2010-01-10 17:51:33 +01:00
|
|
|
function [g, badg, f0, f1, f2, f3, f4] = numgrad5(fcn,f0,x,epsilon,varargin)
|
2008-07-08 10:18:54 +02:00
|
|
|
% Computes the gradient of the objective function fcn using a five points
|
|
|
|
% formula if possible.
|
|
|
|
%
|
|
|
|
% Adapted from Sims' numgrad.m routine.
|
|
|
|
%
|
|
|
|
% See section 25.3.6 Abramovitz and Stegun (1972, Tenth Printing, December) Handbook of Mathematical Functions.
|
|
|
|
% http://www.math.sfu.ca/~cbm/aands/
|
|
|
|
%
|
|
|
|
% TODO Try Four points formula when cost_flag3=0 or cost_flag4=0.
|
2008-08-01 14:40:33 +02:00
|
|
|
|
2008-09-02 17:18:05 +02:00
|
|
|
% Original file downloaded from:
|
|
|
|
% http://sims.princeton.edu/yftp/optimize/mfiles/numgrad.m
|
|
|
|
|
2008-08-01 15:28:14 +02:00
|
|
|
% Copyright (C) 1993-2007 Christopher Sims
|
2012-06-08 18:22:34 +02:00
|
|
|
% Copyright (C) 2008-2012 Dynare Team
|
2008-08-01 14:40:33 +02:00
|
|
|
%
|
|
|
|
% This file is part of Dynare.
|
|
|
|
%
|
|
|
|
% Dynare is free software: you can redistribute it and/or modify
|
|
|
|
% it under the terms of the GNU General Public License as published by
|
|
|
|
% the Free Software Foundation, either version 3 of the License, or
|
|
|
|
% (at your option) any later version.
|
|
|
|
%
|
|
|
|
% Dynare is distributed in the hope that it will be useful,
|
|
|
|
% but WITHOUT ANY WARRANTY; without even the implied warranty of
|
|
|
|
% MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the
|
|
|
|
% GNU General Public License for more details.
|
|
|
|
%
|
|
|
|
% You should have received a copy of the GNU General Public License
|
|
|
|
% along with Dynare. If not, see <http://www.gnu.org/licenses/>.
|
2008-07-08 10:18:54 +02:00
|
|
|
|
|
|
|
f1 = NaN;
|
|
|
|
f2 = NaN;
|
|
|
|
f3 = NaN;
|
|
|
|
f4 = NaN;
|
|
|
|
|
2010-01-11 00:10:14 +01:00
|
|
|
delta = epsilon;
|
2008-07-08 10:18:54 +02:00
|
|
|
n=length(x);
|
|
|
|
tvec=delta*eye(n);
|
|
|
|
g=zeros(n,1);
|
|
|
|
|
|
|
|
badg=0;
|
|
|
|
goog=1;
|
|
|
|
scale=1;
|
|
|
|
|
|
|
|
for i=1:n
|
2009-12-16 18:17:34 +01:00
|
|
|
if size(x,1)>size(x,2)
|
|
|
|
tvecv=tvec(i,:);
|
|
|
|
else
|
|
|
|
tvecv=tvec(:,i);
|
|
|
|
end
|
2012-04-27 15:57:58 +02:00
|
|
|
[f1,junk1,junk2,cost_flag1] = feval(fcn, x+scale*transpose(tvecv), varargin{:});
|
|
|
|
[f2,junk1,junk2,cost_flag2] = feval(fcn, x-scale*transpose(tvecv), varargin{:});
|
2009-12-16 18:17:34 +01:00
|
|
|
if cost_flag1==0 || cost_flag2==0
|
|
|
|
cost_flag3 = 0;
|
|
|
|
cost_flag4 = 0;
|
|
|
|
disp('numgrad:: I cannot use the five points formula!!')
|
|
|
|
else
|
2012-04-27 15:57:58 +02:00
|
|
|
[f3,junk1,junk2,cost_flag3] = feval(fcn, x+2*scale*transpose(tvecv), varargin{:});
|
|
|
|
[f4,junk1,junk2,cost_flag4] = feval(fcn, x-2*scale*transpose(tvecv), varargin{:});
|
2009-12-16 18:17:34 +01:00
|
|
|
end
|
|
|
|
if cost_flag1 && cost_flag2 && cost_flag3 && cost_flag4% Five Points formula
|
|
|
|
g0 = (8*(f1 - f2)+ f4-f3) / (12*scale*delta);
|
|
|
|
elseif cost_flag3==0 || cost_flag4==0
|
|
|
|
if cost_flag1 && cost_flag2% Three points formula
|
|
|
|
g0 = (f1-f2)/(2*scale*delta);
|
|
|
|
else
|
|
|
|
if cost_flag1% Two points formula
|
|
|
|
g0 = (f1-f0) / (scale*delta);
|
|
|
|
elseif cost_flag2% Two points formula
|
|
|
|
g0 = (f0-f2) / (scale*delta);
|
|
|
|
else% Bad gradient!
|
|
|
|
goog=0;
|
|
|
|
end
|
|
|
|
end
|
|
|
|
end
|
|
|
|
if goog && abs(g0)< 1e15
|
|
|
|
g(i)=g0;
|
|
|
|
else
|
|
|
|
disp('bad gradient ------------------------')
|
|
|
|
g(i)=0;
|
|
|
|
badg=1;
|
|
|
|
end
|
2008-07-08 10:18:54 +02:00
|
|
|
end
|