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From |
"Tamazian, Artur" <oartur@usc.es> |

To |
statalist@hsphsun2.harvard.edu |

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

Date |
Sun, 27 Nov 2005 17:16:44 +0100 |

try typing -help nl- Best regards, Artur Mensaje citado por Pablo Mitnik <pmitnik@ssc.wisc.edu>: > 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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