Stata The Stata listserver
[Date Prev][Date Next][Thread Prev][Thread Next][Date index][Thread index]

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


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/



© Copyright 1996–2014 StataCorp LP   |   Terms of use   |   Privacy   |   Contact us   |   What's new   |   Site index