On Sat, 16 Jun 2018, Henrique Andrade wrote:
> I would like to make some speed tests using the approaches suggested by me
> and Jack before we decide the best way (in terms of speed) to use the
> powerset function inside Gretl. I think we could consider using C code too
> (the powerset is really a bottleneck when we have more than 15 variables to
> combine).
I guess that the computational cost of the combinatorics is probably
comparable to the actual CPU usage for estimation. For example:
<hansl>
set verbose off
function matrices AltPSetMat(matrix X)
if rows(X) == 0
matrices PowerSet = defarray({})
else
matrix Set = msortby(uniq(vec(X)), 1)
n = rows(Set)
N = 2^n
matrices PowerSet = array(N)
if n == 1
PowerSet[1] = {}
PowerSet[2] = Set[1]
else
tmp = AltPSetMat(Set[1:n-1])
PowerSet = tmp
loop i = 1 .. nelem(tmp) --quiet
PowerSet += tmp[i] ~ Set[n]
endloop
endif
endif
return PowerSet
end function
open mroz87.gdt --quiet
list X = 3 4 5 6 10 11 15 16 18 19
matrix mx = X
set stopwatch
matrices C = AltPSetMat(mx)
t0 = $stopwatch
n = nelem(C)
bestbic = $huge
best = 0
loop i = 1 .. n --quiet
xi = C[i]
list Z = xi
ols WW const Z --quiet
if $bic < bestbic
best = i
bestbic = $aic
list bestZ = $xlist
endif
endloop
t1 = $stopwatch
print t0 t1
print best n
ols WW bestZ
</hansl>
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Riccardo (Jack) Lucchetti
Dipartimento di Scienze Economiche e Sociali (DiSES)
Università Politecnica delle Marche
(formerly known as Università di Ancona)
r.lucchetti(a)univpm.it
http://www2.econ.univpm.it/servizi/hpp/lucchetti
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