From 5b2053c347c76f4a6543be6c0f79845263c58b86 Mon Sep 17 00:00:00 2001
From: adjemian <adjemian@ac1d8469-bf42-47a9-8791-bf33cf982152>
Date: Tue, 21 Nov 2006 12:52:32 +0000
Subject: [PATCH] improvements to the stochastic posterior mode optimization
 routine (mode_compute = 6)

git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@1091 ac1d8469-bf42-47a9-8791-bf33cf982152
---
 matlab/dynare_estimation.m | 25 ++++++++++++++++---------
 matlab/gmhmaxlik.m         |  4 +++-
 2 files changed, 19 insertions(+), 10 deletions(-)

diff --git a/matlab/dynare_estimation.m b/matlab/dynare_estimation.m
index 233a27155..ba2eb716b 100644
--- a/matlab/dynare_estimation.m
+++ b/matlab/dynare_estimation.m
@@ -357,18 +357,25 @@ if options_.mode_compute > 0 & options_.posterior_mode_estimation
     if exist('hh')
       CovJump = inv(hh);
     else% The covariance matrix is initialized with the prior
-        % covariance (a diagonal matrix) % Except for infinite variances ;-)
-      stdev = bayestopt_.pstdev;
-      indx = find(isinf(stdev));
-      stdev(indx) = ones(length(indx),1)*0.1;
-      indx = find(stdev>2);
-      stdev(indx) = ones(length(indx),1)*0.1;      
-      CovJump = diag(stdev).^2;
-      CovJump = eye(length(stdev))*0.5;
+        % covariance (a diagonal matrix) %%Except for infinite variances ;-)
+      varinit = 'prior';
+      if strcmpi(varinit,'prior')  
+          stdev = bayestopt_.pstdev;
+          indx = find(isinf(stdev));
+          stdev(indx) = ones(length(indx),1)*sqrt(10);
+          vars = stdev.^2;
+          CovJump = diag(vars);
+      elseif strcmpi(varinit,'eye')
+          vars = ones(length(bayestopt_.pstdev),1)*0.1;  
+          CovJump = diag(vars);          
+      else
+          disp('gmhmaxlik :: Error!')
+          return
+      end
     end
     OldPostVar = CovJump;
     Scale = options_.mh_jscale;
-    for i=1:options_.Opt6Iter
+    for i=1:options_.Opt6Iter  
       if i == 1
         if options_.Opt6Iter > 1
           flag = '';
diff --git a/matlab/gmhmaxlik.m b/matlab/gmhmaxlik.m
index a9724c166..d4ba341e7 100644
--- a/matlab/gmhmaxlik.m
+++ b/matlab/gmhmaxlik.m
@@ -107,7 +107,9 @@ while j<=MaxNumberOfTuningSimulations
     test1 = jsux/jj;
     cfactor = test1/AcceptanceTarget;
     if cfactor>0
-    iScale = iScale*cfactor;
+        iScale = iScale*cfactor;
+    else
+        iScale = iScale/10;
     end
     jsux = 0; jj = 0;
     if cfactor>0.90 && cfactor<1.10