[Gretl-devel] testcases and pet projects

chris christoph.klein at student.kit.edu
Mon Jul 6 07:58:54 EDT 2009


Hi,

Riccardo (Jack) Lucchetti wrote:
> On Mon, 6 Jul 2009, Riccardo (Jack) Lucchetti wrote:
>
> Ok, I think I've got it. The reason why line 548 in gretl_bgfs.c reads
>
>      crit_ok = !na(f) && (f >= fmax + d);
>
> instead of
>
>      crit_ok = !na(f) && (f >= fmax);
>
> is that, in normal circumstances, we want to avoid jumping from one place 
> to another if the jump doesn't yield a *significant* improvement in the 
> objective function. Here d is the threshold, which, in turn, is computed 
> as
>
> d = sumgrad * steplen * acctol;
>
> acctol is a hand-tweaked small number, steplen is between 0 and 1, so what 
> really makes the difference here is sumgrad.
>   
I've checked with BFGS_DEBUG on and it seems that d is always negative. 
So if i understand correctly, gretl doesn't look for a significant 
improvement, but is happy even if f decreased by abs(d)
> which lets your example script run fine. Could you please try it with your 
> "real" stuff?
>   
I got rid of some bugs and now my script works fine.

Christoph


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