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st: RE: Optimize for 2 unknowns looping over observations using Mata


From   "Mak, Timothy" <timothy.mak07@imperial.ac.uk>
To   "'statalist@hsphsun2.harvard.edu'" <statalist@hsphsun2.harvard.edu>
Subject   st: RE: Optimize for 2 unknowns looping over observations using Mata
Date   Mon, 5 Mar 2012 16:56:56 +0000

Hi, 

I think it may be that you've mis-written your arguments for your function: 

Instead of (todo, p, x, lnf, g, H)

it should be (todo, p, i, lnf, g, H)

Still, I think a better way of writing your function would be to take your line: 

      x = st_data( i,("sige", "Ix", "divrate", "rf", "time", "ve", "sqrtT"))

out of your function, and put it in your loop. And replace:

	optimize_init_argument(S,1,i) 

with

	optimize_init_argument(S,1,x)

Hope that helps. 

Tim

**time and sqrtT are constant
**sige, Ix, divrate, rf, ve


gen double a = .
gen double b = .
mata
void bsmp0(todo, p, x, lnf, g, H)
 {
      a = p[1]
      b = p[2]
      x = st_data( i,("sige", "Ix", "divrate", "rf", "time", "ve", "sqrtT"))

	f1= a * exp(-x[3]*x[5])*normal(ln(a/x[2])+x[5]*(x[4]-x[3]+(b^2/2)))/(b*x[7]))
	f2= x[2]*exp(-x[4]*x[5])*normal(ln(a/x[2])+x[5]*(x[4]-x[3]+(b^2/2)))/(b*x[7]))
	f3= (1-exp(-x[3]*x[5]))*a-x[6]
	f4=  ((a*b*exp(-x[3]*x[5]))/x[6])*normal(ln(a/x[2])+
x[5]*(x[4]-x[3]+(b^2/2)))/(b*x[7]))-x[1]
	lnf = (f1-f2)^2+(f3-f4)^2
}
  for(i=1;i<=st_nobs();i++) {
   S = optimize_init()
   optimize_init_evaluator(S, &bsmp0())
   optimize_init_evaluatortype(s,"v0")
   optimize_init_params(S,(0,0))
   optimize_init_argument(S,1,i)
  p = optimize(S)
  st_store(i,"va", a)
  st_store(i,"siga", b)
   }
end


After trying numerous combinations based on help, the mata manual and
online guides, I am not sure how to proceed.

Thanks for your consideration,

William


. mata
------------------------------------------------- mata (type end to
exit) ----------------------------------------

: void bsmp0(todo, p, x, lnf, g, H)
>  {
>       a = p[1]
>       b = p[2]
>       x = st_data( i,("sige", "x", "divrate", "r", "time", "ve", "sqrtT"))
>
> f1= a * exp(-x[3]*x[5])*normal(ln(a/x[2])+x[5]*(x[4]-x[3]+(b^2/2)))/(b*x[7]))
too many ')'
r(3000);
:
: f2= x[2]*exp(-x[4]*x[5])*normal(ln(a/x[2])+x[5]*(x[4]-x[3]+(b^2/2)))/(b*x[7]))
too many ')'
r(3000);
:
: f3= (1-exp(-x[3]*x[5]))*a-x[6]
                 <istmt>:  3499  x not found
r(3499);
:
: f4=  ((a*b*exp(-x[3]*x[5]))/x[6])*normal(ln(a/x[2])+
x[5]*(x[4]-x[3]+(b^2/2)))/(b*x[7]))-x[1]
too many ')'
r(3000);
:
: lnf = (f1-f2)^2+(f3-f4)^2
                 <istmt>:  3499  f1 not found
r(3499);
:
: }
expression invalid
r(3000);
:
:   for(i=1;i<=st_nobs();i++) {
>    S = optimize_init()
>    optimize_init_evaluator(S, &bsmp0())
>    optimize_init_evaluatortype(s,"v0")
>    optimize_init_params(S,(0,0))
>    optimize_init_argument(S,1,i)
>   p = optimize(S)
>   st_store(i,"va", a)
>   st_store(i,"siga", b)
>    }
                 <istmt>:  3499  s not found
r(3499);


--
wrpratt@utpa.edu
University of Texas-Pan American
College of Business Administration
Department of Finance and Economics
South Texas Border Health Disparities Center
o - 956.665.7937
f - 956.665.7310
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