Stata Corp folks should be able to answer that question best, but my
impression is that your best option with C is to translate your stuff
into Stata plugins, see http://www.stata.com/plugins/. The best Stata
optimizer is by far -ml-, but it only has that specific idea in mind:
you have a likelihood, and you want to find your MLEs. It is very well
tuned to that, but because of its universal character (in terms of
being able to maximize any weird likelihood), it is relatively slow.
Other optimizers (at least those I've seen) seemed to have a rather
amateur flavor to me. The stuff that's not in C, and that you cannot
put into plugins, you would have to rewrite in Mata; as long as the
latter is a matrix language, it will be way easier to transfer your R
programs into than original Stata. You may have to write your own code
for all three pieces. If the FAQs and statalist archives don't give
you anything serious, then with 98% likelihood it is not there.
On 12/3/05, Jens Hainmueller <[email protected]> wrote:
> Hi Statalisters,
>
> we are trying to translate a package that we have written in R and C into
> Stata. Our method requires several steps of nested optimization.
> Unfortunatly, I am not very familiar with the several optimizers provided in
> Stata, so I would be grateful if somebody could point me to the Stata
> functions for the following problems (I could not find this info in the
> archives nor the FAQs, sorry if I missed it there):
>
> 1. bound constrained optimization (for arbitrary loss functions)
>
> 2. quadratic programming
>
> 3. genetic optimization
>
> Also, is it possible to combine Stata with other engines such C?
>
> Thank you very much for your help! I am using Stata 9.1.
>
> Cheers,
> Jens
>
> *
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>
--
Stas Kolenikov
http://stas.kolenikov.name
*
* For searches and help try:
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