Interior point maximization on non-smooth surface

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DoVile Last Name:
DoVile Last Name: 2012년 8월 23일
댓글: John D'Errico 2018년 6월 18일
I am estimating a state-space model using maximum likelihood, and i am also doing simulations. For the actual maximisation part i have found that Interior point is the fastest way and also more accurate than BFGS, however my function to be maximized is very "bumpy" locally, overall it does behave nicely but if you soom in there are alot of local max and mins, so i figure meaby it would help if the nummerical derivatives were calculated over a greater length of area(as oposed to just moving slightly around the estimates to get them).
Is this possible ?
Thank you
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John D'Errico
John D'Errico 2018년 6월 18일
This is not a question of speed, of compiling a mex function at all, and all you did was resurrect a 6 year old dead question.

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