8:42 a.m.
Dear All,
To reproduce
x = {1,1}'
catch eval numhess(x,x'*x)
catch eval fdjac(x,x'*x)
catch eval fdjac(x,(x'*x))
function matrix i(matrix x)
return x
end function
eval numhess(x,i(x'*x))
eval fdjac(x,i(x'*x))
Why it may look trivial, I spent
some time to guess to use
identity function
I can imagine 2 possibilities:
1) to include native identity
function in hansl
2)fdjac and numhess should do
something similar inside
???
Oleh
9:11 a.m.
On Wed, 4 Oct 2017, oleg_komashko(a)ukr.net wrote:
Dear All,
To reproduce
x = {1,1}'
catch eval numhess(x,x'*x)
catch eval fdjac(x,x'*x)
catch eval fdjac(x,(x'*x))
function matrix i(matrix x)
return x
end function
eval numhess(x,i(x'*x))
eval fdjac(x,i(x'*x))
Why it may look trivial, I spent
some time to guess to use
identity function
I can imagine 2 possibilities:
1) to include native identity
function in hansl
2)fdjac and numhess should do
something similar inside
Ok, first things first: DON'T EVER use the Matlab-style syntax "x'*x";
it
works, but it's inefficient, both in terms of memory usage and CPU time.
Use "x'x" instead. Believe me, it does make a difference. And if you
don't
believe me, try this:
<hansl>
set verbose off
X = mnormal(2000,100)
XX = zeros(100,100)
set stopwatch
loop 100 -q
XX = X'*X
endloop
t0 = $stopwatch
loop 100 -q
XX = X'X
endloop
t1 = $stopwatch
print t0 t1
</hansl>
Having said this, fdjac and numhess are supposed to work on _functions_,
not _arbitrary expressions_. Of course Allin has the final word here, but
I imagine that allowing for arbitrary genr expressions as the second
argument would complicate the parsing quite a bit, and I don't really see
the scope for it. But I may be wrong, of course.
-------------------------------------------------------
Riccardo (Jack) Lucchetti
Dipartimento di Scienze Economiche e Sociali (DiSES)
Università Politecnica delle Marche
(formerly known as Università di Ancona)
r.lucchetti(a)univpm.it
http://www2.econ.univpm.it/servizi/hpp/lucchetti
-------------------------------------------------------
9:32 a.m.
Use "x'x" instea several packd - Thank you. Sometimes
ago
I rewrote several packages computing quadratic forms
and quadratic forms with inverse. x'x was my gap
Having said this, fdjac and numhess are supposed to work on
_functions_,
not _arbitrary expressions
arbitrary expressions are turned into functions via identity function,
so, may be make native identity function in hansl?
Oleh
4 жовтня 2017, 12:11:45, від "Riccardo (Jack) Lucchetti"
<r.lucchetti(a)univpm.it>:
On Wed, 4 Oct 2017, > oleg_komashko(a)ukr.net wrote:
> Dear All,
> To reproduce
> x = {1,1}'
> catch eval numhess(x,x'*x)
> catch eval fdjac(x,x'*x)
> catch eval fdjac(x,(x'*x))
>
> function matrix i(matrix x)
> return x
> end function
>
> eval numhess(x,i(x'*x))
>
> eval fdjac(x,i(x'*x))
>
> Why it may look trivial, I spent
> some time to guess to use
> identity function
>
> I can imagine 2 possibilities:
> 1) to include native identity
> function in hansl
> 2)fdjac and numhess should do
> something similar inside
Ok, first things first: DON'T EVER use the Matlab-style syntax "x'*x";
it
works, but it's inefficient, both in terms of memory usage and CPU time.
Use "x'x" instead. Believe me, it does make a difference. And if you
don't
believe me, try this:
<hansl>
set verbose off
X = mnormal(2000,100)
XX = zeros(100,100)
set stopwatch
loop 100 -q
XX = X'*X
endloop
t0 = $stopwatch
loop 100 -q
XX = X'X
endloop
t1 = $stopwatch
print t0 t1
</hansl>
Having said this, fdjac and numhess are supposed to work on _functions_,
not _arbitrary expressions_. Of course Allin has the final word here, but
I imagine that allowing for arbitrary genr expressions as the second
argument would complicate the parsing quite a bit, and I don't really see
the scope for it. But I may be wrong, of course.
-------------------------------------------------------
Riccardo (Jack) Lucchetti
Dipartimento di Scienze Economiche e Sociali (DiSES)
Università Politecnica delle Marche
(formerly known as Università di Ancona)
r.lucchetti@univpm.ithttp://www2.econ.univpm.it/servizi/hpp/lucchetti
-------------------------------------------------------
_______________________________________________
Gretl-devel mailing list
Gretl-devel@lists.wfu.eduhttp://lists.wfu.edu/mailman/listinfo/gretl-devel
7:52 p.m.
On Wed, 4 Oct 2017, oleg_komashko(a)ukr.net wrote:
Dear All,
To reproduce
x = {1,1}'
catch eval numhess(x,x'*x)
catch eval fdjac(x,x'*x)
catch eval fdjac(x,(x'*x))
function matrix i(matrix x)
return x
end function
eval numhess(x,i(x'*x))
eval fdjac(x,i(x'*x))
Why it may look trivial, I spent
some time to guess to use
identity function
I can imagine 2 possibilities:
1) to include native identity
function in hansl
2)fdjac and numhess should do
something similar inside
???
Turns out that it's easy enough to support the pattern you gave on
your third "eval" attempt above -- that is, you put the raw
expression into parentheses and we can then treat it as an
"anonymous inline function":
<hansl>
x = {1,1}'
eval numhess(x,(x'x))
eval fdjac(x,(x'x))
</hansl>
That's now in git. In principle we could parse the unparenthesized
case, but it would be a lot more fiddly and error-prone.
Allin
8:23 p.m.
Dear Allin,
1)
<hansl>
x = {1,1}'
eval numhess(x,(x'x))
eval fdjac(x,(x'x))
</hansl>
Thank you!!!
As for me, my problem is 100% solved!
2) I think its a very good idea
to consider grad and Hessian via
complex numbers
The formula is trivial, one step
dy/dx ~ Im((y(x0)-y(x0+i*eps))/eps)
The trick is in that the preciseness
does not depends on real x!
So eps ~ 3*10^-16!
clib contains all elementary
functions of complex argument.
To make it fully functional
it is sufficient to find a c code
for normal cdf for complex
argument and basic matrix
operations for complex arguments.
If it could be realized in c
sufficiently quickly it would be
a real bomb: no need for
automatic/symbolic differentiation!
Oleh
5:57 a.m.
On Wed, 4 Oct 2017, oleg_komashko(a)ukr.net wrote:
To make it fully functional
it is sufficient to find a c code
for normal cdf for complex
argument and basic matrix
operations for complex arguments.
I'm working on a function package which, among other things, will include
support for complex matrices. If you want, I can send you a pre-release
version.
-------------------------------------------------------
Riccardo (Jack) Lucchetti
Dipartimento di Scienze Economiche e Sociali (DiSES)
Università Politecnica delle Marche
(formerly known as Università di Ancona)
r.lucchetti(a)univpm.it
http://www2.econ.univpm.it/servizi/hpp/lucchetti
-------------------------------------------------------
6:38 a.m.
It is very interesting,
But this is a somewhat different
question. For gradient and
hessian hansl support is not
needed: all functions are
inside c code: gretl input
are real function
c output is real number
matrix. The question is
the speed.
The script attached
illustrates the preciseness
It does not use {numDeriv}
only R shared library
But it is too slow to
be practical
The Hessian uses the
simplest finite difference
formula
Oleh
5 жовтня 2017, 08:59:28, від "Riccardo (Jack) Lucchetti"
<r.lucchetti(a)univpm.it>:
On Wed, 4 Oct 2017, > oleg_komashko(a)ukr.net wrote:
> To make it fully functional
> it is sufficient to find a c code
> for normal cdf for complex
> argument and basic matrix
> operations for complex arguments.
I'm working on a function package which, among other things, will include
support for complex matrices. If you want, I can send you a pre-release
version.
-------------------------------------------------------
Riccardo (Jack) Lucchetti
Dipartimento di Scienze Economiche e Sociali (DiSES)
Università Politecnica delle Marche
(formerly known as Università di Ancona)
r.lucchetti@univpm.ithttp://www2.econ.univpm.it/servizi/hpp/lucchetti
-------------------------------------------------------
_______________________________________________
Gretl-devel mailing list
Gretl-devel@lists.wfu.eduhttp://lists.wfu.edu/mailman/listinfo/gretl-devel
6:58 a.m.
On Thu, 5 Oct 2017, oleg_komashko(a)ukr.net wrote:
It is very interesting,
But this is a somewhat different
question.
I'm sorry, I don't think I understand what you're talking about. But never
mind. :)
However, if anybody on the list needs complex matrices, the corresponding
funciton package should be out Real Soon Now.
-------------------------------------------------------
Riccardo (Jack) Lucchetti
Dipartimento di Scienze Economiche e Sociali (DiSES)
Università Politecnica delle Marche
(formerly known as Università di Ancona)
r.lucchetti(a)univpm.it
http://www2.econ.univpm.it/servizi/hpp/lucchetti
-------------------------------------------------------
7:04 a.m.
What I mean by functionality:
To compute grads for vast majority
of functions of the real argument
the c code inside
should support these functions
for complex arguments:
to differentiate , say exp(x^2 + x) + sin(log(x^2+1)
the c code should support exp(), sin(), log()
and polynomials for the complex argument
Oleh
5 жовтня 2017, 09:58:18, від "Riccardo (Jack) Lucchetti"
<r.lucchetti(a)univpm.it>:
On Thu, 5 Oct 2017, > oleg_komashko(a)ukr.net wrote:
> It is very interesting,
> But this is a somewhat different
> question.
I'm sorry, I don't think I understand what you're talking about. But never
mind. :)
However, if anybody on the list needs complex matrices, the corresponding
funciton package should be out Real Soon Now.
-------------------------------------------------------
Riccardo (Jack) Lucchetti
Dipartimento di Scienze Economiche e Sociali (DiSES)
Università Politecnica delle Marche
(formerly known as Università di Ancona)
r.lucchetti@univpm.ithttp://www2.econ.univpm.it/servizi/hpp/lucchetti
-------------------------------------------------------
2:52 p.m.
New subject: a non-num... yes, I want
Dear Riccardo,
If you want, I can send you a pre-release
version
I'm being stupid at times
Send it, please
Oleh
5 жовтня 2017, 08:59:28, від "Riccardo (Jack) Lucchetti"
<r.lucchetti(a)univpm.it>:
On Wed, 4 Oct 2017, > oleg_komashko(a)ukr.net wrote:
> To make it fully functional
> it is sufficient to find a c code
> for normal cdf for complex
> argument and basic matrix
> operations for complex arguments.
I'm working on a function package which, among other things, will include
support for complex matrices. If you want, I can send you a pre-release
version.
-------------------------------------------------------
Riccardo (Jack) Lucchetti
Dipartimento di Scienze Economiche e Sociali (DiSES)
Università Politecnica delle Marche
(formerly known as Università di Ancona)
r.lucchetti@univpm.ithttp://www2.econ.univpm.it/servizi/hpp/lucchetti
-------------------------------------------------------
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2657
days inactive
2658
days old
9 comments
3 participants
participants (3)
-
Allin Cottrell -
oleg_komashko＠ukr.net -
Riccardo (Jack) Lucchetti