Preparation

The topic of this week in numerical optimization. Numerical optimization is a large topic, we could spent an entire semester on. The goal of this week is not that you become experts in numerical optimization, but that you know enough about the topic to solve practical optimization problems you might encounter in economic research.

Please work through the following materials before the class.

Background and usage of optimagic

• What is numerical optimization?

• Optimagic overview

• Using optimagic’s minimize and maximize

• Choosing optimization algorithms

• Visualizing optimizer histories

If you like optimagic, don’t forget to give it a star on GitHub!

Intuition on optimization algorithms

• Set up of the example

• Grid Search

• Derivative-Based Line Search

• Derivative-Based Trust Region

• Derivative-Free Direct Search

• Derivative-Free Trust Region