[SciPy-user] optimization advice needed

dmitrey dmitrey.kroshko@scipy....
Sun Jan 27 12:14:12 CST 2008

Another one approach could be using ARMAX to estimate initial x0 - 
maybe, it will be closer to x*[k] than just previous solution x*[k-1]. I 
guess your model order will be not too big, 2-3 previous steps will be 
enough, so it will not yield sufficient computational expense.


Neal Becker wrote:
> Let me try to address the questions (to the extent that I know the answers):
> I believe f(a,b) is convex.
> Why not just iteratively solve for each observation?  2 reasons.  First,
> because it is too computationally expensive in this application.  Second,
> because each observation is noisy, so you don't want to adapt the model to
> optimize just one observation.
> I think Gaussian noise is a good model here.
> For the first question.  The values of the parameters, which I called (a,b),
> but in general we might need more variables, are more-or-less constant over
> time, but change very slowly with respect to the observations.  I guess
> you're asking if there is a model for how they change over time?  No, only
> that they change very slowly.

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