Hello,
I am doing a quasi newton optimization method but I have a problem. The optimization stop before I find the global minimum.
I wonder if I could use a termination criterion of 1e-4 in order to stop the optimization after getting an objective function as small as I want and if it is possible, how to do it?
Here is my code
proc iml;
use a;
read all var _NUM_ into data;
close a;
* Chargement des fonctions ;
reset storage = &lib..Functions;
load module=(function1 function2);
parameters = j(5, 1, .) ;
parameters[1] = 1.1 ;
parameters[2] = 5;
parameters[3] = 2;
parameters[4] = 1.5;
parameters[5]= 0.9;
con = {-10 1E-6 -10 1E-6 1E-6, 10 10 10 10 1}
opt = {1 4} ;
*Quasi-Newton Method ;
call NLPQN(rc, parameters, "function1", theta, opt, con);
quit ;
Moreover, this is the value of the objective function I get. You can see it is quite neer from each other at 10-4
Thank you for helping
Post it at IML forum,since it is real IML code. and could try another initial value .
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