RE: st: ml estimator behavior

["Gregory, Christian - ERS" <cgregory@ers.usda.gov>]

Hi Maarten,

Thanks. I have assumed that if I print out the gradient in debug mode, that would give me a clue as to which elements of the gradient are off. But on each iteration, the element that is furthest off changes. Am I thinking correctly about how to use the gradient in debug mode?

Thanks,
Christian

-----Original Message-----
From: owner-statalist@hsphsun2.harvard.edu [mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of Maarten Buis
Sent: Friday, January 10, 2014 7:02 AM
To: statalist@hsphsun2.harvard.edu
Subject: Re: st: ml estimator behavior

On Fri, Jan 10, 2014 at 12:26 PM, Gregory, Christian wrote:
> I  have written an .ado file for an ml estimator-a semi-ordered bivariate probit. But it behaves a little strangely.
> 1.      When I run it in lf0 mode (using numerical gradient and Hessian) it converges fine.
> 2.      When I use the gradient that I've written in debug mode, on the first iteration the gradient is always spot on (mreldif on the order of 1e-3 or 1e-4), but things diverge after that.
> 3.      When I run it in lf1 mode, it gets backed up very near the optimizing log likelihood value and won't converge.
>
> My question is this: is this behavior most likely due to there being an error in user-written gradient, or to the fact that user written gradient and the numerial Hessian don't play well together? Or could it be something else?

That is most likely an error in the user-written gradient (a lost minus sign, a bracket in the wrong place, etc.). I have never experienced a problem with combining a user-written gradient with a numerical Hessian, but often enough a problem in my own gradients or Hessians.

Good luck,
Maarten

---------------------------------
Maarten L. Buis
WZB
Reichpietschufer 50
10785 Berlin
Germany

http://www.maartenbuis.nl
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