The arboretum procedure



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Default:___Line-Search_Precision_Values__TECHNIQUE=__UPDATE=__LSPRECISION__VALUE'>Default:

Line-Search Precision Values

TECHNIQUE=

UPDATE=

LSPRECISION

VALUE

QUANEW


DBFGS,

BFGS


0.4

QUANEW


DDFP,

DFP


0.06

CONGRA


all

0.1


NEWRAP

no update

0.9

Range:

number > 0

MAXFUNC= number

Specifies the maximum number of function calls in the optimization process.



Default:

2147483647 for all techniques



Range:

number > 0

MAXITER= number

Specifies the maximum number of iterations in the optimization process.



Default:

100 for TRUREG, NRRIDG, NEWRAP, and LEVMAR

200 for QUANEW and DBLDOG

400 for CONGRA



Range:

number > 0

MAXSTEP= number

Specifies the upper bound for the step length of the line-search algorithms.



Default:

The largest double precision value



Range:

number > 0

MAXTIME= number

Specifies the upper limit of CPU time for the optimization process. It is measured in seconds.




Default:

7 days, that is, MAXTIME=604800 seconds



Range:

number > 0

MINITER= number

Specifies the minimum number of iterations in the optimization process.



Default:

0

Range:



number   0

NOPRINT

Suppresses all output. Only ERRORs, WARNINGs, and NOTEs are printed on the log file.



PALL

Prints all optional output except the output generated by the PSTDERR , LIST, or LISTCODE

option.

PSUMMARY

Restricts the amount of default printed output to a short form of iteration history and NOTEs,

WARNINGs, and ERRORs.

PHISTORY

Prints the optimization history. If PSUMMARY or NOPRINT are not specified, then the

PHISTORY option is set automatically and the iteration history is printed by default.

RESTART= number

Specifies that the QUANEW or CONGRA algorithm is restarted with a steepest descent/ascent

search direction after the number of iterations has been completed.

Range:

number   1

Default:

For TECHNIQUE=CONGRA, and UPDATE= PB, restart is done

automatically, so number is not used;

For TECHNIQUE=CONGRA, and UPDATE not = PB, number is the

number of parameters.

For TECHNIQUE=QUANEW, number is the largest integer.



SINGULAR= number

Specifies an absolute singularity criterion for the computation of the inertia of Hessian and

cross-product Jacobian and their projected forms.

Default:

1E-8


Range:

number > 0


TECHNIQUE= method

Specifies an optimization technique, where method is one of the following:

CONGRA

Specifies the Conjugate Gradient optimization technique. This is the default when the



number of parameters to be estimated is   400.

DBLDOG


Specifies the Double-Dogleg optimization technique.

NEWRAP


Specifies the Newton-Raphson with Line Search optimization technique.

NRRIDG


Specifies the Newton-Raphson with Ridging optimization technique. This is the default

when the number of parameters to be estimated is   40.

QUANEW

Specifies the quasi-Newton optimization technique. This is the default when the number of



parameters to be estimated is in the range 40 < n   400.

TRUREG


Specifies the Trust-Region optimization technique.

UPDATE=update-type

Specifies an update method, where update-type is one of the following:

BFGS

For TECHNIQUE= QUANEW, performs the BFGS (Broyden-Fletcher-Goldfarb-Shanno)



update of the Cholesky factor of the Hessian matrix.

CD

For TECHNIQUE=CONGRA, performs a conjugate descent update of Fletcher.



DBFGS

For TECHNIQUE= DBLDOG or QUANEW, performs the dual BFGS

(Broyden-Fletcher-Goldfarb-Shanno) update of the Cholesky factor of the Hessian matrix.

This is the default for TECHNIQUE=QUANEW and DBLDOG .

DDFP

For TECHNIQUE= DBLDOG or QUANEW, performs the dual DFP



(Davidson-Fletcher-Powell) update of the Cholesky factor of the Hessian matrix.

DFP


For TECHNIQUE= QUANEW, performs the original DFP (Davidson-Fletcher-Powell)

update of the inverse Hessian matrix.

FR

For TECHNIQUE=CONGRA, performs the Fletcher-Reeves update.



PB


For TECHNIQUE=CONGRA, performs the automatic restart update method of Powell and

Beale. This is the default for TECHNIQUE= CONGRA.

PR

For TECHNIQUE=CONGRA, performs the Polak-Ribiere update.



VERSION= 1 | 2| 3

Specifies the version of the hybrid quasi-Newton optimization technique or the version of the

quasi-Newton optimization technique with nonlinear constraints.

Default:

2

XCONV= number

Specifies the relative parameter convergence criterion.

Default:

0

Range:



number > 0

XSIZE= number

Specifies the number of successive iterations for which the criterion must be satisfied before the

optimization process can be terminated.

Default:

0

Range:



number > 0

Copyright 2000 by SAS Institute Inc., Cary, NC, USA. All rights reserved.






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