statsmodels/statsmodels — pull request #932 by rc (2013-07-01 15:04:41+00:00)
Title: ENH: supoprt basinhopping solver in LikelihoodModel.fit()

Hi,

I attempted to add the basin-hopping solver to LikelihoodModel.fit(). Consider this a "proof-of-concept" version, as there are several things to consider
- the basinhopping() arguments/return value differ significantly from the other optimizers - I tried to match them somehow, but need some feedback
- then the docstring needs to be updated
- when basinhopping() is not available, bfgs is used as a fallback - is it ok?
- sometimes (well, can be "often"), the basinhopping() solver reports "warning: basinhoppping: local minimization failure"
- I chose to set 'converged = True'...

Comments welcome!

PS: Josef, I am now trying the above with the von Mises mixtures. It seems to give the same results as bfgs for 2 mixture components, a slightly different results for 3, for the test data I have used so far.