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Numerical Methods for Nonlinear Estimating Equations$
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Christopher G. Small and Jinfang Wang

Print publication date: 2003

Print ISBN-13: 9780198506881

Published to Oxford Scholarship Online: September 2007

DOI: 10.1093/acprof:oso/9780198506881.001.0001

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Numerical algorithms

Numerical algorithms

Chapter:
(p.37) 3 Numerical algorithms
Source:
Numerical Methods for Nonlinear Estimating Equations
Author(s):

Christopher G. Small

Jinfang Wang

Publisher:
Oxford University Press
DOI:10.1093/acprof:oso/9780198506881.003.0003

This chapter surveys a variety of root-finding and hill-climbing algorithms that are useful for solving estimating equations or maximizing artificial likelihoods, starting with a basic technique known as the iterative substitution. Methods such as the Newton-Raphson and the quasi-Newton algorithms are motivated as attempts to improve the rate of convergence of the iterative substitution. The contractive mapping theorem, which provides general conditions for the convergence of a multiparameter algorithm, is stated and proved. The EM-algorithm is described in generality and illustrated with examples. Aitken's method for accelerating linear convergence of algorithms is developed, along with a refinement known as Steffensen's method. Other methods discussed in this chapter include the method of false positions, Muller's method, methods particularly suitable for solving polynomial equations (such as the Bernoulli's method, the quotient-difference algorithm, Sturm's method and the QR-algorithm), the Nelder-Mead algorithm, and the method of Jacobi iteration for approximate inversion of matrices.

Keywords:   Aitken's method, Bernoulli's method, EM-algorithm, iterative substitution, Muller's method, quotient-difference algorithm, Nelder-Mead algorithm, Newton-Raphson algorithm, Sturm's method, QR-algorithm, Steffensen's method

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