X-Git-Url: https://git.creatis.insa-lyon.fr/pubgit/?p=CreaPhase.git;a=blobdiff_plain;f=octave_packages%2Feconometrics-1.0.8%2Fmle_estimate.m;fp=octave_packages%2Feconometrics-1.0.8%2Fmle_estimate.m;h=4dec10ab781d869effe4f8d4cdfaaae9ae749a8f;hp=0000000000000000000000000000000000000000;hb=f5f7a74bd8a4900f0b797da6783be80e11a68d86;hpb=1705066eceaaea976f010f669ce8e972f3734b05

diff --git a/octave_packages/econometrics-1.0.8/mle_estimate.m b/octave_packages/econometrics-1.0.8/mle_estimate.m
new file mode 100644
index 0000000..4dec10a
--- /dev/null
+++ b/octave_packages/econometrics-1.0.8/mle_estimate.m
@@ -0,0 +1,73 @@
+## 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:
+# [theta, obj_value, conv, iters] = mle_estimate(theta, data, model, modelargs, control, nslaves)
+#
+# inputs:
+# theta: column vector of model parameters
+# data: data matrix
+# model: name of function that computes log-likelihood
+# modelargs: (cell) additional inputs needed by model. May be empty ("")
+# control: (optional) BFGS or SA controls (see bfgsmin and samin). May be empty ("").
+# nslaves: (optional) number of slaves if executed in parallel (requires MPITB)
+#
+# outputs:
+# theta: ML estimated value of parameters
+# obj_value: the value of the log likelihood function at ML estimate
+# conv: return code from bfgsmin (1 means success, see bfgsmin for details)
+# iters: number of BFGS iteration used
+#
+# please see mle_example.m for examples of how to use this
+function [theta, obj_value, convergence, iters] = mle_estimate(theta, data, model, modelargs, control, nslaves)
+
+
+	if nargin < 3
+		error("mle_estimate: 3 arguments required");
+	endif
+
+	if nargin < 4 modelargs = {}; endif # create placeholder if not used
+	if !iscell(modelargs) modelargs = {}; endif # default controls if receive placeholder
+	if nargin < 5 control = {-1,0,1,1}; endif # default controls and method
+	if !iscell(control) control = {-1,0,1,1}; endif # default controls if receive placeholder
+	if nargin < 6 nslaves = 0; endif
+	if nslaves > 0
+		global NSLAVES PARALLEL NEWORLD TAG;
+		LAM_Init(nslaves);
+		# Send the data to all nodes
+		NumCmds_Send({"data", "model", "modelargs"}, {data, model, modelargs});
+	endif
+
+	# bfgs or sa?
+	if (size(control,1)*size(control,2) == 0) # use default bfgs if no control
+		control = {Inf,0,1,1};
+		method = "bfgs";
+	elseif (size(control,1)*size(control,2) < 11)
+		method = "bfgs";
+	else method = "sa";
+	endif
+
+	# do estimation using either bfgsmin or samin
+	if strcmp(method, "bfgs")
+	  [theta, obj_value, convergence, iters] = bfgsmin("mle_obj", {theta, data, model, modelargs, nslaves}, control);
+	elseif strcmp(method, "sa")
+	  [theta, obj_value, convergence] = samin("mle_obj", {theta, data, model, modelargs, nslaves}, control);
+	endif
+
+	if nslaves > 0
+		LAM_Finalize;
+	endif # cleanup
+	obj_value = - obj_value; # recover from minimization rather than maximization
+endfunction