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## Copyright (C) 2003, 2004, 2005 Michael Creel <michael.creel@uab.es>
##
## This program is free software; you can redistribute it and/or modify it under
## the terms of the GNU General Public License as published by the Free Software
## Foundation; either version 3 of the License, or (at your option) any later
## version.
##
## This program is distributed in the hope that it will be useful, but WITHOUT
## ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or
## FITNESS FOR A PARTICULAR PURPOSE. See the GNU General Public License for more
## details.
##
## You should have received a copy of the GNU General Public License along with
## this program; if not, see <http://www.gnu.org/licenses/>.
## usage: [theta, obj_value, convergence, iters] =
## gmm_estimate(theta, data, weight, moments, momentargs, control, nslaves)
##
## inputs:
## theta: column vector initial parameters
## data: data matrix
## weight: the GMM weight matrix
## moments: name of function computes the moments
## (should return nXg matrix of contributions)
## momentargs: (cell) additional inputs needed to compute moments.
## May be empty ("")
## control: (optional) BFGS or SA controls (see bfgsmin and samin).
## May be empty ("").
## nslaves: (optional) number of slaves if executed in parallel
## (requires MPITB)
##
## outputs:
## theta: GMM estimate of parameters
## obj_value: the value of the gmm obj. function
## convergence: return code from bfgsmin
## (1 means success, see bfgsmin for details)
## iters: number of BFGS iteration used
##
## please type "gmm_example" while in octave to see an example
## call the minimizing routine
function [theta, obj_value, convergence, iters] = gmm_estimate(theta, data, weight, moments, momentargs, control, nslaves)
if nargin < 5 error("gmm_estimate: 5 arguments required"); endif
if nargin < 6 control = {-1}; endif # default controls
if !iscell(control) control = {-1}; endif # default controls if receive placeholder
if nargin < 7 nslaves = 0; endif
if nslaves > 0
global NSLAVES PARALLEL NEWORLD NSLAVES TAG;
LAM_Init(nslaves);
# Send the data to all nodes
NumCmds_Send({"data", "weight", "moments", "momentargs"}, {data, weight, moments, momentargs});
endif
# bfgs or sa?
if (size(control,1)*size(control,2) == 0) # use default bfgs if no control
control = {Inf,0,1,1};
method = "bfgs";
elseif (size(control,1)*size(control,2) < 11)
method = "bfgs";
else method = "sa";
endif
if strcmp(method, "bfgs")
[theta, obj_value, convergence, iters] = bfgsmin("gmm_obj", {theta, data, weight, moments, momentargs}, control);
elseif strcmp(method, "sa")
[theta, obj_value, convergence] = samin("gmm_obj", {theta, data, weight, moments, momentargs}, control);
endif
if nslaves > 0 LAM_Finalize; endif # clean up
endfunction
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