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update jacob_element & hess_element for vector arguments

time-shift
Houtan Bastani 2020-05-30 00:00:00 +01:00 committed by Sébastien Villemot
parent 511908e011
commit 1975e467b5
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GPG Key ID: 2CECE9350ECEBE4A
2 changed files with 26 additions and 23 deletions
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34
matlab/hess_element.m
View File

@ -1,15 +1,17 @@
function d=hess_element(func,element1,element2,args)
% function d=hess_element(func,element1,element2,args)
function d=hess_element(func,arg1,arg2,elem1,elem2,args)
% function d=hess_element(func,arg1,arg2,elem1,elem2,args)
% returns an entry of the finite differences approximation to the hessian of func
%
% INPUTS
% func [function name] string with name of the function
% element1 [int] the indices showing the element within the hessian that should be returned
% element2 [int]
% arg1 [int] the indices showing the element within the hessian that should be returned
% arg2 [int]
% elem1 [int] vector index 1
% elem2 [int] vector index 2
% args [cell array] arguments provided to func
%
% OUTPUTS
% d [double] the (element1,element2) entry of the hessian
% d [double] the (arg1,arg2) entry of the hessian
%
% SPECIAL REQUIREMENTS
% none
@ -31,7 +33,7 @@ function d=hess_element(func,element1,element2,args)
% You should have received a copy of the GNU General Public License
% along with Dynare. If not, see <http://www.gnu.org/licenses/>.
assert(element1 <= length(args) && element2 <= length(args));
assert(arg1 <= length(args) && arg2 <= length(args));
func = str2func(func);
@ -43,21 +45,21 @@ m01 = args;
p11 = args;
m11 = args;
p10{element1} = p10{element1} + h;
m10{element1} = m10{element1} - h;
p10{arg1}(elem1) = p10{arg1}(elem1) + h;
m10{arg1}(elem1) = m10{arg1}(elem1) - h;
p11{element1} = p11{element1} + h;
m11{element1} = m11{element1} - h;
p01{element2} = p01{element2} + h;
m01{element2} = m01{element2} - h;
p11{arg1}(elem1) = p11{arg1}(elem1) + h;
m11{arg1}(elem1) = m11{arg1}(elem1) - h;
p11{element2} = p11{element2} + h;
m11{element2} = m11{element2} - h;
p01{arg2}(elem2) = p01{arg2}(elem2) + h;
m01{arg2}(elem2) = m01{arg2}(elem2) - h;
p11{arg2}(elem2) = p11{arg2}(elem2) + h;
m11{arg2}(elem2) = m11{arg2}(elem2) - h;
% From Abramowitz and Stegun. Handbook of Mathematical Functions (1965)
% formulas 25.3.24 and 25.3.27 p. 884
if element1==element2
if arg1==arg2
d = (16*func(p10{:})...
+16*func(m10{:})...
-30*func(args{:})...

15
matlab/jacob_element.m
View File

@ -1,14 +1,15 @@
function d=jacob_element(func,element,args)
% function d=jacob_element(func,element,args)
function d=jacob_element(func,arg,elem,args)
% function d=jacob_element(func,arg,elem,args)
% returns an entry of the finite differences approximation to the jacobian of func
%
% INPUTS
% func [function name] string with name of the function
% element [int] the index showing the element within the jacobian that should be returned
% arg [int] the index showing the elem within the jacobian that should be returned
% elem [int] vector index
% args [cell array] arguments provided to func
%
% OUTPUTS
% d [double] jacobian[element]
% d [double] jacobian[elem]
%
% SPECIAL REQUIREMENTS
% none
@ -30,15 +31,15 @@ function d=jacob_element(func,element,args)
% You should have received a copy of the GNU General Public License
% along with Dynare. If not, see <http://www.gnu.org/licenses/>.
assert(element <= length(args));
assert(arg <= length(args));
func = str2func(func);
h=1e-6;
margs=args;
args{element} = args{element} + h;
margs{element} = margs{element} - h;
args{arg}(elem) = args{arg}(elem) + h;
margs{arg}(elem) = margs{arg}(elem) - h;
d=(func(args{:})-func(margs{:}))/(2*h);
end