Question

我试图最小化一个简单的GMM标准，从Pandas数据框中调用变量。每个列名称在数据框中显示一列（492个观测值）。在第一个块中，我从数据帧定义矩阵和矢量，在第二部分中，我计算矩量准则的方法，应通过设置正确的系数coeffs将其最小化。这些对象适合矩阵乘法，如果我使用coeff的初始值一步一步地完成，那么我最终将得到一个标量。但是，如果在将函数传递给最小化程序时不起作用。

import numpy             as np
import pandas            as pd

from numpy.linalg   import inv
from scipy.optimize import fsolve, minimize, fmin_bfgs

df      = pd.read_csv('data.csv')

dep   = ['dep']                      # A column name in my dataframe
exog  = ['exog1', 'exog2', 'exog3']  # A list of columns
endog = ['endog']
instr = ['instr']
coeff = np.array([[0,0,0,0]]).T


def GMM_criterion(coeff, df, dep, exog, endog, instr):

    # Set up variables
    x     = endog + exog 
    z     = exog  + instr 
    n     = df.shape[0]
    x     = df[x].values    # A (492 x 4) matrix
    z     = df[z].values    # A (492 x 4) matrix
    y     = df[dep].values  # A (492 x 1) vector
    y_hat = x @ coeff       # A (492 x 1) vector of predicted values
    resid = y - y_hat       # A (492 x 1) vector of residuals

# Compute GMM criterion
    W     =  1/n * inv(z.T @ z)  # A (4x4) weighting matrix
    g     =  1/n * z.T @ resid   # A (4x1) vector
    GMM   = n * g.T @ W @ g      # Becomes a (1x1) numpy.ndarray
    GMM   = GMM.flatten()
    GMM   = float(GMM)

    return GMM

GMM = minimize(GMM_criterion, coeff, args=(df, dep, exog, endog, instr), 
method='SLSQP')

我收到此错误only size-1 arrays can be converted to Python scalars。

Traceback (most recent call last):

File "<ipython-input-300-8809d7df9a20>", line 31, in <module>
TSLS = minimize(GMM_criterion, coeff, args=(df, dep, exog, endog, instr), 
method='SLSQP')

File "C:\Users\Igor\Anaconda3\lib\site- 
packages\scipy\optimize\_minimize.py", line 611, in minimize
constraints, callback=callback, **options)

File "C:\Users\Igor\Anaconda3\lib\site-packages\scipy\optimize\slsqp.py", 
line 379, in _minimize_slsqp
fx = func(x)

File "C:\Users\Igor\Anaconda3\lib\site- 
packages\scipy\optimize\optimize.py", 
line 293, in function_wrapper
return function(*(wrapper_args + args))

File "<ipython-input-300-8809d7df9a20>", line 25, in GMM_criterion
GMM   = float(GMM)

TypeError: only size-1 arrays can be converted to Python scalars`

您对如何解决此问题有任何建议吗？谢谢

矩阵运算的scipy.optimize问题

0 个答案: