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Changed logic in numgrad2. 

Do not compute the left derivative if the evaluation of the objective function at x+h returns a non zero cost_flag (ie a problem with BK, steady state, ...).
time-shift
Stéphane Adjemian (Charybdis) 2013-09-20 22:43:28 +02:00
parent d116fea0d9
commit 15825c9034
1 changed files with 9 additions and 13 deletions
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22
matlab/numgrad2.m
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@ -5,7 +5,7 @@ function [g, badg] = numgrad2(fcn,f0,x,epsilon,varargin)
% http://sims.princeton.edu/yftp/optimize/mfiles/numgrad.m
% Copyright (C) 1993-2007 Christopher Sims
% Copyright (C) 2008-2012 Dynare Team
% Copyright (C) 2008-2013 Dynare Team
%
% This file is part of Dynare.
%
@ -30,32 +30,28 @@ tvec=delta*eye(n);
g=zeros(n,1);
badg=0;
goog=1;
scale=1;
g0 = 0;
right_derivative = 1;
for i=1:n
if size(x,1)>size(x,2)
tvecv=tvec(i,:);
else
tvecv=tvec(:,i);
end
[fh,junk1,junk2,cost_flag] = feval(fcn, x+scale*transpose(tvecv), varargin{:});
if cost_flag
if right_derivative
[fh,junk1,junk2,cost_flag] = feval(fcn, x+scale*transpose(tvecv), varargin{:});
g0 = (fh - f0) / (scale*delta);
else
[fh,junk1,junk2,cost_flag] = feval(fcn, x-scale*transpose(tvecv), varargin{:});
if cost_flag
g0 = (f0-fh) / (scale*delta);
else
goog = 0;
end
g0 = (f0-fh) / (scale*delta);
end
if goog && abs(g0)< 1e15
if abs(g0)< 1e15
g(i) = g0;
else
disp('bad gradient ------------------------')
% fprintf('Gradient w.r.t. %3d: %10g\n',i,g0)
g(i) = 0;
badg = 1;
end
end
end