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newrat.m: clean up files

kalman-mex
Johannes Pfeifer 2023-09-12 13:32:16 +02:00
parent 3895da48a1
commit b8a1b63572
2 changed files with 13 additions and 16 deletions
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12
matlab/optimization/mr_hessian.m
View File

@ -67,7 +67,7 @@ function [hessian_mat, gg, htol1, ihh, hh_mat0, hh1, hess_info] = mr_hessian(x,f
n=size(x,1);
[f0,exit_flag, ff0]=penalty_objective_function(x,func,penalty,varargin{:});
[f0,~, ff0]=penalty_objective_function(x,func,penalty,varargin{:});
h2=bounds(:,2)-bounds(:,1);
hmax=bounds(:,2)-x;
hmax=min(hmax,x-bounds(:,1));
@ -100,7 +100,7 @@ while i<n
h10=hess_info.h1(i);
hcheck=0;
xh1(i)=x(i)+hess_info.h1(i);
[fx,exit_flag,ffx]=penalty_objective_function(xh1,func,penalty,varargin{:});
[fx,~,ffx]=penalty_objective_function(xh1,func,penalty,varargin{:});
it=1;
dx=(fx-f0);
ic=0;
@ -117,18 +117,18 @@ while i<n
hess_info.h1(i) = min(hess_info.h1(i),0.5*hmax(i));
hess_info.h1(i) = max(hess_info.h1(i),1.e-10);
xh1(i)=x(i)+hess_info.h1(i);
[fx,exit_flag,ffx]=penalty_objective_function(xh1,func,penalty,varargin{:});
[fx,~,ffx]=penalty_objective_function(xh1,func,penalty,varargin{:});
end
if abs(dx(it))>(3*hess_info.htol)
hess_info.h1(i)= hess_info.htol/abs(dx(it))*hess_info.h1(i);
hess_info.h1(i) = max(hess_info.h1(i),1e-10);
xh1(i)=x(i)+hess_info.h1(i);
[fx,exit_flag,ffx]=penalty_objective_function(xh1,func,penalty,varargin{:});
[fx,~,ffx]=penalty_objective_function(xh1,func,penalty,varargin{:});
iter=0;
while (fx-f0)==0 && iter<50
hess_info.h1(i)= hess_info.h1(i)*2;
xh1(i)=x(i)+hess_info.h1(i);
[fx,exit_flag,ffx]=penalty_objective_function(xh1,func,penalty,varargin{:});
[fx,~,ffx]=penalty_objective_function(xh1,func,penalty,varargin{:});
ic=1;
iter=iter+1;
end
@ -150,7 +150,7 @@ while i<n
end
end
xh1(i)=x(i)-hess_info.h1(i);
[fx,exit_flag,ffx]=penalty_objective_function(xh1,func,penalty,varargin{:});
[fx,~,ffx]=penalty_objective_function(xh1,func,penalty,varargin{:});
f_1(:,i)=fx;
if outer_product_gradient
if any(isnan(ffx)) || isempty(ffx)

17
matlab/optimization/newrat.m
View File

@ -81,8 +81,6 @@ if ischar(func0)
func0 = str2func(func0);
end
% func0 = str2func([func2str(func0),'_hh']);
% func0 = func0;
[fval0,exit_flag,gg,hh]=penalty_objective_function(x,func0,penalty,varargin{:});
if ~exit_flag
disp_verbose('Bad initial parameter.',Verbose)
@ -137,7 +135,6 @@ if Save_files
end
igrad=1;
igibbs=1;
inx=eye(nx);
jit=0;
if Save_files
@ -152,9 +149,9 @@ while norm(gg)>gtol && check==0 && jit<nit
penalty = fval0(icount);
disp_verbose([' '],Verbose)
disp_verbose(['Iteration ',num2str(icount)],Verbose)
[fval,x0,fc,retcode] = csminit1(func0,xparam1,penalty,fval0(icount),gg,0,H,Verbose,varargin{:});
[fval,x0] = csminit1(func0,xparam1,penalty,fval0(icount),gg,0,H,Verbose,varargin{:});
if igrad
[fval1,x01,fc,retcode1] = csminit1(func0,x0,penalty,fval,gg,0,inx,Verbose,varargin{:});
[fval1,x01] = csminit1(func0,x0,penalty,fval,gg,0,inx,Verbose,varargin{:});
if (fval-fval1)>1
disp_verbose('Gradient step!!',Verbose)
else
@ -174,7 +171,7 @@ while norm(gg)>gtol && check==0 && jit<nit
end
iggx=eye(length(gg));
iggx(ig_pos,ig_pos) = inv( hhx(ig_pos,ig_pos) );
[fvala,x0,fc,retcode] = csminit1(func0,x0,penalty,fval,ggx,0,iggx,Verbose,varargin{:});
[~,x0] = csminit1(func0,x0,penalty,fval,ggx,0,iggx,Verbose,varargin{:});
end
x0 = check_bounds(x0,bounds);
[fvala, x0, ig] = mr_gstep(h1,x0,bounds,func0,penalty,htol0,Verbose,Save_files,gradient_epsilon, parameter_names,varargin{:});
@ -187,7 +184,7 @@ while norm(gg)>gtol && check==0 && jit<nit
if (fval0(icount)-fval)<ftol && flagit==0
disp_verbose('Try diagonal Hessian',Verbose)
ihh=diag(1./(diag(hhg)));
[fval2,x0,fc,retcode2] = csminit1(func0,x0,penalty,fval,gg,0,ihh,Verbose,varargin{:});
[fval2,x0] = csminit1(func0,x0,penalty,fval,gg,0,ihh,Verbose,varargin{:});
x0 = check_bounds(x0,bounds);
if (fval-fval2)>=ftol
disp_verbose('Diagonal Hessian successful',Verbose)
@ -197,7 +194,7 @@ while norm(gg)>gtol && check==0 && jit<nit
if (fval0(icount)-fval)<ftol && flagit==0
disp_verbose('Try gradient direction',Verbose)
ihh0=inx.*1.e-4;
[fval3,x0,fc,retcode3] = csminit1(func0,x0,penalty,fval,gg,0,ihh0,Verbose,varargin{:});
[fval3,x0] = csminit1(func0,x0,penalty,fval,gg,0,ihh0,Verbose,varargin{:});
x0 = check_bounds(x0,bounds);
if (fval-fval3)>=ftol
disp_verbose('Gradient direction successful',Verbose)
@ -211,7 +208,7 @@ while norm(gg)>gtol && check==0 && jit<nit
disp_verbose('No further improvement is possible!',Verbose)
check=1;
if analytic_derivation
[fvalx,exit_flag,gg,hh]=penalty_objective_function(xparam1,func0,penalty,varargin{:});
[~,~,gg,hh]=penalty_objective_function(xparam1,func0,penalty,varargin{:});
hhg=hh;
H = inv(hh);
else
@ -285,7 +282,7 @@ while norm(gg)>gtol && check==0 && jit<nit
H = igg;
end
elseif analytic_derivation
[fvalx,exit_flag,gg,hh]=penalty_objective_function(xparam1,func0,penalty,varargin{:});
[~,~,gg,hh]=penalty_objective_function(xparam1,func0,penalty,varargin{:});
hhg=hh;
H = inv(hh);
end