diff options
Diffstat (limited to 'R')
| -rw-r--r-- | R/estUtil.R | 21 |
1 files changed, 12 insertions, 9 deletions
diff --git a/R/estUtil.R b/R/estUtil.R index 474aa5d..74b7123 100644 --- a/R/estUtil.R +++ b/R/estUtil.R @@ -84,18 +84,19 @@ levbmqdt <- function(...,obj,theta0,N,opt){ #' Specify optimization options that are to be passed to the #' numerical estimation routines #' -#' @param tol Minimum ratio of the improvement to the current loss -#' function. Iterations stop if this ratio goes below the tolerance -#' limit (Default: \code{1e-5}) +#' @param tol Minimum 2-norm of the gradient (Default: \code{1e-2}) #' @param maxIter Maximum number of iterations to be performed #' @param LMinit Starting value of search-direction length -#' in the Levenberg-Marquardt method. -#' @param LMstep Size of the Levenberg-Marquardt step +#' in the Levenberg-Marquardt method (Default: \code{0.01}) +#' @param LMstep Size of the Levenberg-Marquardt step (Default: \code{2}) +#' @param display Argument whether to display iteration details or not +#' (Default: \code{"off"}) #' #' @export -optimOptions <- function(tol=1e-2,maxIter=20,LMinit=0.01,LMstep=2){ - return(list(tol=tol,maxIter= maxIter, adv= list(LMinit=LMinit, - LMstep=LMstep))) +optimOptions <- function(tol=1e-2,maxIter=20,LMinit=0.01,LMstep=2, + display=c("off","on")[1]){ + return(list(tol=tol,maxIter= maxIter, + adv= list(LMinit=LMinit,LMstep=LMstep),display=display)) } #' Parameter covariance of the identified model @@ -201,8 +202,10 @@ bjGrad <- function(theta,e,dots){ l <- list(X=X,Y=y) if(!is.null(e)){ + den <- as.numeric(polynom::polynomial(c(1,theta[nb+1:nc]))* + polynom::polynomial(c(1,theta[nb+nc+nd+1:nf]))) filt1 <- signal::Arma(b=c(1,theta[nb+nc+1:nd]), - a=c(1,theta[nb+1:nc])) + a=den) grad <- apply(X,2,signal::filter,filt=filt1) l$grad <- grad } |