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java.lang.Objectmontecarlo.MonteCarloTask
public class MonteCarloTask
Task for evaluating a run of the estimator on a single set of fake data.
Field Summary | |
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static double[] |
TRUE_PARAMETERS
Vector of true parameters. |
Constructor Summary | |
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MonteCarloTask(int numGames,
int numImportanceGames,
int numMCMCDraws)
Constructor for Monte Carlo Task. |
Method Summary | |
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java.util.ArrayList<Jama.Matrix> |
call()
This method is called by an ExecutorService, and is where the computational logic is contained. |
double |
f_to_minimize(double[] x)
Objective function to minimize. |
void |
gradient(double[] x,
double[] g)
Gradient, left empty since we just use numerical equivalents. |
void |
hessian(double[] x,
double[][] h)
Hessian, left empty since we just use numerical equivalents. |
double |
objectiveFunction(double[] x)
Method passed to LTE minimizer. |
double |
pi(double[] x)
Returns the probability of accepting a draw from the proposal density. |
Methods inherited from class java.lang.Object |
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clone, equals, finalize, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait |
Field Detail |
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public static double[] TRUE_PARAMETERS
Constructor Detail |
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public MonteCarloTask(int numGames, int numImportanceGames, int numMCMCDraws)
numGames
- Number of observations to use in this Monte Carlo experiment.numImportanceGames
- Number of importance games to use in this Monte Carlo experiment.numMCMCDraws
- Number of MCMC draws to use the LTE estimator of Chernozhukov and Hong (2003).Method Detail |
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public java.util.ArrayList<Jama.Matrix> call() throws java.lang.Exception
call
in interface java.util.concurrent.Callable<java.util.ArrayList<Jama.Matrix>>
java.lang.Exception
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
- Vector of unknown parametersg
- Vector containing gradientpublic void hessian(double[] x, double[][] h)
hessian
in interface Uncmin_methods
x
- Vector of unknown parametersh
- Array containing Hessianpublic double objectiveFunction(double[] x)
objectiveFunction
in interface mcmcFunction
x
- Vector of unknown parameters.
public double pi(double[] x)
pi
in interface mcmcFunction
x
- Vector of proposed parameters.
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