Merge branch 'laplace' into 'master'
Laplace approximation: filter out non-positive definite Hessians Closes #1659 See merge request Dynare/dynare!1666time-shift
commit
ab1adaa590
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@ -365,9 +365,13 @@ if any(bayestopt_.pshape > 0) && ~options_.mh_posterior_mode_estimation
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% Laplace approximation to the marginal log density:
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% Laplace approximation to the marginal log density:
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if options_.cova_compute
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if options_.cova_compute
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estim_params_nbr = size(xparam1,1);
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estim_params_nbr = size(xparam1,1);
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log_det_invhess = log(det(invhess./(stdh*stdh')))+2*sum(log(stdh));
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if ispd(invhess)
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likelihood = feval(objective_function,xparam1,dataset_,dataset_info,options_,M_,estim_params_,bayestopt_,bounds,oo_);
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log_det_invhess = log(det(invhess./(stdh*stdh')))+2*sum(log(stdh));
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oo_.MarginalDensity.LaplaceApproximation = .5*estim_params_nbr*log(2*pi) + .5*log_det_invhess - likelihood;
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likelihood = feval(objective_function,xparam1,dataset_,dataset_info,options_,M_,estim_params_,bayestopt_,bounds,oo_);
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oo_.MarginalDensity.LaplaceApproximation = .5*estim_params_nbr*log(2*pi) + .5*log_det_invhess - likelihood;
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else
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oo_.MarginalDensity.LaplaceApproximation = NaN;
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end
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skipline()
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skipline()
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disp(sprintf('Log data density [Laplace approximation] is %f.',oo_.MarginalDensity.LaplaceApproximation))
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disp(sprintf('Log data density [Laplace approximation] is %f.',oo_.MarginalDensity.LaplaceApproximation))
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skipline()
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skipline()
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