[Gretl-users] Re: Grid search

On Tue, 31 Jan 2023, Olasehinde Timmy wrote: > Dear profs., > > Please, I would like to know how to perform a grid search in order to find > an optimal value for a threshold—for example, the threshold value to choose > for the inflation rate in an asymmetric model. A grid search is relatively easy to perform via the "for" variant of the loop command. However, if you want to find the extremum of a one-variable function in a specified range, the golden ratio method is generally faster and more accurate. Here's an example script where the function to be maximised is f(x) = (1-x) * sqrt(x) <hansl> function scalar f(scalar x) return (1-x) * sqrt(x) end function ### grid search for a maximum between 0 and 1 mx = -$huge best = 0 loop for (x = 0; x<=1; x += 0.01) y = f(x) if y > mx mx = y best = x endif endloop print best mx ### golden ratio method matrix m = {0, 0, 1} mx = GSSmax(&m, f(m[1])) best = m[1] print best mx </hansl> ------------------------------------------------------- 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 -------------------------------------------------------_______________________________________________ Gretl-users mailing list -- gretl-users(a)gretlml.univpm.it To unsubscribe send an email to gretl-users-leave(a)gretlml.univpm.it Website: https://gretlml.univpm.it/postorius/lists/gretl-users.gretlml.univpm.it/