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From |
"Rodrigo Alfaro" <ralfaro@bu.edu> |

To |
<statalist@hsphsun2.harvard.edu> |

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

Date |
Sun, 27 Nov 2005 11:13:56 -0500 |

try nl... there is also an example of nl in nonlinear system of equation

(http://www.stata.com/support/faqs/lang/nl.html)

Rodrigo.

----- Original Message ----- From: "Pablo Mitnik" <pmitnik@ssc.wisc.edu>

To: <statalist@hsphsun2.harvard.edu>

Sent: Sunday, November 27, 2005 11:08 AM

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

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 * * For searches and help try: * http://www.stata.com/support/faqs/res/findit.html * http://www.stata.com/support/statalist/faq * http://www.ats.ucla.edu/stat/stata/

* * For searches and help try: * http://www.stata.com/support/faqs/res/findit.html * http://www.stata.com/support/statalist/faq * http://www.ats.ucla.edu/stat/stata/

**References**:**st: Command for doing numerical optimization with a generic loss function?***From:*Pablo Mitnik <pmitnik@ssc.wisc.edu>

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