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Merge pull request #799 from JohannesPfeifer/simplex 

Further fixes to simplex algorithm related to unset options
time-shift
Stéphane Adjemian 2014-11-25 11:45:59 +01:00
parent 4b41aa70c4 d27e5bc5c2
commit 6aa7c038ef
3 changed files with 14 additions and 4 deletions
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1
matlab/global_initialization.m
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@ -480,6 +480,7 @@ simplex.maxiter = 5000;
simplex.maxfcallfactor = 500;
simplex.maxfcall = [];
simplex.verbosity = 2;
simplex.delta_factor=0.05;
options_.simplex = simplex;
% CMAES optimization routine.

8
matlab/simplex_optimization_routine.m
View File

@ -54,7 +54,9 @@ number_of_variables = length(x);
% get options.
if isempty(options.maxfcall)
max_func_calls = options.maxfcallfactor*number_of_variables
max_func_calls = options.maxfcallfactor*number_of_variables;
else
max_func_calls=options.maxfcall;
end
% Set tolerance parameter.
@ -155,8 +157,8 @@ else
end
% Set delta parameter.
if isfield(options,'delta_parameter')% Size of the simplex
delta = options.delta_parameter;
if isfield(options,'delta_factor')% Size of the simplex
delta = options.delta_factor;
else
delta = 0.05;
end

9
tests/fs2000/fs2000_mode_compute_8.mod
View File

@ -72,4 +72,11 @@ varobs gp_obs gy_obs;
options_.solve_tolf = 1e-12;
estimation(order=1,datafile=fsdat_simul,nobs=192,mode_compute=8,loglinear,mh_replic=0);
estimation(order=1,datafile=fsdat_simul,nobs=192,mode_compute=8,loglinear,mh_replic=0,optim=(
'MaxIter',5000,
'TolFun',1e-4,
'TolX',1e-4,
'MaxFunEvals',5000,
'MaxFunEvalFactor',500,
'InitialSimplexSize',0.05
));