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

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


From   "Nick Cox" <n.j.cox@durham.ac.uk>
To   <statalist@hsphsun2.harvard.edu>
Subject   st: RE: Command for doing numerical optimization with a generic loss function?
Date   Sun, 27 Nov 2005 17:29:20 -0000

In addition to other answers, 

STB-38  sg71  . . . . . . . . . . . . . . . .  Routines to maximize a function
        (help amoeba if installed)  . . . . . . . . . . . . . . . . C. Ferrall
        7/97    pp.22--26; STB Reprints Vol 7, pp.176--181
        routines to maximize a multi-dimensional function

STB-32  sg56  . . . . Implementation of a simplex-based maximization algorithm
        (help simplex if installed) . . . . . . . . . . . . . . . . .  T. Barr
        7/96    pp.23--27; STB Reprints Vol 6, pp.134--140
        likelihood-maximization routine based on the simplex method,
        also known as the Amoeba method

Nick 
n.j.cox@durham.ac.uk 

Pablo Mitnik
 
> 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).
> 

*
*   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