Simulated Annealing

Hi,

I would like to know if it is possible to do bayesian or MLE estimation with dynare using simulate annealing.

I have been estimating a model and the estimated posterior is always very close to my starting values and I tthink simulated annealing might help with this.

I noticed that Dynare has a matlab code called asamin.m which says it is for simulated annealing.

Does anyone know how to make use of simulated annealing in Dynare?

Best,
Joao

Hi Joao,

It is not possible to use simulated annealing (at least in dynare version 4), the dll is broken and we have to repair it. More importantly we have to adapt asamin for the maximization of posterior kernels or likelihood functions (if you look at Lester Ingber’s documentation you will see that there are a lot of tuning parameters).

Best Regards,
Stéphane.