Dear Mr Graves,
Thank you very much for your response. Nobody else from this mailing list
ventured to reply to me for the two weeks since I posted my question.
"nlminb" and "optim" are just optimization procedures. What I need is not just
optimization, but a nonlinear CURVE FITTING procedure. If there is some way to
perform nonlinear curve fitting with the "Trust-Region" algorithm using any of
these functions, I would me much obliged to you if you suggest to me how to
achieve that. You asked me why I do not want Gauss-Newton. Since I am not an
expert in the field of optimization, I am just conforming to what matlab
documentation suggests, namely:
"Algorithm used for the fitting procedure: Trust-Region -- This is the default
algorithm and must be used if you specify coefficient constraints.
Levenberg-Marquardt -- If the trust-region algorithm does not produce a
reasonable fit, and you do not have coefficient constraints, you should try the
Levenberg-Marquardt algorithm. Gauss-Newton --THIS ALGORITHM IS POTENTIALLY
FASTER THAN THE OTHER ALGORITHMS, BUT IT ASSUMES THAT THE RESIDUALS ARE CLOSE
TO ZERO. IT IS INCLUDED FOR PEDAGOGICAL REASONS AND SHOULD BE THE LAST CHOICE
FOR MOST MODELS AND DATA SETS.
I browsed some literature about the garchfit function, but I did not see the
"Trust-Region" algorithm there either: algorithm = c("sqp", "nlminb", "lbfgsb",
"nlminb+nm", "lbfgsb+nm"), control = list(), title = NULL, description = NULL,
...)
Thank you for your attention. I am looking forward to your reply.
Regards,
Martin
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