newrat: Further replacement of varargins by explicit options
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dc6e3406e5
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6b592cbb00
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@ -268,7 +268,7 @@ switch minimizer_algorithm
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hess_info.gstep=options_.gstep;
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hess_info.htol = 1.e-4;
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hess_info.h1=options_.gradient_epsilon*ones(n_params,1);
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[opt_par_values,hessian_mat,gg,fval,invhess,new_rat_hess_info] = newrat(objective_function,start_par_value,bounds,analytic_grad,crit,nit,0,Verbose, Save_files,hess_info,prior_information.p2,varargin{:}); %hessian_mat is the plain outer product gradient Hessian
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[opt_par_values,hessian_mat,gg,fval,invhess,new_rat_hess_info] = newrat(objective_function,start_par_value,bounds,analytic_grad,crit,nit,0,Verbose,Save_files,hess_info,prior_information.p2,options_.gradient_epsilon,parameter_names,varargin{:}); %hessian_mat is the plain outer product gradient Hessian
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case 6
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if isempty(prior_information) %Inf will be reset
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prior_information.p2=Inf(n_params,1);
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@ -1,5 +1,5 @@
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function [f0, x, ig] = mr_gstep(h1,x,bounds,func0,penalty,htol0,Verbose,Save_files,varargin)
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% [f0, x, ig] = mr_gstep(h1,x,bounds,func0,penalty,htol0,Verbose,Save_files,varargin)
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function [f0, x, ig] = mr_gstep(h1,x,bounds,func0,penalty,htol0,Verbose,Save_files,gradient_epsilon,parameter_names,varargin)
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% [f0, x, ig] = mr_gstep(h1,x,bounds,func0,penalty,htol0,Verbose,Save_files,gradient_epsilon,parameter_names,varargin)
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%
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% Gibbs type step in optimisation
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%
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@ -11,7 +11,7 @@ function [f0, x, ig] = mr_gstep(h1,x,bounds,func0,penalty,htol0,Verbose,Save_fil
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% varargin{6} --> BayesInfo
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% varargin{1} --> DynareResults
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% Copyright (C) 2006-2017 Dynare Team
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% Copyright (C) 2006-2020 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 +30,7 @@ function [f0, x, ig] = mr_gstep(h1,x,bounds,func0,penalty,htol0,Verbose,Save_fil
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n=size(x,1);
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if isempty(h1)
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h1=varargin{3}.gradient_epsilon*ones(n,1);
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h1=gradient_epsilon*ones(n,1);
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end
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@ -72,10 +72,10 @@ while i<n
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gg(i)=(f1(i)'-f_1(i)')./(2.*h1(i));
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hh(i) = 1/max(1.e-9,abs( (f1(i)+f_1(i)-2*f0)./(h1(i)*h1(i)) ));
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if gg(i)*(hh(i)*gg(i))/2 > htol(i)
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[f0, x, fc, retcode] = csminit1(func0,x,penalty,f0,gg,0,diag(hh),Verbose,varargin{:});
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[f0, x, ~, ~] = csminit1(func0,x,penalty,f0,gg,0,diag(hh),Verbose,varargin{:});
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ig(i)=1;
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if Verbose
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fprintf(['Done for param %s = %8.4f\n'],varargin{6}.name{i},x(i))
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fprintf(['Done for param %s = %8.4f\n'],parameter_names{i},x(i))
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end
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end
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xh1=x;
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@ -1,5 +1,5 @@
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function [xparam1, hh, gg, fval, igg, hess_info] = newrat(func0, x, bounds, analytic_derivation, ftol0, nit, flagg, Verbose, Save_files, hess_info, prior_std, varargin)
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% [xparam1, hh, gg, fval, igg, hess_info] = newrat(func0, x, bounds, analytic_derivation, ftol0, nit, flagg, Verbose, Save_files, hess_info, varargin)
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function [xparam1, hh, gg, fval, igg, hess_info] = newrat(func0, x, bounds, analytic_derivation, ftol0, nit, flagg, Verbose, Save_files, hess_info, prior_std, gradient_epsilon, parameter_names, varargin)
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% [xparam1, hh, gg, fval, igg, hess_info] = newrat(func0, x, bounds, analytic_derivation, ftol0, nit, flagg, Verbose, Save_files, hess_info, gradient_epsilon, parameter_names, varargin)
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%
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% Optimiser with outer product gradient and with sequences of univariate steps
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% uses Chris Sims subroutine for line search
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@ -24,6 +24,8 @@ function [xparam1, hh, gg, fval, igg, hess_info] = newrat(func0, x, bounds, anal
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% computation of Hessian
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% - prior_std prior standard devation of parameters (can be NaN);
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% passed to mr_hessian
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% - gradient_epsilon [double] step size in gradient
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% - parameter_names [cell] names of parameters for error messages
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% - varargin other inputs
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% e.g. in dsge_likelihood and others:
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% varargin{1} --> DynareDataset
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@ -167,7 +169,7 @@ while norm(gg)>gtol && check==0 && jit<nit
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[fvala,x0,fc,retcode] = csminit1(func0,x0,penalty,fval,ggx,0,iggx,Verbose,varargin{:});
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end
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x0 = check_bounds(x0,bounds);
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[fvala, x0, ig] = mr_gstep(h1,x0,bounds,func0,penalty,htol0,Verbose,Save_files,varargin{:});
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[fvala, x0, ig] = mr_gstep(h1,x0,bounds,func0,penalty,htol0,Verbose,Save_files,gradient_epsilon, parameter_names,varargin{:});
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x0 = check_bounds(x0,bounds);
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nig=[nig ig];
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disp_verbose('Sequence of univariate steps!!',Verbose)
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