CMAES options

[dareios82]

Hi,

I am using CMAES to maximize the posterior likelihood of a large scale model, after repeated unsuccessful attempts with csminwel. CMAES did a great job, and converged to a value of around 3300. But when I used the mode as a new initial guess, I was able to go down by 50 points. I have two questions:

1. How can I control CMAES settings? For instance, to deal with local maxima, I was thinking to increase the population size and/or have multiple restarts.

2. If anyone else has been playing with this algorithm, suggestions on which options to change to improve its performance (in terms of finding the global max) are very welcome.

Anyway, I think CMAES is an excellent algorithm, thanks for adding it to Dynare!

[jpfeifer]

You can pass options to CMAES by setting subfields of

Code: Select all

options_.cmaes

like

Code: Select all

options_.cmaes.TolFun = 1e-7;
options_.cmaes.TolX = 1e-7;


(those are the defaults)
The typical parameter to tweak is the population size. For more guidance, see Andreasen (2009): How to Maximize the Likelihood Function for a DSGE Model