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Fixed Marco's optimization routines (mode_compute==5). 

Added fs2000d.mod in the testsuite (test of Marco's optimization routines).
time-shift
Stéphane Adjemian (Scylla) 2011-10-03 12:19:41 +02:00
parent c5b2afa3c1
commit 1dabbd8806
6 changed files with 453 additions and 301 deletions
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396
matlab/DsgeLikelihood_hh.m
View File

@ -1,4 +1,4 @@
function [fval,llik,cost_flag,ys,trend_coeff,info] = DsgeLikelihood_hh(xparam1,gend,data,data_index,number_of_observations,no_more_missing_observations) function [fval,llik,cost_flag,ys,trend_coeff,info] = DsgeLikelihood_hh(xparam1,DynareDataset,DynareOptions,Model,EstimatedParameters,BayesInfo,DynareResults)
% function [fval,cost_flag,ys,trend_coeff,info] = DsgeLikelihood(xparam1,gend,data,data_index,number_of_observations,no_more_missing_observations) % function [fval,cost_flag,ys,trend_coeff,info] = DsgeLikelihood(xparam1,gend,data,data_index,number_of_observations,no_more_missing_observations)
% Evaluates the posterior kernel of a dsge model. % Evaluates the posterior kernel of a dsge model.
% %
@ -38,234 +38,360 @@ function [fval,llik,cost_flag,ys,trend_coeff,info] = DsgeLikelihood_hh(xparam1,g
% You should have received a copy of the GNU General Public License % You should have received a copy of the GNU General Public License
% along with Dynare. If not, see <http://www.gnu.org/licenses/>. % along with Dynare. If not, see <http://www.gnu.org/licenses/>.
global bayestopt_ estim_params_ options_ trend_coeff_ M_ oo_
% Declaration of the penalty as a persistent variable.
persistent penalty
% Initialization of the persistent variable.
if ~nargin || isempty(penalty)
penalty = 1e8;
if ~nargin, return, end
end
if nargin==1
penalty = xparam1;
return
end
fval = []; fval = [];
ys = []; ys = [];
trend_coeff = []; trend_coeff = [];
cost_flag = 1; cost_flag = 1;
nobs = size(options_.varobs,1);
llik=NaN; llik=NaN;
if DynareOptions.block == 1
error('DsgeLikelihood_hh:: This routine (called if mode_compute==5) is not compatible with the block option!')
end
%------------------------------------------------------------------------------ %------------------------------------------------------------------------------
% 1. Get the structural parameters & define penalties % 1. Get the structural parameters & define penalties
%------------------------------------------------------------------------------ %------------------------------------------------------------------------------
if ~isequal(options_.mode_compute,1) && any(xparam1 < bayestopt_.lb)
k = find(xparam1 < bayestopt_.lb); % Return, with endogenous penalty, if some parameters are smaller than the lower bound of the prior domain.
fval = bayestopt_.penalty+sum((bayestopt_.lb(k)-xparam1(k)).^2); if ~isequal(DynareOptions.mode_compute,1) && any(xparam1<BayesInfo.lb)
cost_flag = 0; k = find(xparam1<BayesInfo.lb);
fval = penalty+sum((BayesInfo.lb(k)-xparam1(k)).^2);
exit_flag = 0;
info = 41; info = 41;
return; return
end end
if ~isequal(options_.mode_compute,1) && any(xparam1 > bayestopt_.ub)
k = find(xparam1 > bayestopt_.ub); % Return, with endogenous penalty, if some parameters are greater than the upper bound of the prior domain.
fval = bayestopt_.penalty+sum((xparam1(k)-bayestopt_.ub(k)).^2); if ~isequal(DynareOptions.mode_compute,1) && any(xparam1>BayesInfo.ub)
cost_flag = 0; k = find(xparam1>BayesInfo.ub);
fval = penalty+sum((xparam1(k)-BayesInfo.ub(k)).^2);
exit_flag = 0;
info = 42; info = 42;
return; return
end end
Q = M_.Sigma_e;
H = M_.H; % Get the diagonal elements of the covariance matrices for the structural innovations (Q) and the measurement error (H).
for i=1:estim_params_.nvx Q = Model.Sigma_e;
k =estim_params_.var_exo(i,1); H = Model.H;
for i=1:EstimatedParameters.nvx
k =EstimatedParameters.var_exo(i,1);
Q(k,k) = xparam1(i)*xparam1(i); Q(k,k) = xparam1(i)*xparam1(i);
end end
offset = estim_params_.nvx; offset = EstimatedParameters.nvx;
if estim_params_.nvn if EstimatedParameters.nvn
for i=1:estim_params_.nvn for i=1:EstimatedParameters.nvn
k = estim_params_.var_endo(i,1); k = EstimatedParameters.var_endo(i,1);
H(k,k) = xparam1(i+offset)*xparam1(i+offset); H(k,k) = xparam1(i+offset)*xparam1(i+offset);
end end
offset = offset+estim_params_.nvn; offset = offset+EstimatedParameters.nvn;
else
H = zeros(DynareDataset.info.nvobs);
end end
if estim_params_.ncx
for i=1:estim_params_.ncx % Get the off-diagonal elements of the covariance matrix for the structural innovations. Test if Q is positive definite.
k1 =estim_params_.corrx(i,1); if EstimatedParameters.ncx
k2 =estim_params_.corrx(i,2); for i=1:EstimatedParameters.ncx
k1 =EstimatedParameters.corrx(i,1);
k2 =EstimatedParameters.corrx(i,2);
Q(k1,k2) = xparam1(i+offset)*sqrt(Q(k1,k1)*Q(k2,k2)); Q(k1,k2) = xparam1(i+offset)*sqrt(Q(k1,k1)*Q(k2,k2));
Q(k2,k1) = Q(k1,k2); Q(k2,k1) = Q(k1,k2);
end end
% Try to compute the cholesky decomposition of Q (possible iff Q is positive definite)
[CholQ,testQ] = chol(Q); [CholQ,testQ] = chol(Q);
if testQ %% The variance-covariance matrix of the structural innovations is not definite positive. if testQ
%% We have to compute the eigenvalues of this matrix in order to build the penalty. % The variance-covariance matrix of the structural innovations is not definite positive. We have to compute the eigenvalues of this matrix in order to build the endogenous penalty.
a = diag(eig(Q)); a = diag(eig(Q));
k = find(a < 0); k = find(a < 0);
if k > 0 if k > 0
fval = bayestopt_.penalty+sum(-a(k)); fval = BayesInfo.penalty+sum(-a(k));
cost_flag = 0; exit_flag = 0;
info = 43; info = 43;
return return
end end
end end
offset = offset+estim_params_.ncx; offset = offset+EstimatedParameters.ncx;
end end
if estim_params_.ncn
for i=1:estim_params_.ncn % Get the off-diagonal elements of the covariance matrix for the measurement errors. Test if H is positive definite.
k1 = options_.lgyidx2varobs(estim_params_.corrn(i,1)); if EstimatedParameters.ncn
k2 = options_.lgyidx2varobs(estim_params_.corrn(i,2)); for i=1:EstimatedParameters.ncn
k1 = DynareOptions.lgyidx2varobs(EstimatedParameters.corrn(i,1));
k2 = DynareOptions.lgyidx2varobs(EstimatedParameters.corrn(i,2));
H(k1,k2) = xparam1(i+offset)*sqrt(H(k1,k1)*H(k2,k2)); H(k1,k2) = xparam1(i+offset)*sqrt(H(k1,k1)*H(k2,k2));
H(k2,k1) = H(k1,k2); H(k2,k1) = H(k1,k2);
end end
% Try to compute the cholesky decomposition of H (possible iff H is positive definite)
[CholH,testH] = chol(H); [CholH,testH] = chol(H);
if testH if testH
% The variance-covariance matrix of the structural innovations is not definite positive. We have to compute the eigenvalues of this matrix in order to build the endogenous penalty.
a = diag(eig(H)); a = diag(eig(H));
k = find(a < 0); k = find(a < 0);
if k > 0 if k > 0
fval = bayestopt_.penalty+sum(-a(k)); fval = BayesInfo.penalty+sum(-a(k));
cost_flag = 0; exit_flag = 0;
info = 44; info = 44;
return return
end end
end end
offset = offset+estim_params_.ncn; offset = offset+EstimatedParameters.ncn;
end end
if estim_params_.np > 0
M_.params(estim_params_.param_vals(:,1)) = xparam1(offset+1:end); % Update estimated structural parameters in Mode.params.
if EstimatedParameters.np > 0
Model.params(EstimatedParameters.param_vals(:,1)) = xparam1(offset+1:end);
end end
M_.Sigma_e = Q;
M_.H = H; % Update Model.Sigma_e and Model.H.
Model.Sigma_e = Q;
Model.H = H;
%------------------------------------------------------------------------------ %------------------------------------------------------------------------------
% 2. call model setup & reduction program % 2. call model setup & reduction program
%------------------------------------------------------------------------------ %------------------------------------------------------------------------------
[T,R,SteadyState,info,M_,options_,oo_] = dynare_resolve(M_,otions_,oo_);
if info(1) == 1 || info(1) == 2 || info(1) == 5 % Linearize the model around the deterministic sdteadystate and extract the matrices of the state equation (T and R).
fval = bayestopt_.penalty+1; [T,R,SteadyState,info,Model,DynareOptions,DynareResults] = dynare_resolve(Model,DynareOptions,DynareResults,'restrict');
cost_flag = 0;
% Return, with endogenous penalty when possible, if dynare_resolve issues an error code (defined in resol).
if info(1) == 1 || info(1) == 2 || info(1) == 5 || info(1) == 22 || info(1) == 24
fval = penalty+1;
info = info(1);
exit_flag = 0;
return return
elseif info(1) == 3 || info(1) == 4 || info(1)==6 ||info(1) == 19 || info(1) == 20 || info(1) == 21 elseif info(1) == 3 || info(1) == 4 || info(1)==6 ||info(1) == 19 || info(1) == 20 || info(1) == 21 || info(1) == 23
fval = bayestopt_.penalty+info(2); fval = penalty+info(2);
cost_flag = 0; info = info(1);
exit_flag = 0;
return return
end end
bayestopt_.mf = bayestopt_.mf1;
if options_.noconstant % Define a vector of indices for the observed variables. Is this really usefull?...
constant = zeros(nobs,1); BayesInfo.mf = BayesInfo.mf1;
% Define the constant vector of the measurement equation.
if DynareOptions.noconstant
constant = zeros(DynareDataset.info.nvobs,1);
else else
if options_.loglinear if DynareOptions.loglinear
constant = log(SteadyState(bayestopt_.mfys)); constant = log(SteadyState(BayesInfo.mfys));
else else
constant = SteadyState(bayestopt_.mfys); constant = SteadyState(BayesInfo.mfys);
end end
end end
if bayestopt_.with_trend
trend_coeff = zeros(nobs,1); % Define the deterministic linear trend of the measurement equation.
t = options_.trend_coeffs; if BayesInfo.with_trend
trend_coeff = zeros(DynareDataset.info.nvobs,1);
t = DynareOptions.trend_coeffs;
for i=1:length(t) for i=1:length(t)
if ~isempty(t{i}) if ~isempty(t{i})
trend_coeff(i) = evalin('base',t{i}); trend_coeff(i) = evalin('base',t{i});
end end
end end
trend = repmat(constant,1,gend)+trend_coeff*[1:gend]; trend = repmat(constant,1,DynareDataset.info.ntobs)+trend_coeff*[1:DynareDataset.info.ntobs];
else else
trend = repmat(constant,1,gend); trend = repmat(constant,1,DynareDataset.info.ntobs);
end end
start = options_.presample+1;
np = size(T,1); % Get needed informations for kalman filter routines.
mf = bayestopt_.mf; start = DynareOptions.presample+1;
no_missing_data_flag = (number_of_observations==gend*nobs); Z = BayesInfo.mf; % old mf
no_missing_data_flag = ~DynareDataset.missing.state;
mm = length(T); % old np
pp = DynareDataset.info.nvobs;
rr = length(Q);
kalman_tol = DynareOptions.kalman_tol;
riccati_tol = DynareOptions.riccati_tol;
Y = DynareDataset.data-trend;
%------------------------------------------------------------------------------ %------------------------------------------------------------------------------
% 3. Initial condition of the Kalman filter % 3. Initial condition of the Kalman filter
%------------------------------------------------------------------------------ %------------------------------------------------------------------------------
kalman_algo = options_.kalman_algo;
if options_.lik_init == 1 % Kalman filter kalman_algo = DynareOptions.kalman_algo;
if kalman_algo ~= 2 diffuse_periods = 0;
switch DynareOptions.lik_init
case 1% Standard initialization with the steady state of the state equation.
if kalman_algo~=2
% Use standard kalman filter except if the univariate filter is explicitely choosen.
kalman_algo = 1; kalman_algo = 1;
end end
Pstar = lyapunov_symm(T,R*Q*R',options_.qz_criterium,options_.lyapunov_complex_threshold); Pstar = lyapunov_symm(T,R*Q*R',DynareOptions.qz_criterium,DynareOptions.lyapunov_complex_threshold);
Pinf = []; Pinf = [];
elseif options_.lik_init == 2 % Old Diffuse Kalman filter a = zeros(mm,1);
Zflag = 0;
case 2% Initialization with large numbers on the diagonal of the covariance matrix if the states (for non stationary models).
if kalman_algo ~= 2 if kalman_algo ~= 2
% Use standard kalman filter except if the univariate filter is explicitely choosen.
kalman_algo = 1; kalman_algo = 1;
end end
Pstar = options_.Harvey_scale_factor*eye(np); Pstar = DynareOptions.Harvey_scale_factor*eye(mm);
Pinf = []; Pinf = [];
elseif options_.lik_init == 3 % Diffuse Kalman filter a = zeros(mm,1);
Zflag = 0;
case 3% Diffuse Kalman filter (Durbin and Koopman)
if kalman_algo ~= 4 if kalman_algo ~= 4
% Use standard kalman filter except if the univariate filter is explicitely choosen.
kalman_algo = 3; kalman_algo = 3;
end end
[Z,ST,R1,QT,Pstar,Pinf] = schur_statespace_transformation(mf,T,R,Q,options_.qz_criterium); [Z,T,R,QT,Pstar,Pinf] = schur_statespace_transformation(Z,T,R,Q,DynareOptions.qz_criterium);
Zflag = 1;
% Run diffuse kalman filter on first periods.
if (kalman_algo==3)
% Multivariate Diffuse Kalman Filter
if no_missing_data_flag
[dLIK,dlik,a,Pstar] = kalman_filter_d(Y, 1, size(Y,2), ...
zeros(mm,1), Pinf, Pstar, ...
kalman_tol, riccati_tol, DynareOptions.presample, ...
T,R,Q,H,Z,mm,pp,rr);
else
[dLIK,dlik,a,Pstar] = missing_observations_kalman_filter_d(DynareDataset.missing.aindex,DynareDataset.missing.number_of_observations,DynareDataset.missing.no_more_missing_observations, ...
Y, 1, size(Y,2), ...
zeros(mm,1), Pinf, Pstar, ...
kalman_tol, riccati_tol, DynareOptions.presample, ...
T,R,Q,H,Z,mm,pp,rr);
end
diffuse_periods = length(dlik);
if isinf(dLIK)
% Go to univariate diffuse filter if singularity problem.
kalman_algo = 4;
end
end
if (kalman_algo==4)
% Univariate Diffuse Kalman Filter
if no_correlation_flag
mmm = mm;
else
Z = [Z, eye(pp)];
T = blkdiag(T,zeros(pp));
Q = blkdiag(Q,H);
R = blkdiag(R,eye(pp));
Pstar = blkdiag(Pstar,H);
Pinf = blckdiag(Pinf,zeros(pp));
mmm = mm+pp;
end
[dLIK,dlik,a,Pstar] = univariate_kalman_filter_d(DynareDataset.missing.aindex,DynareDataset.missing.number_of_observations,DynareDataset.missing.no_more_missing_observations, ...
Y, 1, size(Y,2), ...
zeros(mmm,1), Pinf, Pstar, ...
kalman_tol, riccati_tol, DynareOptions.presample, ...
T,R,Q,H,Z,mmm,pp,rr);
diffuse_periods = length(dlik);
end
case 4% Start from the solution of the Riccati equation.
if kalman_algo ~= 2
kalman_algo = 1;
end
if isequal(H,0)
[err,Pstar] = kalman_steady_state(transpose(T),R*Q*transpose(R),transpose(build_selection_matrix(mf,np,length(mf))));
else
[err,Pstar] = kalman_steady_state(transpose(T),R*Q*transpose(R),transpose(build_selection_matrix(mf,np,length(mf))),H);
end
if err
disp(['DsgeLikelihood:: I am not able to solve the Riccati equation, so I switch to lik_init=1!']);
DynareOptions.lik_init = 1;
Pstar = lyapunov_symm(T,R*Q*R',DynareOptions.qz_criterium,DynareOptions.lyapunov_complex_threshold);
end
Pinf = [];
otherwise
error('DsgeLikelihood:: Unknown initialization approach for the Kalman filter!')
end end
kalman_tol = options_.kalman_tol;
riccati_tol = options_.riccati_tol;
mf = bayestopt_.mf1;
Y = data-trend;
%------------------------------------------------------------------------------ %------------------------------------------------------------------------------
% 4. Likelihood evaluation % 4. Likelihood evaluation
%------------------------------------------------------------------------------ %------------------------------------------------------------------------------
if (kalman_algo==1)% Multivariate Kalman Filter
singularity_flag = 0;
if ((kalman_algo==1) || (kalman_algo==3))% Multivariate Kalman Filter
if no_missing_data_flag if no_missing_data_flag
[LIK, lik] = kalman_filter(T,R,Q,H,Pstar,Y,start,mf,kalman_tol,riccati_tol); [LIK,lik] = kalman_filter(Y,diffuse_periods+1,size(Y,2), ...
a,Pstar, ...
kalman_tol, riccati_tol, ...
DynareOptions.presample, ...
T,Q,R,H,Z,mm,pp,rr,Zflag,diffuse_periods);
else else
[LIK, lik] = ... [LIK,lik] = missing_observations_kalman_filter(DynareDataset.missing.aindex,DynareDataset.missing.number_of_observations,DynareDataset.missing.no_more_missing_observations,Y,diffuse_periods+1,size(Y,2), ...
missing_observations_kalman_filter(T,R,Q,H,Pstar,Y,start,mf,kalman_tol,riccati_tol, ... a, Pstar, ...
data_index,number_of_observations,no_more_missing_observations); kalman_tol, DynareOptions.riccati_tol, ...
DynareOptions.presample, ...
T,Q,R,H,Z,mm,pp,rr,Zflag,diffuse_periods);
end end
if isinf(LIK) if isinf(LIK)
kalman_algo = 2; singularity_flag = 1;
else
if DynareOptions.lik_init==3
LIK = LIK + dLIK;
lik = [dlik; lik];
end
end end
end end
if (kalman_algo==2)% Univariate Kalman Filter
no_correlation_flag = 1; if ( (singularity_flag) || (kalman_algo==2) || (kalman_algo==4) )% Univariate Kalman Filter
if isequal(H,0) if singularity_flag
H = zeros(nobs,1); if no_correlation
mmm = mm;
else else
if all(all(abs(H-diag(diag(H)))<1e-14))% ie, the covariance matrix is diagonal... Z = [Z, eye(pp)];
H = diag(H); T = blkdiag(T,zeros(pp));
else Q = blkdiag(Q,H);
no_correlation_flag = 0; R = blkdiag(R,eye(pp));
Pstar = blkdiag(Pstar,H);
Pinf = blckdiag(Pinf,zeros(pp));
mmm = mm+pp;
a = [a; zeros(pp,1)];
end end
end end
if no_correlation_flag [LIK,lik] = univariate_kalman_filter(DynareDataset.missing.aindex,DynareDataset.missing.number_of_observations,DynareDataset.missing.no_more_missing_observations,Y,diffuse_periods+1,size(Y,2), ...
[LIK, lik] = univariate_kalman_filter(T,R,Q,H,Pstar,Y,start,mf,kalman_tol,riccati_tol,data_index,number_of_observations,no_more_missing_observations); a,Pstar, ...
else DynareOptions.kalman_tol, ...
[LIK, lik] = univariate_kalman_filter_corr(T,R,Q,H,Pstar,Y,start,mf,kalman_tol,riccati_tol,data_index,number_of_observations,no_more_missing_observations); DynareOptions.riccati_tol, ...
DynareOptions.presample, ...
T,Q,R,H,Z,mmm,pp,rr,diffuse_periods);
if DynareOptions.lik_init==3
LIK = LIK+dLIK;
lik = [dlik; lik];
end end
end end
if (kalman_algo==3)% Multivariate Diffuse Kalman Filter
if no_missing_data_flag if isnan(LIK)
[LIK, lik] = diffuse_kalman_filter(ST,R1,Q,H,Pinf,Pstar,Y,start,Z,kalman_tol, ... info = 45;
riccati_tol); exit_flag = 0;
else return
[LIK, lik] = missing_observations_diffuse_kalman_filter(ST,R1,Q,H,Pinf, ...
Pstar,Y,start,Z,kalman_tol,riccati_tol,...
data_index,number_of_observations,...
no_more_missing_observations);
end
if isinf(LIK)
kalman_algo = 4;
end
end end
if (kalman_algo==4)% Univariate Diffuse Kalman Filter if imag(LIK)~=0
no_correlation_flag = 1; likelihood = penalty;
if isequal(H,0)
H = zeros(nobs,1);
else
if all(all(abs(H-diag(diag(H)))<1e-14))% ie, the covariance matrix is diagonal...
H = diag(H);
else
no_correlation_flag = 0;
end
end
if no_correlation_flag
[LIK, lik] = univariate_diffuse_kalman_filter(ST,R1,Q,H,Pinf,Pstar,Y, ...
start,Z,kalman_tol,riccati_tol,data_index,...
number_of_observations,no_more_missing_observations);
else
[LIK, lik] = univariate_diffuse_kalman_filter_corr(ST,R1,Q,H,Pinf,Pstar, ...
Y,start,Z,kalman_tol,riccati_tol,...
data_index,number_of_observations,...
no_more_missing_observations);
end
end
if imag(LIK) ~= 0
likelihood = bayestopt_.penalty;
else else
likelihood = LIK; likelihood = LIK;
end end
% ------------------------------------------------------------------------------ % ------------------------------------------------------------------------------
% Adds prior if necessary % 5. Adds prior if necessary
% ------------------------------------------------------------------------------ % ------------------------------------------------------------------------------
lnprior = priordens(xparam1,bayestopt_.pshape,bayestopt_.p6,bayestopt_.p7,bayestopt_.p3,bayestopt_.p4); lnprior = priordens(xparam1,BayesInfo.pshape,BayesInfo.p6,BayesInfo.p7,BayesInfo.p3,BayesInfo.p4);
fval = (likelihood-lnprior); fval = (likelihood-lnprior);
options_.kalman_algo = kalman_algo;
% Update DynareOptions.kalman_algo.
DynareOptions.kalman_algo = kalman_algo;
% Update the penalty.
penalty = fval;
% Add the prior density at the top of the vector for the density of each observation.
lik=lik(start:end,:); lik=lik(start:end,:);
llik=[-lnprior; lik(:)]; llik=[-lnprior; lik(:)];
% llik=[-lnprior; lik(start:end)];

27
matlab/mr_gstep.m
View File

@ -1,4 +1,4 @@
function [f0, x, ig] = mr_gstep(h1,x,func0,htol0,varargin) function [f0, x, ig] = mr_gstep(h1,x,func0,htol0,DynareDataset,DynareOptions,Model,EstimatedParameters,BayesInfo,DynareResults)
% function [f0, x, ig] = mr_gstep(h1,x,func0,htol0,varargin) % function [f0, x, ig] = mr_gstep(h1,x,func0,htol0,varargin)
% %
% Gibbs type step in optimisation % Gibbs type step in optimisation
@ -22,13 +22,12 @@ function [f0, x, ig] = mr_gstep(h1,x,func0,htol0,varargin)
n=size(x,1); n=size(x,1);
if nargin<4, if isempty(htol0)
htol = 1.e-6; htol = 1.e-6;
else else
htol = htol0; htol = htol0;
end end
func = str2func(func0); f0=feval(func0,x,DynareDataset,DynareOptions,Model,EstimatedParameters,BayesInfo,DynareResults);
f0=feval(func,x,varargin{:});
xh1=x; xh1=x;
f1=zeros(size(f0,1),n); f1=zeros(size(f0,1),n);
@ -36,20 +35,18 @@ f_1=f1;
i=0; i=0;
ig=zeros(n,1); ig=zeros(n,1);
while i<n, while i<n
i=i+1; i=i+1;
h10=h1(i); h10=h1(i);
hcheck=0; hcheck=0;
dx=[]; dx=[];
xh1(i)=x(i)+h1(i); xh1(i)=x(i)+h1(i);
fx = feval(func,xh1,varargin{:}); fx = feval(func0,xh1,DynareDataset,DynareOptions,Model,EstimatedParameters,BayesInfo,DynareResults);
f1(:,i)=fx; f1(:,i)=fx;
xh1(i)=x(i)-h1(i); xh1(i)=x(i)-h1(i);
fx = feval(func0,xh1,DynareDataset,DynareOptions,Model,EstimatedParameters,BayesInfo,DynareResults);
fx = feval(func,xh1,varargin{:});
f_1(:,i)=fx; f_1(:,i)=fx;
if hcheck && htol<1
if hcheck && htol<1,
htol=min(1,max(min(abs(dx))*2,htol*10)); htol=min(1,max(min(abs(dx))*2,htol*10));
h1(i)=h10; h1(i)=h10;
xh1(i)=x(i); xh1(i)=x(i);
@ -59,14 +56,8 @@ while i<n,
hh=gg; hh=gg;
gg(i)=(f1(i)'-f_1(i)')./(2.*h1(i)); gg(i)=(f1(i)'-f_1(i)')./(2.*h1(i));
hh(i) = 1/max(1.e-9,abs( (f1(i)+f_1(i)-2*f0)./(h1(i)*h1(i)) )); hh(i) = 1/max(1.e-9,abs( (f1(i)+f_1(i)-2*f0)./(h1(i)*h1(i)) ));
% if abs(f1(i)+f_1(i)-2*f0)>1.e-12, if gg(i)*(hh(i)*gg(i))/2 > htol
% hh(i) = abs(1/( (f1(i)+f_1(i)-2*f0)./(h1(i)*h1(i)) )); [f0 x fc retcode] = csminit(func0,x,f0,gg,0,diag(hh),DynareDataset,DynareOptions,Model,EstimatedParameters,BayesInfo,DynareResults);
% else
% hh(i) = 1;
% end
if gg(i)*(hh(i)*gg(i))/2 > htol,
[f0 x fc retcode] = csminit(func0,x,f0,gg,0,diag(hh),varargin{:});
ig(i)=1; ig(i)=1;
end end
xh1=x; xh1=x;

82
matlab/mr_hessian.m
View File

@ -1,4 +1,4 @@
function [hessian_mat, gg, htol1, ihh, hh_mat0, hh1] = mr_hessian(init,x,func,hflag,htol0,varargin) function [hessian_mat, gg, htol1, ihh, hh_mat0, hh1] = mr_hessian(init,x,func,hflag,htol0,DynareDataset,DynareOptions,Model,EstimatedParameters,BayesInfo,DynareResults)
% [hessian_mat, gg, htol1, ihh, hh_mat0, hh1] = mr_hessian(init,x,func,hflag,htol0,varargin) % [hessian_mat, gg, htol1, ihh, hh_mat0, hh1] = mr_hessian(init,x,func,hflag,htol0,varargin)
% %
% numerical gradient and Hessian, with 'automatic' check of numerical % numerical gradient and Hessian, with 'automatic' check of numerical
@ -41,26 +41,24 @@ function [hessian_mat, gg, htol1, ihh, hh_mat0, hh1] = mr_hessian(init,x,func,hf
% You should have received a copy of the GNU General Public License % You should have received a copy of the GNU General Public License
% along with Dynare. If not, see <http://www.gnu.org/licenses/>. % along with Dynare. If not, see <http://www.gnu.org/licenses/>.
global options_ bayestopt_
persistent h1 htol persistent h1 htol
n=size(x,1); n=size(x,1);
if init, if init
gstep_=options_.gstep; gstep_=DynareOptions.gstep;
htol = 1.e-4; htol = 1.e-4;
%h1=max(abs(x),sqrt(gstep_)*ones(n,1))*eps^(1/4); h1=DynareOptions.gradient_epsilon*ones(n,1);
h1=options_.gradient_epsilon*ones(n,1); return
return,
end end
func = str2func(func);
[f0, ff0]=feval(func,x,varargin{:}); [f0, ff0]=feval(func,x,DynareDataset,DynareOptions,Model,EstimatedParameters,BayesInfo,DynareResults);
h2=bayestopt_.ub-bayestopt_.lb; h2=BayesInfo.ub-BayesInfo.lb;
hmax=bayestopt_.ub-x; hmax=BayesInfo.ub-x;
hmax=min(hmax,x-bayestopt_.lb); hmax=min(hmax,x-BayesInfo.lb);
h1 = min(h1,0.5.*hmax); h1 = min(h1,0.5.*hmax);
if htol0<htol, if htol0<htol
htol=htol0; htol=htol0;
end end
xh1=x; xh1=x;
@ -71,24 +69,22 @@ ff_1=ff1;
ggh=zeros(size(ff0,1),n); ggh=zeros(size(ff0,1),n);
i=0; i=0;
while i<n, while i<n
i=i+1; i=i+1;
h10=h1(i); h10=h1(i);
hcheck=0; hcheck=0;
xh1(i)=x(i)+h1(i); xh1(i)=x(i)+h1(i);
try try
[fx, ffx]=feval(func,xh1,varargin{:}); [fx, ffx]=feval(func,xh1,DynareDataset,DynareOptions,Model,EstimatedParameters,BayesInfo,DynareResults);
catch catch
fx=1.e8; fx=1.e8;
end end
it=1; it=1;
dx=(fx-f0); dx=(fx-f0);
ic=0; ic=0;
icount = 0; icount = 0;
h0=h1(i); h0=h1(i);
while (abs(dx(it))<0.5*htol || abs(dx(it))>(3*htol)) && icount<10 && ic==0, while (abs(dx(it))<0.5*htol || abs(dx(it))>(3*htol)) && icount<10 && ic==0
%while abs(dx(it))<0.5*htol && icount< 10 && ic==0,
icount=icount+1; icount=icount+1;
if abs(dx(it))<0.5*htol if abs(dx(it))<0.5*htol
if abs(dx(it)) ~= 0, if abs(dx(it)) ~= 0,
@ -99,51 +95,51 @@ while i<n,
h1(i) = min(h1(i),0.5*hmax(i)); h1(i) = min(h1(i),0.5*hmax(i));
xh1(i)=x(i)+h1(i); xh1(i)=x(i)+h1(i);
try try
[fx, ffx]=feval(func,xh1,varargin{:}); [fx, ffx]=feval(func,xh1,DynareDataset,DynareOptions,Model,EstimatedParameters,BayesInfo,DynareResults);
catch catch
fx=1.e8; fx=1.e8;
end end
end end
if abs(dx(it))>(3*htol), if abs(dx(it))>(3*htol)
h1(i)= htol/abs(dx(it))*h1(i); h1(i)= htol/abs(dx(it))*h1(i);
xh1(i)=x(i)+h1(i); xh1(i)=x(i)+h1(i);
try try
[fx, ffx]=feval(func,xh1,varargin{:}); [fx, ffx]=feval(func,xh1,DynareDataset,DynareOptions,Model,EstimatedParameters,BayesInfo,DynareResults);
catch catch
fx=1.e8; fx=1.e8;
end end
while (fx-f0)==0, while (fx-f0)==0
h1(i)= h1(i)*2; h1(i)= h1(i)*2;
xh1(i)=x(i)+h1(i); xh1(i)=x(i)+h1(i);
[fx, ffx]=feval(func,xh1,varargin{:}); [fx, ffx]=feval(func,xh1,DynareDataset,DynareOptions,Model,EstimatedParameters,BayesInfo,DynareResults);
ic=1; ic=1;
end end
end end
it=it+1; it=it+1;
dx(it)=(fx-f0); dx(it)=(fx-f0);
h0(it)=h1(i); h0(it)=h1(i);
if (h1(i)<1.e-12*min(1,h2(i)) && h1(i)<0.5*hmax(i)),% || (icount==10 && abs(dx(it))>(3*htol)), if (h1(i)<1.e-12*min(1,h2(i)) && h1(i)<0.5*hmax(i))% || (icount==10 && abs(dx(it))>(3*htol)),
ic=1; ic=1;
hcheck=1; hcheck=1;
end end
end end
f1(:,i)=fx; f1(:,i)=fx;
if any(isnan(ffx)), if any(isnan(ffx))
ff1=ones(size(ff0)).*fx/length(ff0); ff1=ones(size(ff0)).*fx/length(ff0);
else else
ff1=ffx; ff1=ffx;
end end
xh1(i)=x(i)-h1(i); xh1(i)=x(i)-h1(i);
[fx, ffx]=feval(func,xh1,varargin{:}); [fx, ffx]=feval(func,xh1,DynareDataset,DynareOptions,Model,EstimatedParameters,BayesInfo,DynareResults);
f_1(:,i)=fx; f_1(:,i)=fx;
if any(isnan(ffx)), if any(isnan(ffx))
ff_1=ones(size(ff0)).*fx/length(ff0); ff_1=ones(size(ff0)).*fx/length(ff0);
else else
ff_1=ffx; ff_1=ffx;
end end
ggh(:,i)=(ff1-ff_1)./(2.*h1(i)); ggh(:,i)=(ff1-ff_1)./(2.*h1(i));
xh1(i)=x(i); xh1(i)=x(i);
if hcheck && htol<1, if hcheck && htol<1
htol=min(1,max(min(abs(dx))*2,htol*10)); htol=min(1,max(min(abs(dx))*2,htol*10));
h1(i)=h10; h1(i)=h10;
i=0; i=0;
@ -157,7 +153,7 @@ xh_1=xh1;
gg=(f1'-f_1')./(2.*h1); gg=(f1'-f_1')./(2.*h1);
if hflag==2, if hflag==2
gg=(f1'-f_1')./(2.*h1); gg=(f1'-f_1')./(2.*h1);
hessian_mat = zeros(size(f0,1),n*n); hessian_mat = zeros(size(f0,1),n*n);
for i=1:n for i=1:n
@ -172,10 +168,8 @@ if hflag==2,
xh1(j)=x(j)+h_1(j); xh1(j)=x(j)+h_1(j);
xh_1(i)=x(i)-h1(i); xh_1(i)=x(i)-h1(i);
xh_1(j)=x(j)-h_1(j); xh_1(j)=x(j)-h_1(j);
temp1 = feval(func,xh1,varargin{:}); temp1 = feval(func,xh1,DynareDataset,DynareOptions,Model,EstimatedParameters,BayesInfo,DynareResults);
temp2 = feval(func,xh_1,DynareDataset,DynareOptions,Model,EstimatedParameters,BayesInfo,DynareResults);
temp2 = feval(func,xh_1,varargin{:});
hessian_mat(:,(i-1)*n+j)=-(-temp1 -temp2+temp(:,i)+temp(:,j))./(2*h1(i)*h_1(j)); hessian_mat(:,(i-1)*n+j)=-(-temp1 -temp2+temp(:,i)+temp(:,j))./(2*h1(i)*h_1(j));
xh1(i)=x(i); xh1(i)=x(i);
xh1(j)=x(j); xh1(j)=x(j);
@ -186,18 +180,16 @@ if hflag==2,
end end
i=i+1; i=i+1;
end end
elseif hflag==1
elseif hflag==1,
hessian_mat = zeros(size(f0,1),n*n); hessian_mat = zeros(size(f0,1),n*n);
for i=1:n, for i=1:n
dum = (f1(:,i)+f_1(:,i)-2*f0)./(h1(i)*h_1(i)); dum = (f1(:,i)+f_1(:,i)-2*f0)./(h1(i)*h_1(i));
if dum>eps, if dum>eps
hessian_mat(:,(i-1)*n+i)=dum; hessian_mat(:,(i-1)*n+i)=dum;
else else
hessian_mat(:,(i-1)*n+i)=max(eps, gg(i)^2); hessian_mat(:,(i-1)*n+i)=max(eps, gg(i)^2);
end end
end end
%hessian_mat2=hh_mat(:)';
end end
gga=ggh.*kron(ones(size(ff1)),2.*h1'); % re-scaled gradient gga=ggh.*kron(ones(size(ff1)),2.*h1'); % re-scaled gradient
@ -206,7 +198,7 @@ hh_mat0=ggh'*ggh; % outer product hessian
A=diag(2.*h1); % rescaling matrix A=diag(2.*h1); % rescaling matrix
% igg=inv(hh_mat); % inverted rescaled outer product hessian % igg=inv(hh_mat); % inverted rescaled outer product hessian
ihh=A'*(hh_mat\A); % inverted outer product hessian ihh=A'*(hh_mat\A); % inverted outer product hessian
if hflag>0 && min(eig(reshape(hessian_mat,n,n)))>0, if hflag>0 && min(eig(reshape(hessian_mat,n,n)))>0
hh0 = A*reshape(hessian_mat,n,n)*A'; %rescaled second order derivatives hh0 = A*reshape(hessian_mat,n,n)*A'; %rescaled second order derivatives
hh = reshape(hessian_mat,n,n); %rescaled second order derivatives hh = reshape(hessian_mat,n,n); %rescaled second order derivatives
sd0=sqrt(diag(hh0)); %rescaled 'standard errors' using second order derivatives sd0=sqrt(diag(hh0)); %rescaled 'standard errors' using second order derivatives
@ -217,10 +209,9 @@ if hflag>0 && min(eig(reshape(hessian_mat,n,n)))>0,
hh_mat0=inv(A)'*hh_mat*inv(A); % outer product hessian with 'true' std's hh_mat0=inv(A)'*hh_mat*inv(A); % outer product hessian with 'true' std's
sd=sqrt(diag(ihh)); %standard errors sd=sqrt(diag(ihh)); %standard errors
sdh=sqrt(1./diag(hh)); %diagonal standard errors sdh=sqrt(1./diag(hh)); %diagonal standard errors
for j=1:length(sd), for j=1:length(sd)
sd0(j,1)=min(bayestopt_.p2(j), sd(j)); %prior std sd0(j,1)=min(BayesInfo.p2(j), sd(j)); %prior std
sd0(j,1)=10^(0.5*(log10(sd0(j,1))+log10(sdh(j,1)))); sd0(j,1)=10^(0.5*(log10(sd0(j,1))+log10(sdh(j,1))));
%sd0(j,1)=0.5*(sd0(j,1)+sdh(j,1));
end end
ihh=ihh./(sd*sd').*(sd0*sd0'); %inverse outer product with modified std's ihh=ihh./(sd*sd').*(sd0*sd0'); %inverse outer product with modified std's
igg=inv(A)'*ihh*inv(A); % inverted rescaled outer product hessian with modified std's igg=inv(A)'*ihh*inv(A); % inverted rescaled outer product hessian with modified std's
@ -233,11 +224,11 @@ if hflag>0 && min(eig(reshape(hessian_mat,n,n)))>0,
% ihh=A'*igg*A; % inverted outer product hessian % ihh=A'*igg*A; % inverted outer product hessian
% hh_mat0=inv(A)'*hh_mat*inv(A); % outer product hessian with 'true' std's % hh_mat0=inv(A)'*hh_mat*inv(A); % outer product hessian with 'true' std's
end end
if hflag<2, if hflag<2
hessian_mat=hh_mat0(:); hessian_mat=hh_mat0(:);
end end
if any(isnan(hessian_mat)), if any(isnan(hessian_mat))
hh_mat0=eye(length(hh_mat0)); hh_mat0=eye(length(hh_mat0));
ihh=hh_mat0; ihh=hh_mat0;
hessian_mat=hh_mat0(:); hessian_mat=hh_mat0(:);
@ -245,6 +236,3 @@ end
hh1=h1; hh1=h1;
htol1=htol; htol1=htol;
save hess.mat save hess.mat
% 11/25/03 SA Created from Hessian_sparse (removed sparse)

111
matlab/newrat.m
View File

@ -1,4 +1,4 @@
function [xparam1, hh, gg, fval, igg] = newrat(func0, x, hh, gg, igg, ftol0, nit, flagg, varargin) function [xparam1, hh, gg, fval, igg] = newrat(func0, x, hh, gg, igg, ftol0, nit, flagg, DynareDataset,DynareOptions,Model,EstimatedParameters,BayesInfo,DynareResults)
% [xparam1, hh, gg, fval, igg] = newrat(func0, x, hh, gg, igg, ftol0, nit, flagg, varargin) % [xparam1, hh, gg, fval, igg] = newrat(func0, x, hh, gg, igg, ftol0, nit, flagg, varargin)
% %
% Optimiser with outer product gradient and with sequences of univariate steps % Optimiser with outer product gradient and with sequences of univariate steps
@ -42,7 +42,6 @@ function [xparam1, hh, gg, fval, igg] = newrat(func0, x, hh, gg, igg, ftol0, nit
% You should have received a copy of the GNU General Public License % You should have received a copy of the GNU General Public License
% along with Dynare. If not, see <http://www.gnu.org/licenses/>. % along with Dynare. If not, see <http://www.gnu.org/licenses/>.
global bayestopt_
icount=0; icount=0;
nx=length(x); nx=length(x);
xparam1=x; xparam1=x;
@ -53,29 +52,27 @@ ftol=ftol0;
gtol=1.e-3; gtol=1.e-3;
htol=htol_base; htol=htol_base;
htol0=htol_base; htol0=htol_base;
gibbstol=length(bayestopt_.pshape)/50; %25; gibbstol=length(BayesInfo.pshape)/50; %25;
func_hh = [func0,'_hh']; func_hh = str2func([func2str(func0),'_hh']);
func = str2func(func0); fval0=feval(func0,x,DynareDataset,DynareOptions,Model,EstimatedParameters,BayesInfo,DynareResults);
fval0=feval(func,x,varargin{:});
fval=fval0; fval=fval0;
% initialize mr_gstep and mr_hessian % initialize mr_gstep and mr_hessian
% mr_gstep(1,x); mr_hessian(1,x,[],[],[],DynareDataset,DynareOptions,Model,EstimatedParameters,BayesInfo,DynareResults);
mr_hessian(1,x);
if isempty(hh) if isempty(hh)
[dum, gg, htol0, igg, hhg, h1]=mr_hessian(0,x,func_hh,flagit,htol,varargin{:}); [dum, gg, htol0, igg, hhg, h1]=mr_hessian(0,x,func_hh,flagit,htol,DynareDataset,DynareOptions,Model,EstimatedParameters,BayesInfo,DynareResults);
hh0 = reshape(dum,nx,nx); hh0 = reshape(dum,nx,nx);
hh=hhg; hh=hhg;
if min(eig(hh0))<0, if min(eig(hh0))<0
hh0=hhg; %generalized_cholesky(hh0); hh0=hhg; %generalized_cholesky(hh0);
elseif flagit==2, elseif flagit==2
hh=hh0; hh=hh0;
igg=inv(hh); igg=inv(hh);
end end
if htol0>htol, if htol0>htol
htol=htol0; htol=htol0;
%ftol=htol0;
end end
else else
hh0=hh; hh0=hh;
@ -99,17 +96,17 @@ jit=0;
nig=[]; nig=[];
ig=ones(nx,1); ig=ones(nx,1);
ggx=zeros(nx,1); ggx=zeros(nx,1);
while norm(gg)>gtol && check==0 && jit<nit, while norm(gg)>gtol && check==0 && jit<nit
jit=jit+1; jit=jit+1;
tic tic
icount=icount+1; icount=icount+1;
bayestopt_.penalty = fval0(icount); bayestopt_.penalty = fval0(icount);
disp([' ']) disp([' '])
disp(['Iteration ',num2str(icount)]) disp(['Iteration ',num2str(icount)])
[fval x0 fc retcode] = csminit(func0,xparam1,fval0(icount),gg,0,H,varargin{:}); [fval,x0,fc,retcode] = csminit1(func0,xparam1,fval0(icount),gg,0,H,DynareDataset,DynareOptions,Model,EstimatedParameters,BayesInfo,DynareResults);
if igrad, if igrad
[fval1 x01 fc retcode1] = csminit(func0,x0,fval,gg,0,inx,varargin{:}); [fval1,x01,fc,retcode1] = csminit1(func0,x0,fval,gg,0,inx,DynareDataset,DynareOptions,Model,EstimatedParameters,BayesInfo,DynareResults);
if (fval-fval1)>1, %(fval0(icount)-fval), if (fval-fval1)>1
disp('Gradient step!!') disp('Gradient step!!')
else else
igrad=0; igrad=0;
@ -117,40 +114,34 @@ while norm(gg)>gtol && check==0 && jit<nit,
fval=fval1; fval=fval1;
x0=x01; x0=x01;
end end
if (fval0(icount)-fval)<1.e-2*(gg'*(H*gg))/2 && igibbs, if (fval0(icount)-fval)<1.e-2*(gg'*(H*gg))/2 && igibbs
if length(find(ig))<nx, if length(find(ig))<nx
ggx=ggx*0; ggx=ggx*0;
ggx(find(ig))=gg(find(ig)); ggx(find(ig))=gg(find(ig));
hhx = reshape(dum,nx,nx); hhx = reshape(dum,nx,nx);
iggx=eye(length(gg)); iggx=eye(length(gg));
iggx(find(ig),find(ig)) = inv( hhx(find(ig),find(ig)) ); iggx(find(ig),find(ig)) = inv( hhx(find(ig),find(ig)) );
[fvala x0 fc retcode] = csminit(func0,x0,fval,ggx,0,iggx,varargin{:}); [fvala,x0,fc,retcode] = csminit1(func0,x0,fval,ggx,0,iggx,DynareDataset,DynareOptions,Model,EstimatedParameters,BayesInfo,DynareResults);
end end
[fvala, x0, ig] = mr_gstep(h1,x0,func0,htol,varargin{:}); [fvala, x0, ig] = mr_gstep(h1,x0,func0,htol,DynareDataset,DynareOptions,Model,EstimatedParameters,BayesInfo,DynareResults);
% if length(find(ig))==0,
% [fvala, x0, ig] = mr_gstep(h1,x0,func0,htol/10,varargin{:});
% end
nig=[nig ig]; nig=[nig ig];
disp('Sequence of univariate steps!!') disp('Sequence of univariate steps!!')
fval=fvala; fval=fvala;
end end
if (fval0(icount)-fval)<ftol && flagit==0, if (fval0(icount)-fval)<ftol && flagit==0
disp('Try diagonal Hessian') disp('Try diagonal Hessian')
ihh=diag(1./(diag(hhg))); ihh=diag(1./(diag(hhg)));
[fval2 x0 fc retcode2] = csminit(func2str(func),x0,fval,gg,0,ihh,varargin{:}); [fval2,x0,fc,retcode2] = csminit1(func0,x0,fval,gg,0,ihh,DynareDataset,DynareOptions,Model,EstimatedParameters,BayesInfo,DynareResults);
if (fval-fval2)>=ftol , if (fval-fval2)>=ftol
%hh=diag(diag(hh));
disp('Diagonal Hessian successful') disp('Diagonal Hessian successful')
end end
fval=fval2; fval=fval2;
end end
if (fval0(icount)-fval)<ftol && flagit==0, if (fval0(icount)-fval)<ftol && flagit==0
disp('Try gradient direction') disp('Try gradient direction')
ihh0=inx.*1.e-4; ihh0=inx.*1.e-4;
[fval3 x0 fc retcode3] = csminit(func2str(func),x0,fval,gg,0,ihh0,varargin{:}); [fval3,x0,fc,retcode3] = csminit1(func0,x0,fval,gg,0,ihh0,DynareDataset,DynareOptions,Model,EstimatedParameters,BayesInfo,DynareResults);
if (fval-fval3)>=ftol , if (fval-fval3)>=ftol
%hh=hh0;
%ihh=ihh0;
disp('Gradient direction successful') disp('Gradient direction successful')
end end
fval=fval3; fval=fval3;
@ -158,14 +149,14 @@ while norm(gg)>gtol && check==0 && jit<nit,
xparam1=x0; xparam1=x0;
x(:,icount+1)=xparam1; x(:,icount+1)=xparam1;
fval0(icount+1)=fval; fval0(icount+1)=fval;
if (fval0(icount)-fval)<ftol, if (fval0(icount)-fval)<ftol
disp('No further improvement is possible!') disp('No further improvement is possible!')
check=1; check=1;
if flagit==2, if flagit==2
hh=hh0; hh=hh0;
elseif flagg>0, elseif flagg>0
[dum, gg, htol0, igg, hhg,h1]=mr_hessian(0,xparam1,func_hh,flagg,ftol0,varargin{:}); [dum, gg, htol0, igg, hhg,h1]=mr_hessian(0,xparam1,func_hh,flagg,ftol0,DynareDataset,DynareOptions,Model,EstimatedParameters,BayesInfo,DynareResults);
if flagg==2, if flagg==2
hh = reshape(dum,nx,nx); hh = reshape(dum,nx,nx);
ee=eig(hh); ee=eig(hh);
if min(ee)<0 if min(ee)<0
@ -186,40 +177,31 @@ while norm(gg)>gtol && check==0 && jit<nit,
disp(['Maximum Hessian eigenvalue ',num2str(max(ee))]) disp(['Maximum Hessian eigenvalue ',num2str(max(ee))])
g(:,icount+1)=gg; g(:,icount+1)=gg;
else else
df = fval0(icount)-fval; df = fval0(icount)-fval;
disp(['Actual dxnorm ',num2str(norm(x(:,end)-x(:,end-1)))]) disp(['Actual dxnorm ',num2str(norm(x(:,end)-x(:,end-1)))])
disp(['FVAL ',num2str(fval)]) disp(['FVAL ',num2str(fval)])
disp(['Improvement ',num2str(df)]) disp(['Improvement ',num2str(df)])
disp(['Ftol ',num2str(ftol)]) disp(['Ftol ',num2str(ftol)])
disp(['Htol ',num2str(htol0)]) disp(['Htol ',num2str(htol0)])
% if df<htol0,
% htol=max(htol_base,df/10);
% end
htol=htol_base; htol=htol_base;
if norm(x(:,icount)-xparam1)>1.e-12
if norm(x(:,icount)-xparam1)>1.e-12,
try try
save m1.mat x fval0 nig -append save m1.mat x fval0 nig -append
catch catch
save m1.mat x fval0 nig save m1.mat x fval0 nig
end end
[dum, gg, htol0, igg, hhg, h1]=mr_hessian(0,xparam1,func_hh,flagit,htol,varargin{:}); [dum, gg, htol0, igg, hhg, h1]=mr_hessian(0,xparam1,func_hh,flagit,htol,DynareDataset,DynareOptions,Model,EstimatedParameters,BayesInfo,DynareResults);
if htol0>htol, %ftol, if htol0>htol
%ftol=htol0;
htol=htol0; htol=htol0;
disp(' ') disp(' ')
disp('Numerical noise in the likelihood') disp('Numerical noise in the likelihood')
disp('Tolerance has to be relaxed') disp('Tolerance has to be relaxed')
disp(' ') disp(' ')
% elseif htol0<ftol,
% ftol=max(htol0, ftol0);
end end
hh0 = reshape(dum,nx,nx); hh0 = reshape(dum,nx,nx);
hh=hhg; hh=hhg;
if flagit==2, if flagit==2
if min(eig(hh0))<=0, if min(eig(hh0))<=0
hh0=hhg; %generalized_cholesky(hh0); hh0=hhg; %generalized_cholesky(hh0);
else else
hh=hh0; hh=hh0;
@ -227,7 +209,6 @@ while norm(gg)>gtol && check==0 && jit<nit,
end end
end end
end end
disp(['Gradient norm ',num2str(norm(gg))]) disp(['Gradient norm ',num2str(norm(gg))])
ee=eig(hh); ee=eig(hh);
disp(['Minimum Hessian eigenvalue ',num2str(min(ee))]) disp(['Minimum Hessian eigenvalue ',num2str(min(ee))])
@ -235,29 +216,27 @@ while norm(gg)>gtol && check==0 && jit<nit,
if max(eig(hh))<0, disp('Negative definite Hessian! Local maximum!'), pause, end, if max(eig(hh))<0, disp('Negative definite Hessian! Local maximum!'), pause, end,
t=toc; t=toc;
disp(['Elapsed time for iteration ',num2str(t),' s.']) disp(['Elapsed time for iteration ',num2str(t),' s.'])
g(:,icount+1)=gg; g(:,icount+1)=gg;
% H = bfgsi(H,g(:,end)-g(:,end-1),x(:,end)-x(:,end-1));
H = igg; H = igg;
save m1.mat x hh g hhg igg fval0 nig H save m1.mat x hh g hhg igg fval0 nig H
end end
end end
save m1.mat x hh g hhg igg fval0 nig save m1.mat x hh g hhg igg fval0 nig
if ftol>ftol0, if ftol>ftol0
disp(' ') disp(' ')
disp('Numerical noise in the likelihood') disp('Numerical noise in the likelihood')
disp('Tolerance had to be relaxed') disp('Tolerance had to be relaxed')
disp(' ') disp(' ')
end end
if jit==nit, if jit==nit
disp(' ') disp(' ')
disp('Maximum number of iterations reached') disp('Maximum number of iterations reached')
disp(' ') disp(' ')
end end
if norm(gg)<=gtol, if norm(gg)<=gtol
disp(['Estimation ended:']) disp(['Estimation ended:'])
disp(['Gradient norm < ', num2str(gtol)]) disp(['Gradient norm < ', num2str(gtol)])
end end
@ -267,15 +246,7 @@ end
return return
%
function f00 = lsearch(lam,func,x,dx,varargin)
x0=x-dx*lam;
f00=feval(func,x0,varargin{:});
function f00 = lsearch(lam,func,x,dx,DynareDataset,DynareOptions,Model,EstimatedParameters,BayesInfo,DynareResults)
x0=x-dx*lam;
f00=feval(func,x0,DynareDataset,DynareOptions,Model,EstimatedParameters,BayesInfo,DynareResults);

1
tests/Makefile.am
View File

@ -48,6 +48,7 @@ MODFILES = \
fs2000/fs2000.mod \ fs2000/fs2000.mod \
fs2000/fs2000a.mod \ fs2000/fs2000a.mod \
fs2000/fs2000c.mod \ fs2000/fs2000c.mod \
fs2000/fs2000d.mod \
homotopy/homotopy1_test.mod \ homotopy/homotopy1_test.mod \
homotopy/homotopy2_test.mod \ homotopy/homotopy2_test.mod \
homotopy/homotopy3_test.mod \ homotopy/homotopy3_test.mod \

75
tests/fs2000/fs2000d.mod Normal file
View File

@ -0,0 +1,75 @@
// See fs2000.mod in the examples/ directory for details on the model
var m P c e W R k d n l gy_obs gp_obs y dA;
varexo e_a e_m;
parameters alp bet gam mst rho psi del;
alp = 0.33;
bet = 0.99;
gam = 0.003;
mst = 1.011;
rho = 0.7;
psi = 0.787;
del = 0.02;
model;
dA = exp(gam+e_a);
log(m) = (1-rho)*log(mst) + rho*log(m(-1))+e_m;
-P/(c(+1)*P(+1)*m)+bet*P(+1)*(alp*exp(-alp*(gam+log(e(+1))))*k^(alp-1)*n(+1)^(1-alp)+(1-del)*exp(-(gam+log(e(+1)))))/(c(+2)*P(+2)*m(+1))=0;
W = l/n;
-(psi/(1-psi))*(c*P/(1-n))+l/n = 0;
R = P*(1-alp)*exp(-alp*(gam+e_a))*k(-1)^alp*n^(-alp)/W;
1/(c*P)-bet*P*(1-alp)*exp(-alp*(gam+e_a))*k(-1)^alp*n^(1-alp)/(m*l*c(+1)*P(+1)) = 0;
c+k = exp(-alp*(gam+e_a))*k(-1)^alp*n^(1-alp)+(1-del)*exp(-(gam+e_a))*k(-1);
P*c = m;
m-1+d = l;
e = exp(e_a);
y = k(-1)^alp*n^(1-alp)*exp(-alp*(gam+e_a));
gy_obs = dA*y/y(-1);
gp_obs = (P/P(-1))*m(-1)/dA;
end;
initval;
k = 6;
m = mst;
P = 2.25;
c = 0.45;
e = 1;
W = 4;
R = 1.02;
d = 0.85;
n = 0.19;
l = 0.86;
y = 0.6;
gy_obs = exp(gam);
gp_obs = exp(-gam);
dA = exp(gam);
end;
shocks;
var e_a; stderr 0.014;
var e_m; stderr 0.005;
end;
steady;
check;
estimated_params;
alp, beta_pdf, 0.356, 0.02;
bet, beta_pdf, 0.993, 0.002;
gam, normal_pdf, 0.0085, 0.003;
mst, normal_pdf, 1.0002, 0.007;
rho, beta_pdf, 0.129, 0.223;
psi, beta_pdf, 0.65, 0.05;
del, beta_pdf, 0.01, 0.005;
stderr e_a, inv_gamma_pdf, 0.035449, inf;
stderr e_m, inv_gamma_pdf, 0.008862, inf;
end;
varobs gp_obs gy_obs;
options_.solve_tolf = 1e-12;
estimation(order=1,datafile=fsdat_simul,nobs=192,mode_compute=5,loglinear,mh_replic=0);