A computer program to minimize a function with many variables using computer evaluated exact higher-order derivatives
Let \(F:{\mathbb{R}}^ n\to {\mathbb{R}}\) have derivatives up to order r, \(r\geq 2\), and let A be the matrix obtained by the Hessian of F enlarged by a row and a column such that the first column is the first unit vector and the first row is given by \((1,F_{x_ 1},...,F_{x_ n}).\) Then the Newton method to minimize F may be defined by \(x^{i+1}=x^ i+d^ i,\) where \(d^ i\) is the second up to the \((n+1)\)-st element of the first row of \(A^{-1}\). Defining a super-Hessian matrix A including also higher derivatives and derivatives of powers of the \(F_{x_ i}\), higher order methods may be defined similarly. These methods have been developed by the authors in a parallel paper. In the paper at hand a Fortran program is given which uses the so-called table-method developed earlier by the authors to supply the higher derivatives needed. From the examples included it becomes not clear if the resulting algorithm is efficient in comparison with algorithms usually used to solve nonlinear least squares problems.
- Generalized Newton algorithm to minimize a function with many variables using computer-evaluated exact higher-order derivatives
- Nonlinear least squares via automatic derivative evaluation
- Remark on Algorithm 566
- scientific article; zbMATH DE number 794279
- scientific article; zbMATH DE number 3891110
- A generalized Newton algorithm using higher-order derivatives
- Generalized Newton algorithm to minimize a function with many variables using computer-evaluated exact higher-order derivatives
- scientific article; zbMATH DE number 3325981 (Why is no real title available?)
- scientific article; zbMATH DE number 3366405 (Why is no real title available?)
- Nonlinear least squares via automatic derivative evaluation
- On the efficient computation of the nonlinear full-information maximum- likelihood estimator
- The pricing of options and corporate liabilities
- On the use of the table method in constrained optimization
- Rate of convergence of the generalized Newton algorithm using the fixed- point approach
- On the use of higher order derivatives in optimization using Lagrange's expansion
- Remark on Algorithm 566
- Nonlinear least squares via automatic derivative evaluation
- Generalized Newton algorithm to minimize a function with many variables using computer-evaluated exact higher-order derivatives
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