Modified Quadratic Hill-Climbing with SAS /IML

UNCG Author/Contributor (non-UNCG co-authors, if there are any, appear on document)
Dennis P. Leyden, Associate Professor (Creator)
The University of North Carolina at Greensboro (UNCG )
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Abstract: This article describes EZClimb, a set of SAS/IML steps useful in solving numerical optimization problems. The program uses the method of modified quadratic hill-climbing with either analytical or numerical derivatives to maximize a user-defined criterion function. Modified quadratic hill-climbing is one of the more powerful algorithms known for function optimization but is not widely available outside of the software package GQOPT. The efficacy of the SAS steps is illustrated using Rosenbrock's function, Savin and White's Box-Cox extended autoregressive model, and Klein's Model.

Additional Information

Computer Science in Economics and Management (now Computational Economics), 1991, 4(1):15-31.
Language: English
Date: 1991
Hill-climbing, maximum likelihood estimation, non-linear least squares, optimization

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