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RE: st: programming in stata - problems with optimize


From   A J van der Vlist <vlist001@hotmail.com>
To   <statalist@hsphsun2.harvard.edu>
Subject   RE: st: programming in stata - problems with optimize
Date   Wed, 3 Aug 2011 20:48:07 +0200

Hi Matthew and Christophe, The objective at the beginning contained a typo indeed: it should be normal(mu-Xbeta_i) as in my code. Your suggestions do work out! Thanks indeed, Arno

----------------------------------------
> Date: Sun, 24 Jul 2011 11:37:14 +0200
> Subject: Re: st: programming in stata - problems with optimize
> From: ck.statalist@gmail.com
> To: statalist@hsphsun2.harvard.edu
>
> As Matthew points out your objective function seems to be ill-behaved.
> It looks like you are trying to solve the normal equations but not
> quite. Moreover the code of your objective function is not consistent
> with the formula you give at the beginning of your post. Optimize
> helps you finding the maximum or minimum of a function and is not
> originally designed for finding the roots of an equation. However the
> methods used to optimize functions, like Newton-Raphson are
> root-finding methods. They find the roots of the gradient of the
> objective function and this why Matthew proposes to optimize the
> square of your function. You can also think of the GMM method where
> the solution of the problem is solved by mimizing a quadratic form of
> the moments. The problem with this method is that you have to find the
> primitive of the equation you want to solve. Therefore a way to use
> optimize as a root-finder is to specify the gradient, which will in
> this case be equal to the equation you are trying to solve and use the
> d1 evaluator. The solution will be the set of paramaters which
> annulate the gradient.
>
> I give here an example
>
> I want to find mu such that Sum_{i} (x_i-mu) = 0 -> which solution I
> know is the mean
>
> clear *
> set obs 1000
>
> drawnorm x
>
> sum x
>
>
> mata:
>
> x=st_data(.,"x")
>
> void myf(todo,p, x, f,g,H)
> {
>
> f=0 // obejctive function is irrelevant in this case
>
> if (todo==1) {
> g=quadcolsum((x:-p)) // the equation I want to solve,
> implicitly set equal to zero
> }
>
>
> }
>
>
> S = optimize_init()
> optimize_init_evaluator(S, &myf())
> optimize_init_evaluatortype(S, "d1")
> optimize_init_params(S, (1))
> optimize_init_argument(S, 1, x)
> p=optimize(S)
> p
> end
>
>
> sum x // should be equal to p
>
> Now let's say I want to solve for x the equation x^2-2x+1=0
>
> Write then
>
> void myf2(todo,p,f,g,H)
> {
>
> f=0
>
> if (todo==1) {
> g=p^2-2*p+1
> }
>
> }
>
>
> S = optimize_init()
> optimize_init_evaluator(S, &myf2())
> optimize_init_evaluatortype(S, "d1")
> optimize_init_params(S, (1))
>
> p=optimize(S)
>
> p
> You will find that p=1.
>
> You might also have a look at Benn Jann's root finder from his moremata package.
> Christophe
>
>
> 2011/7/22 A.J van der Vlist <vlist001@hotmail.com>:
> > Dear Statalisters,
> >
> > I encouter problems in optimizing function f:
> >
> > I would like to solve for mu:
> >
> > sum over i { Nx_i' * (mu - Xbeta_i) } = Sk
> >
> > Nx = [n x 1] , vector of {1/n}'s in order to sum over i
> > mu = parameter
> > Xbeta = [n x 1] vector of fitted values
> > Sk = scalar
> >
> > This is what I tried:
> >
> > scalar Sk1=Sm1_SRA
> > mata:
> > X=st_data(.,"Xbeta")
> > Nx=st_data(.,"Nxi")
> > void mymodelb(todo, mu2, f, g, H)
> > {
> > external Nx, X
> > hlp=(mu2 :- X)
> > f = (Nx' * normal(hlp)) - Sk1
> > }
> > S = optimize_init()
> > optimize_init_evaluator(S, &mymodelb())
> > optimize_init_params(S, 0)
> > mu2 = optimize(S)
> > problem:
> >
> > 1) I get problems when running with Sk1 in f
> > 2) when I substitute for Sk1 =0.501 in f the code will give a result - yet unreasonable high +e11
> >
> > Suggestions are very welcome.
> >
> > Arno
> > *
> > * 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/
> >
>
> *
> * 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/ 		 	   		  
*
*   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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