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How to guarntee a unique solution in NLPNMS?

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Contributor
Posts: 37

How to guarntee a unique solution in NLPNMS?

Hello all,

I am using the NLPNMS call in  proc iml . Could I guarntee that my solution is unique?

Thanks,

Aya

Respected Advisor
Posts: 2,655

Re: How to guarntee a unique solution in NLPNMS?

Use a variety of starting points for the optimization.  See the SAS?IML User's Guide > Nonlinear Optimation Examples > Details > Gloval versus Local Optima.

Steve Denham

SAS Super FREQ
Posts: 3,630

Re: How to guarntee a unique solution in NLPNMS?

The uniqueness of a solution depends on the function being optimized, not the particular choice of an optimization routine. In general, if you start near a local optimum, you will converge to that optimum (but the beautiful fractals for Newton's iteration show that this is not always the case!)  If your function has several local maxima and you want to find the one that is the global maximum, you can try using initial conditions on a uniform grid in parameter space, as detailed in this article: How to find an initial guess for an optimization - The DO Loop

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