Merge branch 'octave_optim' of git.dynare.org:JohannesPfeifer/dynare
commit
11f7ae2236
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@ -70,21 +70,37 @@ switch minimizer_algorithm
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error('Optimization algorithm 1 requires the Optimization Toolbox')
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end
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% Set default optimization options for fmincon.
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optim_options = optimoptions('fmincon','display','iter', 'MaxFunEvals',100000, 'TolFun',1e-8, 'TolX',1e-6);
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if ~isoctave
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optim_options = optimoptions('fmincon','display','iter', 'MaxFunEvals',100000, 'TolFun',1e-8, 'TolX',1e-6);
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else
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optim_options = optimset('display','iter', 'MaxFunEvals',100000, 'TolFun',1e-8, 'TolX',1e-6);
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end
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if isoctave
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% Under Octave, use the active-set (i.e. octave_sqp of nonlin_min)
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% algorithm. On a simple example (fs2000.mod), the default algorithm
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% is not able to even move away from the initial point.
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optim_options = optimoptions(optim_options, 'Algorithm','active-set');
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optim_options = optimset(optim_options, 'Algorithm','active-set');
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end
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if options_.analytic_derivation || (isfield(options_,'mom') && options_.mom.analytic_jacobian==1)
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optim_options = optimoptions(optim_options,'GradObj','on','TolX',1e-7); %alter default TolX
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if ~isoctave
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optim_options = optimoptions(optim_options,'GradObj','on','TolX',1e-7); %alter default TolX
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else
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optim_options = optimset('GradObj','on','TolX',1e-7);
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end
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end
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if ~isempty(options_.optim_opt)
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eval(['optim_options = optimoptions(optim_options,' options_.optim_opt ');']);
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if ~isoctave
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eval(['optim_options = optimoptions(optim_options,' options_.optim_opt ');']);
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else
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eval(['optim_options = optimset(optim_options,' options_.optim_opt ');']);
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end
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end
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if options_.silent_optimizer
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optim_options = optimoptions(optim_options,'display','off');
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if ~isoctave
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optim_options = optimoptions(optim_options,'display','off');
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else
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optim_options = optimset(optim_options,'display','off');
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end
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end
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if options_.analytic_derivation || (isfield(options_,'mom') && options_.mom.analytic_jacobian==1) %use wrapper
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func = @(x) analytic_gradient_wrapper(x,objective_function,varargin{:});
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@ -168,19 +184,32 @@ switch minimizer_algorithm
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error('Optimization algorithm 3 requires the Optimization Toolbox')
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end
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% Set default optimization options for fminunc.
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optim_options = optimoptions('fminunc','display','iter','MaxFunEvals',100000,'TolFun',1e-8,'TolX',1e-6);
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if ~isoctave
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optim_options = optimoptions('fminunc','display','iter','MaxFunEvals',100000,'TolFun',1e-8,'TolX',1e-6);
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else
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optim_options = optimset('display','iter','MaxFunEvals',100000,'TolFun',1e-8,'TolX',1e-6);
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end
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if ~isempty(options_.optim_opt)
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eval(['optim_options = optimoptions(optim_options,' options_.optim_opt ');']);
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if ~isoctave
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eval(['optim_options = optimoptions(optim_options,' options_.optim_opt ');']);
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else
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eval(['optim_options = optimset(optim_options,' options_.optim_opt ');']);
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end
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end
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if options_.silent_optimizer
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optim_options = optimoptions(optim_options,'display','off');
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if ~isoctave
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optim_options = optimoptions(optim_options,'display','off');
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else
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optim_options = optimset(optim_options,'display','off');
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end
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end
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if options_.analytic_derivation || (isfield(options_,'mom') && options_.mom.analytic_jacobian==1)
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optim_options = optimoptions(optim_options,'GradObj','on');
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if ~isoctave
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optim_options = optimoptions(optim_options,'GradObj','on');
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func = @(x) analytic_gradient_wrapper(x,objective_function,varargin{:});
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[opt_par_values,fval,exitflag] = fminunc(func,start_par_value,optim_options);
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else
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optim_options = optimset(optim_options,'display','off');
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% Under Octave, use a wrapper, since fminunc() does not have a 4th arg
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func = @(x) analytic_gradient_wrapper(x,objective_function,varargin{:});
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[opt_par_values,fval,exitflag] = fminunc(func,start_par_value,optim_options);
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@ -507,9 +536,17 @@ switch minimizer_algorithm
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elseif ~isoctave && ~user_has_matlab_license('optimization_toolbox')
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error('Option mode_compute=13 requires the Optimization Toolbox')
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end
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optim_options = optimoptions('lsqnonlin','display','iter','MaxFunEvals',5000,'MaxIter',5000,'TolFun',1e-6,'TolX',1e-6);
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if ~isoctave
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optim_options = optimoptions('lsqnonlin','display','iter','MaxFunEvals',5000,'MaxIter',5000,'TolFun',1e-6,'TolX',1e-6);
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else
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optim_options = optimset('display','iter','MaxFunEvals',5000,'MaxIter',5000,'TolFun',1e-6,'TolX',1e-6);
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end
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if ~isempty(options_.optim_opt)
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eval(['optim_options = optimoptions(optim_options,' options_.optim_opt ');']);
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if ~isoctave
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eval(['optim_options = optimoptions(optim_options,' options_.optim_opt ');']);
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else
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eval(['optim_options = optimset(optim_options,' options_.optim_opt ');']);
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end
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end
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if options_.silent_optimizer
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optim_options.Display='off';
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@ -567,12 +604,24 @@ switch minimizer_algorithm
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error('Optimization algorithm 2 requires the Global Optimization Toolbox')
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end
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% Set default optimization options for simulannealbnd.
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optim_options = optimoptions('simulannealbnd','display','iter','TolFun',1e-8);
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if ~isoctave
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optim_options = optimoptions('simulannealbnd','display','iter','TolFun',1e-8);
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else
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optim_options = saoptimset('display','iter','TolFun',1e-8);
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end
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if ~isempty(options_.optim_opt)
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eval(['optim_options = optimoptions(optim_options,' options_.optim_opt ');']);
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if ~isoctave
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eval(['optim_options = optimoptions(optim_options,' options_.optim_opt ');']);
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else
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eval(['optim_options = saoptimset(optim_options,' options_.optim_opt ');']);
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end
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end
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if options_.silent_optimizer
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optim_options = optimoptions(optim_options,'display','off');
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if ~isoctave
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optim_options = optimoptions(optim_options,'display','off');
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else
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optim_options = saoptimset(optim_options,'display','off');
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end
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end
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func = @(x)objective_function(x,varargin{:});
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[opt_par_values,fval,exitflag,output] = simulannealbnd(func,start_par_value,bounds(:,1),bounds(:,2),optim_options);
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