Tips and tricks

Step monitor

It is sometimes irritating when a calculation takes very long and nothing appears to happen. In such cases a step monitor may be useful to indicate the state of the calculations. It is a simple gimmick.

Take, as an example, a modification of the Listing 37.1: Finding the minimum of the Rosenbrock function with the BFGSmax routine given in Gretl's user guide. The printfcurrent command prints the values of x and y and ends with a carriage return. The command flush induces printing at each step. To simulate a time consuming routine, a delay of .003 has been inserted by giving the command sleep(.003).

Open the the gretl script editor (File → Script files → New script) and paste the following code:

set verbose off
# This defines the function to be maximized
function scalar Rosenbrock( const matrix param "parameters" )
scalar x = param[1]
scalar y = param[2]
printf "x =%7.4f, y =%7.4f \r",x,y            # the information printed at each step
flush                                         # this induces immediate printing
sleep(.003)                                   # this simulates a time-consuming process
return -(1-x)^2 - 100 * (y - x^2)^2
end function

# This invokes the maximization routine
matrix theta = {0, 0} # initial values for theta
set max_verbose off
M = BFGSmax(&theta, Rosenbrock(theta) )
printf "                      \r"              # destroy the last step message
flush                                          # flush it
printf "\ntheta: %8.4f \n", theta

Now run the script (push the gears button or Ctrl+R). The successive estimates of x and y will be monitored. Other information can easily be monitored as well, the value of the criterion -(1-x)^2 - 100 * (y - x^2)^2 for instance, by simply including it in the printf command in the Rosenbrook function.