Closed Pascalheid closed 4 years ago
Merging #43 into master will decrease coverage by
8.87%
. The diff coverage is0.00%
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@@ Coverage Diff @@
## master #43 +/- ##
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- Coverage 90.75% 81.87% -8.88%
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Files 28 30 +2
Lines 941 1043 +102
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Hits 854 854
- Misses 87 189 +102
Impacted Files | Coverage Δ | |
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ruspy/estimation/estimation_mpec.py | 0.00% <0.00%> (ø) |
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ruspy/estimation/estimation_mpec_functions.py | 0.00% <0.00%> (ø) |
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I have now implemented analytical derivatives for both the objective function and the constraints for MPEC. The problem regarding the dependence on the max number of iterations is also solved. The algorithm now actually converges and I tried that out by replicating the results of 250 data sets that I have simulated using the matlab code provided by Iskhakov. I get basically the same results as they do with both our ruspy NFXP as well as our new ruspy MPEC.
I have been setting up MPEC using nlopt. So far the results don't come out exactly right and differ quite significantly depending on the max number of iterations and the algorithm used. I seek to implement analytical derivatives for the objective and the constraint to check if the results get better.