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Add warning if gradient-based optimizer is used with particle-filtering and offer user choice to change mode-finder

time-shift
Johannes Pfeifer 2013-07-08 19:34:31 +02:00 committed by Stéphane Adjemian (Charybdis)
parent 44961e3408
commit aeda8d17ff
1 changed files with 23 additions and 0 deletions
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23
matlab/dynare_estimation_1.m
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@ -37,6 +37,29 @@ if options_.order > 1
disp(' ')
disp('Estimation using a non linear filter!')
disp(' ')
if ismember(options_.mode_compute,[1,3,4]) %gradient-based optimizers
warning('You are using a gradient-based mode-finder. Particle filtering introduces discontinuities in the objective function w.r.t the parameters. Thus, should use a non-gradient based optimizer (e.g. mode_compute=8 or 9)!')
fprintf('\nPlease choose a mode-finder:\n')
fprintf('\t 1 - Continue using gradient-based method (not recommended)\n')
fprintf('\t 6 - Monte Carlo based algorithm\n')
fprintf('\t 8 - Nelder-Mead simplex based optimization routine\n')
fprintf('\t 9 - CMA-ES (Covariance Matrix Adaptation Evolution Strategy) algorithm\n')
reply = input('Please enter your choice: ', 's');
try
mode_finder=str2double(reply(1,1));
invalid_choice_dummy=0;
catch err_menu
invalid_choice_dummy=1;
end
if ~invalid_choice_dummy && ismember(mode_finder,[6,8,9])
options_.mode_compute=mode_finder;
elseif ~invalid_choice_dummy && mode_finder==1
% keep mode finder, i.e. do nothing
else
fprintf('\n Invalid choice, continue using Nelder-Mead simplex based optimization routine.\n')
options_.mode_compute=8;
end
end
elseif options_.particle.status && options_.order>2
error(['Non linear filter are not implemented with order ' int2str(options_.order) ' approximation of the model!'])
elseif ~options_.particle.status && options_.order==2