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Fix bugs previously introduces in dynare_estimation_1.m related to penalty function

time-shift
Johannes Pfeifer 2016-06-06 18:28:45 +02:00 committed by Stéphane Adjemian (Lupi)
parent 2446ab02ba
commit 552a9b5230
2 changed files with 5 additions and 4 deletions
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7
matlab/dynare_estimation_1.m
View File

@ -221,7 +221,7 @@ if ~isequal(options_.mode_compute,0) && ~options_.mh_posterior_mode_estimation
end
end
[xparam1, fval, exitflag, hh, options_, Scale] = dynare_minimize_objective(objective_function,xparam1,options_.mode_compute,options_,[bounds.lb bounds.ub],bayestopt_.name,bayestopt_,hh,dataset_,dataset_info,options_,M_,estim_params_,bayestopt_,bounds,oo_);
[xparam1, fval, exitflag, hh, options_, Scale, new_rat_hess_info] = dynare_minimize_objective(objective_function,xparam1,options_.mode_compute,options_,[bounds.lb bounds.ub],bayestopt_.name,bayestopt_,hh,dataset_,dataset_info,options_,M_,estim_params_,bayestopt_,bounds,oo_);
fprintf('\nFinal value of minus the log posterior (or likelihood):%f \n', fval);
if isnumeric(options_.mode_compute) && options_.mode_compute==5 && options_.analytic_derivation==-1 %reset options changed by newrat
@ -269,7 +269,7 @@ if ~isequal(options_.mode_compute,0) && ~options_.mh_posterior_mode_estimation
if compute_hessian,
crit = options_.newrat.tolerance.f;
newratflag = newratflag>0;
hh = reshape(mr_hessian(xparam1,objective_function,newratflag,crit,new_rat_hess_info,dataset_, dataset_info, options_,M_,estim_params_,bayestopt_,bounds,oo_), nx, nx);
hh = reshape(mr_hessian(xparam1,objective_function,fval,newratflag,crit,new_rat_hess_info,dataset_, dataset_info, options_,M_,estim_params_,bayestopt_,bounds,oo_), nx, nx);
end
options_.kalman_algo = kalman_algo0;
end
@ -322,7 +322,7 @@ if ~options_.mh_posterior_mode_estimation && options_.cova_compute
disp('=> posterior variance of the estimated parameters are not positive.')
disp('You should try to change the initial values of the parameters using')
disp('the estimated_params_init block, or use another optimization routine.')
params_at_bound=find(xparam1==bounds.ub | xparam1==bounds.lb);
params_at_bound=find(abs(xparam1-bounds.ub)<1.e-10 | abs(xparam1-bounds.lb)<1.e-10);
if ~isempty(params_at_bound)
for ii=1:length(params_at_bound)
params_at_bound_name{ii,1}=get_the_name(params_at_bound(ii),0,M_,estim_params_,options_);
@ -339,6 +339,7 @@ if ~options_.mh_posterior_mode_estimation && options_.cova_compute
fprintf(' - Change the optimization bounds.\n')
fprintf(' - Use a different mode_compute like 6 or 9.\n')
fprintf(' - Check whether the parameters estimated are identified.\n')
fprintf(' - Check prior shape (e.g. Inf density at bound(s)).\n')
fprintf(' - Increase the informativeness of the prior.\n')
end
warning('The results below are most likely wrong!');

2
matlab/optimization/csminwel1.m
View File

@ -261,7 +261,7 @@ while ~done
elseif ischar(grad),
[gh, badgh] = grad(xh,varargin{:});
else
[junkh,cost_flag,gh] = penalty_objective_function(x1,penalty,varargin{:});
[junkh,cost_flag,gh] = penalty_objective_function(x1,fcn,penalty,varargin{:});
badgh = ~cost_flag;
end
end