stepan
/
dynare
1
0
Fork 0
Code Issues Pull Requests Packages Projects Releases Wiki Activity

Added unitary test for hessian routine.

time-shift
Stéphane Adjemian (Telemachus) 2014-11-14 15:34:44 +01:00
parent ff3c8e94e1
commit aae7c23fe2
1 changed files with 54 additions and 3 deletions
Show Stats Download Patch File Download Diff File Expand all files Collapse all files

57
matlab/hessian.m
View File

@ -1,5 +1,5 @@
function hessian_mat = hessian(func,x,gstep,varargin)
% function hessian_mat = hessian(func,x,gstep,varargin)
function hessian_mat = hessian(func,x,gstep,varargin) % --*-- Unitary tests --*--
% Computes second order partial derivatives
%
% INPUTS
@ -89,4 +89,55 @@ for i=1:n
xh_1(i)=x(i);
xh_1(j)=x(j);
end
end
end
%@test:1
%$ % Create a function.
%$ fid = fopen('exfun.m','w+');
%$ fprintf(fid,'function [f,g,H] = exfun(xvar)\\n');
%$ fprintf(fid,'x = xvar(1);\\n');
%$ fprintf(fid,'y = xvar(2);\\n');
%$ fprintf(fid,'f = x^2* log(y);\\n');
%$ fprintf(fid,'if nargout>1\\n');
%$ fprintf(fid,' g = zeros(2,1);\\n');
%$ fprintf(fid,' g(1) = 2*x*log(y);\\n');
%$ fprintf(fid,' g(2) = x*x/y;\\n');
%$ fprintf(fid,'end\\n');
%$ fprintf(fid,'if nargout>2\\n');
%$ fprintf(fid,' H = zeros(2,2);\\n');
%$ fprintf(fid,' H(1,1) = 2*log(y);\\n');
%$ fprintf(fid,' H(1,2) = 2*x/y;\\n');
%$ fprintf(fid,' H(2,1) = H(1,2);\\n');
%$ fprintf(fid,' H(2,2) = -x*x/(y*y);\\n');
%$ fprintf(fid,' H = H(:);\\n');
%$ fprintf(fid,'end\\n');
%$ fclose(fid);
%$
%$ rehash;
%$
%$ t = zeros(5,1);
%$
%$ % Evaluate the Hessian at (1,e)
%$ try
%$ H = hessian('exfun',[1; exp(1)],[1e-2; 1]);
%$ t(1) = 1;
%$ catch
%$ t(1) = 0;
%$ end
%$
%$ % Compute the true Hessian matrix
%$ [f, g, Htrue] = exfun([1 exp(1)]);
%$
%$ % Delete exfun routine from disk.
%$ delete('exfun.m');
%$
%$ % Compare the values in H and Htrue
%$ if t(1)
%$ t(2) = dassert(abs(H(1)-Htrue(1))<1e-6,true);
%$ t(3) = dassert(abs(H(2)-Htrue(2))<1e-6,true);
%$ t(4) = dassert(abs(H(3)-Htrue(3))<1e-6,true);
%$ t(5) = dassert(abs(H(4)-Htrue(4))<1e-6,true);
%$ end
%$ T = all(t);
%@eof:1