Abstract
This article describes EZClimb, a set of SAS/IML steps useful in solving numerical optimization problems. The program uses the method of modified quadratic hill-climbing with either analytical or numerical derivatives to maximize a user-defined criterion function. Modified quadratic hill-climbing is one of the more powerful algorithms known for function optimization but is not widely available outside of the software package GQOPT. The efficacy of the SAS steps is illustrated using Rosenbrock's function, Savin and White's Box-Cox extended autoregressive model, and Klein's Model I.
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Abbreviations
- BHHH:
-
Berndt, Hall, Hall, and Hausman's optimization algorithm
- FIML:
-
full-information maximum-likelihood
- SAS/IML:
-
SAS Institute's Interactive Matrix Language
- TSP:
-
Time Series Processor software package
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Leyden, D.P. Modified quadratic hill-climbing with SAS/IML. Computer Science in Economics and Management 4, 15–31 (1991). https://doi.org/10.1007/BF00426853
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DOI: https://doi.org/10.1007/BF00426853