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Merge branch 'laplace' into 'master' 

Laplace approximation: filter out non-positive definite Hessians

Closes #1659

See merge request Dynare/dynare!1666
time-shift
Sébastien Villemot 2019-11-21 14:06:15 +00:00
parent ce2115474f 0075776716
commit ab1adaa590
1 changed files with 7 additions and 3 deletions
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10
matlab/dynare_estimation_1.m
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@ -365,9 +365,13 @@ if any(bayestopt_.pshape > 0) && ~options_.mh_posterior_mode_estimation
% Laplace approximation to the marginal log density:
if options_.cova_compute
estim_params_nbr = size(xparam1,1);
log_det_invhess = log(det(invhess./(stdh*stdh')))+2*sum(log(stdh));
likelihood = feval(objective_function,xparam1,dataset_,dataset_info,options_,M_,estim_params_,bayestopt_,bounds,oo_);
oo_.MarginalDensity.LaplaceApproximation = .5*estim_params_nbr*log(2*pi) + .5*log_det_invhess - likelihood;
if ispd(invhess)
log_det_invhess = log(det(invhess./(stdh*stdh')))+2*sum(log(stdh));
likelihood = feval(objective_function,xparam1,dataset_,dataset_info,options_,M_,estim_params_,bayestopt_,bounds,oo_);
oo_.MarginalDensity.LaplaceApproximation = .5*estim_params_nbr*log(2*pi) + .5*log_det_invhess - likelihood;
else
oo_.MarginalDensity.LaplaceApproximation = NaN;
end
skipline()
disp(sprintf('Log data density [Laplace approximation] is %f.',oo_.MarginalDensity.LaplaceApproximation))
skipline()