I am minimizing this function below using the optim function, which works really well. My only problem is that I can't save the W matrix, I am computing inside the function when minimizing. Is there a way to save the W matrix somehow?
W<-c()
GMM_1_stage <- function(beta) {for (i in 1:(nrow(gmm_i))){
gmm_i[i,]=g_beta(i,beta)}
gmm_N=t(colSums(gmm_i))%*%colSums(gmm_i)
W<-solve((1/(nrow(A)/5))*t(gmm_i)%*%gmm_i)
return(gmm_N)
}
GMM_1<-optim(beta_MLE,GMM_1_stage)
Best regards
Here is a safer version of @mrip's answer that uses a temporary environment rather than <<-:
tempenv <- new.env()
tempenv$xx <- c()
fun<-function(x){
tempenv$xx[ length(tempenv$xx) + 1 ] <- x
x^2
}
optimize(fun,c(-1,1))
tempenv$xx
By using the temporary environment you don't need to worry about accidentally writing over an object in the global environment or <<- assigning in an unexpected place.
You can assign to an object in the global environment (or in a the closest ancestor environment where the variable is defined) using <<-. So, for example, if I wanted to keep track of every value of x during a simple optimization I could do this.
xx<-c()
fun<-function(x){
xx[length(xx)+1]<<-x
x^2
}
optimize(fun,c(-1,1))
xx
## [1] -2.360680e-01 2.360680e-01 5.278640e-01 -2.775558e-17 4.069010e-05
## [6] -4.069010e-05 -2.775558e-17
In your case, if you only want the last value of W you can replace that line in your code with:
W<<-solve((1/(nrow(A)/5))*t(gmm_i)%*%gmm_i)
If you want them all, then first set Wlist<-list(), and then in your function set
Wlist[[length(Wlist)+1]]<<-solve((1/(nrow(A)/5))*t(gmm_i)%*%gmm_i)
fortune(174) it will give a specific fortune (if the parens are empty then it will give a random fortune).