Add a useful package (from Source forge) for octave

[CreaPhase.git] / octave_packages / econometrics-1.0.8 / mle_obj.m

diff --git a/octave_packages/econometrics-1.0.8/mle_obj.m b/octave_packages/econometrics-1.0.8/mle_obj.m
new file mode 100644 (file)
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+++ b/octave_packages/econometrics-1.0.8/mle_obj.m
@@ -0,0 +1,64 @@
+# Copyright (C) 2003,2004,2005  Michael Creel <michael.creel@uab.es>
+# 
+# This program is free software; you can redistribute it and/or modify
+# it under the terms of the GNU General Public License as published by
+# the Free Software Foundation; either version 2 of the License, or
+# (at your option) any later version.
+# 
+# This program is distributed in the hope that it will be useful,
+# but WITHOUT ANY WARRANTY; without even the implied warranty of
+# MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE.  See the
+# GNU General Public License for more details.
+# 
+# You should have received a copy of the GNU General Public License
+# along with this program; If not, see <http://www.gnu.org/licenses/>.
+
+## usage: [obj_value, score] = mle_obj(theta, data, model, modelargs, nslaves)
+##
+## Returns the average log-likelihood for a specified model
+## This is for internal use by mle_estimate
+
+
+function [obj_value, score] = mle_obj(theta, data, model, modelargs, nslaves)
+
+       n = rows(data);   
+       
+       if nargin < 5 nslaves = 0; endif
+       if nslaves > 0
+               global NSLAVES PARALLEL NEWORLD NSLAVES TAG;
+
+               nn = floor(n/(NSLAVES + 1)); # number of obsns per slave
+
+               # The command that the slave nodes will execute
+               cmd=['contrib = mle_obj_nodes(theta, data, model, modelargs, nn); ',... 
+                       'MPI_Send(contrib,0,TAG,NEWORLD);'];    
+
+               # send items to slaves
+               NumCmds_Send({"theta", "nn", "cmd"}, {theta, nn, cmd});
+
+               # evaluate last block on master while slaves are busy
+               obj_value = mle_obj_nodes(theta, data, model, modelargs, nn);
+
+               # collect slaves' results
+               contrib = 0.0; # must be initialized to use MPI_Recv
+               for i = 1:NSLAVES
+                       MPI_Recv(contrib,i,TAG,NEWORLD);
+                       obj_value = obj_value + contrib;
+               endfor
+
+               # compute the average
+               obj_value = - obj_value / n;
+               score = "na"; # fix this later to allow analytic score in parallel
+               
+       else # serial version
+               [contribs, score] = feval(model, theta, data, modelargs);
+               obj_value = - mean(contribs);
+               if isnumeric(score) score = - mean(score)'; endif # model passes "na" when score not available
+       endif
+
+       # let's bullet-proof this in case the model goes nuts
+       if (((abs(obj_value) == Inf)) || (isnan(obj_value)))
+               obj_value = realmax/10;
+       endif       
+
+endfunction