SYSTEM AND METHOD FOR NON-LINEAR MODELING

A computer-implemented system and method of non-linear modeling in a computer system having a limited precision processor is provided. A non-linear model is initialized by forming an objective function having one or more functional components and a marginal variance matrix. The model is then iteratively solved using the computer processor until it has converged to a feasible solution. In doing so, the feasibility of computing the objective function is evaluated by determining if the marginal variance matrix is positive definite, thereby indicating whether or not the computer processor is capable of calculating a feasible solution to the non-linear model. If the marginal variance matrix is positive definite, then the objective function and its gradient are computed using the marginal variance matrix. If the marginal variance matrix is not positive definite, then a surrogate marginal variance matrix is constructed that is positive definite and a surrogate objective function is constructed having components continuous first derivatives. The surrogate objective function and its gradient are then computed using the surrogate marginal variance matrix.