45 lines
1.0 KiB
Matlab
45 lines
1.0 KiB
Matlab
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function [g, badg] = numgrad3(fcn,x,varargin)
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% Computes the gradient of the objective function fcn using a three point
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% formula if possible.
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%
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% Adapted from Sims' numgrad routine.
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%
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% part of DYNARE, copyright Dynare Team (2008)
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% Gnu Public License.
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delta = 1e-6;
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n=length(x);
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tvec=delta*eye(n);
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g=zeros(n,1);
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[f0,cost_flag] = feval(fcn, x, varargin{:});
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badg=0;
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goog=1;
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scale=1;
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for i=1:n
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if size(x,1)>size(x,2)
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tvecv=tvec(i,:);
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else
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tvecv=tvec(:,i);
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end
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[f1,cost_flag1] = feval(fcn, x+scale*transpose(tvecv), varargin{:});
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[f2,cost_flag2] = feval(fcn, x-scale*transpose(tvecv), varargin{:});
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if cost_flag1 && cost_flag2
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g0 = (f1 - f2) / (2*scale*delta);
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elseif cost_flag1==1 && cost_flag2==0
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g0 = (f1-f0) / (scale*delta);
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elseif cost_flag1==0 && cost_flag2==1
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g0 = (f0-f2) / (scale*delta);
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else
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goog=0;
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end
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if goog && abs(g0)< 1e15
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g(i)=g0;
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else
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disp('bad gradient ------------------------')
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g(i)=0;
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badg=1;
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end
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end
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