Displaying 1 result from an estimated 1 matches for "totdownnum".
2012 Apr 26
0
constrained optimisation without second order derivatives? - lnsrch error
...if it is too large (l1,
l2, l3 etc) So if my predicted value for l1 is too high I square the
difference between it and the actual result, add it to 'totuperr' and
increment 'totupnum', and if s1 is too small I square the difference,
add it to 'totdownerr' and increment 'totdownnum'. For each day I
then take totuperr/totupnum, totdownerr/totdownnum and add them both
to my final error term.
I'm constraining two of my parameters (to be between 0 and 1), and so
it seems I have to use L-BFGS-B.
Unfortunately, when optim gets close to the minimum, it usually bails
with...