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java.lang.Objectgametheory.GameMinimization
public class GameMinimization
Class to perform the optimization of the GMM function on real auction entry data.
Constructor Summary | |
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GameMinimization(java.util.ArrayList<Game> gameList)
Creates a new instance of GameMinimization |
Method Summary | |
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double[] |
execute(double[] guess)
Use Newton-based solver to optimize GMM function. |
Jama.Matrix |
executeLTE(double[] guess)
Use Chernozhukov and Hong's (2003) LTE method to optimize the GMM function. |
double |
f_to_minimize(double[] x)
Computes GMM objective function. |
void |
gradient(double[] x,
double[] g)
User-supplied gradient for Uncmin. |
void |
hessian(double[] x,
double[][] h)
User-supplied Hessian for Uncmin. |
double |
objectiveFunction(double[] x)
MCMC objective function for use in the LTE. |
double |
pi(double[] x)
LTE probability of proposed parameters. |
Methods inherited from class java.lang.Object |
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clone, equals, finalize, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait |
Constructor Detail |
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public GameMinimization(java.util.ArrayList<Game> gameList)
gameList
- List of games (observations).Method Detail |
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public Jama.Matrix executeLTE(double[] guess)
guess
- Initial guess of parameters.
public double[] execute(double[] guess)
public double objectiveFunction(double[] x)
objectiveFunction
in interface mcmcFunction
x
- Vector of unknown parameters.
public double pi(double[] x)
pi
in interface mcmcFunction
x
- Proposed parameter vector.
public double f_to_minimize(double[] x)
f_to_minimize
in interface Uncmin_methods
x
- Vector of unknown parameters.
public void gradient(double[] x, double[] g)
gradient
in interface Uncmin_methods
x
- Parameters.g
- Gradient.public void hessian(double[] x, double[][] h)
hessian
in interface Uncmin_methods
x
- Parameters.h
- Hessian.
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