I have a fairly highly oscillating function, and I need to find the ArgMax in the interval (-Pi,Pi).
When I Plot the function it is clear that FindArgMax picks the wrong maximum. I have tried adjusting AccuracyGoal and PrecisionGoal, and the various available Methods, but this does not seem to have the required effect.
w[SNR_] :=
RandomVariate[NormalDistribution[0, 0.5*Sqrt[2]*10^(-SNR/20)], 16] +
I RandomVariate[NormalDistribution[0, 0.5*Sqrt[2]*10^(-SNR/20)], 16]
G[\[Omega]_] := Re[Sum[(Exp[1.2556 I (m - 1)] + noise[[m]]) Exp[-I \[Omega] (m - 1)], {m, 1, 16}]/16]
noise = w[-20];
estimate = FindArgMax[G[\[Omega]], \[Omega], Method -> "QuasiNewton",
AccuracyGoal -> 30, PrecisionGoal -> 30][[1]];
Plot[G[x], {x, -Pi, Pi}, Epilog -> Line[{{estimate, -100}, {estimate, 100}}], PlotRange -> All, Frame -> True, Axes -> None, FrameTicks -> {{-Pi, -Pi/2, 0, Pi/2, Pi}, Automatic, {}, {}},PlotRangePadding -> {0, 0.05}]
Print[estimate]
Is there a way to find the global maximum?
You need to approximate the start point or the maximisation will be too localised.
x0 = Sort[Table[{G[x], x}, {x, -Pi, Pi, 0.01}]][[-1, 2]];
estimate = Quiet@
FindArgMax[{G[\[Omega]], -Pi <= \[Omega] <= Pi}, {\[Omega], x0}][[1]];
Plot[G[x], {x, -Pi, Pi},
Epilog -> Line[{{estimate, -100}, {estimate, 100}}],
PlotRange -> Full, Frame -> True, Axes -> None,
FrameTicks -> {{Automatic, Automatic},
{{-Pi, -Pi/2, 0, Pi/2, Pi}, None}},
PlotRangePadding -> {0, 0.05}]
Print[estimate]