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Changed penalties. 

git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@1934 ac1d8469-bf42-47a9-8791-bf33cf982152
time-shift
adjemian 2008-07-07 12:31:51 +00:00
parent 400267ab92
commit 7f927eff00
1 changed files with 10 additions and 9 deletions
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19
matlab/DsgeVarLikelihood.m
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@ -47,17 +47,17 @@ cost_flag = 1;
if options_.mode_compute ~= 1 & any(xparam1 < bayestopt_.lb)
k = find(xparam1 < bayestopt_.lb);
fval = bayestopt_.penalty*min(1e3,exp(sum(bayestopt_.lb(k)-xparam1(k))));
info = 41;
fval = bayestopt_.penalty+sum((bayestopt_.lb(k)-xparam1(k)).^2);
cost_flag = 0;
info = 41;
return;
end
if options_.mode_compute ~= 1 & any(xparam1 > bayestopt_.ub)
k = find(xparam1 > bayestopt_.ub);
fval = bayestopt_.penalty*min(1e3,exp(sum(xparam1(k)- bayestopt_.ub(k))));
info = 42;
fval = bayestopt_.penalty+sum((xparam1(k)-bayestopt_.ub(k)).^2);
cost_flag = 0;
info = 42;
return;
end
@ -83,9 +83,9 @@ M_.Sigma_e = Q;
dsge_prior_weight = M_.params(strmatch('dsge_prior_weight',M_.param_names));
% Is the DSGE prior proper?
if dsge_prior_weight<(NumberOfParameters+NumberOfObservedVariables)/gend;
fval = bayestopt_.penalty*min(1e3,(NumberOfParameters+NumberOfObservedVariables)/gend-dsge_prior_weight);
info = 51;
fval = bayestopt_.penalty+abs(gend*dsge_prior_weight-(NumberOfParameters+NumberOfObservedVariables));
cost_flag = 0;
info = 51;
return;
end
@ -97,11 +97,11 @@ end
bayestopt_.restrict_columns,...
bayestopt_.restrict_aux);
if info(1) == 1 | info(1) == 2 | info(1) == 5
fval = bayestopt_.penalty;
fval = bayestopt_.penalty+1;
cost_flag = 0;
return
elseif info(1) == 3 | info(1) == 4 | info(1) == 20
fval = bayestopt_.penalty*min(1e3,exp(info(2)));
fval = bayestopt_.penalty+info(2)^2;
cost_flag = 0;
return
end
@ -152,6 +152,7 @@ for i = 1:NumberOfLags-1
GXX = GXX + kron(tmp1,TheoreticalAutoCovarianceOfTheObservedVariables(:,:,i+1));
GXX = GXX + kron(tmp2,TheoreticalAutoCovarianceOfTheObservedVariables(:,:,i+1)');
end
if ~options_.noconstant
% Add one row and one column to GXX
GXX = [GXX , kron(ones(NumberOfLags,1),constant') ; [ kron(ones(1,NumberOfLags),constant) , 1] ];
@ -171,7 +172,7 @@ if ~isinf(dsge_prior_weight)
if ~ispd(SIGMAu)
v = diag(SIGMAu);
k = find(v<0);
fval = bayestopt_.penalty*min(1e3,exp(abs(v(k))));
fval = bayestopt_.penalty + sum(v(k).^2);
info = 52;
cost_flag = 0;
return;