I work with non-linear models that need to be calibrated to match data moments. The setup is simple. I have a function that takes a set of parameters as input (for example, a vector of floats), solves the model, and returns a measure of the distance between the model-generated moments and the data m…

Global optimization: Simulated Method of Moments

mzaffalon May 4, 2019, 11:39am 2

Have you tried NLopt.jl?

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