Re: [Gretl-users] Optimization Problem gretl vs Excel Solver

Am 05.10.2015 um 23:14 schrieb Allin Cottrell <cottrell(a)wfu.edu&gt;: > On Mon, 5 Oct 2015, Pindar Os wrote: > > Hi there, > > it's been a while since my last post...how was the gretl conference in > Berlin?) Both productive and fun (thanks, Sven!). > Today I'm concerned with an optimization problem. > I have the following goal: > Find a linear combination of input series in such a way that > - the resulting series is used to calculate the difference to another > exogenous series > - the variance of the 'difference-series' shall be minimized > - the coefficients are weights for the input series > - there are 2 groups of weights and in each group the weights sum up to 1 > and are all positive > > (In a next step I also restrict the coeffs so that the weights of the two > groups are identical). > > I manged to use gretls numerical methods, somehow. Code see below. > However the results are not as good as the Excel Solver solutions: gretl > gives a small but not the minimal variance. > I want to use gretl since stability analysis is much easier (and I prefer > gretl for such tasks at any rate :-). > > Is it a necessary to use analytical derivatives? I think BFGS ought to be able to do a decent job without that. Not sure, but I think that rather than just truncating your parameters that are supposed to be in the range 0 to 1, as in > x = (x.<0)? 0 : x > x = (x.>1)? 1: x you might do better to use a transformation such as cnorm() which "naturally" enforces the constraint. That is, let the x's be unconstrained but apply weights of w[i] = cnorm(x[i]). (You'd then have to use critical(), the inverse CDF function, to set the nth parameter such that the weights sum to 1.0. However, if the implied nth weight was negative, I guess you'd want your function to return NA). Allin Cottrell _______________________________________________ Gretl-users mailing list Gretl-users(a)lists.wfu.edu http://lists.wfu.edu/mailman/listinfo/gretl-users