SAS/Ets User's Guide 19. Provides detailed reference material for using SAS/ETS software and guides you through the analysis and forecasting of features such as univariate and multivariate time series, cross-sectional time series, seasonal adjustments, multiequational nonlinear models, discrete choice models, limited dependent variable models, portfolio analysis, and generation of financial reports, with introductory and advanced examples for each procedure. You can also find complete information about two easy-to-use point-and-click applications: the Time Series Forecasting System, for automatic and interactive time series modeling and forecasting, and the Investment Analysis System, for time-value of money analysis of a variety of investments | 172 F Chapter 6 Nonlinear Optimization Methods DAMPSTEP. r specifies that the initial step length value a 0 for each line search used by the QUANEW HYQUAN CONGRA or NEWRAP technique cannot be larger than r times the step length value used in the former iteration. If the DAMPSTEP option is specified but r is not specified the default is r 2. The DAMPSTEP r option can prevent the line-search algorithm from repeatedly stepping into regions where some objective functions are difficult to compute or where they could lead to floating point overflows during the computation of objective functions and their derivatives. The DAMPSTEP r option can save time-costly function calls during the line searches of objective functions that result in very small steps. FCONV r n FTOL r n specifies a relative function convergence criterion. For all techniques except NMSIMP termination requires a small relative change of the function value in successive iterations lf 0 k f 0 k-D max f 0 k 1 FSIZE where FSIZE is defined by the FSIZE option. The same formula is used for the NMSIMP technique but 0 k is defined as the vertex with the lowest function value and 0 k-1 is defined as the vertex with the highest function value in the simplex. The default value may depend on the procedure. In most cases you can use the PALL option to find it. FCONV2 r n FTOL2 r n specifies another function convergence criterion. For all techniques except NMSIMP termination requires a small predicted reduction of the objective function. The predicted reduction df k _g k Ts k _ 1s k TH k s k g 2 - T r is computed by approximating the objective function f by the first two terms of the Taylor series and substituting the Newton step s k _ H k -1g k For the NMSIMP technique termination requires a small standard deviation of the function tttili iac nf tti a ti i 1 tnt il pv vi wl i f ik m 1 X I f fl ik fff k A1 K values of me n c 1 simplex vertices 0 i u . n 1 n f 0 f 0V y r where f 0 k nCp X f 0 k . If there are nact .
