UNIVERSIDAD NACIONAL MAYOR DE SAN MARCOS

FACULTAD DE CIENCIAS ECONOMICAS

Tema:
Problemas de algoritmos numéricos de optimización
Profesor:
Mg. Cornelio Vicente Núñez Ticse
Integrantes:
Gonzales Reyes Jeremy Sandro
Carrera:
Economía
Turno:
Tarde (miércoles, viernes)
LIMA
SOLUCION:

B2 K 2t
12. 1 Y t =∝+ B 1 e +u t t =1,2 ,… … … , T

ut ≈ N ( θ , σ 2U ) E ( ut , us ) =0 t ≠ s

a) GAUSS-NEWTON

⃗
θ=(α , B1 , B 2 )

T T
F ( θ )=SR ( θ )=∑ u → F ( θ )=¿ ∑ ( y t−α−B1 e )¿
2 B2 X 2 t

1 1

T T
∂ f (θ)
=2 ∑ (−1 ) ~
u=−2 ∑ u
∂α 1 1

T T
∂ f (θ)
=2 ∑ −e
( b x ~
) u=−2 ∑ ( e B
2 2t 2 X 2t
)u
∂ B1 1 1
 T T
∂ f (θ)
=2 ∑ (−B1 X 2 t e B 2 X2 t
) ~u=−2 ∑ ( B 1 X 2 e B X ) 2 2t

∂ B2 1 1

( )
1
[ ]
T
f (θ)
∇ =−2 ∑ e B2 X 2t ~u … … …(1)
θ 1 B 2 X 2t
B1 X2t e

( )[ ]
1 eB 2 X2 t
B1 X 2 e B X2 2t
1
[ ][ ]
T
f (θ) f (θ) ~
2
∇ F (θ )=
θ θ
=2 eB 2 X 2t
e2B 2 X2 t
B1 X 2 e2 B 2 X 2t
∑ e
B2 X 2t
u
1
B1 X 2 e B 2 X 2t
B1 X 2 eB 2 X2 t
B21 X❑2 t e B 2 X2 t
B1 X 2 e B 2
X 2t

Expresión analítica

[][] ( )[]
∝ ∝ T 1 1 X2t T 1
B 1 = B1 +∑ 1 1 X2t ∑ 1 ~ u
1 1
B2 B2 t .1 X2t X2t X
2
2t
X2t

Máxima verosimilitud

T
−T T 1
L (θ ) = ln 2 π − ln σ 2− 2 ∑ ( y t −α −β 1 e β 2 X 2t 2
)
2 2 2σ 1

θ=( α , β 1 , β 2 . σ )
2

T T
∂ L ( θ ) −21
=
∂ β1 2 σ 2 1
∑ (−1 ) ~u= σ12 ∑ ~u
1

T
∂ L(θ) 1
= 2 ∑ eB 2 X2 t
=0
∂ β1 σ 1
T
∂ L(θ) 1
= 2 ∑ B 2 X 2 t∗e B 2 X 2t
∂ β2 σ 1
 T
∂ L (θ) T T
= + =∑ ~
u2
∂ β 2 2 σ 2 ( 2 σ 2 )2 1

[ ]
~
ut
e ∗~
B X
T
2
ut 2t

1
∇ F ( θ )= 2 ∑ B1 X 2 t e −~u B 2 X 2t

σ 1 t

−1 1
2
+ 2
∗~
ut
2 σ (2 σ2)

( )
T
1
2 ∑ t
B2 X 2 t
1e B1 X t e − 2 B2 X t ǔ
σ u t=1
T
1
− 2 ∑e
B 2 X2 t 2 B 2 X t B X 2t
T e e B1 X t e 2 B 2X t
2
ǔt
−1 σ u t=1
H= 2 ∑
σu 1 1
T

2 ∑ 1 te
B1 X t e B 1 X t e
B2 Xt 2 B2 X t B1 X t e −2B 2 X t B X 2 B 2X t ǔt
σ u t =1
T T T
−1 1 1
2 ∑ t
ǔ − 2 ∑ e ǔt 2 ∑ B1 X t e
B X 2 2t
2 B 2X t ǔ T 1
T

σ u t=1 σ t =1 σ u t =1 t−
2 (σ
2 2
)
−
( σ 2u )
2 ∑
t=1
ǔt
2

Expresión analítica;

(] )
[ ]
1 1 0
~

[ ][ ]
1 1 X2t e
2B 2 X2 t
∗−1 ut
α α e ∗~
B X
B 2 X 2t 2 2 B 2 X 2t ut 2 2t

[
β1 1 −1 0 X 2t e B 1 X 2t e T

β2
∗
0
+ 2
σ σ2
∑ B 1 X 2t e −~u B2 X 2t
t
1
−1 1
∗~
2
σ
2
σ + ut
2 σ ( 2 σ 2 )2
2
 b) Descenso rápido

( θ̌ )=( α , β 1 , β 2)

[ ]
1
∇ F ( θ̌ ) =∇ F ( θ̌ )= e
B 2 X2 t
→❑❑ =❑❑−∇ F ( θ̌ ) ∴ θ0 ( k 0 , 1,0 ) →
B1 X2 eB 2 X2 t

Expresión analítica

[][ ] [][]
α0 1 α❑ 1
⃗
θ1= 1 −λ e
B X 2 2t
→ θ⃗1= 1 −λ 1
0 B1 X 2 e B 2 X2 t
0 X2t

c) Newton – Raphson

( )
0 0 0
∂ ∇2 f ( θ ) ~ 2B X 2t
⌊ 2
⌋ u= 0 0 X 2t e 2

∂ θ ∂θ B X 2t 2 2 B2 X 2t
0 X2t e 2
B1 X 2 t e

Usando la ( ∂ f (θ)
∂θ )( ∂ f (θ) 2
∂θ )
delGaus−Newton

Expresión analítica

{( )( )} [
−1

]
B 2 X2 t B2 X 2 t
0 0 0 1 e B1 X 2 e T 1
⃗ ⃗
θt =θt −1+ − 0 0 X 2t e2 B 2 X 2t
+ ~u e
B 2 X 2t
e
2 B 2 X2 t
B1 X 2 e
2 B 2 X 2t
∗∑ e B2 X 2 t ~
u
1 B 2 X2 t
0 X 2t eB 2 X 2t
B21 X 22 t e B 2 X 2t
B1 X 2 e
B 2 X 2t
B1 X2 e
B2 X 2t 2 ❑
B1 X 2 t e
B 2 X2 t
B1 X 2 e
Evaluando con β 1=1 , β 2=0

[][] ( ) []
−1
∝ ∝0 ❑
1 1 X2t T 1
B 1 = 1 +∑ 1 1 X2t ( 1−~
u) ∑ 1 ~ u
❑ 1
B2 t 0 0 X2t X2t (1− ~
u) X 22 t ( 1−~
u)
0
X2t

SOLUCION: