mlad - maximizing likelihood functions using automatic differentiation

mlad maximizes a log-likelihood function where the log-likelihood function is programmed in Python. This enables the gradients and Hessian matrix to be obtained using automatic differentiation and makes better use of multiple CPUs. With large datasets mlad tends to be substantially faster than ml and has the important advantage that you don’t have to derive the gradients and the Hessian matrix analytically.

Installing You can install mlad within Stata using

. ssc install mlad

You will also need access to Python from Stata and the following Python modules installed, jax, numpy, scipy and importlib.
Use pip install or however you usually install Python modules.

Please note that I have only tested using the CPU only version of JAX. I have used mlad using Linux and Windows.

You can find installation details for JAX on the Jax GitHub page.

Note that to install the CPU only versions you need to use pip install jax[cpu].

I have not tested on different versions of Python. I am using Python 3.10.10 The current minimum Python version to use JAX is 3.10 (31 November 2024).

Using mlad

Examples of using mlad

I have developed some tutorial examples using mlad. There are speed tests and of course speed depends on the capabilities of your computer. All speed tests are performed on the following.

AMD Ryzen 9 5900X - 12 Cores (2 threads per core) CPU speed 4800 MHz RAM 32Gb Running Windows 11

I have Stata MP2, but I restrict to 1 processor for most examples.

The examples are below - I may add more examples in the future.

Updates

See mlad_updates.txt