QNewton

Purpose

Optimizes a function using the BFGS descent algorithm.

Format

{ x, f, g, ret } = QNewton(&fct, start)
Parameters
  • &fct (function pointer) – pointer to a procedure that computes the function to be minimized. This procedure must have one input argument, a vector of parameter values, and one output argument, the value of the function evaluated at the input vector of parameter values.

  • start (Kx1 vector) – start values.

Returns
  • x (Kx1 vector) – coefficients at the minimum of the function.

  • f (scalar) – value of function at minimum.

  • g (Kx1 vector) – gradient at the minimum of the function.

  • ret (scalar) –

    return code.

    0   normal convergence

    1   forced termination

    2   max iterations exceeded

    3   function calculation failed

    4   gradient calculation failed

    5   step length calculation failed

    6   function cannot be evaluated at initial parameter values

Global Input

_qn_RelGradTol

(scalar), convergence tolerance for relative gradient of estimated coefficients. Default = 1e-5.

_qn_GradProc

(scalar), pointer to a procedure that computes the gradient of the function with respect to the parameters. This procedure must have a single input argument, a Kx1 vector of parameter values, and a single output argument, a Kx1 vector of gradients of the function with respect to the parameters evaluated at the vector of parameter values. If _qn_GradProc is 0, QNewton() uses gradp().

_qn_MaxIters

(scalar), maximum number of iterations. Default = 1e+5. Termination can be forced by pressing C on the keyboard.

_qn_PrintIters

(scalar), if 1, print iteration information. Default = 0. Can be toggled during iterations by pressing P on the keyboard.

_qn_ParNames

(Kx1 vector), labels for parameters.

_qn_PrintResults

(scalar), if 1, results are printed.

Examples

This example computes maximum likelihood coefficients and standard errors for a Tobit model:

/***qnewton.e - a Tobit model***/
// Get data
z = loadd("tobit");
b0 = { 1, 1, 1, 1 };
{ b, f, g, retcode } = qnewton(&lpr, b0);

// Covariance matrix of parameters
h = hessp(&lpr, b);
output file = qnewton.out reset;

print "Tobit Model";
print;
print "coefficients standard errors";
print b~sqrt(diag(invpd(h)));

output off;

// Log-likelihood proc
proc lpr(b);
   local s, m, u;

   s = b[4];

   if s <= 1e-4;
      retp(error(0));
   endif;

   m = z[., 2:4]*b[1:3, .];
   u = z[., 1] ./= 0;

   retp(-sumc(u.*lnpdfmvn(z[., 1]-m, s) + (1-u).*(ln(cdfnc(m/sqrt(s))))));
endp;
Tobit Model
coefficients standard errors

  0.010417884 0.080220019
 -0.20805753  0.094551107
 -0.099749592 0.080006676
  0.65223067  0.099827309

Remarks

If you are running in terminal mode, GAUSS will not see any input until you press ENTER. Pressing C on the keyboard will terminate iterations, and pressing P will toggle iteration output.

To reset global variables for this function to their default values, call QNewtonSet().

Source

qnewton.src