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Changed logic in numgrad3 and numgrad5 (same as for numgrad2) + Cosmetic and efficiency changes.

time-shift
Stéphane Adjemian (Charybdis) 2013-09-20 23:06:00 +02:00
parent 4c9153650f
commit cdc7e6b945
2 changed files with 34 additions and 77 deletions
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42
matlab/numgrad3.m
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@ -28,41 +28,25 @@ function [g, badg, f0, f1, f2] = numgrad3(fcn,f0,x,epsilon,varargin)
% You should have received a copy of the GNU General Public License
% along with Dynare. If not, see <http://www.gnu.org/licenses/>.
f1 = NaN;
f2 = NaN;
delta = epsilon;
n=length(x);
tvec=delta*eye(n);
g=zeros(n,1);
h = epsilon;
n = length(x);
g = zeros(n,1);
H = 2*h;
badg=0;
goog=1;
scale=1;
for i=1:n
if size(x,1)>size(x,2)
tvecv=tvec(i,:);
else
tvecv=tvec(:,i);
end
[f1,junk1,junk2,cost_flag1] = feval(fcn, x+scale*transpose(tvecv), varargin{:});
[f2,junk1,junk2,cost_flag2] = feval(fcn, x-scale*transpose(tvecv), varargin{:});
if cost_flag1 && cost_flag2
g0 = (f1 - f2) / (2*scale*delta);
else
if cost_flag1
g0 = (f1-f0) / (scale*delta);
elseif cost_flag2
g0 = (f0-f2) / (scale*delta);
else
goog=0;
end
end
if goog && abs(g0)< 1e15
xiold = x(i);
x(i) = xiold+h;
f1 = feval(fcn, x, varargin{:});
x(i) = xiold-h;
f2 = feval(fcn, x, varargin{:});
g0 = (f1-f2)/H;
if abs(g0)< 1e15
g(i)=g0;
else
disp('bad gradient ------------------------')
g(i)=0;
badg=1;
end
x(i) = xiold;
end

69
matlab/numgrad5.m
View File

@ -14,7 +14,7 @@ function [g, badg, f0, f1, f2, f3, f4] = numgrad5(fcn,f0,x,epsilon,varargin)
% Copyright (C) 1993-2007 Christopher Sims
% Copyright (C) 2008-2012 Dynare Team
%
% This file is part of Dynare.
%
% Dynare is free software: you can redistribute it and/or modify
@ -30,56 +30,29 @@ function [g, badg, f0, f1, f2, f3, f4] = numgrad5(fcn,f0,x,epsilon,varargin)
% You should have received a copy of the GNU General Public License
% along with Dynare. If not, see <http://www.gnu.org/licenses/>.
f1 = NaN;
f2 = NaN;
f3 = NaN;
f4 = NaN;
h = epsilon;
n = length(x);
g = zeros(n,1);
H = 12*h;
delta = epsilon;
n=length(x);
tvec=delta*eye(n);
g=zeros(n,1);
badg=0;
goog=1;
scale=1;
badg = 0;
for i=1:n
if size(x,1)>size(x,2)
tvecv=tvec(i,:);
xiold = x(i);
x(i) = xiold+h;
f1 = feval(fcn, x, varargin{:});
x(i) = xiold-h;
f2 = feval(fcn, x, varargin{:});
x(i) = xiold+2*h;
f3 = feval(fcn, x, varargin{:});
x(i) = xiold-2*h;
f4 = feval(fcn, x, varargin{:});
g0 = (8*(f1-f2)+f4-f3)/H;
if abs(g0)< 1e15
g(i) = g0;
else
tvecv=tvec(:,i);
end
[f1,junk1,junk2,cost_flag1] = feval(fcn, x+scale*transpose(tvecv), varargin{:});
[f2,junk1,junk2,cost_flag2] = feval(fcn, x-scale*transpose(tvecv), varargin{:});
if cost_flag1==0 || cost_flag2==0
cost_flag3 = 0;
cost_flag4 = 0;
disp('numgrad:: I cannot use the five points formula!!')
else
[f3,junk1,junk2,cost_flag3] = feval(fcn, x+2*scale*transpose(tvecv), varargin{:});
[f4,junk1,junk2,cost_flag4] = feval(fcn, x-2*scale*transpose(tvecv), varargin{:});
end
if cost_flag1 && cost_flag2 && cost_flag3 && cost_flag4% Five Points formula
g0 = (8*(f1 - f2)+ f4-f3) / (12*scale*delta);
elseif cost_flag3==0 || cost_flag4==0
if cost_flag1 && cost_flag2% Three points formula
g0 = (f1-f2)/(2*scale*delta);
else
if cost_flag1% Two points formula
g0 = (f1-f0) / (scale*delta);
elseif cost_flag2% Two points formula
g0 = (f0-f2) / (scale*delta);
else% Bad gradient!
goog=0;
end
end
end
if goog && abs(g0)< 1e15
g(i)=g0;
else
disp('bad gradient ------------------------')
g(i)=0;
badg=1;
g(i) = 0;
badg = 1;
end
x(i) = xiold;
end