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csminwel1.m: clean up file

kalman-mex
Johannes Pfeifer 2023-09-08 10:02:14 +02:00
parent cb0f0e6701
commit 842bf3d687
1 changed files with 4 additions and 29 deletions
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33
matlab/optimization/csminwel1.m
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@ -109,33 +109,19 @@ else
g=arg1;
badg=0;
end
retcode3=101;
x=x0;
f=f0;
H=H0;
cliff=0;
while ~done
% penalty for dsge_likelihood and dsge_var_likelihood
penalty = f;
g1=[]; g2=[]; g3=[];
%addition fj. 7/6/94 for control
disp_verbose('-----------------',Verbose)
disp_verbose(sprintf('f at the beginning of new iteration, %20.10f',f),Verbose)
%-----------Comment out this line if the x vector is long----------------
% disp_verbose([sprintf('x = ') sprintf('%15.8g %15.8g %15.8g %15.8g\n',x)]);
%-------------------------
itct=itct+1;
[f1, x1, fc, retcode1] = csminit1(fcn,x,penalty,f,g,badg,H,Verbose,varargin{:});
fcount = fcount+fc;
% erased on 8/4/94
% if (retcode == 1) || (abs(f1-f) < crit)
% done=1;
% end
% if itct > nit
% done = 1;
% retcode = -retcode;
% end
if retcode1 ~= 1
if retcode1==2 || retcode1==4
wall1=1; badg1=1;
@ -154,15 +140,11 @@ while ~done
save('g1.mat','g1','x1','f1','varargin');
end
end
if wall1 % && (~done) by Jinill
% Bad gradient or back and forth on step length. Possibly at
% cliff edge. Try perturbing search direction.
%
%fcliff=fh;xcliff=xh;
if wall1
Hcliff=H+diag(diag(H).*rand(nx,1));
disp_verbose('Cliff. Perturbing search direction.',Verbose)
[f2, x2, fc, retcode2] = csminit1(fcn,x,penalty,f,g,badg,Hcliff,Verbose,varargin{:});
fcount = fcount+fc; % put by Jinill
fcount = fcount+fc;
if f2 < f
if retcode2==2 || retcode2==4
wall2=1; badg2=1;
@ -178,7 +160,7 @@ while ~done
wall2=badg2;
% g2
if Verbose
badg2
disp_verbose(sprintf('Value of bad gradient 2: %u\n',badg2),Verbose)
end
if Save_files
save('g2.mat','g2','x2','f2','varargin');
@ -196,7 +178,6 @@ while ~done
[f3, x3, fc, retcode3] = csminit1(fcn,x,penalty,f,gcliff,0,eye(nx),Verbose,varargin{:});
fcount = fcount+fc; % put by Jinill
if retcode3==2 || retcode3==4
wall3=1;
badg3=1;
else
if NumGrad
@ -207,7 +188,6 @@ while ~done
[~,cost_flag,g3] = penalty_objective_function(x1,fcn,penalty,varargin{:});
badg3 = ~cost_flag;
end
wall3=badg3;
% g3
if Save_files
save('g3.mat','g3','x3','f3','varargin');
@ -229,13 +209,10 @@ while ~done
end
%how to pick gh and xh
if f3 < f - crit && badg3==0 && f3 < f2 && f3 < f1 %f3 has improved function, gradient is good and it is smaller than the other two
ih=3;
fh=f3;xh=x3;gh=g3;badgh=badg3;retcodeh=retcode3;
elseif f2 < f - crit && badg2==0 && f2 < f1 %f2 has improved function, gradient is good and it is smaller than f2
ih=2;
fh=f2;xh=x2;gh=g2;badgh=badg2;retcodeh=retcode2;
elseif f1 < f - crit && badg1==0 %f1 has improved function, gradient is good
ih=1;
fh=f1;xh=x1;gh=g1;badgh=badg1;retcodeh=retcode1;
else % stuck or bad gradient
[fh,ih] = min([f1,f2,f3]);
@ -249,8 +226,6 @@ while ~done
case 3
xh=x3;
end %case
%eval(['gh=g' num2str(ih) ';'])
%eval(['retcodeh=retcode' num2str(ih) ';'])
retcodei=[retcode1,retcode2,retcode3];
retcodeh=retcodei(ih);
@ -299,7 +274,7 @@ while ~done
elseif rc == 7
disp_verbose('warning: possible inaccuracy in H matrix',Verbose)
else
error('Unaccounted Case, please contact the developers',Verbose)
error('Unaccounted Case, please contact the developers')
end
end