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Add interface to the main options of the simpsa optimization algorithm.

time-shift
Stéphane Adjemian (Charybdis) 2013-10-08 15:18:14 +02:00
parent 36b69355f2
commit 334d9976d6
2 changed files with 41 additions and 2 deletions
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28
matlab/dynare_estimation_1.m
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@ -502,8 +502,32 @@ if ~isequal(options_.mode_compute,0) && ~options_.mh_posterior_mode_estimation
xparam1=BESTEVER.x;
disp(sprintf('\n Objective function at mode: %f',fval))
case 10
options = simpsaset('TOLX', options_.dynatol.x,'TOLFUN', options_.dynatol.f);
[xparam1, fval, exitflag] = simpsa(func2str(objective_function),xparam1,lb,ub,options,dataset_,options_,M_,estim_params_,bayestopt_,oo_);
simpsaOptions = options_.simpsa;
if isfield(options_,'optim_opt')
options_list = strsplit(options_.optim_opt,',');
number_of_options = length(options_list)/2;
o = 1;
while o<=number_of_options
switch strtrim(options_list{2*(o-1)+1})
case '''MaxIter'''
simpsaOptions.MAX_ITER_TOTAL = str2num(options_list{2*(o-1)+2});
case '''TolFun'''
simpsaOptions.TOLFUN = str2double(options_list{2*(o-1)+2});
case '''TolX'''
simpsaOptions.TOLX = str2double(options_list{2*(o-1)+2});
case '''EndTemparature'''
simpsaOptions.TEMP_END = str2double(options_list{2*(o-1)+2});
case '''MaxFunEvals'''
simpsaOptions.MAX_FUN_EVALS = str2num(options_list{2*(o-1)+2});
otherwise
warning(['simpsa: Unknown option (' options_list{2*(o-1)+1} ')!'])
end
o = o + 1;
end
end
simpsaOptionsList = options2cell(simpsaOptions);
simpsaOptions = simpsaset(simpsaOptionsList{:});
[xparam1, fval, exitflag] = simpsa(func2str(objective_function),xparam1,lb,ub,simpsaOptions,dataset_,options_,M_,estim_params_,bayestopt_,oo_);
case 11
options_.cova_compute = 0 ;
[xparam1,stdh,lb_95,ub_95,med_param] = online_auxiliary_filter(xparam1,dataset_,options_,M_,estim_params_,bayestopt_,oo_) ;

15
matlab/global_initialization.m
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@ -459,6 +459,21 @@ cmaes.LogModulo='0';
cmaes.LogTime='0';
options_.cmaes = cmaes;
% simpsa optimization routine.
simpsa.TOLFUN = 1e-4;
simpsa.TOLX = 1e-4;
simpsa.TEMP_END = .1;
simpsa.COOL_RATE = 10;
simpsa.INITIAL_ACCEPTANCE_RATIO = .95;
simpsa.MIN_COOLING_FACTOR = .9;
simpsa.MAX_ITER_TEMP_FIRST = 50;
simpsa.MAX_ITER_TEMP_LAST = 2000;
simpsa.MAX_ITER_TEMP = 10;
simpsa.MAX_ITER_TOTAL = 5000;
simpsa.MAX_TIME = 2500;
simpsa.MAX_FUN_EVALS = 20000;
simpsa.DISPLAY = 'iter';
options_.simpsa = simpsa;
% prior analysis
options_.prior_mc = 20000;