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Opened 13 years ago

Closed 13 years ago

Last modified 13 years ago

#1342 closed defect (fixed)

Problemas con TruncStdGaussian en la frontera

Reported by: Víctor de Buen Remiro Owned by: Víctor de Buen Remiro
Priority: highest Milestone: Numerical methods
Component: BysMCMC Version: head
Severity: blocker Keywords: BSR, TruncStdGaussian, interior feasible point
Cc: atorre@…

Description

La función TruncStdGaussian para la simulación de multinormales estandarizadas truncadas presenta problemas cuando se acerca demasiado a la frontera de la región factible, lo cual ocurre con mayor frecuencia si la moda está fuera de la región factible.

Para huir de estas situaciones en la medida de lo posible se debe obligar a TruncStdGaussian a generar puntos estrictamente interiores.

Obviamente, el punto inicial también debe ser estrictamente interior.

Change History (11)

comment:1 Changed 13 years ago by Víctor de Buen Remiro

(In [3857]) Refs #1342
Forcing interior points in TruncStdGaussian and related methods

comment:2 Changed 13 years ago by Víctor de Buen Remiro

(In [3858]) Refs #1342
Forcing initial interior point for main linear block
Forcing interior points in TruncStdGaussian and related methods

comment:3 Changed 13 years ago by Víctor de Buen Remiro

(In [3859]) Refs #1342

comment:4 Changed 13 years ago by Víctor de Buen Remiro

(In [3860]) Refs #1342
Forcing initial interior point for main linear block

comment:5 Changed 13 years ago by Víctor de Buen Remiro

Cc: atorre@… added

Hay que comprobar la solución planteada en proyectos reales, usando la versión de tol v2.0.2 b.0.19.alpha y el paquete BysMcmc.5.1, pero en principio todas las pruebas con los modelos que yo tengo han sido positivas.

comment:6 Changed 13 years ago by Víctor de Buen Remiro

(In [3864]) Refs #1342
Forcing initial interior point for main linear block

comment:7 Changed 13 years ago by Víctor de Buen Remiro

(In [3868]) Refs #1342
Forcing initial interior point for main linear block

comment:8 Changed 13 years ago by Víctor de Buen Remiro

Resolution: → fixed
Status: new → closed

comment:9 Changed 13 years ago by Víctor de Buen Remiro

(In [3914]) Refs #1342
Using TolIpopt by default for searching initial values of linear block

comment:10 Changed 13 years ago by Víctor de Buen Remiro

(In [4301]) Refs #1342
New configuration parameter
Real bsr.iniVal.interiorDistance = 0.01;

comment:11 Changed 13 years ago by Víctor de Buen Remiro

(In [4475]) Refs #1342
Applies enhancements of BVMat::trunc_std_gaussian to BTruncatedNormalDist

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