AW: AW: [Gretl-devel] bfgs: failed to match initial value

Klein, Christoph christoph.klein at student.kit.edu
Fri Jul 3 16:35:47 EDT 2009


I'm sorry for all the trouble. Looking carefully through my code, it seems more like the problem is within my scripts than in gretl. I will try to find out why this problem did arise in the next days.

Sorry again and thanks for your helping pointers!

Christoph 
________________________________________
Von: gretl-devel-bounces at lists.wfu.edu [gretl-devel-bounces at lists.wfu.edu] im Auftrag von Riccardo (Jack) Lucchetti [r.lucchetti at univpm.it]
Gesendet: Freitag, 3. Juli 2009 09:35
An: Gretl development
Betreff: Re: AW: [Gretl-devel] bfgs: failed to match initial value

On Thu, 2 Jul 2009, Allin Cottrell wrote:

> On Thu, 2 Jul 2009, Allin Cottrell wrote:
>
>> On Fri, 3 Jul 2009, Klein, Christoph wrote:
>>
>>> i'm sorry but my patch doesn't solve the problem,possibly making
>>> the problem worse. I will look tomorrow at the problem again.
>>> Can you revert the change, please?!
>>
>> OK, done.  I'll try taking a closer look myself.  As the comment
>> in the code suggests -- "FIXME this should never happen" -- the
>> issue we're looking at is one that rarely arises, and is somewhat
>> puzzling.
>
> Let me be a bit more explicit.  The reason why this is puzzling is
> that, typically, if you take MLE results and pass them back as
> initial values for the same problem, gretl's BFGS reports
> immediate convergence, not the error you're talking about ("failed
> to match initial value of objective function"). For example, this
> simple script:
>
> open data9-7
> arma 1 1 ; QNC
> matrix b = $coeff
> set initvals b
> arma 1 1 ; QNC -v
>
> Jack, can you help us out on this?

It would reaaly help to have a testcase, to see exactly what's going on
here. Christoph, I noticed in your original post that the gradients look
funny:

- they are big in absolute value, which shouldn't happen if the starting
point is optimal
- they look the same (again, in absolute value), which is typically what
happens when your model is underidentified, but not necessarily.

Also, IIRC you're using numerical derivatives: there may be a problem with
those too, perhaps.

So if you could post a testcase, it would be most helpful.


Riccardo (Jack) Lucchetti
Dipartimento di Economia
Università Politecnica delle Marche

r.lucchetti at univpm.it
http://www.econ.univpm.it/lucchetti



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