Nothing
#!/usr/bin/env Rscript
# Demo usage of sgd for estimating parameters of a normal distribution using
# the method of moments.
#
# Data generating process:
# X ~ Normal(4, 2)
#
# Dimensions:
# N=1e3 observations
# d=2 parameters
library(sgd)
# Dimensions
N <- 1e3
d <- 2
theta <- c(4, 2)
# Generate data.
set.seed(42)
X <- matrix(rnorm(N, mean=theta[1], sd=theta[2]), ncol=1)
# Gradient of moment function (using 3 moments)
gr <- function(theta, x) {
return(as.matrix(c(
mean(2*(theta[1] - x) +
2*(theta[2]^2 - (x - theta[1])^2) * 2*(-theta[1] +x) +
2*(x^3 - theta[1]*(theta[1]^2 + 3*theta[2]^2)) * (-3*theta[1]^2 -
3*theta[2]^2)),
mean(0 +
2*(theta[2]^2 - (x - theta[1])^2) * 2*theta[2] +
2*(x^3 - theta[1]*(theta[1]^2 + 3*theta[2]^2)) * -6*theta[1]*theta[2])
)))
}
sgd.theta <- sgd(X, y=matrix(NA, nrow=nrow(X)), model="gmm",
model.control=list(gr=gr, nparams=2),
sgd.control=list(method="sgd", npasses=100, lr="adagrad"))
sgd.theta
Any scripts or data that you put into this service are public.
Add the following code to your website.
For more information on customizing the embed code, read Embedding Snippets.