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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 2 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, write to the Free Software
# Foundation, Inc., 59 Temple Place, Suite 330, Boston, MA 02111-1307 USA
# 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 = {Inf,0,1,1}; endif # default controls
if !iscell(control) control = {Inf,0,1,1}; 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