Ricart–Agrawala algorithm

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BHHH is an optimization algorithm in numerical optimization similar to Gauss–Newton algorithm. It is an acronym of the four originators: Berndt, B. Hall, R. Hall, and Jerry Hausman.

Usage

If a nonlinear model is fitted to the data one often needs to estimate coefficients through optimization. A number of optimisation algorithms have the following general structure. Suppose that the function to be optimized is Q(β). Then the algorithms are iterative, defining a sequence of approximations, βk given by

βk+1=βk−λkAk∂Q∂β(βk),,

where βk is the parameter estimate at step k, and λk is a parameter (called step size) which partly determines the particular algorithm. For the BHHH algorithm λk is determined by calculations within a given iterative step, involving a line-search until a point βk+1 is found satisfying certain criteria. In addition, for the BHHH algorithm, Q has the form

Q=∑i=1NQi

and A is calculated using

Ak=[∑i=1N∂ln⁡Qi∂β(βk)∂ln⁡Qi∂β(βk)′]−1.

In other cases, e.g. Newton-Raphson, Ak can have other forms. The BHHH algorithm has the advantage that, if certain conditions apply, convergence of the iterative procedure is guaranteed.Template:Cn

Literature

  • Berndt, E., B. Hall, R. Hall, and J. Hausman, (1974), “Estimation and Inference in Nonlinear Structural Models”, Annals of Economic and Social Measurement, 3, 653–665.
  • Luenberger, D. (1972), Introduction to Linear and Nonlinear Programming, Addison Wesley, Reading Massachusetts.
  • Gill, P., W. Murray, and M. Wright, (1981), Practical Optimization, Harcourt Brace and Company, London
  • Sokolov, S.N., and I.N. Silin (1962), “Determination of the coordinates of the minima of functionals by the linearization method”, Joint Institute for Nuclear Research preprint D-810, Dubna.