stepan
/
dynare
1
0
Fork 0
Code Issues Pull Requests Packages Projects Releases Wiki Activity

Laplace approximation: filter out non-positive definite Hessians 

Closes https://git.dynare.org/Dynare/dynare/issues/1659
time-shift
Johannes Pfeifer 2019-11-21 11:32:13 +01:00
parent 9f5f4b6981
commit 0075776716
1 changed files with 7 additions and 3 deletions
Show Stats Download Patch File Download Diff File Expand all files Collapse all files

10
matlab/dynare_estimation_1.m
View File

@ -365,9 +365,13 @@ if any(bayestopt_.pshape > 0) && ~options_.mh_posterior_mode_estimation
% Laplace approximation to the marginal log density:
if options_.cova_compute
estim_params_nbr = size(xparam1,1);
log_det_invhess = log(det(invhess./(stdh*stdh')))+2*sum(log(stdh));
likelihood = feval(objective_function,xparam1,dataset_,dataset_info,options_,M_,estim_params_,bayestopt_,bounds,oo_);
oo_.MarginalDensity.LaplaceApproximation = .5*estim_params_nbr*log(2*pi) + .5*log_det_invhess - likelihood;
if ispd(invhess)
log_det_invhess = log(det(invhess./(stdh*stdh')))+2*sum(log(stdh));
likelihood = feval(objective_function,xparam1,dataset_,dataset_info,options_,M_,estim_params_,bayestopt_,bounds,oo_);
oo_.MarginalDensity.LaplaceApproximation = .5*estim_params_nbr*log(2*pi) + .5*log_det_invhess - likelihood;
else
oo_.MarginalDensity.LaplaceApproximation = NaN;
end
skipline()
disp(sprintf('Log data density [Laplace approximation] is %f.',oo_.MarginalDensity.LaplaceApproximation))
skipline()