* Efficiency change in numgrad (two, three and five points formulas) files. Do not evaluate the objective function at x, this is already
done in csminwel.m or in csminit.m. * Fixed bug in the calling sequence of numgrad5.m (five points formula) in csminwel.m. * Cosmetic changes. git-svn-id: https://www.dynare.org/svn/dynare/trunk@3334 ac1d8469-bf42-47a9-8791-bf33cf982152time-shift
stepan
parent
139491219b
commit
3c4d69ace2
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@ -23,7 +23,7 @@ function [fh,xh,gh,H,itct,fcount,retcodeh] = csminwel(fcn,x0,H0,grad,crit,nit,me
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% http://sims.princeton.edu/yftp/optimize/mfiles/csminwel.m
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% Copyright (C) 1993-2007 Christopher Sims
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% Copyright (C) 2006-2008 Dynare Team
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% Copyright (C) 2006-2008, 2010 Dynare Team
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%
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% This file is part of Dynare.
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%
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@ -63,6 +63,7 @@ snit=100;
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%end
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[f0,cost_flag] = feval(fcn,x0,varargin{:});
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if ~cost_flag
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disp('Bad initial parameter.')
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return
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@ -71,11 +72,13 @@ end
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if NumGrad
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switch method
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case 2
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[g,badg] = numgrad(fcn,x0, varargin{:});
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[g,badg] = numgrad(fcn, f0, x0, varargin{:});
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badg
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g
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case 3
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[g,badg] = numgrad3(fcn,x0, varargin{:});
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[g,badg] = numgrad3(fcn, f0, x0, varargin{:});
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case 5
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[g,badg] = numgrad5(fcn,x0, varargin{:});
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[g,badg] = numgrad5(fcn, f0, x0, varargin{:});
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end
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else
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[g,badg] = feval(grad,x0,varargin{:});
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@ -118,11 +121,11 @@ while ~done
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if NumGrad
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switch method
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case 2
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[g1 badg1] = numgrad(fcn, x1,varargin{:});
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[g1 badg1] = numgrad(fcn, f1, x1, varargin{:});
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case 3
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[g1 badg1] = numgrad3(fcn, x1,varargin{:});
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[g1 badg1] = numgrad3(fcn, f1, x1, varargin{:});
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case 5
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[g1,badg1] = numgrad5(fcn,x0, varargin{:});
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[g1,badg1] = numgrad5(fcn, f1, x1, varargin{:});
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end
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else
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[g1 badg1] = feval(grad,x1,varargin{:});
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@ -152,11 +155,11 @@ while ~done
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if NumGrad
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switch method
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case 2
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[g2 badg2] = numgrad(fcn, x2,varargin{:});
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[g2 badg2] = numgrad(fcn, f2, x2, varargin{:});
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case 3
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[g2 badg2] = numgrad3(fcn, x2,varargin{:});
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[g2 badg2] = numgrad3(fcn, f2, x2, varargin{:});
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case 5
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[g2,badg2] = numgrad5(fcn,x0, varargin{:});
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[g2,badg2] = numgrad5(fcn, f2, x2, varargin{:});
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end
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else
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[g2 badg2] = feval(grad,x2,varargin{:});
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@ -187,11 +190,11 @@ while ~done
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if NumGrad
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switch method
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case 2
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[g3 badg3] = numgrad(fcn, x3,varargin{:});
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[g3 badg3] = numgrad(fcn, f3, x3, varargin{:});
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case 3
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[g3 badg3] = numgrad3(fcn, x3,varargin{:});
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[g3 badg3] = numgrad3(fcn, f3, x3, varargin{:});
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case 5
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[g3,badg3] = numgrad5(fcn,x0, varargin{:});
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[g3,badg3] = numgrad5(fcn, f3, x3, varargin{:});
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end
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else
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[g3 badg3] = feval(grad,x3,varargin{:});
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@ -251,11 +254,11 @@ while ~done
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if NumGrad
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switch method
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case 2
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[gh,badgh] = numgrad(fcn,xh,varargin{:});
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[gh,badgh] = numgrad(fcn, fh, xh, varargin{:});
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case 3
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[gh,badgh] = numgrad3(fcn,xh,varargin{:});
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[gh,badgh] = numgrad3(fcn, fh, xh, varargin{:});
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case 5
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[gh,badgh] = numgrad5(fcn,xh,varargin{:});
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[gh,badgh] = numgrad5(fcn, fh, xh, varargin{:});
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end
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else
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[gh badgh] = feval(grad, xh,varargin{:});
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103
matlab/numgrad.m
103
matlab/numgrad.m
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@ -1,11 +1,11 @@
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function [g, badg] = numgrad(fcn,x,varargin)
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function [g, badg] = numgrad(fcn,f0,x,varargin)
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% function [g badg] = numgrad(fcn,xvarargin)
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% Original file downloaded from:
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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) 2008 Dynare Team
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% Copyright (C) 2008, 2010 Dynare Team
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%
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% This file is part of Dynare.
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%
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@ -22,108 +22,39 @@ function [g, badg] = numgrad(fcn,x,varargin)
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% You should have received a copy of the GNU General Public License
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% along with Dynare. If not, see <http://www.gnu.org/licenses/>.
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fh = NaN;
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delta = 1e-6;
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%delta=1e-2;
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n=length(x);
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tvec=delta*eye(n);
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g=zeros(n,1);
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%--------------------old way to deal with variable # of P's--------------
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%tailstr = ')';
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%stailstr = [];
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%for i=nargin-2:-1:1
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% tailstr=[ ',P' num2str(i) tailstr];
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% stailstr=[' P' num2str(i) stailstr];
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%end
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%f0 = eval([fcn '(x' tailstr]); % Is there a way not to do this?
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%---------------------------------------------------------------^yes
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[f0,cost_flag] = feval(fcn, x, varargin{:});
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%f0 = eval([fcn '(x,varargin{:})']);
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% disp(' first fcn in numgrad.m ------------------')
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%home
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% disp('numgrad.m is working. ----') % Jiinil on 9/5/95
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% sizex=size(x),sizetvec=size(tvec),x, % Jinill on 9/6/95
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badg=0;
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goog=1;% stepan 07/07/2008
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scale=1; % stepan 07/07/2008
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goog=1;
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scale=1;
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for i=1:n
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% i,tveci=tvec(:,i)% ,plus=x+scale*tvec(:,i) % Jinill Kim on 9/6/95
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if size(x,1)>size(x,2)
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tvecv=tvec(i,:);
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else
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tvecv=tvec(:,i);
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end
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[fh,cost_flag] = feval(fcn, x+scale*transpose(tvecv), varargin{:});% stepan 07/07/2008
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if cost_flag% stepan 07/07/2008
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[fh,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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else
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[fh,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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else
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goog=0;
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goog = 0;
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end
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end
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% disp(' fcn in the i=1:n loop of numgrad.m ------------------')% Jinill 9/6/95
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% disp(' and i is') % Jinill
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% i % Jinill
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% fprintf('Gradient w.r.t. %3d: %10g\n',i,g0) %see below Jinill 9/6/95
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% -------------------------- special code to essentially quit here
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% absg0=abs(g0) % Jinill on 9/6/95
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if goog && abs(g0)< 1e15 % stepan 07/07/2008
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g(i)=g0;
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% disp('good gradient') % Jinill Kim
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if goog && abs(g0)< 1e15
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g(i) = g0;
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else
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disp('bad gradient ------------------------') % Jinill Kim
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% fprintf('Gradient w.r.t. %3d: %10g\n',i,g0) %see above
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g(i)=0;
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badg=1;
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% return
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% can return here to save time if the gradient will never be
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% used when badg returns as true.
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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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badg = 1;
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end
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end
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%-------------------------------------------------------------
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% if g0 > 0
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% sided=2;
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% g1 = -(eval([fcn '(x-scale*tvec(:,i)''' tailstr]) - f0) ...
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% /(scale*delta);
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% if g1<0
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% scale = scale/10;
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% else
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% break
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% end
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% else
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% sided=1;
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% break
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% end
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% end
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% if sided==1
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% g(i)=g0;
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% else
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% if (g0<1e20)
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% if (g1>-1e20)
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% g(i)=(g0+g1)/2;
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% else
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% g(i)=0;
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% badg=1;
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% disp( ['Banging against wall, parameter ' int2str(i)] );
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% end
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% else
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% if g1>-1e20
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% if g1<0
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% g(i)=0;
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% badg=1;
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% disp( ['Banging against wall, parameter ' int2str(i)] );
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% else
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% g(i)=g1;
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% end
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% else
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% g(i)=0;
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% badg=1;
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% disp(['Valley around parameter ' int2str(i)])
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% end
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% end
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% end
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%end
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%save g.dat g x f0
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%eval(['save g g x f0 ' stailstr]);
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end
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@ -1,4 +1,4 @@
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function [g, badg, f0, f1, f2] = numgrad3(fcn,x,varargin)
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1function [g, badg, f0, f1, f2] = numgrad3(fcn,f0,x,varargin)
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% Computes the gradient of the objective function fcn using a three points
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% formula if possible.
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%
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@ -11,7 +11,7 @@ function [g, badg, f0, f1, f2] = numgrad3(fcn,x,varargin)
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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) 2008 Dynare Team
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% Copyright (C) 2008, 2010 Dynare Team
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%
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% This file is part of Dynare.
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%
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@ -28,7 +28,6 @@ function [g, badg, f0, f1, f2] = numgrad3(fcn,x,varargin)
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% You should have received a copy of the GNU General Public License
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% along with Dynare. If not, see <http://www.gnu.org/licenses/>.
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f0 = NaN;
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f1 = NaN;
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f2 = NaN;
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@ -37,8 +36,6 @@ n=length(x);
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tvec=delta*eye(n);
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g=zeros(n,1);
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[f0,cost_flag] = feval(fcn, x, varargin{:});
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badg=0;
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goog=1;
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scale=1;
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@ -1,4 +1,4 @@
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function [g, badg, f0, f1, f2, f3, f4] = numgrad5(fcn,x,varargin)
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function [g, badg, f0, f1, f2, f3, f4] = numgrad5(fcn,f0,x,varargin)
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% Computes the gradient of the objective function fcn using a five points
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% formula if possible.
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%
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@ -13,7 +13,7 @@ function [g, badg, f0, f1, f2, f3, f4] = numgrad5(fcn,x,varargin)
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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) 2008 Dynare Team
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% Copyright (C) 2008, 2010 Dynare Team
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%
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% This file is part of Dynare.
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%
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@ -30,7 +30,6 @@ function [g, badg, f0, f1, f2, f3, f4] = numgrad5(fcn,x,varargin)
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% You should have received a copy of the GNU General Public License
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% along with Dynare. If not, see <http://www.gnu.org/licenses/>.
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f0 = NaN;
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f1 = NaN;
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f2 = NaN;
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f3 = NaN;
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@ -41,8 +40,6 @@ n=length(x);
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tvec=delta*eye(n);
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g=zeros(n,1);
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[f0,cost_flag] = feval(fcn, x, varargin{:});
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badg=0;
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goog=1;
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scale=1;
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