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st: Command for doing numerical optimization with a generic loss function?


From   Pablo Mitnik <pmitnik@ssc.wisc.edu>
To   statalist@hsphsun2.harvard.edu
Subject   st: Command for doing numerical optimization with a generic loss function?
Date   Sun, 27 Nov 2005 10:08:07 -0600

Dear statalist,

I need to do numerical optimization for a function that is not a
likelihood function but a (rather complex) loss function. Given that
stata has the command ml, and that more in general it uses algorithms of
numerical optimization in many  other commands as well, I guess that I
should be able to find the vector of parameters that minimize my loss
function by simply writing an appropriate evaluator and using an
existing command to call it. But I haven't been able to figure out what
command/s to use. I thought of "tricking" ml (d0) by giving it minus my
loss function as if it were log L, but the way in which (in my limited
understanding) ml works, with the thetas defined as linear  functions of
the parameters, seems to preclude this alternative (my loss function,
which would produce the scalar lnf, is not linear on the parameters).

I would appreciate a lot any help -- hopefully, it is just pointing me
to the right command.

Pablo Mitnik

--
Pablo A. Mitnik
University of Wisconsin-Madison (http://www.wisc.edu/ )
Department of Sociology ( http://www.ssc.wisc.edu/soc/)
Center on Wisconsin Strategy (http://www.cows.org/ )
1180 Observatory Drive
Room 7114A
Madison, WI 53706
TEL (608) 2621839
E-mail: pmitnik@ssc.wisc.edu


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