Logo Search packages:      
Sourcecode: octave-econometrics version File versions  Download package

nls_estimate.m

## Copyright (C) 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] = nls_estimate(theta, data, model, modelargs, control, nslaves)
#
# inputs:
# theta: column vector of model parameters
# data: data matrix
# model: name of function that computes the vector of sums of squared errors
# 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: NLS estimated value of parameters
# obj_value: the value of the sum of squared errors at NLS estimate
# conv: return code from bfgsmin (1 means success, see bfgsmin for details)
# iters: number of BFGS iteration used
#
# please see nls_example.m for examples of how to use this
function [theta, obj_value, convergence, iters] = nls_estimate(theta, data, model, modelargs, control, nslaves)

      if nargin < 3
            error("nls_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 = {Inf,0,1,1}; endif # default controls and method
      if !iscell(control) control = {Inf,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

      if strcmp(method, "bfgs")
        [theta, obj_value, convergence, iters] = bfgsmin("nls_obj", {theta, data, model, modelargs, nslaves}, control);
      elseif strcmp(method, "sa")
        [theta, obj_value, convergence] = samin("nls_obj", {theta, data, model, modelargs, nslaves}, control);
      endif

      # cleanup
      if nslaves > 0 LAM_Finalize; endif
endfunction

Generated by  Doxygen 1.6.0   Back to index