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dynare_minimize_objective.m: restore octave compatibility

time-shift
Johannes Pfeifer 2021-01-27 14:56:24 +01:00
parent 8f47b276a0
commit ce3e441205
1 changed files with 63 additions and 14 deletions
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77
matlab/optimization/dynare_minimize_objective.m
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@ -70,21 +70,37 @@ switch minimizer_algorithm
error('Optimization algorithm 1 requires the Optimization Toolbox')
end
% Set default optimization options for fmincon.
optim_options = optimoptions('fmincon','display','iter', 'MaxFunEvals',100000, 'TolFun',1e-8, 'TolX',1e-6);
if ~isoctave
optim_options = optimoptions('fmincon','display','iter', 'MaxFunEvals',100000, 'TolFun',1e-8, 'TolX',1e-6);
else
optim_options = optimset('display','iter', 'MaxFunEvals',100000, 'TolFun',1e-8, 'TolX',1e-6);
end
if isoctave
% Under Octave, use the active-set (i.e. octave_sqp of nonlin_min)
% algorithm. On a simple example (fs2000.mod), the default algorithm
% is not able to even move away from the initial point.
optim_options = optimoptions(optim_options, 'Algorithm','active-set');
optim_options = optimset(optim_options, 'Algorithm','active-set');
end
if options_.analytic_derivation || (isfield(options_,'mom') && options_.mom.analytic_jacobian==1)
optim_options = optimoptions(optim_options,'GradObj','on','TolX',1e-7); %alter default TolX
if ~isoctave
optim_options = optimoptions(optim_options,'GradObj','on','TolX',1e-7); %alter default TolX
else
optim_options = optimset('GradObj','on','TolX',1e-7);
end
end
if ~isempty(options_.optim_opt)
eval(['optim_options = optimoptions(optim_options,' options_.optim_opt ');']);
if ~isoctave
eval(['optim_options = optimoptions(optim_options,' options_.optim_opt ');']);
else
eval(['optim_options = optimset(optim_options,' options_.optim_opt ');']);
end
end
if options_.silent_optimizer
optim_options = optimoptions(optim_options,'display','off');
if ~isoctave
optim_options = optimoptions(optim_options,'display','off');
else
optim_options = optimset(optim_options,'display','off');
end
end
if options_.analytic_derivation || (isfield(options_,'mom') && options_.mom.analytic_jacobian==1) %use wrapper
func = @(x) analytic_gradient_wrapper(x,objective_function,varargin{:});
@ -168,19 +184,32 @@ switch minimizer_algorithm
error('Optimization algorithm 3 requires the Optimization Toolbox')
end
% Set default optimization options for fminunc.
optim_options = optimoptions('fminunc','display','iter','MaxFunEvals',100000,'TolFun',1e-8,'TolX',1e-6);
if ~isoctave
optim_options = optimoptions('fminunc','display','iter','MaxFunEvals',100000,'TolFun',1e-8,'TolX',1e-6);
else
optim_options = optimset('display','iter','MaxFunEvals',100000,'TolFun',1e-8,'TolX',1e-6);
end
if ~isempty(options_.optim_opt)
eval(['optim_options = optimoptions(optim_options,' options_.optim_opt ');']);
if ~isoctave
eval(['optim_options = optimoptions(optim_options,' options_.optim_opt ');']);
else
eval(['optim_options = optimset(optim_options,' options_.optim_opt ');']);
end
end
if options_.silent_optimizer
optim_options = optimoptions(optim_options,'display','off');
if ~isoctave
optim_options = optimoptions(optim_options,'display','off');
else
optim_options = optimset(optim_options,'display','off');
end
end
if options_.analytic_derivation || (isfield(options_,'mom') && options_.mom.analytic_jacobian==1)
optim_options = optimoptions(optim_options,'GradObj','on');
if ~isoctave
optim_options = optimoptions(optim_options,'GradObj','on');
func = @(x) analytic_gradient_wrapper(x,objective_function,varargin{:});
[opt_par_values,fval,exitflag] = fminunc(func,start_par_value,optim_options);
else
optim_options = optimset(optim_options,'display','off');
% Under Octave, use a wrapper, since fminunc() does not have a 4th arg
func = @(x) analytic_gradient_wrapper(x,objective_function,varargin{:});
[opt_par_values,fval,exitflag] = fminunc(func,start_par_value,optim_options);
@ -507,9 +536,17 @@ switch minimizer_algorithm
elseif ~isoctave && ~user_has_matlab_license('optimization_toolbox')
error('Option mode_compute=13 requires the Optimization Toolbox')
end
optim_options = optimoptions('lsqnonlin','display','iter','MaxFunEvals',5000,'MaxIter',5000,'TolFun',1e-6,'TolX',1e-6);
if ~isoctave
optim_options = optimoptions('lsqnonlin','display','iter','MaxFunEvals',5000,'MaxIter',5000,'TolFun',1e-6,'TolX',1e-6);
else
optim_options = optimset('display','iter','MaxFunEvals',5000,'MaxIter',5000,'TolFun',1e-6,'TolX',1e-6);
end
if ~isempty(options_.optim_opt)
eval(['optim_options = optimoptions(optim_options,' options_.optim_opt ');']);
if ~isoctave
eval(['optim_options = optimoptions(optim_options,' options_.optim_opt ');']);
else
eval(['optim_options = optimset(optim_options,' options_.optim_opt ');']);
end
end
if options_.silent_optimizer
optim_options.Display='off';
@ -567,12 +604,24 @@ switch minimizer_algorithm
error('Optimization algorithm 2 requires the Global Optimization Toolbox')
end
% Set default optimization options for simulannealbnd.
optim_options = optimoptions('simulannealbnd','display','iter','TolFun',1e-8);
if ~isoctave
optim_options = optimoptions('simulannealbnd','display','iter','TolFun',1e-8);
else
optim_options = saoptimset('display','iter','TolFun',1e-8);
end
if ~isempty(options_.optim_opt)
eval(['optim_options = optimoptions(optim_options,' options_.optim_opt ');']);
if ~isoctave
eval(['optim_options = optimoptions(optim_options,' options_.optim_opt ');']);
else
eval(['optim_options = saoptimset(optim_options,' options_.optim_opt ');']);
end
end
if options_.silent_optimizer
optim_options = optimoptions(optim_options,'display','off');
if ~isoctave
optim_options = optimoptions(optim_options,'display','off');
else
optim_options = saoptimset(optim_options,'display','off');
end
end
func = @(x)objective_function(x,varargin{:});
[opt_par_values,fval,exitflag,output] = simulannealbnd(func,start_par_value,bounds(:,1),bounds(:,2),optim_options);