# Copyright (C) 2003,2004,2005 Michael Creel <michael.creel@uab.es>
# 
# This program is free software; you can redistribute it and/or modify
# it under the terms of the GNU General Public License as published by
# the Free Software Foundation; either version 2 of the License, or
# (at your option) any later version.
# 
# This program is distributed in the hope that it will be useful,
# but WITHOUT ANY WARRANTY; without even the implied warranty of
# MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE.  See the
# GNU General Public License for more details.
# 
# You should have received a copy of the GNU General Public License
# along with this program; if not, write to the Free Software
# Foundation, Inc., 59 Temple Place, Suite 330, Boston, MA  02111-1307  USA

# usage: [theta, obj_value, convergence, iters] = 
#           gmm_estimate(theta, data, weight, moments, momentargs, control, nslaves)
#
# inputs:
#      theta: column vector initial parameters
#       data: data matrix
#     weight: the GMM weight matrix
#    moments: name of function computes the moments
#	      (should return nXg matrix of contributions)
# momentargs: (cell) additional inputs needed to compute moments.
# 	      May be empty ("")
#    control: (optional) BFGS or SA controls (see bfgsmin and samin).
#             May be empty (""). 
#    nslaves: (optional) number of slaves if executed in parallel
#             (requires MPITB)
#
# outputs:
# theta: GMM estimate of parameters
# obj_value: the value of the gmm obj. function
# convergence: return code from bfgsmin
#              (1 means success, see bfgsmin for details)
# iters: number of BFGS iteration used
#
# please type "gmm_example" while in octave to see an example

# call the minimizing routine
function [theta, obj_value, convergence, iters] = gmm_estimate(theta, data, weight, moments, momentargs, control, nslaves)

	if nargin < 5 error("gmm_estimate: 5 arguments required"); endif

	if nargin < 6 control = {Inf,0,1,1}; endif # default controls
	if !iscell(control) control = {Inf,0,1,1}; endif # default controls if receive placeholder
	if nargin < 7 nslaves = 0; endif

 	if nslaves > 0
		global NSLAVES PARALLEL NEWORLD NSLAVES TAG;
		LAM_Init(nslaves);
		# Send the data to all nodes
		NumCmds_Send({"data", "weight", "moments", "momentargs"}, {data, weight, moments, momentargs});
	endif

	# bfgs or sa?
	if (size(control,1)*size(control,2) == 0) # use default bfgs if no control
		control = {Inf,0,1,1};	
	  method = "bfgs";
	elseif (size(control,1)*size(control,2) < 11)
		method = "bfgs";
	else method = "sa";	
	endif
	

	if strcmp(method, "bfgs")
		[theta, obj_value, convergence, iters] = bfgsmin("gmm_obj", {theta, data, weight, moments, momentargs}, control);
	elseif strcmp(method, "sa") 	
	  	[theta, obj_value, convergence] = samin("gmm_obj", {theta, data, weight, moments, momentargs}, control);
	endif	

	if nslaves > 0 LAM_Finalize; endif # clean up		

endfunction	
