Dear experts,

I have a quite basic question: when I use a minimizer to minimize a likelihood, how to know how the derivatives are computed (inside the minimize ) ?

Many thanks!

Javier

Dear experts,

I have a quite basic question: when I use a minimizer to minimize a likelihood, how to know how the derivatives are computed (inside the minimize ) ?

Many thanks!

Javier

Hi,

Hen using a minimiser like Minuit to find the minimum of the negative log-likelihood functions, the derivatives are computed numerically using finite differences by the Minuit program. The step sizes used in t he derivative calculations are adapted automatically depending on the function.

The algorithm computing the derivative is robust and working quite well for a large variety of functions.

It has been used for more than 40 years in a large variety of problems,.

Lorenzo

Dear Lorenzo.

Many thanks for the reply! Regarding " The step sizes used in the derivative calculations are adapted automatically depending on the function", could you say a bit more ? How the steps are chosen for different functions ?

Thanks,

Javier

Hi,

It is an iterative algorithm trying to decrease the steps, within the allowed numerical error, until the computed derivative is stable.

You can find the implementation here

Lorenzo

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