How to put bounds on Nelder-Mead in Optim?

A long, perhaps off-topic discussion could start from here.

Among economists doing structural work, N-M is still quite popular. Whether this is a good choice or not, is hard to say. Each problem has its own issues and the question “what is the best algorithm?” probably does not have a good answer (unless it is a problem specific one).

One interesting reference for structural economic problems is

Arnoud, Antoine, Fatih Guvenen, and Tatjana Kleineberg. 2019. “Benchmarking Global Optimizers.” Working Paper 26340. National Bureau of Economic Research. https://doi.org/10.3386/w26340.

Sorry - I could not resist going off topic for a bit. I am certainly not an expert on this and would welcome suggestions that I could try on my problems.

What I end up doing is actually building a sort of customized global optimizer for each problem. It first explores the parameter space globally, but only computes a subset of the target moments (or cheap approximations of the target moments). Then it solves several hundred of the “best” points according to this initial search. And finally it runs a local optimizer (usually N-M) on the best point resulting from that search.
It seems to work well in the problems where I have tried it. Of course, I have no way of knowing whether I found (a point close to) the global optimum.

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