Arrange Results Kalman Filter in an Array

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Simple question:

With the code below I estimate Kalman Filter with an AR component (1). The goal is to exit in the k_fk vector. When I have only one vector is simple. But I need to run the same code for multiple vectors. These vectors I put together, as columns, in an array called Matrix_FK .

I want to run the Kalman Filter below for all columns in that Matrix, and then put every k_fk for each column in another empty Matrix that I create. I can do it in a separate way, that is, I repeat all the code below 5 times! It gets too big. I would like some suggestion that would make the code more elegant.

I am not able to work using for and the optim functions.

Could you help me?

My Matrix: Matrix_FK 

                     a             b            c            d            e
Jan 1932   1.850842046  -1.569796034  -3.86703562  -3.70885804  -3.52838460
Feb 1932   0.695430163  -1.263834133   2.04679783  -0.57774389  -1.81938085
Mar 1932  -1.155459612  -1.375228333  -2.56902935  -4.18820808  -1.87963414
Apr 1932   0.876312739   1.095184325   3.72558782   1.38908077  -1.73895471
May 1932   1.778220516  -0.228588115  -3.40387447  -0.16437899  -1.57999233
Jun 1932  -1.532919489  -0.401615700  -4.04059931  -3.06292113   3.24023693
Jul 1932  -0.853453175  -0.647391750   1.52062149   1.31220367  -1.53168757
Aug 1932  -0.271756880   0.227539602   1.79810027   3.37019494   1.68859250
Sep 1932   3.865040601  -2.072427260   3.54705484   1.18479762  -1.16082455
Oct 1932   0.599674245  -1.176546510  -2.40650477  -3.21858089  -4.50304382
Nov 1932  -2.231206701  -0.720217144  -2.67286548  -2.85785781  -0.67487973
Dec 1932  -0.478563913  -2.234382028  -1.53654814  -2.24945799  -2.64905648
Jan 1933   0.842738461   2.624749795   0.19604646   1.19005790  -1.96990357
Feb 1933   1.846665775  -0.006328424  -4.21347614   0.05377252  -1.26049459
Mar 1933  -0.172363344  -0.659327632   0.82200066   2.30309262  -4.95140006
Apr 1933  -2.304450878  -1.314443000   0.64447634  -1.07627386   1.53871842
May 1933   2.436129902  -1.133146914  -2.87587532  -1.91479118   2.54500858
Jun 1933  -1.602963131  -2.553387393   2.03615676   0.26499586  -2.94983895
Jul 1933   2.230501876  -3.699483272   2.31281068  -2.22591862  -4.37350797
Aug 1933   2.402754968   3.404874741   4.91719243   3.74235401  -1.38626991
Sep 1933  -1.697403507  -2.820929307   2.29945531   0.24403812  -4.18449366
Oct 1933  -1.280780318   1.139607917  -3.06407384  -3.80907509   2.84230473
Nov 1933   0.607107992   0.169127732   2.17921243   0.47200233   8.61801081
Dec 1933  -1.592986278   2.609462937  -3.85479317   3.72595201  -1.09970343
Jan 1934  -2.440549544   0.088069852  -2.36859426  -5.20434411  -0.59305754
Feb 1934   0.821528217  -0.207777845  -2.47410902  -0.28985175  -3.88084999
Mar 1934  -0.183719895   3.787154996  -2.86968421  -1.29114339   0.26474367
Apr 1934  -0.466043977  -0.631774120  -0.78434871  -2.61279780  -5.12932944
May 1934  -1.611272207  -0.573902305  -2.34886869   0.68221244  -1.21287941
Jun 1934   2.491069752  -1.690086428   3.32391309   2.93634244   3.36063422
Jul 1934  -0.744049851   0.528023150  -1.82971938  -0.89697608   3.79939741
Aug 1934   3.643293001   1.380693211   1.82255441   1.50904917   0.23195852
Sep 1934  -0.179018730  -0.546052710  -1.34589399  -0.73097960  -1.01117490
Oct 1934  -2.984234513  -0.208621509  -4.66427450  -3.32608587  -1.36399967
Nov 1934   0.596162874   1.549294986  -0.88791861  -0.57522023   0.53990345
Dec 1934   0.554429979   0.096578374  -3.21640301  -3.09745990  -2.27168715
Jan 1935  -2.548662238  -0.721410530  -1.67786737  -0.54327758   0.46687319
Feb 1935   0.350352303  -0.106131517  -0.39048897   0.58163853   1.09495528
Mar 1935  -1.873287765  -1.672132957  -3.52854267  -3.62054936   3.36251750
Apr 1935  -4.598704756  -1.147643299   1.19402303  -0.87757740   3.71228073
May 1935   1.036169454   1.447926643   3.38466130   2.34878083   5.31374095
Jun 1935  -1.547048883  -0.433702626  -2.33058507  -4.11691596  -0.59688167
Jul 1935  -3.375154845   0.100309069  -4.56191956  -3.60744993  -0.48958503
Aug 1935   1.521572320  -1.853439024   0.04222668  -2.42350457   0.89827002
Sep 1935  -1.852501902  -1.565919020  -4.24024560  -4.17008320   1.62955000
Oct 1935  -2.516442868  -0.656061105   3.40100452  -0.04138856   1.26235471
Nov 1935   4.801948906   2.528351978   7.84968810   6.65055456   5.49610167
Dec 1935  -2.277275657  -0.034638033  -1.72464082  -1.22932791   2.79776278
Jan 1936  -1.239367454  -2.071877717  -1.83170754  -2.83434183   0.34644925
Feb 1936  -1.388652724  -3.059801853  -3.16664679  -4.68989356   1.64072945
Mar 1936   0.681593969   2.436079308  -0.65752616   0.38238549   3.82411611
Apr 1936  -1.048191701  -0.333673796  -4.24549231  -5.63987057   6.62219416
May 1936  -1.081718373   1.663083762  -1.14702614  -2.74669575  -2.30351865
Jun 1936   1.437611425  -0.654453027   3.92229397   2.43746849  -1.40095460
Jul 1936   1.932128855  -1.237873346   3.34293295   1.47159618  -3.56510132
Aug 1936   1.495210450  -2.131824003   3.16676944  -2.20813585   5.97926494
Sep 1936  -0.886674375  -0.368129179  -1.04098032   0.41232064   0.85656603
Oct 1936  -1.929477721   0.464656534  -1.79213521  -0.72790582   2.61930721
Nov 1936   2.452576103  -1.012437344  -0.20257812   1.96470938   5.18367895
Dec 1936  -2.258335692   0.430464449  -1.96556669  -0.43458959  -0.77571007
Jan 1937   0.240160599  -0.804725037   0.23089961   2.10022996   0.09810923
Feb 1937   0.702404534   0.887985043   1.58213787   1.48426708  -1.01528731
Mar 1937   2.488453139   1.649692602   3.70734802   0.99173758  -1.52073518
Apr 1937   0.611212289   2.567540111   3.49883152   5.22864451   2.31277207
May 1937   4.163381051   0.876546842   4.76216424   5.80954162  -0.28754208
Jun 1937   2.639358981  -4.012398028   0.36844114  -3.18456601  -0.57230636
Jul 1937  -1.395726507   0.869923121  -1.82979293   0.22090332   0.98920909
Aug 1937   1.823218765  -1.570712921   1.75080673   1.43776755   3.13003118
Sep 1937   0.952922009   0.817473579   1.75859551   1.96722908   3.26736898
Oct 1937   0.096426024   0.036377909   0.29079963   1.92175994   4.39292536
Nov 1937   3.620319177  -0.722951354   6.96782517   4.19160901   2.27513122
Dec 1937   2.666392152   3.188376036   1.74255290   1.91642945  -4.48008175
Jan 1938  -4.268563042   2.755352680   0.68642924   0.41598632   1.97406823
Feb 1938   0.318783213   1.716713825   0.72693813   0.34238020  -1.53094616
Mar 1938   2.109669450   2.390003219   1.13706318   4.78728395  -0.47231242
Apr 1938   3.159099464   5.365015945   4.78958447   6.49986278  -4.53271349
May 1938   0.906752603   1.230303122  -4.01285852  -2.84086510  -3.07463109
Jun 1938  -2.432497402  -3.779386012  -1.55388967  -2.11669665   0.54148149
Jul 1938  -2.009909173   0.960659397  -2.89980370  -3.46037268   1.12388902
Aug 1938   5.116868121   2.901654298   5.80217058   7.92814808  -1.25325414
Sep 1938   2.412583380   2.938826512  -0.05018670  -0.71271279  -0.43212167
Oct 1938   1.334252866   0.873929911   2.48671166   2.44236934  -2.76478953
Nov 1938   4.230672267   0.738608181   4.34412417   5.03752602   0.10728160
Dec 1938   2.450702032  -1.575026593  -1.32016437  -2.19368097   2.73451497
Jan 1939   2.164399905  -0.728565248  -0.82938161  -0.31752893  -1.51000208
Feb 1939  -0.713794703   2.177377614   0.17744834  -1.16652451   1.85005067
Mar 1939  -2.686956813  -4.934148863  -1.41439800  -0.41121418   3.49909770
Apr 1939   3.415392470   0.638438365   3.06402338   2.62707088   1.73303970
May 1939  -0.819422980   1.845992534   0.08460170  -0.95141825  -0.99977702
Jun 1939   0.861855778   1.399491596  -1.44074292  -1.82462217   1.55118434
Jul 1939  -0.801940504   0.909632902   0.79256087   2.17196054   0.07165707
Aug 1939   1.138941934   4.057068880   2.30759680   3.94098279  -1.47776511
Sep 1939   2.045773196   4.141767687   4.68283077   3.24652916   0.58160046
Oct 1939   4.458057259   2.599942248   5.32537583   5.55264736   3.99011040
Nov 1939   1.586624398  -1.262368366   0.16695228   0.83990349   0.10148472
Dec 1939  -1.641111231  -2.834060439  -4.89622446  -5.50787083  -1.62047103
Jan 1940   2.410580457   1.105967011   2.58040887   2.47823246   1.80260538
Feb 1940  -1.170826672   2.367907293  -2.06411363  -2.41506054   0.36672421
Mar 1940   1.580296643  -3.131515467   0.19385625  -1.20004744   2.37358250
Apr 1940  -4.526064172   0.019134636  -4.67885543  -3.94201239  -1.60880289
May 1940  -1.597200970   2.447752199  -3.58225437  -6.05919675   0.44334617
Jun 1940  -2.349612449  -0.019578571  -0.55243155   0.72024806   1.24066344
Jul 1940   2.221542864   3.052830702   1.83689319   1.97278746  -0.48786917
Aug 1940  -0.781448228   2.698065010  -1.57763052  -1.11466267   4.07423509
Sep 1940   0.566643764  -0.769345854   0.19963021  -2.60893986   1.63727551
Oct 1940  -2.617450257   0.621061722  -3.22020064  -2.73422429   1.69702806
Nov 1940  -0.006867189   0.005136195  -0.44257281   1.34455031  -1.09668275
Dec 1940   3.480935789   2.058608523   2.32846755   4.18103833   0.63022783
Jan 1941  -0.973162338   0.588798785  -2.18198322  -3.72567036   2.71511246
Feb 1941  -0.307486757  -2.182919508   0.70835488   1.96222240   4.38818475
Mar 1941   3.999571170   3.426410549   3.98158202   4.58328964  -1.10053789
Apr 1941   2.864690363   1.682483014   1.98349031   2.05584490  -0.30817625
May 1941  -1.978117266  -1.281442306  -1.63782929  -0.51650139   1.51206490
Jun 1941   2.885523323  -1.533485228   1.02771344   1.70773670  -0.79734121
Jul 1941   1.874954821   1.698492034  -0.47315623  -0.15551758  -5.35095556
Aug 1941  -2.053250973  -0.541056828  -2.34965102  -1.84900233  -4.54316682
Sep 1941   2.040752308  -0.517199335   0.50281384   1.23900371 -13.03391858
Oct 1941   3.317807774  -1.762374185   3.86892599   5.59387662  -1.17426172
Nov 1941   0.375066369  -2.368641622  -1.26047067   0.73570586   9.15119376
Dec 1941  -0.007829934  -1.516008275  -2.37696135  -2.01103007  -9.74268814
Jan 1942  -0.086266058   0.718067286   2.30135256  -0.75879867  -0.85201337
Feb 1942  -0.210086173   0.920639643  -0.24850642  -0.76258158   4.46099200
Mar 1942   1.948730869   4.207389120   0.90498355   4.31797932   0.65509915
Apr 1942  -1.191947173   4.089756925  -2.01952132  -3.40414889   6.48180331
May 1942   1.604174116   0.960821698  -0.29252928   0.81218603  -0.88617716
Jun 1942   1.312195831  -0.448675379   1.59270015   1.60506124   0.84846170
Jul 1942  -0.311111362   0.879984973  -0.79434079  -2.63657232   2.02150487
Aug 1942   1.146550663   6.151808921   2.75405541   6.11328862   1.67849488
Sep 1942   2.009260113   4.488196656   0.54722524   1.58242058   1.44285738
Oct 1942  -0.430657675  -4.723674949   2.61119658  -0.40420319   1.74722426
Nov 1942  -3.463216438   0.612135490  -1.62870195  -1.69739174  -4.29021395
Dec 1942  -0.157174864  -3.243876364   3.81295765   0.41932183  -2.84357969
Jan 1943   0.218574979   1.773038675   4.51063464   3.25712562  -1.82617004
Feb 1943   0.085426791  -5.181407763   6.22071823   4.06161706  -0.84928797
Mar 1943  -0.214128599   1.142294121  -4.27019709  -0.45030622  -0.94316376
Apr 1943   0.463333472   2.141541639  -1.22595756  -0.01032535  -7.64477734
May 1943   0.929059900  -2.030228392   2.51283143  -0.01080627  -0.70064451
Jun 1943  -0.307512468  -1.441770783  -2.75614662  -1.04598547   6.72804009
Jul 1943  -7.938326246  -3.475271736  -4.61910047  -5.54572596  -2.47310597
Aug 1943  -2.083840228  -0.272191022  -2.09628988  -8.03122455   7.33656095
Sep 1943 -11.289123758 -16.109030430  -6.83143148 -14.56369241   2.19130357
Oct 1943  -5.627243685  -1.495169860  -6.16748582  -4.84996185  -6.51600802
Nov 1943  -6.522792142   0.546901923  13.00066085   2.41362099   2.48427888
Dec 1943   0.007208194  -1.179653135  -9.83586746  -6.81175278   4.16228912
Jan 1944  -1.100707647  -2.273350519  -0.40166396  -8.04760545   1.40035068
Feb 1944   0.571699643   0.850011449   2.37429790   8.46410093   3.21180406
Mar 1944   4.332430678   5.522629572   1.04895914   3.44856921   5.17783112
Apr 1944   8.815428261   9.271842876   6.28257701   5.95646438  -3.06548599
May 1944   2.115084305  -5.829921814  -1.99203300  -2.17663112   1.65071975
Jun 1944   0.185507300   6.792919125   0.71843513   5.92023767  -0.09776437
Jul 1944  -1.168856186  -1.446329890   3.06555264   4.21246974   0.26170121
Aug 1944  -1.957458453   0.923699857   1.67243959   0.85889627  -7.26393674
Sep 1944   3.391803497   1.017825192   1.45579062  -0.30885808   2.19622297
Oct 1944  -0.422652813   2.152618494   1.95145941   0.89465821  -5.13882378
Nov 1944  -2.073838998   1.190953079  -2.78870686  -2.52054119  -2.72659232
Dec 1944   0.104102446  -1.372111034  -1.27457152  -2.29031054   0.81612885
Jan 1945  -5.100007614   0.810369570  -1.77460187   3.16909170   2.15964250
Feb 1945  -0.337319694   4.098954246   1.88418464  -1.19145207  -0.46183293
Mar 1945   1.333444317   0.625967813  -1.09408955   0.23012433  -0.62667828
Apr 1945  -4.994448070  -4.400959522  -6.52779644  -7.66104042  -6.82009768
May 1945   3.412095709  -1.035788578   7.00525716   0.78309898   2.58931574
Jun 1945   3.933936809   2.019377481   3.52149063   7.73029340  -3.02314588
Jul 1945  -1.867763405  -3.437216846   3.09748536  -1.90879864   2.28666125
Aug 1945   1.831533011   2.808557821   4.69972687   9.33206568   2.01229409
Sep 1945   1.214081559   1.493314786  -0.81572267   0.61172456   0.69086465
Oct 1945  -2.604802835  -0.862436776  -1.35457301  -4.68517234   0.34276845
Nov 1945   0.831031873   3.082868584   7.16742500   4.59738318   1.32539003
Dec 1945   4.012467303   0.848179817   2.29558978   6.33826689   2.88851445
Jan 1946   2.643580288   2.482900145   1.31680701   2.80585273  -3.77403280
Feb 1946  -0.239125141   0.749688582   1.53486214   2.14039385  -1.81670043
Mar 1946   3.811091385   2.396103616   6.04965965   5.08610910   2.61546364
Apr 1946  -1.285488240  -2.016373909   1.79410357  -2.37459520  -1.73212605
May 1946  -2.447509836   1.286886550   1.15013017  -1.16106334   0.28167022
Jun 1946   2.446838298   1.766004449   5.88049754   1.17199123   2.11789933
Jul 1946  -0.778061397  -2.387533659  -2.34230363  -0.09776997  -0.70927914
Aug 1946  -4.347507282  -6.016889342 -10.49080021  -7.43532798   2.61462408
Sep 1946   2.934534206   3.876561532   2.51070600   4.59176024   0.42326957
Oct 1946  -2.579338966  -2.328347557  -5.42613473  -5.78053077   0.14421967
Nov 1946  -0.423610663   1.124029784  -1.66059455   0.67282952   1.19848852
Dec 1946   1.559522424   1.591692480   1.62226355   0.84058441  -2.15510600
Jan 1947   1.244618556   1.867821982   2.02519929   3.63185988   2.38827913
Feb 1947   0.039935784  -1.390380566  -0.36577296  -0.78099629  -0.20971310
Mar 1947   1.639565806   1.216318900  -0.45384604  -1.19521249   0.60685418
Apr 1947  -5.336031808  -4.663955312  -6.86033704  -7.70014777  -1.59277145
May 1947   1.901593754   1.660568223   2.57717461   5.32039910   0.34306758
Jun 1947  -0.097189354   1.764251373  -3.08677728   1.76916439  -2.31320417
Jul 1947   1.369279344   1.622276562   2.29551619   2.63162296  -1.57719831
Aug 1947   1.663862618   0.356090687   1.31080101   1.10843617  -4.19880206
Sep 1947  -0.222573557  -1.502984308   0.86608400  -1.10412292  -0.84298436
Oct 1947  -0.514164733   0.679220257   0.46631177  -0.25984743  -0.51870253
Nov 1947   1.418692441  -0.173898228   1.15353309   2.41801529  -2.99574732
Dec 1947  -2.486504398  -0.250601575   0.46787684   2.28698581  -7.01445551
Jan 1948  -4.333737500  -2.821395529  -2.48782813  -1.22648061  -0.62785016
Feb 1948   0.050096018   1.252033766  -1.49375603  -0.80405438  -4.38090346
Mar 1948   2.484026951   1.063077084   1.88005729   0.51126967   4.20108620
Apr 1948  -2.603373800  -2.641122852  -3.27307722  -2.58217288  -2.22157457
May 1948   0.060649252  -1.978783997   1.37714597  -1.45675120   1.57746449
Jun 1948  -0.021226916   2.655919463   1.78983808   3.28663205  -0.88446557
Jul 1948   2.038027682  -2.499458253  -0.37177560  -1.48059347   1.36769677
Aug 1948   4.603260259   2.665775041   3.04200583   3.36116185  -0.42395459
Sep 1948  -0.767683796  -1.368092281  -0.16688867  -0.66702679  -1.09069777
Oct 1948   1.961053883  -1.430797445   0.18242632  -0.92532766  -4.52835823
Nov 1948   1.128150372  -0.280864644   1.56413560   1.81661317   2.70278034
Dec 1948  -0.757198204  -4.742287654  -1.83982145  -1.85309118  -0.46854241
Jan 1949   1.973000423   0.785559890   2.75904280   2.21640183   0.34709452
Feb 1949  -0.498045620   0.362648543  -0.30952932  -1.15696283   4.66640028
Mar 1949   1.298479886   0.642154461   0.30392747  -0.46602922   0.41831979
Apr 1949  -0.642807672   1.137312407  -1.54438872  -2.41112809  -2.93143622
May 1949   1.940526197   1.997473222   0.77506706  -0.02812515           NA
Jun 1949  -1.243539341  -2.099692858  -2.53375472  -3.20684831           NA
Jul 1949  -1.620661623   0.434179376  -0.73754971  -0.92765324           NA
Aug 1949  -2.390342906  -2.909807890  -4.26442539  -3.33663999           NA
Sep 1949  -1.296241390  -0.803252934  -0.74880937  -2.61336017           NA
Oct 1949  -2.111238764  -1.055318739  -0.13085881  -0.56772739           NA
Nov 1949  -0.417191364  -1.492629937  -3.12589333  -5.06840140           NA
Dec 1949  -3.722576827  -8.982660260   7.64436246  -5.52964853           NA
Jan 1950   2.872964193   1.575636559  -3.13948750  -0.84581737           NA
Feb 1950  -3.997928056  -1.372982895  -2.56531273  -3.37338311           NA
Mar 1950   3.480936422   4.496744598   3.47607548   3.17955515           NA
Apr 1950  -0.684436024  -2.966872216  -0.79287365  -2.35141395           NA
May 1950   3.038984910   0.032835331   0.83116255   2.87001801           NA
Jun 1950  -0.758148995  -4.075954211  -2.91910621  -3.35738836           NA
Jul 1950  -1.431295539  -2.225252551  -0.71398483   1.00457161           NA
Aug 1950  -1.506358274  -0.755438192  -1.12906002   1.09638155           NA
Sep 1950   1.953004870   2.457422896  -0.98069985  -1.29859254           NA
Oct 1950  -2.547529778  -1.746091137  -4.28324614  -2.73959802           NA
Nov 1950  -2.125695417  -4.219973390   2.38784609   3.25200318           NA
Dec 1950  -3.840342378  -1.305338159  -2.46811453  -1.78862262           NA
Jan 1951  -1.774362554   3.813834360   2.72263771  -0.24876940           NA
Feb 1951   3.075467227   4.619314071   3.76370606   5.65227293           NA
Mar 1951   1.893652459   3.205301892  -0.22246950   0.93917790           NA
Apr 1951  -0.652733347  -4.335431160  -3.78738033  -4.14856291           NA

My code: 

funcao_otimazarei<- function(par, yt) {
  ans <- fkf(a0 = c(0), 
             P0 = 10^7*diag(1), 
             dt = matrix(par[4], ncol = 1),
             ct = matrix(0, ncol = 1), 
             Tt = par[1]*diag(1),
             Zt = matrix(1),
             HHt =  matrix(par[3]), 
             GGt = matrix(par[2]),
             yt = matrix(Matrix_FK[,1], nrow = 1))
  return(-ans$logLik)
}

# ordem vetor par: phi (Tt), sigma2_ep (GG_t) , sigma2_eta (HHt), alpha (dt)

otimizar_agora<- optim(par = c(0.5,0.5,0.5,0.5), otimizar, yt = Matrix_FK[,1],lower = c(-Inf,0,0,-Inf), method = "L-BFGS-B")

otimizados$par

FK_ação<- fkf(a0 = c(0),
          P0 = 10^7*diag(1),
          dt = matrix(otimizados$par[4], ncol = 1),
          ct = matrix(0, ncol = 1),
          Tt = otimizados$par[1]*diag(1),
          Zt = matrix(1), 
          HHt = matrix(otimizados$par[3]),
          GGt = matrix(otimizados$par[2]),
          yt = matrix(Matrix_FK[,1], nrow = 1))

k_fk <- ts(t(FK_ação$att), start = 1) 

plot(k_fk)
    
asked by anonymous 18.08.2016 / 01:57

2 answers

4

If you have a function that receives a vector as input and returns another vector as output you can always use apply . This is for any function.

For example, starting very simple. Please consider the function defined below: 

funcao <- function(x) {
  x[1:10] <- x[1:10] + 1
  return(x)
}

It takes a x vector and sum 1 in each of its first 10 elements. If you have the array: 

x <- matrix(1:200, ncol = 10)

And you want to apply this function to each of your columns you can use 'apply as follows: 

apply(x, 2, funcao)
      [,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10]
 [1,]    2   22   42   62   82  102  122  142  162   182
 [2,]    3   23   43   63   83  103  123  143  163   183
 [3,]    4   24   44   64   84  104  124  144  164   184
 [4,]    5   25   45   65   85  105  125  145  165   185
 [5,]    6   26   46   66   86  106  126  146  166   186
 [6,]    7   27   47   67   87  107  127  147  167   187
 [7,]    8   28   48   68   88  108  128  148  168   188
 [8,]    9   29   49   69   89  109  129  149  169   189
 [9,]   10   30   50   70   90  110  130  150  170   190
[10,]   11   31   51   71   91  111  131  151  171   191
[11,]   11   31   51   71   91  111  131  151  171   191
[12,]   12   32   52   72   92  112  132  152  172   192
[13,]   13   33   53   73   93  113  133  153  173   193
[14,]   14   34   54   74   94  114  134  154  174   194
[15,]   15   35   55   75   95  115  135  155  175   195
[16,]   16   36   56   76   96  116  136  156  176   196
[17,]   17   37   57   77   97  117  137  157  177   197
[18,]   18   38   58   78   98  118  138  158  178   198
[19,]   19   39   59   79   99  119  139  159  179   199
[20,]   20   40   60   80  100  120  140  160  180   200

Now, you can complicate your function, however you want. Since it receives a vector as input and returns vector as well. Imagine that you want to find the parameter a that minimizes the sum of (x - a)^2 for any vector. a can be interpreted by the mean of x. Next you want to divide each element of x by the found value of a .

You could define a function: 

funcao <- function(x) {
  funcao_obj <- function(par, x){
    sum((par[1] - x)^2)
  }
  otm <- optim(par = c(1), funcao_obj, x = x, method = "BFGS")$par
  x <- round(x/otm[1],2)
  return(x)
}

And use apply , in the same way: 

apply(x, 2, funcao)

      [,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10]
 [1,] 0.10 0.69 0.81 0.87 0.90 0.91 0.93 0.94 0.94  0.95
 [2,] 0.19 0.72 0.83 0.88 0.91 0.92 0.93 0.94 0.95  0.96
 [3,] 0.29 0.75 0.85 0.89 0.92 0.93 0.94 0.95 0.96  0.96
 [4,] 0.38 0.79 0.87 0.91 0.93 0.94 0.95 0.96 0.96  0.97
 [5,] 0.48 0.82 0.89 0.92 0.94 0.95 0.96 0.96 0.97  0.97
 [6,] 0.57 0.85 0.91 0.94 0.95 0.96 0.97 0.97 0.97  0.98
 [7,] 0.67 0.89 0.93 0.95 0.96 0.97 0.97 0.98 0.98  0.98
 [8,] 0.76 0.92 0.95 0.96 0.97 0.98 0.98 0.98 0.99  0.99
 [9,] 0.86 0.95 0.97 0.98 0.98 0.99 0.99 0.99 0.99  0.99
[10,] 0.95 0.98 0.99 0.99 0.99 1.00 1.00 1.00 1.00  1.00
[11,] 1.05 1.02 1.01 1.01 1.01 1.00 1.00 1.00 1.00  1.00
[12,] 1.14 1.05 1.03 1.02 1.02 1.01 1.01 1.01 1.01  1.01
[13,] 1.24 1.08 1.05 1.04 1.03 1.02 1.02 1.02 1.01  1.01
[14,] 1.33 1.11 1.07 1.05 1.04 1.03 1.03 1.02 1.02  1.02
[15,] 1.43 1.15 1.09 1.06 1.05 1.04 1.03 1.03 1.03  1.02
[16,] 1.52 1.18 1.11 1.08 1.06 1.05 1.04 1.04 1.03  1.03
[17,] 1.62 1.21 1.13 1.09 1.07 1.06 1.05 1.04 1.04  1.03
[18,] 1.71 1.25 1.15 1.11 1.08 1.07 1.06 1.05 1.04  1.04
[19,] 1.81 1.28 1.17 1.12 1.09 1.08 1.07 1.06 1.05  1.04
[20,] 1.90 1.31 1.19 1.13 1.10 1.09 1.07 1.06 1.06  1.05
    
18.08.2016 / 19:22
3

If your function otimizar within optim is funcao_otimazarei , you can solve using lapply and sapply (where a function, which usually returns several data structures, is applied to each column) / p> 

otimizados<- lapply(1:ncol(Matrix_FK),function(ii)optim(par = c(0.5,0.5,0.5,0.5), otimizar, 
                       yt = Matrix_FK[,ii],lower = c(-Inf,0,0,-Inf),
                       method = "L-BFGS-B"))


FK_ação<-sapply(1:length(otimizados),function(ii) fkf(a0 = c(0),
              P0 = 10^7*diag(1),
              dt = matrix(otimizados[[ii]]$par[4], ncol = 1),
              ct = matrix(0, ncol = 1),
              Tt = otimizados[[ii]]$par[1]*diag(1),
              Zt = matrix(1), 
              HHt = matrix(otimizados[[ii]]$par[3]),
              GGt = matrix(otimizados[[ii]]$par[2]),
              yt = matrix(Matrix_FK[,ii], nrow = 1))$att
)

k_fk <- ts(FK_ação, start = 1) 

plot(k_fk)

    
18.08.2016 / 19:55
Memory consumption in java Is it recommended to use IDE to program in C ++? [closed]