and applied econometricians are usually well-grounded in the broad differences between the numerical procedures employed to solve these problems. Often, however, relatively little time is given to understanding the practical subtleties of implementing these schemes when faced with ill-behaved problems. This paper addresses some of the details involved in practical optimisation, such as dealing with constraints on the parameters, specifying starting values, termination criteria and analytical gradients, and illustrates some of the general ideas with several instructive examples.