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From |
Partho Sarkar <partho.ss+lists@gmail.com> |

To |
statalist@hsphsun2.harvard.edu |

Subject |
Re: st: code for dynamic programming |

Date |
Fri, 2 Mar 2012 20:48:43 +0530 |

Osei Glad it helped somewhat, but I don't think there is any cause for despair- if you are prepared to put in a minimum amount of effort! There has been a lot of programming developed for these problems. You just have to grind through the basic steps of searching, locating a language/program that suits you & which you can access easily, mastering the essentials, and building up the algorithm is steps of increasing complexity. R is open-source, and there is an enormously rich repository of user contributed programs in diverse areas including, I am sure, DP- see the CRAN project. [ Just to give some perspective, in a way, things are *much* easier for beginning programmers now- when some of us started out, we didn't have acces to any internet forums, not to mention archives of lectures, papers & programs!] Good luck. Partho On Fri, Mar 2, 2012 at 8:35 PM, Osei Kuffour Wiafe <okwiafe@gmail.com> wrote: > Partho, > Thanks for the ideas and the attached resources are very enlightening. > Yes, it's an Inter-temporal utility maximizing > problem, and now it looks to be far-fetched for me! > Nick, > I appreciate your thoughts too. I hope someone comes up with something > in this field in the very near future! > thanks guys! > > On Fri, Mar 2, 2012 at 7:10 PM, Partho Sarkar <partho.ss+lists@gmail.com> wrote: >> Osei, from your post it is not clear to me exactly what you are >> trying to do- I think you would get more help if you explain that >> clearly. Some remarks & suggestions below , for what they are worth: >> >> If it is an exercise in simulating/solving a dynamic programming (DP) >> problem as such (e.g., inter-temporal utility maximization of a >> consumer, which is what your post suggests) , then Stata is simply not >> the tool for it- Stata is by definition geared toward *statistical* >> problems. Sure, like any statistical package, it uses some >> maximization algorithms, e.g., for maximum likelihood estimation, but >> these are by their nature specific to that particular class of >> problem. (It might be possible to somehow manipulate these to told >> to solve a DP problem, but it doesn't seem very promising!) >> >> For DP as such, which is a *mathematical/computational* problem, there >> are many programs available in other languages/packages- Matlab would >> be my first choice (or R or C++ ). Have a look at >> http://www.stanford.edu/~roymill/cgi-bin/methods2010/material.php (the >> Matlab section) -there are many other sources for DP algorithms in >> Matlab. ( It is some time since I have worked on this type of >> exercise, so you might find more upto date information. ) >> >> On the other hand, if you are trying to *estimate* a dynamic discrete >> choice model, then that is a *statistical* problem in which you can >> utilize Stata's estimation tools (the key here would be formulating >> the estimation problem/equations properly, and not the algorithm). I >> have no experience of this, but if you search around, I am sure you >> will be able to find some sources. E.g., just at random,I found a >> link to this recent paper : >> http://www.annualreviews.org/doi/abs/10.1146/annurev-economics-111809-125038?journalCode=economics >> >> I hope this helps. >> >> Partho Sarkar >> >> >> >> From Osei Kuffour Wiafe <okwiafe@gmail.com> >> To statalist@hsphsun2.harvard.edu >> Subject st: code for dynamic programming >> Date Thu, 1 Mar 2012 21:12:16 +1000 >> >> Hey guys, >> >> I'm quite new to stata and I need help with coding a backward recursive >> problem. It is in the form of the Epstein-Zin utility and similar to the >> Bellman equation. I'd appreciate any other dynamic programming code which >> would relate to what I am doing. That should give me a clue to finding my >> solution. For now I have no idea where to begin! >> >> Hope to get some help from this forum. >> Cheers, >> O.K. >> * >> * 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/ > > > > -- > Cheers, > * > Osei K. > Phone: + 61 7 3138 6857 * > *Mobile: + 61 451 418 099 > > > *I don't know who my grandfather was; I am much more concerned to know what > his grandson will be. ~ *Abraham Lincoln* *(1809- 1865)* > > Life is like riding a bicycle - in order to keep your balance, you must keep > moving. ~*Albert* *Einstein (1879-1955) > * > > * > * 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/

**Follow-Ups**:**Re: st: code for dynamic programming***From:*Osei Kuffour Wiafe <okwiafe@gmail.com>

**References**:**Re: st: code for dynamic programming***From:*Partho Sarkar <partho.ss+lists@gmail.com>

**Re: st: code for dynamic programming***From:*Osei Kuffour Wiafe <okwiafe@gmail.com>

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