I try to implement some sort of random search over the parameter space
to supply good starting values in my Mata -optimize- problem, and I
was hoping to use -optimize_evaluate()- for that purpose. My
understanding, from the manual, was that it takes the initial values
(supplied by -optimize_init_params()-), computes the function and
posts the results into (the Mata structure visible as)
-optimize_result*()-. As it does not perform any optimization, the
init_params and result_params should be the same. However, they are
not:
: optimize_init_params(Sth, uniform(1,2) )
: optimize_init_params(Sth )
1 2
+-----------------------------+
1 | .0087578271 .3072360181 |
+-----------------------------+
: _optimize_evaluate(Sth)
b12 = .0581941, b13 = .690081, theta1 = -.0485678, log-likelihood =
-7.07196
0
: optimize_result_params( Sth )
1 2
+-----------------------------+
1 | .0581940888 .6900808689 |
+-----------------------------+
: optimize_init_params(Sth, uniform(1,2) )
: optimize_init_params(Sth )
1 2
+-----------------------------+
1 | .4972361468 .8971257419 |
+-----------------------------+
: _optimize_evaluate(Sth)
b12 = .0581941, b13 = .690081, theta1 = -.0485678, log-likelihood =
-7.07196
0
: optimize_result_params( Sth )
1 2
+-----------------------------+
1 | .0581940888 .6900808689 |
+-----------------------------+
:
The vector (0.058, 0.690) is what was there before (after a painful
non-convergent minimization attempt with lots of problematic numeric
derivatives), and it looks like -optimize_evaluate()- just ignored the
starting values I gave.
Am I missing something, or is it a bug? Stata 11 is fully up to date.
--
Stas Kolenikov, also found at http://stas.kolenikov.name
Small print: I use this email account for mailing lists only.
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