* Changed numgrad.m. If fcn(x+h) is not well defined (for instance cost_flag=0 because of BK conditions) we compute the gradient using (fcn(x)-fcn(x-h))/h instead of the original formula (fcn(x+h)-fcn(x))/h.

* Added function numgrad3.m. This new function uses a three point formula to compute the gradient. By default Dynare uses the two point formula. By setting options_.gradient_method=3 Dynare switches to the three point formula. Note that an input argument has been added to csminwel.
* Added automatic detection of needed constant in dsge-var model (may be problematic is some cases)

git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@1935 ac1d8469-bf42-47a9-8791-bf33cf982152

matlab/csminwel.m

@@ -1,5 +1,5 @@
-function [fh,xh,gh,H,itct,fcount,retcodeh] = csminwel(fcn,x0,H0,grad,crit,nit,varargin)
+function [fh,xh,gh,H,itct,fcount,retcodeh] = csminwel(fcn,x0,H0,grad,crit,nit,method,varargin)
-%[fhat,xhat,ghat,Hhat,itct,fcount,retcodehat] = csminwel(fcn,x0,H0,grad,crit,nit,varargin)
+%[fhat,xhat,ghat,Hhat,itct,fcount,retcodehat] = csminwel(fcn,x0,H0,grad,crit,nit,method,varargin)
 % fcn:   string naming the objective function to be minimized
 % x0:    initial value of the parameter vector
 % H0:    initial value for the inverse Hessian.  Must be positive definite.
@@ -9,6 +9,7 @@ function [fh,xh,gh,H,itct,fcount,retcodeh] = csminwel(fcn,x0,H0,grad,crit,nit,va
 % crit:  Convergence criterion.  Iteration will cease when it proves impossible to improve the
 %        function value by more than crit.
 % nit:   Maximum number of iterations.
+% method: integer scalar, 2 or 3 points formula. 
 % varargin: A list of optional length of additional parameters that get handed off to fcn each
 %        time it is called.
 %        Note that if the program ends abnormally, it is possible to retrieve the current x,
@@ -37,25 +38,21 @@ snit=100;
 %   tailstr=[ ',P' num2str(i)  tailstr];
 %   stailstr=[' P' num2str(i) stailstr];
 %end
-f0 = feval(fcn,x0,varargin{:});
+
-%ARGLIST
+[f0,cost_flag] = feval(fcn,x0,varargin{:});
-%f0 = feval(fcn,x0,P1,P2,P3,P4,P5,P6,P7,P8,P9,P10,P11,P12,P13);
+if ~cost_flag
-% disp('first fcn in csminwel.m ----------------') % Jinill on 9/5/95
+    disp('Bad initial parameter.') 
-if f0 > 1e50, disp('Bad initial parameter.'), return, end
+    return 
+end
+
 if NumGrad
-   if length(grad)==0
+    if method==2
-      [g badg] = numgrad(fcn,x0, varargin{:});
+        [g,badg] = numgrad(fcn,x0, varargin{:});
-      %ARGLIST
+    elseif method==3
-      %[g badg] = numgrad(fcn,x0,P1,P2,P3,P4,P5,P6,P7,P8,P9,P10,P11,P12,P13);
+        [g,badg] = numgrad3(fcn,x0, varargin{:});
-   else
+    end
-      badg=any(find(grad==0));
-      g=grad;
-   end
-   %numgrad(fcn,x0,P1,P2,P3,P4);
 else
-   [g badg] = feval(grad,x0,varargin{:});
+    [g,badg] = feval(grad,x0,varargin{:});
-   %ARGLIST
-   %[g badg] = feval(grad,x0,P1,P2,P3,P4,P5,P6,P7,P8,P9,P10,P11,P12,P13);
 end
 retcode3=101;
 x=x0;
@@ -93,15 +90,13 @@ while ~done
          wall1=1; badg1=1;
       else
          if NumGrad
-            [g1 badg1] = numgrad(fcn, x1,varargin{:});
+             if method == 2
-            %ARGLIST
+                 [g1 badg1] = numgrad(fcn, x1,varargin{:});
-            %[g1 badg1] = numgrad(fcn, x1,P1,P2,P3,P4,P5,P6,P7,P8,P9,...
+             elseif method == 3
-            %                P10,P11,P12,P13);
+                 [g1 badg1] = numgrad3(fcn, x1,varargin{:});
+             end
          else
             [g1 badg1] = feval(grad,x1,varargin{:});
-            %ARGLIST
-            %[g1 badg1] = feval(grad, x1,P1,P2,P3,P4,P5,P6,P7,P8,P9,...
-            %                P10,P11,P12,P13);
          end
          wall1=badg1;
          % g1
@@ -126,15 +121,13 @@ while ~done
                   wall2=1; badg2=1;
             else
                if NumGrad
-                  [g2 badg2] = numgrad(fcn, x2,varargin{:});
+                   if method==2
-                  %ARGLIST
+                       [g2 badg2] = numgrad(fcn, x2,varargin{:});
-                  %[g2 badg2] = numgrad(fcn, x2,P1,P2,P3,P4,P5,P6,P7,P8,...
+                   elseif method==3
-                  %      P9,P10,P11,P12,P13);
+                       [g2 badg2] = numgrad3(fcn, x2,varargin{:});
+                   end
                else
                   [g2 badg2] = feval(grad,x2,varargin{:});
-                  %ARGLIST
-                  %[g2 badg2] = feval(grad,x2,P1,P2,P3,P4,P5,P6,P7,P8,...
-                  %      P9,P10,P11,P12,P13);
                end
                wall2=badg2;
                % g2
@@ -160,15 +153,13 @@ while ~done
                      wall3=1; badg3=1;
                   else
                      if NumGrad
-                        [g3 badg3] = numgrad(fcn, x3,varargin{:});
+                         if method==2
-                        %ARGLIST
+                             [g3 badg3] = numgrad(fcn, x3,varargin{:});
-                        %[g3 badg3] = numgrad(fcn, x3,P1,P2,P3,P4,P5,P6,P7,P8,...
+                         elseif method==3
-                        %                        P9,P10,P11,P12,P13);
+                             [g3 badg3] = numgrad3(fcn, x3,varargin{:});
+                         end
                      else
                         [g3 badg3] = feval(grad,x3,varargin{:});
-                        %ARGLIST
-                        %[g3 badg3] = feval(grad,x3,P1,P2,P3,P4,P5,P6,P7,P8,...
-                        %                         P9,P10,P11,P12,P13);
                      end
                      wall3=badg3;
                      % g3
@@ -224,7 +215,11 @@ while ~done
       end
       if nogh
          if NumGrad
-            [gh badgh] = numgrad(fcn,xh,varargin{:});
+             if method==2
+                 [gh,badgh] = numgrad(fcn,xh,varargin{:});
+             elseif method==3
+                 [gh,badgh] = numgrad3(fcn,xh,varargin{:});
+             end
          else
             [gh badgh] = feval(grad, xh,varargin{:});
          end
@@ -274,4 +269,4 @@ while ~done
    badg=badgh;
 end
 % what about making an m-file of 10 lines including numgrad.m
-% since it appears three times in csminwel.m
+% since it appears three times in csminwel.m

matlab/dynare_estimation.m

@@ -1,5 +1,4 @@
 function dynare_estimation(var_list_)
-
 % function dynare_estimation(var_list_)
 % runs the estimation of the model
 %  
@@ -17,8 +16,7 @@ function dynare_estimation(var_list_)
 
 
 global M_ options_ oo_ estim_params_ 
-global bayestopt_ dsge_prior_weight
+global bayestopt_
-
 
 options_.varlist = var_list_;
 options_.lgyidx2varobs = zeros(size(M_.endo_names,1),1);
@@ -259,9 +257,16 @@ else% if the steady state file is not provided.
    [dd,info] = resol(oo_.steady_state,0);
    oo_.steady_state = dd.ys; clear('dd');
 end
+if all(abs(oo_.steady_state(bayestopt_.mfys))<1e-9)
+    disp('no constant')
+    options_.noconstant = 1;
+else
+    options_.noconstant = 0;
+end
+
 
 %% compute sample moments if needed (bvar-dsge)
-if options_.bvar_dsge~isempty(strmatch('dsge_prior_weight',M_.param_names))
+if options_.bvar_dsge
     if options_.noconstant
         evalin('base',...
                ['[mYY,mXY,mYX,mXX,Ydata,Xdata] = ' ...
@@ -337,7 +342,7 @@ if options_.mode_compute > 0 & options_.posterior_mode_estimation
     if isfield(options_,'optim_opt')
       eval(['optim_options = optimset(optim_options,' options_.optim_opt ');']);
     end
-    if isempty(strmatch('dsge_prior_weight',M_.param_names))
+    if ~options_.bvar_dsge
       [xparam1,fval,exitflag] = fminunc(fh,xparam1,optim_options,gend,data);
     else
       [xparam1,fval,exitflag] = fminunc(fh,xparam1,optim_options,gend);
@@ -349,12 +354,12 @@ if options_.mode_compute > 0 & options_.posterior_mode_estimation
     verbose = 2;
     if ~options_.bvar_dsge
       [fval,xparam1,grad,hessian_csminwel,itct,fcount,retcodehat] = ...
-          csminwel('DsgeLikelihood',xparam1,H0,[],crit,nit,gend,data);
+          csminwel('DsgeLikelihood',xparam1,H0,[],crit,nit,options_.gradient_method,gend,data);
       disp(sprintf('Objective function at mode: %f',fval))
       disp(sprintf('Objective function at mode: %f',DsgeLikelihood(xparam1,gend,data)))
     else
       [fval,xparam1,grad,hessian_csminwel,itct,fcount,retcodehat] = ...
-          csminwel('DsgeVarLikelihood',xparam1,H0,[],crit,nit,gend);
+          csminwel('DsgeVarLikelihood',xparam1,H0,[],crit,nit,options_.gradient_method,gend);
       disp(sprintf('Objective function at mode: %f',fval))
       disp(sprintf('Objective function at mode: %f',DsgeVarLikelihood(xparam1,gend)))
     end

matlab/global_initialization.m

@@ -50,8 +50,8 @@ function global_initialization()
   options_.varlag = 4;
 
   % Optimization algorithm [6] gmhmaxlik
-  options_.Opt6Iter = 3;
+  options_.Opt6Iter = 2;
-  options_.Opt6Numb = 100000;
+  options_.Opt6Numb = 5000;
 
   % Graphics
   options_.graphics.nrows = 3;
@@ -148,6 +148,7 @@ function global_initialization()
   options_.subdraws = [];
   options_.unit_root_vars = [];
   options_.use_mh_covariance_matrix = 0;
+  options_.gradient_method = 2;
   
   % Misc
   options_.conf_sig = 0.6;

matlab/numgrad.m

@@ -1,7 +1,7 @@
 function [g, badg] = numgrad(fcn,x,varargin)
 % function [g badg] = numgrad(fcn,xvarargin)
 %
-delta = 1e-6;
+delta = 1e-6;
 %delta=1e-2;
 n=length(x);
 tvec=delta*eye(n);
@@ -15,29 +15,40 @@ g=zeros(n,1);
 %end
 %f0 = eval([fcn '(x' tailstr]); % Is there a way not to do this?
 %---------------------------------------------------------------^yes
-f0 = eval([fcn '(x,varargin{:})']);
+[f0,cost_flag] = feval(fcn, x, varargin{:});
+%f0 = eval([fcn '(x,varargin{:})']);
 % disp(' first fcn in numgrad.m ------------------')
 %home
 % disp('numgrad.m is working. ----') % Jiinil on 9/5/95
 % sizex=size(x),sizetvec=size(tvec),x,    % Jinill on 9/6/95
 badg=0;
+goog=1;% stepan 07/07/2008
+scale=1; % stepan 07/07/2008
 for i=1:n
-   scale=1; % originally 1
    % i,tveci=tvec(:,i)% ,plus=x+scale*tvec(:,i) % Jinill Kim on 9/6/95
    if size(x,1)>size(x,2)
       tvecv=tvec(i,:);
    else
       tvecv=tvec(:,i);
    end
-   g0 = (eval([fcn '(x+scale*tvecv'', varargin{:})']) - f0) ...
+   [fh,cost_flag] = feval(fcn, x+scale*transpose(tvecv), varargin{:});% stepan 07/07/2008
-         /(scale*delta);
+   if cost_flag% stepan 07/07/2008
+       g0 = (fh - f0) / (scale*delta);
+   else
+       [fh,cost_flag] = feval(fcn, x-scale*transpose(tvecv), varargin{:});
+       if cost_flag
+           g0 = (f0-fh) / (scale*delta);
+       else
+           goog=0;
+       end
+   end
    % disp(' fcn in the i=1:n loop of numgrad.m ------------------')% Jinill 9/6/95
    % disp('          and i is')               % Jinill
    % i                         % Jinill
    % fprintf('Gradient w.r.t. %3d: %10g\n',i,g0) %see below Jinill 9/6/95
 % -------------------------- special code to essentially quit here
    % absg0=abs(g0) % Jinill on 9/6/95
-   if abs(g0)< 1e15
+   if goog && abs(g0)< 1e15 % stepan 07/07/2008
       g(i)=g0;
       % disp('good gradient') % Jinill Kim
    else
@@ -94,5 +105,4 @@ end
 %  end
 %end
 %save g.dat g x f0
-%eval(['save g g x f0 ' stailstr]);
+%eval(['save g g x f0 ' stailstr]);
-

matlab/numgrad3.m

@@ -0,0 +1,45 @@
+function [g, badg] = numgrad3(fcn,x,varargin)
+% Computes the gradient of the objective function fcn using a three point
+% formula if possible.
+%
+% Adapted from Sims' numgrad routine.
+%
+% part of DYNARE, copyright Dynare Team (2008)
+% Gnu Public License.
+
+delta = 1e-6;
+n=length(x);
+tvec=delta*eye(n);
+g=zeros(n,1);
+
+[f0,cost_flag] = feval(fcn, x, varargin{:});
+
+badg=0;
+goog=1;
+scale=1;
+for i=1:n
+   if size(x,1)>size(x,2)
+      tvecv=tvec(i,:);
+   else
+      tvecv=tvec(:,i);
+   end
+   [f1,cost_flag1] = feval(fcn, x+scale*transpose(tvecv), varargin{:});
+   [f2,cost_flag2] = feval(fcn, x-scale*transpose(tvecv), varargin{:});
+   if cost_flag1 && cost_flag2
+       g0 = (f1 - f2) / (2*scale*delta);
+   elseif cost_flag1==1 && cost_flag2==0
+       g0 = (f1-f0) / (scale*delta);
+   elseif cost_flag1==0 && cost_flag2==1
+       g0 = (f0-f2) / (scale*delta);
+   else    
+       goog=0;
+   end
+
+   if goog && abs(g0)< 1e15 
+      g(i)=g0;
+   else
+       disp('bad gradient ------------------------')
+       g(i)=0;
+       badg=1;
+   end
+end

matlab/osr1.m

@@ -45,7 +45,7 @@ function osr1(i_params,i_var,weights)
   nit = 1000;
   verbose = 2;
 
-  [f,p]=csminwel('osr_obj',t0,H0,[],crit,nit,i_params,...
+  [f,p]=csminwel('osr_obj',t0,H0,[],crit,nit,options_.gradient_method,i_params,...
 		inv_order_var(i_var),weights(i_var,i_var));
 
   %  options = optimset('fminunc');