Description

Example contributed by Meta Voelker and Michael Ferris, UW-Madison

Model for finding the smoothing parameter (window width) used to
estimate the density function for a set of DEA efficiency scores.
The density estimate uses a reflected kernel function. The smoothing
parameter is found by maximizing the log likelihood cross-validation
function on the efficiency scores.

Reference: B.W. Sliverman, Density Estimation for Statistics and
Data Analysis, Chapman and Hall, 1986.

Small Model of Type : GAMS

Category : GAMS Test library

Main file : ex4.gms

$title  External Equation - Example 4 (EX4,SEQ=567)

$onText

  Example contributed by Meta Voelker and Michael Ferris, UW-Madison

  Model for finding the smoothing parameter (window width) used to
  estimate the density function for a set of DEA efficiency scores.
  The density estimate uses a reflected kernel function. The smoothing
  parameter is found by maximizing the log likelihood cross-validation
  function on the efficiency scores.

  Reference: B.W. Sliverman, Density Estimation for Statistics and
  Data Analysis, Chapman and Hall, 1986.

$offText


option limrow = 0, limcol = 0;

* original DMU set names
set ALLI /1*950/;
set I(ALLI);
alias (I,II);

* include objective values from optimizing on initial sample
parameter objval(alli);
$gdxIn deasolu
$load objval

* use the command-line option "--nDMU=N" if set, else take them all
* Note that the standard GAMS model, ex4, cannot handle all data.
* You can skip this model by defining --noGAMS=1.
* The GAMS solution is also read off the GDX file, in case the GAMS
* run is skipped

$if not set nDMU $set nDMU 999999
scalar n / %nDMU% /;
n = min (n, card(ALLI));
I(ALLI) = (ord(ALLI) le n);

positive variable h       'smoothing parameter';
variable          cv      'log likelihood function value';
h.lo = 0.00001;
scalar hinit / 10.01 /;
scalar fudge /1e-8/;

equation eqn;
equation eqnX;

eqn.. cv =e= sum {i,
                  log (fudge + sum {ii$[not sameas(ii,i)],
                                    exp(-sqr[(objval(i)-objval(ii))/h]/2) +
                                    exp(-sqr[(objval(i)-2+objval(ii))/h]/2)
                                   }
                      )
                 }
             - n*log(h);

eqnX..       1*h + 2*cv =X= 1;

$                             set pre
$ifI %system.filesys%==unix  $set pre 'lib'
$                             set suf '64'

$set N     ex4
$set c_cbN %pre%%N%c_cb%suf%
$set dN    %pre%%N%d%suf%
$set f_cbN %pre%%N%f_cb%suf%

model %N%      'GAMS implementation'                         / eqn  /;
model %c_cbN%  'External equations in C, with callbacks'     / eqnX /;
model %dN%     'External equations in Delphi'                / eqnX /;
model %f_cbN%  'External equations in F77, with callbacks'   / eqnX /;

parameter report(*,*) 'Solution Summary';
$load report
option report:5;
scalar totdist /0/;

file out / 'ex4.put' /;
put out n:0:0 /;
put fudge:24:15 /;
loop {I,
     put objval(i):23:13 /;
};
putclose;

$onEchoV > runme.gms
h.l = hinit;
h.m = 0;
cv.l = 0;
cv.m = 0;
%1.workspace=1000;
solve %1 maximizing cv using nlp;
abort$(%1.solvestat <> 1) 'problems running model %1';

execerror = 0;
report('h', '%1') = h.l;
report('cv','%1') = cv.l;
execerror = 0;
totdist = totdist + abs(h.l  - report('h', 'ex4'));
totdist = totdist + abs(cv.l - report('cv','ex4'));
$offEcho

$                             set ext '.dll'
$ifI %system.filesys%==unix  $set ext '.so'
$ifI %system.platform%==dex  $set ext '.dylib'
$ifI %system.platform%==dax  $set ext '.dylib'

$                             set eq
$ifI %system.filesys%==unix  $set eq "'"

$if set runall  $set runC_cb '1' set runD '1' set runF_cb '1' set noGAMS '1'

$ifThen not set nocomp
$  ifI set runC_cb $call gams complink lo=%gams.lo% --lang=c         --files=ex4c_cb.c                                     --libname=%c_cbN%%ext%
$  if errorlevel 1 $abort Error compiling C Library
$  ifI set runD    $call gams complink lo=%gams.lo% --lang=Delphi    --files=ex4d.dpr
$  if errorlevel 1 $abort Error compiling Delphi Library
$  ifI set runF_cb $call gams complink lo=%gams.lo% --lang=fortran90 --files=%eq%"gehelper.f90 msg2_f.f90 ex4f_cb.f90"%eq% --libname=%f_cbN%%ext%
$  if errorlevel 1 $abort Error compiling Fortran90 Library
$endIf

$if not set noGAMS $batInclude runme %N%
$if set runC_cb    $batInclude runme %c_cbN%
$if set runD       $batInclude runme %dN%
$if set runF_cb    $batInclude runme %f_cbN%

if ((totdist < 1.0E-6),
  display "@@@@ #Test passed.",report;
else
  abort totdist, "@@@@ #Test not passed. Inspect ex4.lst for details.",report;
);