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Re: st: code for dynamic programming


From   Osei Kuffour Wiafe <okwiafe@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: code for dynamic programming
Date   Sat, 3 Mar 2012 09:23:05 +1000

Thanks, Partho. I'd find a way to grind myself through. Advise appreciated.
Cheers!

On Sat, Mar 3, 2012 at 1:18 AM, Partho Sarkar <partho.ss+lists@gmail.com> wrote:
> 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/



-- 
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/


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