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MLEProfileLL.run
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MLEProfileLL.run
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# Call solver and give it options
# Load model and data
model "MarkovActv.mod";
data "MarkovActv.dat";
# include the simulated states and choices
data "DATA/MC.dat";
# read the estimates
data "DATA/MLE.dat";
# Is Cauchy distribution used ?
fix IS_CAUCHY := 1;
# logging options
let debug_log := 1;
# Define the problem
problem MarkovActvMDP:
# Choose the objective function
likelihood0,
# List the variables
{t in 0..H, j in AUW[n1]} EV[n1,t,j],
{t in 0..H, j in AUW[n1]} actvUtil[n1,t,j],
{(t,j) in X[n1], (k,h) in DA[n1,t,j]} sumActvUtil[n1,t,j,k,h],
{(t,j) in X[n1], (k,h) in D[n1,t,j]} choiceUtil[n1,t,j,k,h],
{(t,j) in X[n1], (k,h) in D[n1,t,j]} choiceProb[n1,t,j,k,h],
{j in ACTV} Um[n1,j],
{j in ACTV} b[n1,j],
{j in ACTV} c[n1,j],
# List the constraints
{(t,j) in X[n1]} Bellman_Eqn[n1,t,j],
Bellman_EqnH[n1];
# include the code that define the state and choice set
include MDPStateAction.run
# Set at a trivial initial value
let {t in 0..H, j in ACTV} EV[n1,t,j] := initEV;
# Fix at the estimated values
fix {j in ACTV} Um[n1,j] := Um_[n1,j];
fix {j in ACTV} b[n1,j] := b_[n1,j];
fix {j in ACTV} c[n1,j] := c_[n1,j];
# Fix at true values
# fix theta := trueTheta;
# Specify KNITRO solver options:
option solver "C:\Ziena\KNITRO900\knitroampl\knitroampl.exe";
option knitro_options "alg=2 hessopt=1 outlev=1 maxit=100 xtol=0.0000000001 wantsol=1";
# Output commands
option display_round 6, display_width 120;
option solver_msg 0;
option show_stats 0;
# option log_file "DATA/LL.log";
# first, try all the possible values of b[2]
set TT := (0..(H-1) by 8) union {H-1};
param ll_b2 {TT};
for {s in TT} {
# set b
fix b[n1,2] := s*T;
# solve the problem
solve MarkovActvMDP > DATA/LL.log;
# calculate likelihood
let ll_b2[s] := likelihood;
display s, ll_b2[s], _solve_time;
}
# then, try all the possible combinations of b[2] and b[3]
param ll_b23 {TT cross TT};
for {s in TT} {
for {r in TT} {
# set b
fix b[n1,2] := s*T;
fix b[n1,3] := r*T;
# solve the problem
solve MarkovActvMDP > DATA/LL.log;
# calculate likelihood
let ll_b23[s,r] := likelihood;
display s, r, ll_b23[s,r], _solve_time;
}
}
# print likelihood values
printf "tt = [\n" > DATA/LL.m;
for {t in TT} {
printf "%f\n", t*T> DATA/LL.m;
}
printf "];\n" > DATA/LL.m;
printf "ll_b2 = [\n" > DATA/LL.m;
for {t in TT} {
printf "%f\n", ll_b2[t] > DATA/LL.m;
}
printf "];\n" > DATA/LL.m;
printf "ll_b23 = [\n" > DATA/LL.m;
for {s in TT} {
for {t in TT} {
printf "%f\t", ll_b23[s,t] > DATA/LL.m;
}
printf "\n" > DATA/LL.m;
}
printf "];\n" > DATA/LL.m;