Writing an objective function

We show here how to write your own objective function. The signature is:

obj(x::Dict,mom::DataFrame,whichmom::Array{ASCIIString,1},vargs...)

where the first agrument is a dictionary of values for the parameters. The second is a dataFrame that contains information about the different moments to match. This will include the value of the moments together with their standard error.

The objective function should return another Dictionary that includes:

• value: the value of the objective function
• params: the list of parameters with their value, this should just be a deep copy of x
• time: the amount of time spent in the objective function
• moments: a DataFrame with the evaluated moments

here is a full example:

function Testobj(x::Dict,mom::DataFrame,whichmom::Array{ASCIIString,1},vargs...)

  t0 = time()

  if length(vargs) > 0
      if get(vargs[1],"printlevel",0) > 0
          info("in Test objective function")
      end
  end

  mm = deepcopy(mom)
  nm0 = names(mm)
  DataFrames.insert_single_column!(mm,zeros(nrow(mm)),ncol(mm)+1)
  names!(mm,[nm0,:model_value])

  for ir in eachrow(mm)
      ir[:model_value] = ir[:data_value] + 2.2
  end

  # output all moments
  mout = transpose(mm[[:moment,:model_value]],1)

  # subset mm to required moments to compute function value
  mm = mm[findin(mm[:moment],whichmom),:]

  # compute distance
  v = sum((mm[:data_value] - mm[:model_value]).^2)

  # status
  status = 1

  # time out
  t0 = time() - t0

  # return a dict
  ret = ["value" => v, "params" => deepcopy(x), "time" => t0, "status" => status, "moments" => mout]
  return ret

end