Nothing
#:::::::::::::::
# dnewton10
#:::::::::::::::
subroutine dnewton10 (cd, nxis, q, nxi, rs, nobs, cntsum, cnt,
intrs, prec, maxiter, mchpr, jpvt, wk, info)
integer nxis, nxi, nobs, maxiter, jpvt(*), info
double precision cd(*), q(nxi,*), rs(nobs,*), cntsum, cnt(*), intrs(*),
prec, mchpr, wk(*)
integer iwt, imu, iv, icdnew, iwtnew, iwk
iwt = 1
imu = iwt + nobs
iv = imu + nxis
icdnew = iv + nxis*nxis
iwtnew = icdnew + nxis
iwk = iwtnew + nobs
call dnewton101 (cd, nxis, q, nxi, rs, nobs, cntsum, cnt, intrs,
prec, maxiter, mchpr, wk(iwt), wk(imu), wk(iv),
jpvt, wk(icdnew), wk(iwtnew), wk(iwk), info)
return
end
#::::::::::::::::
# dnewton101
#::::::::::::::::
subroutine dnewton101 (cd, nxis, q, nxi, rs, nobs, cntsum, cnt,
intrs, prec, maxiter, mchpr,
wt, mu, v, jpvt, cdnew, wtnew, wk, info)
integer nxis, nxi, nobs, maxiter, jpvt(*), info
double precision cd(*), q(nxi,*), rs(nobs,*), cntsum, cnt(*), intrs(*),
prec, mchpr, wt(*), mu(*), v(nxis,*), cdnew(*), wtnew(*), wk(*)
integer i, j, k, iter, flag, rkv, idamax, infowk
double precision wtsum, tmp, ddot, lkhd, mumax, wtsumnew, lkhdnew,
disc, disc0
# Initialization
info = 0
wtsum = 0.d0
for (i=1;i<=nobs;i=i+1) {
tmp = ddot (nxis, rs(i,1), nobs, cd, 1)
wt(i) = dexp (-tmp)
if (cntsum>0.d0) wt(i) = wt(i) * cnt(i)
wtsum = wtsum + wt(i)
}
if (!(cntsum>0.d0)) lkhd = wtsum / dble (nobs)
else lkhd = wtsum / cntsum
lkhd = dlog (lkhd) + ddot (nxis, intrs, 1, cd, 1)
call dsymv ('u', nxi, 1.d0, q, nxi, cd, 1, 0.d0, wk, 1)
lkhd = lkhd + ddot (nxi, cd, 1, wk, 1) / 2.d0
iter = 0
flag = 0
# Iteration
repeat {
iter = iter + 1
# Calculate hessian and gradient
for (i=1;i<=nxis;i=i+1)
mu(i) = ddot (nobs, wt, 1, rs(1,i), 1) / wtsum
for (i=1;i<=nxis;i=i+1) {
for (j=i;j<=nxis;j=j+1) {
v(i,j) = 0.d0
for (k=1;k<=nobs;k=k+1)
v(i,j) = v(i,j) + wt(k) * rs(k,i) * rs(k,j)
v(i,j) = v(i,j) / wtsum - mu(i) * mu(j)
if (j<=nxi) v(i,j) = v(i,j) + q(i,j)
}
}
call daxpy (nxis, -1.d0, intrs, 1, mu, 1)
call dsymv ('u', nxi, -1.d0, q, nxi, cd, 1, 1.d0, mu, 1)
mumax = dabs(mu(idamax(nxis, mu, 1)))
# Cholesky factorization
for (i=1;i<=nxis;i=i+1) jpvt(i) = 0
call dchdc (v, nxis, nxis, wk, jpvt, 1, rkv)
while (v(rkv,rkv)<v(1,1)*dsqrt(mchpr)) rkv = rkv - 1
for (i=rkv+1;i<=nxis;i=i+1) {
v(i,i) = v(1,1)
call dset (i-rkv-1, 0.d0, v(rkv+1,i), 1)
}
# Update coefficients
repeat {
call dcopy (nxis, mu, 1, cdnew, 1)
call dprmut (cdnew, nxis, jpvt, 0)
call dtrsl (v, nxis, nxis, cdnew, 11, infowk)
call dset (nxis-rkv, 0.d0, cdnew(rkv+1), 1)
call dtrsl (v, nxis, nxis, cdnew, 01, infowk)
call dprmut (cdnew, nxis, jpvt, 1)
call daxpy (nxis, 1.d0, cd, 1, cdnew, 1)
wtsumnew = 0.d0
for (i=1;i<=nobs;i=i+1) {
tmp = ddot (nxis, rs(i,1), nobs, cdnew, 1)
if (-tmp>3.d2) {
flag = flag + 1
break
}
wtnew(i) = dexp (-tmp)
if (cntsum>0.d0) wtnew(i) = wtnew(i) * cnt(i)
wtsumnew = wtsumnew + wtnew(i)
}
if (!(cntsum>0.d0)) lkhdnew = wtsumnew / dble (nobs)
else lkhdnew = wtsumnew / cntsum
lkhdnew = dlog (lkhdnew) + ddot (nxis, intrs, 1, cdnew, 1)
call dsymv ('u', nxi, 1.d0, q, nxi, cdnew, 1, 0.d0, wk, 1)
lkhdnew = lkhdnew + ddot (nxi, cdnew, 1, wk, 1) / 2.d0
# Reset iteration with uniform starting value
if (flag==1) {
call dset (nxis, 0.d0, cd, 1)
wtsum = 0.d0
for (i=1;i<=nobs;i=i+1) {
if (cntsum>0.d0) wt(i) = cnt(i)
else wt(i) = 1.d0
wtsum = wtsum + wt(i)
}
lkhd = 0.d0
iter = 0
break
}
if (flag==3) break
if (lkhdnew-lkhd<1.d1*(1.d0+dabs(lkhd))*mchpr) break
call dscal (nxis, .5d0, mu, 1)
if (dabs(mu(idamax(nxis, mu, 1))/(1.d0+mumax))<1.d1*mchpr) break
}
if (flag==1) {
flag = 2
next
}
if (flag==3) {
info = 1
return
}
# Calculate convergence criterion
disc = 0.d0
for (i=1;i<=nobs;i=i+1)
disc = dmax1 (disc, dabs(wt(i)-wtnew(i))/(1.d0+dabs(wt(i))))
disc = dmax1 (disc, (mumax/(1.d0+dabs(lkhd)))**2)
disc0 = dmax1 ((mumax/(1.d0+dabs(lkhd)))**2, dabs(lkhd-lkhdnew)/(1.d0+dabs(lkhd)))
# Set to new values
call dcopy (nxis, cdnew, 1, cd, 1)
call dcopy (nobs, wtnew, 1, wt, 1)
wtsum = wtsumnew
lkhd = lkhdnew
# Check convergence
if (disc0<prec) break
if (disc<prec) break
if (iter<maxiter) next
if (flag==0) {
# Reset iteration with uniform starting value
call dset (nxis, 0.d0, cd, 1)
wtsum = 0.d0
for (i=1;i<=nobs;i=i+1) {
if (cntsum>0.d0) wt(i) = cnt(i)
else wt(i) = 1.d0
wtsum = wtsum + wt(i)
}
lkhd = 0.d0
iter = 0
flag = 2
}
else {
info = 2
break
}
}
# Calculate uncorrected v
call dscal (nobs, 1.d0/wtsum, wt, 1)
for (i=1;i<=nxis;i=i+1) {
for (j=i;j<=nxis;j=j+1) {
v(i,j) = 0.d0
for (k=1;k<=nobs;k=k+1)
v(i,j) = v(i,j) + wt(k) * rs(k,i) * rs(k,j)
if (j<=nxi) v(i,j) = v(i,j) + q(i,j)
}
}
# Cholesky factorization
for (i=1;i<=nxis;i=i+1) jpvt(i) = 0
call dchdc (v, nxis, nxis, wk, jpvt, 1, rkv)
while (v(rkv,rkv)<v(1,1)*dsqrt(mchpr)) rkv = rkv - 1
for (i=rkv+1;i<=nxis;i=i+1) {
v(i,i) = v(1,1)
call dset (i-rkv-1, 0.d0, v(rkv+1,i), 1)
}
# Calculate a
for (i=1;i<=nobs;i=i+1) {
call dcopy (nxis, rs(i,1), nobs, wk, 1)
call dprmut (wk, nxis, jpvt, 0)
call dtrsl (v, nxis, nxis, wk, 11, infowk)
call dset (nxis-rkv, 0.d0, wk(rkv+1), 1)
wtnew(i) = wt(i) * ddot (nxis, wk, 1, wk, 1)
if (cntsum>0.d0) wtnew(i) = wtnew(i) / cnt(i)
}
call dcopy (nobs, wtnew, 1, wt, 1)
return
end
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