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Try random initial guess for dynare_solve... 

... If for the default initial guess we obtain NaNs or Infs in the residuals
and/or the Jacobian matrix.

(cherry picked from commit d282226100)
time-shift
Stéphane Adjemian (Charybdis) 2017-05-10 23:27:41 +02:00
parent 72c6fd5ffa
commit 57cab69530
1 changed files with 73 additions and 11 deletions
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84
matlab/dynare_solve.m
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@ -58,27 +58,89 @@ else
maxit = options.steady.maxit;
end
info = 0;
nn = size(x,1);
% Get status of the initial guess (default values?)
if any(x)
% The current initial guess is not the default for all the variables.
idx = find(x); % Indices of the variables with default initial guess values.
in0 = length(idx);
else
% The current initial guess is the default for all the variables.
idx = transpose(1:nn);
in0 = nn;
end
% checking initial values
if jacobian_flag
[fvec,fjac] = feval(func,x,varargin{:});
if any(any(isinf(fjac) | isnan(fjac)))
info=1;
x = NaN(size(fvec));
return
[fvec, fjac] = feval(func, x, varargin{:});
wrong_initial_guess_flag = false;
if ~all(isfinite(fvec)) || any(isinf(fjac(:))) || any(isnan((fjac(:))))
% Let's try random numbers for the variables initialized with the default value.
wrong_initial_guess_flag = true;
% First try with positive numbers.
tentative_number = 0;
while wrong_initial_guess_flag && tentative_number<=in0*10
tentative_number = tentative_number+1;
x(idx) = rand(in0, 1)*10;
[fvec, fjac] = feval(func, x, varargin{:});
wrong_initial_guess_flag = ~all(isfinite(fvec)) || any(isinf(fjac(:))) || any(isnan((fjac(:))));
end
% If all previous attempts failed, try with real numbers.
tentative_number = 0;
while wrong_initial_guess_flag && tentative_number<=in0*10
tentative_number = tentative_number+1;
x(idx) = randn(in0, 1)*10;
[fvec, fjac] = feval(func, x, varargin{:});
wrong_initial_guess_flag = ~all(isfinite(fvec)) || any(isinf(fjac(:))) || any(isnan((fjac(:))));
end
% Last tentative, ff all previous attempts failed, try with negative numbers.
tentative_number = 0;
while wrong_initial_guess_flag && tentative_number<=in0*10
tentative_number = tentative_number+1;
x(idx) = -rand(in0, 1)*10;
[fvec, fjac] = feval(func, x, varargin{:});
wrong_initial_guess_flag = ~all(isfinite(fvec)) || any(isinf(fjac(:))) || any(isnan((fjac(:))));
end
end
else
fvec = feval(func,x,varargin{:});
fjac = zeros(nn,nn) ;
fjac = zeros(nn,nn);
wrong_initial_guess_flag = false;
if ~all(isfinite(fvec))
% Let's try random numbers for the variables initialized with the default value.
wrong_initial_guess_flag = true;
% First try with positive numbers.
tentative_number = 0;
while wrong_initial_guess_flag && tentative_number<=in0*10
tentative_number = tentative_number+1;
x(idx) = rand(in0, 1)*10;
fvec = feval(func, x, varargin{:});
wrong_initial_guess_flag = ~all(isfinite(fvec));
end
% If all previous attempts failed, try with real numbers.
tentative_number = 0;
while wrong_initial_guess_flag && tentative_number<=in0*10
tentative_number = tentative_number+1;
x(idx) = randn(in0, 1)*10;
fvec = feval(func, x, varargin{:});
wrong_initial_guess_flag = ~all(isfinite(fvec));
end
% Last tentative, ff all previous attempts failed, try with negative numbers.
tentative_number = 0;
while wrong_initial_guess_flag && tentative_number<=in0*10
tentative_number = tentative_number+1;
x(idx) = -rand(in0, 1)*10;
fvec = feval(func, x, varargin{:});
wrong_initial_guess_flag = ~all(isfinite(fvec));
end
end
end
i = find(~isfinite(fvec));
if ~isempty(i)
info = 1;
% Exit with error if no initial guess has been found.
if wrong_initial_guess_flag
info=1;
x = NaN(size(fvec));
return
end