[Gretl-users] Re: Fwd: Norm of gradient in mle command
On Fri, Oct 27, 2023 at 2:48 AM Riccardo (Jack) Lucchetti
<p002264(a)staff.univpm.it> wrote:
On 27/10/2023 01:16, Alecos Papadopoulos wrote:
> In an mle command with numerical derivatives I get in the script output
> (actual example)
>
> Gradients: 2.4007 6.7772 -5.3557 -0.89559 (norm 1.96e+000)
>
> Can somebody please advise which norm is this, preferably giving also
> its computation formula?
Call b the parameter vector and g the gradient vector, both with n
elements. Then the norm is computed as
gradnorm = sqrt(abs(b'g)/n)
I don't remember where this formula came from, Allin and I worked on
this piece of code long ago.
The gradient norm code was added to gretl_bfgs.c on 2010-01-26. I
presume there must have been some email discussion at the time but I'm
afraid I can't find it.
Allin Cottrell