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From |
Lydia Pikyi Cheung <cheun073@umn.edu> |

To |
statalist@hsphsun2.harvard.edu |

Subject |
st: Mata: trouble with nested optimize() |

Date |
Mon, 9 May 2011 16:20:01 -0700 |

Dear Statalist users, I would like to maximize a function F(q1,q2) that involves terms p1(q1,q2), p2(q1,q2) that do not have analytical forms. I.e., every time a trial value (q1,q2) is used to evaluate F(), Mata needs to solve a system of equations to back out the corresponding p1(q1,q2) and p2(q1,q2), in order to evaluate F(). I solve this system of equations using optimize(), following http://www.stata.com/support/faqs/lang/nl.html (bottom of page). As a result, I have an inner optimize() routine to solve the system of equations inside the main optimize() routine to maximize F(). Is this possible? I have attached my code below with simplified functions. (I have simplified both p,q be scalars, i.e. F(q,p) is a function of scalars, and p(q) takes a scalar argument.) I keep getting: : s=optimize(S) initial values not feasible (1 line skipped) ---------------------------------------- r(1400); I do not think initial values are the problem. After running the following code, I checked: : S 0x5ac5bdc : I <istmt>: 3499 I not found r(3499); Thus S was initialized successfully while I was not. Is it because objftn() fails to invoke function invd()? Any better way to code this problem is appreciated as well. = = = = = = = = = = = = = = = = = = = clear mata: mata clear mata: void invobj(todo,p,f,S,H) { external real scalar q //Trivial inversion: assume that I cannot invert q=10-p analytically: f=(q-(10-p))^2 } real scalar function invd(real scalar q) { transmorphic I I=optimize_init() optimize_init_evaluator(I,&invobj()) optimize_init_evaluatortype(I,"d0") optimize_init_params(I,(3)) optimize_init_which(I,"min") p=optimize(I) return(p) } void objftn(todo,q,f,S,H) { real scalar p p=invd(q); f=q*(p-1) } S=optimize_init() optimize_init_evaluator(S,&objftn()) optimize_init_evaluatortype(S,"d0") optimize_init_params(S,(1)) optimize_init_which(S,"max") s=optimize(S) s end * * For searches and help try: * http://www.stata.com/help.cgi?search * http://www.stata.com/support/statalist/faq * http://www.ats.ucla.edu/stat/stata/

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