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2009 Oct 30
2
Efficient way to code using optim()
...choice options, so I need a loop inside the objective function,
which I think slows down the optimization process.
The data is constructed so that each row represent the characteristics for one alternative,
and CS is a variable that represents choice situations. (say, 1 ~ Number of observations)
cum_count is the ¡°cumulative¡± count of each choice situations, i.e. number of available alternatives in each CS.
So I am maximizing the sum of [exp(U(chosen)) / sum(exp(U(all alternatives)))]
When I have 6,7 predictors, the running time is about 10 minutes, and it slows down exponentially as I have more...