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