Skip navigation
Skip navigation

Numerical algorithms for constrained maximum likelihood estimation

Li, Zheng Feng; Osborne, Michael; Prvan, Tania

Description

This paper describes a SQP-type algorithm for solving a constrained maximum likelihood estimation problem that incorporates a number of novel features. We call it MLESOL. MLESOL maintains the use of an estimate of the Fisher information matrix to the Hessian of the negative log-likelihood but also encompasses a secant approximation S to the second-order part of the augmented Lagrangian function along with tests for when to use this information. The local quadratic model used has a form...[Show more]

CollectionsANU Research Publications
Date published: 2003
Type: Journal article
URI: http://hdl.handle.net/1885/85742
Source: Australian and New Zealand Industrial and Applied Mathematics
DOI: 10.1017/S1446181100013171

Download

There are no files associated with this item.


Items in Open Research are protected by copyright, with all rights reserved, unless otherwise indicated.

Updated:  23 August 2018/ Responsible Officer:  University Librarian/ Page Contact:  Library Systems & Web Coordinator