Numerical Methods Using Java: For Data Science, Analysis, and Engineering

© Haksun Li, PhD 2022

H. Li, PhDNumerical Methods Using Javahttps://doi.org/10.1007/978-1-4842-6797-4_9

9. Unconstrained Optimization

Haksun Li, PhD¹  

(1)

Hong Kong, China

 

Unconstrained optimization finds a variable (or a set of variables) that minimize or maximize an objective function without restrictions on their values. Mathematically, it says, find x^∗ such that function f(x^∗) takes the smallest value.

x may be a scalar (in ℝ¹) or a vector (in ℝⁿ). f(x) is always a scalar (in ℝ¹). Unconstrained optimization has applications in many branches of science. In finance, constructing a yield curve involves finding a set of parameters to minimize the difference ...