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
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d116fea0d9
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15825c9034
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@ -5,7 +5,7 @@ function [g, badg] = numgrad2(fcn,f0,x,epsilon,varargin)
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% http://sims.princeton.edu/yftp/optimize/mfiles/numgrad.m
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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) 1993-2007 Christopher Sims
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% Copyright (C) 2008-2012 Dynare Team
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% Copyright (C) 2008-2013 Dynare Team
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%
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%
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% This file is part of Dynare.
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% This file is part of Dynare.
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%
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%
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@ -30,31 +30,27 @@ tvec=delta*eye(n);
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g=zeros(n,1);
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g=zeros(n,1);
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badg=0;
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badg=0;
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goog=1;
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scale=1;
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scale=1;
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g0 = 0;
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g0 = 0;
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right_derivative = 1;
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for i=1:n
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for i=1:n
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if size(x,1)>size(x,2)
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if size(x,1)>size(x,2)
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tvecv=tvec(i,:);
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tvecv=tvec(i,:);
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else
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else
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tvecv=tvec(:,i);
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tvecv=tvec(:,i);
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end
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end
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if right_derivative
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[fh,junk1,junk2,cost_flag] = feval(fcn, x+scale*transpose(tvecv), varargin{:});
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[fh,junk1,junk2,cost_flag] = feval(fcn, x+scale*transpose(tvecv), varargin{:});
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if cost_flag
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g0 = (fh - f0) / (scale*delta);
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g0 = (fh - f0) / (scale*delta);
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else
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else
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[fh,junk1,junk2,cost_flag] = feval(fcn, x-scale*transpose(tvecv), varargin{:});
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[fh,junk1,junk2,cost_flag] = feval(fcn, x-scale*transpose(tvecv), varargin{:});
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if cost_flag
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g0 = (f0-fh) / (scale*delta);
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g0 = (f0-fh) / (scale*delta);
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else
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goog = 0;
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end
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end
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end
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if abs(g0)< 1e15
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if goog && abs(g0)< 1e15
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g(i) = g0;
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g(i) = g0;
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else
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else
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disp('bad gradient ------------------------')
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% fprintf('Gradient w.r.t. %3d: %10g\n',i,g0)
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g(i) = 0;
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g(i) = 0;
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badg = 1;
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badg = 1;
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end
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end
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