Interior point maximization on non-smooth surface
조회 수: 2(최근 30일)
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 ?