The RATS Software Forum

Dear all:

I'm estimating a state-space model with both Matlab and Rats. In Rats I choose simplex methods to refine the starting values then use BFGS to estimate the model. I did the same in Matlab, started with fminsearch then proceeded by fmincon.

One interesting finding is that for the exactly the same model, Rats optimization procedures (both simplex and BFGS) are much more faster than Matlab. Given the identical initial likelihood, from the output I also find the simplex algorithm diverged in the first iteration on parameter values. Rats seems to take smaller changes in the parameter values while Matlab just wonder all over the place. It must be due to different parameterizations in the simplex method algorithm that caused the difference. I checked both reference manual and user guide but find limited information on the default values. The user guide, UG-116 section 4.3 does contain some information, (for example the Jiggle option that may have caused the difference) and refer to Press et al (2007). But It doesn't give a page reference and I have checked the book but without success.

Could anyone help me here in indicating the default parameterizations of the simplex method used in Rats?

Your time and effort are appreciated.

Regards,

Ben

If RATS is making more cautious moves than Matlab, it would likely be because of the size of the initial "simplex". RATS uses a fairly tight cluster around the guess values---if the guess values are (-2.0,1.0), the simplex vertices are (-2.0,1.0),(-1.8,1.0),(-2.0,0.9). With the simplex being that small to start, the first moves can't be very large. In this case, it clearly is superior to start that way. If, on the other hand, you give smallish start values on a problem where the actual maximizers are many orders of magnitude larger, a big simplex would work better.

Thanks alot!
Ben

Hi Tom:

Just a quick follow up question, when simplex method is used in pmethod, what's the default stopping criteria (such as tolerance values on the objective function and X0)?
Thanks in advance!

Cheers

Ben