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Add CMAES (Ticket #245) for mode optimization

time-shift
Johannes Pfeifer 2012-03-03 15:30:55 +01:00 committed by Stéphane Adjemian (Charybdis)
parent bad8746e77
commit ce40f0ebfc
3 changed files with 3076 additions and 1 deletions
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3
doc/dynare.texi
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@ -3888,6 +3888,9 @@ Uses Dynare implementation of the Nelder-Mead simplex based optimization
routine (generally more efficient than the MATLAB or Octave implementation
available with @code{mode_compute=7})
@item 9
Uses the CMA-ES (Covariance Matrix Adaptation Evolution Strategy) algorithm, an evolutionary algorithm for difficult non-linear non-convex optimization
@item @var{FUNCTION_NAME}
It is also possible to give a @var{FUNCTION_NAME} to this option,
instead of an @var{INTEGER}. In that case, Dynare takes the return

3055
matlab/cmaes.m Normal file
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19
matlab/dynare_estimation_1.m
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@ -268,7 +268,24 @@ if ~isequal(options_.mode_compute,0) && ~options_.mh_posterior_mode_estimation
case 8
% Dynare implementation of the simplex algorithm.
[xparam1,fval,exitflag] = simplex_optimization-routine(objective_function,xparam1,optim_options,dataset_,options_,M_,estim_params_,bayestopt_,oo_);
case 101
case 9
H0 = 1e-4*ones(nx,1);
opts.SaveVariables='off';
opts.DispFinal='on';
opts.WarnOnEqualFunctionValues='no';
opts.DispModulo='10';
opts.LogModulo='0';
opts.LogTime='0';
warning('off','CMAES:NonfinitenessRange');
warning('off','CMAES:InitialSigma');
if ~options_.dsge_var
[x, fval, COUNTEVAL, STOPFLAG, OUT, BESTEVER] = cmaes('dsge_likelihood',xparam1,H0,opts,dataset_,options_,M_,estim_params_,bayestopt_,oo_);
else
[x, fval, COUNTEVAL, STOPFLAG, OUT, BESTEVER] = cmaes('DsgeVarLikelihood',xparam1,H0,opts,dataset_,options_,M_,estim_params_,bayestopt_,oo_);
end
xparam1=BESTEVER.x;
disp(sprintf('\n Objective function at mode: %f',fval))
case 101
myoptions=soptions;
myoptions(2)=1e-6; %accuracy of argument
myoptions(3)=1e-6; %accuracy of function (see Solvopt p.29)