Finding maxima of a function without prefix

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SUMMARY

This discussion focuses on maximizing a function involving variables distributed under a standard normal distribution, specifically addressing the function defined by the equation involving error functions (erf). The user encountered difficulties in differentiating the function and solving for its maxima, particularly when variables z, m, and c are set to specific values. The solution suggests simplifying the problem by substituting variables and analyzing the squared function to find maxima, indicating that numerical methods may be necessary if an analytic solution is unattainable.

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  • Familiarity with error functions (erf) and their properties.
  • Knowledge of standard normal distribution and its implications in statistical analysis.
  • Experience with numerical methods for optimization problems.
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Students and researchers in mathematics, statistics, or engineering fields who are working on optimization problems involving complex functions and require guidance on analytical and numerical methods for finding maxima.

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Homework Statement



I have been trying to find the value of x that maximizes the function is section 2.

z is a variable distributed using a standard normal distribution i.e. can vary between -∞ and ∞, but generally is between -4 and 4. m varies between 0 and 1. c varies the same way as z.

x is always greater than c (so the function is always real).

Homework Equations



http://www4b.wolframalpha.com/Calculate/MSP/MSP6341gbhe843gi5189e300002d76b658d53h3hd0?MSPStoreType=image/gif&s=45&w=271.&h=47 .

Alternate Wolfram-Alpha link:
http://www.wolframalpha.com/input/?...qrt((x-c)/m))*(erf(z/sqrt(2))-erf(x/sqrt(2)))

The Attempt at a Solution



I basically attempted to differentiate it (which is fine), and it gives me a really complicated solution. I set this to zero (to find the turning point), and am having trouble solving that equation. I was able to find specific values of this maxima by setting the other variables: z, m, c to specific values. For example,

http://www.wolframalpha.com/input/?...2))*(erf(0.5/sqrt(2))-erf(x/sqrt(2))),+maxima

Sorry, this isn't exactly homework, but for a research project I'm working on in college. Any help/guidance will be greatly appreciated.
 
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If it is not homework, there is no guarantee that there is a nice, analytic solution.

You can simplify the problem a bit: Ignore the constant prefactor of sqrt(pi/2), substitute x/sqrt(2) by another variable and do the same for z, c and m.

This should lead to something like
$$y'=\sqrt{\frac{x'-c'}{m'}} \left( erf(z') - erf(x') \right)$$

A maximum of y is a maximum of y^2 as well, so you can square the whole expression and look for a maximum of this. Even if there is no analytic solution, it could be easier to analyze numerically.
 

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