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Use dynare_minimize_objective for OSR computations

time-shift
Johannes Pfeifer 2015-02-28 20:37:10 +01:00
parent 198a6ed7cf
commit 0ef7524977
2 changed files with 12 additions and 11 deletions
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3
matlab/global_initialization.m
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@ -639,8 +639,7 @@ options_.endogenous_prior_restrictions.irf={};
options_.endogenous_prior_restrictions.moment={};
% OSR Optimal Simple Rules
options_.osr.tolf=1e-7;
options_.osr.maxit=1000;
options_.osr.opt_algo=4;
% use GPU
options_.gpu = 0;

20
matlab/osr1.m
View File

@ -73,9 +73,6 @@ t0 = M_.params(i_params);
inv_order_var = oo_.dr.inv_order_var;
H0 = 1e-4*eye(np);
crit=options_.osr.tolf;
nit=options_.osr.maxit;
%extract unique entries of covariance
i_var=unique(i_var);
@ -93,20 +90,25 @@ if isinf(loss)
error('OSR: Initial likelihood is infinite')
end
if isequal(options_.osr.opt_algo,5)
error('OSR: OSR does not support opt_algo=5.')
elseif isequal(options_.osr.opt_algo,6)
error('OSR: OSR does not support opt_algo=6.')
elseif isequal(options_.osr.opt_algo,10)
error('OSR: OSR does not support opt_algo=10.')
else
%%do actual optimization
[f,p]=csminwel1('osr_obj',t0,H0,[],crit,nit,options_.gradient_method,options_.gradient_epsilon,i_params,...
[p, f, exitflag] = dynare_minimize_objective(str2func('osr_obj'),t0,options_.osr.opt_algo,options_,[],cellstr(M_.param_names(i_params,:)),[],[], i_params,...
inv_order_var(i_var),weights(i_var,i_var));
end
osr_res.objective_function = f;
M_.params(i_params)=p; %make sure optimal parameters are set (and not the last draw used in csminwel)
for i=1:length(i_params)
osr_res.optim_params.(deblank(M_.param_names(i_params(i),:))) = p(i);
end
% options = optimset('fminunc');
% options = optimset('display','iter');
% [p,f]=fminunc(@osr_obj,t0,options,i_params,...
% inv_order_var(i_var),weights(i_var,i_var));
skipline()
disp('OPTIMAL VALUE OF THE PARAMETERS:')
skipline()