Added new routines for computing gradients (options 13 and 15).
Stéphane Adjemian (Charybdis)
parent
cdc7e6b945
commit
0cdfe4d6c7
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@ -81,6 +81,10 @@ if NumGrad
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[g,badg] = numgrad3(fcn, f0, x0, epsilon, varargin{:});
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case 5
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[g,badg] = numgrad5(fcn, f0, x0, epsilon, varargin{:});
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case 13
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[g,badg] = numgrad3_(fcn, f0, x0, epsilon, varargin{:});
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case 15
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[g,badg] = numgrad5_(fcn, f0, x0, epsilon, varargin{:});
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otherwise
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error('csminwel1: Unknown method for gradient evaluation!')
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end
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@ -135,6 +139,10 @@ while ~done
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[g1 badg1] = numgrad3(fcn, f1, x1, epsilon, varargin{:});
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case 5
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[g1,badg1] = numgrad5(fcn, f1, x1, epsilon, varargin{:});
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case 13
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[g1,badg1] = numgrad3_(fcn, f1, x1, epsilon, varargin{:});
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case 15
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[g1,badg1] = numgrad5_(fcn, f1, x1, epsilon, varargin{:});
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otherwise
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error('csminwel1: Unknown method for gradient evaluation!')
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end
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@ -174,6 +182,10 @@ while ~done
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[g2 badg2] = numgrad3(fcn, f2, x2, epsilon, varargin{:});
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case 5
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[g2,badg2] = numgrad5(fcn, f2, x2, epsilon, varargin{:});
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case 13
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[g2,badg2] = numgrad3_(fcn, f2, x2, epsilon, varargin{:});
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case 15
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[g2,badg2] = numgrad5_(fcn, f2, x2, epsilon, varargin{:});
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otherwise
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error('csminwel1: Unknown method for gradient evaluation!')
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end
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@ -214,6 +226,10 @@ while ~done
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[g3 badg3] = numgrad3(fcn, f3, x3, epsilon, varargin{:});
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case 5
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[g3,badg3] = numgrad5(fcn, f3, x3, epsilon, varargin{:});
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case 13
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[g3,badg3] = numgrad3_(fcn, f3, x3, epsilon, varargin{:});
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case 15
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[g3,badg3] = numgrad5_(fcn, f3, x3, epsilon, varargin{:});
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otherwise
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error('csminwel1: Unknown method for gradient evaluation!')
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end
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@ -283,6 +299,10 @@ while ~done
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[gh,badgh] = numgrad3(fcn, fh, xh, epsilon, varargin{:});
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case 5
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[gh,badgh] = numgrad5(fcn, fh, xh, epsilon, varargin{:});
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case 13
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[gh,badgh] = numgrad3_(fcn, fh, xh, epsilon, varargin{:});
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case 15
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[gh,badgh] = numgrad5_(fcn, fh, xh, epsilon, varargin{:});
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otherwise
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error('csminwel1: Unknown method for gradient evaluation!')
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end
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@ -0,0 +1,67 @@
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function [g, badg, f0, f1, f2] = numgrad3_(fcn,f0,x,epsilon,varargin)
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% Computes the gradient of the objective function fcn using a three points
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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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% See section 25.3.4 in Abramovitz and Stegun (1972, Tenth Printing, December) Handbook of Mathematical Functions.
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% http://www.math.sfu.ca/~cbm/aands/
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% Original file downloaded from:
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% http://sims.princeton.edu/yftp/optimize/mfiles/numgrad.m
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% Copyright (C) 1993-2007 Christopher Sims
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% Copyright (C) 2008-2012 Dynare Team
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%
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% This file is part of Dynare.
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%
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% Dynare is free software: you can redistribute it and/or modify
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% it under the terms of the GNU General Public License as published by
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% the Free Software Foundation, either version 3 of the License, or
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% (at your option) any later version.
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%
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% Dynare is distributed in the hope that it will be useful,
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% but WITHOUT ANY WARRANTY; without even the implied warranty of
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% MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the
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% GNU General Public License for more details.
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%
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% You should have received a copy of the GNU General Public License
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% along with Dynare. If not, see <http://www.gnu.org/licenses/>.
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delta = epsilon;
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n = length(x);
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g = zeros(n,1);
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badg = 0;
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scale = []; % one(n,1);
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for i=1:n
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xiold = x(i);
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h = step_length_correction(xiold,scale,i)*delta;
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x(i) = xiold + h;
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[f1,junk1,junk2,cost_flag1] = feval(fcn, x, varargin{:});
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if ~cost_flag1
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fprintf('Gradient w.r.t. parameter number %3d (x=%16.8f,+h=%16.8f,f0=%16.8f,f1=%16.8f,f2=%16.8f,g0=%16.8f): penalty on the right!\n',i,xiold,h,f0,f1,f2,(f1 - f2) / (2*h))
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end
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x(i) = xiold - h;
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[f2,junk2,junk2,cost_flag2] = feval(fcn, x, varargin{:});
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if ~cost_flag2
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fprintf('Gradient w.r.t. parameter number %3d (x=%16.8f,+h=%16.8f,f0=%16.8f,f1=%16.8f,f2=%16.8f,g0=%16.8f): penalty on the left!\n',i,xiold,h,f0,f1,f2,(f1 - f2) / (2*h))
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end
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if f0<f1 && f0<f2
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fprintf('Gradient w.r.t. parameter number %3d (x=%16.8f,h=%16.8f,f0=%16.8f,f1=%16.8f,f2=%16.8f,g0=%16.8f)\n',i,xiold,h,f0,f1,f2,(f1 - f2) / (2*h))
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g0 = 0;
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else
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g0 = (f1 - f2) / (2*h);
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end
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if 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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fprintf('Gradient w.r.t. parameter number %3d (x=%16.8f,h=%16.8f,g0=%16.8f)\n',i,xiold,h,g0)
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g(i) = 0;
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badg = 1;
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end
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x(i) = xiold;
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end
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@ -0,0 +1,64 @@
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function [g, badg, f0, f1, f2, f3, f4] = numgrad5(fcn,f0,x,epsilon,varargin)
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% Computes the gradient of the objective function fcn using a five points
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% formula if possible.
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%
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% Adapted from Sims' numgrad.m routine.
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%
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% See section 25.3.6 Abramovitz and Stegun (1972, Tenth Printing, December) Handbook of Mathematical Functions.
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% http://www.math.sfu.ca/~cbm/aands/
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%
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% TODO Try Four points formula when cost_flag3=0 or cost_flag4=0.
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% Original file downloaded from:
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% http://sims.princeton.edu/yftp/optimize/mfiles/numgrad.m
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% Copyright (C) 1993-2007 Christopher Sims
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% Copyright (C) 2008-2012 Dynare Team
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%
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% This file is part of Dynare.
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%
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% Dynare is free software: you can redistribute it and/or modify
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% it under the terms of the GNU General Public License as published by
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% the Free Software Foundation, either version 3 of the License, or
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% (at your option) any later version.
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%
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% Dynare is distributed in the hope that it will be useful,
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% but WITHOUT ANY WARRANTY; without even the implied warranty of
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% MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the
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% GNU General Public License for more details.
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%
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% You should have received a copy of the GNU General Public License
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% along with Dynare. If not, see <http://www.gnu.org/licenses/>.
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delta = epsilon;
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n = length(x);
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g = zeros(n,1);
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badg = 0;
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scale = []; % ones(n,1);
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for i=1:n
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xiold = x(i);
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h = step_length_correction(xiold,scale,i)*delta;
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x(i) = xiold+h;
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[f1,junk1,junk2,cost_flag1] = feval(fcn, x, varargin{:});
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x(i) = xiold-h;
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[f2,junk1,junk2,cost_flag2] = feval(fcn, x, varargin{:});
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x(i) = xiold+2*h;
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[f3,junk1,junk2,cost_flag3] = feval(fcn, x, varargin{:});
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x(i) = xiold-2*h;
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[f4,junk1,junk2,cost_flag4] = feval(fcn, x, varargin{:});
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if f0<f1 && f1<f3 && f0<f2 && f2<f4
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g0 = 0;
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else
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g0 = (8*(f1 - f2)+ f4-f3) / (12*h);
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end
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if 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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fprintf('Gradient w.r.t. parameter number %3d (x=%16.8f,h=%16.8f,g0=%16.8f)\n',i,xiold,h,g0)
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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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