Use new numgrad routines.
options_.gradient method = {12,22} two points formula.
options_.gradient method = {13,23} three points formula.
options_.gradient method = {15,25} four points formula.
Still need to decide what to do with (local) option zgrad.
time-shift
Stéphane Adjemian (Charybdis)
parent
4ce4242d0d
commit
d0d0b6ed52
|
|
@ -66,8 +66,8 @@ snit=100;
|
|||
[f0,junk1,junk2,cost_flag] = feval(fcn,x0,varargin{:});
|
||||
|
||||
if ~cost_flag
|
||||
disp('Bad initial parameter.')
|
||||
return
|
||||
disp('Bad initial parameter.')
|
||||
return
|
||||
end
|
||||
|
||||
if NumGrad
|
||||
|
|
@ -77,7 +77,15 @@ if NumGrad
|
|||
case 3
|
||||
[g,badg] = numgrad3(fcn, f0, x0, epsilon, varargin{:});
|
||||
case 5
|
||||
[g,badg] = numgrad5(fcn, f0, x0, epsilon, varargin{:});
|
||||
[g,badg] = numgrad5(fcn, f0, x0, epsilon, varargin{:});
|
||||
case {12, 22}
|
||||
[g,badg] = numgrad2_(fcn, f0, x0, epsilon, [], varargin{:});
|
||||
case {13, 23}
|
||||
[g,badg] = numgrad3_(fcn, f0, x0, epsilon, [], varargin{:});
|
||||
case {15, 25}
|
||||
[g,badg] = numgrad5_(fcn, f0, x0, epsilon, [], varargin{:});
|
||||
otherwise
|
||||
error('csminwel1: Unknown method for gradient evaluation!')
|
||||
end
|
||||
elseif ischar(grad)
|
||||
[g,badg] = feval(grad,x0,varargin{:});
|
||||
|
|
@ -93,7 +101,7 @@ cliff=0;
|
|||
while ~done
|
||||
% penalty for dsge_likelihood and DsgeVarLikelihood
|
||||
objective_function_penalty_base = f;
|
||||
|
||||
|
||||
g1=[]; g2=[]; g3=[];
|
||||
%addition fj. 7/6/94 for control
|
||||
disp('-----------------')
|
||||
|
|
@ -123,13 +131,27 @@ while ~done
|
|||
wall1=1; badg1=1;
|
||||
else
|
||||
if NumGrad
|
||||
switch method
|
||||
switch method
|
||||
case 2
|
||||
[g1 badg1] = numgrad2(fcn, f1, x1, epsilon, varargin{:});
|
||||
case 3
|
||||
[g1 badg1] = numgrad3(fcn, f1, x1, epsilon, varargin{:});
|
||||
case 5
|
||||
[g1,badg1] = numgrad5(fcn, f1, x1, epsilon, varargin{:});
|
||||
[g1,badg1] = numgrad5(fcn, f1, x1, epsilon, varargin{:});
|
||||
case 12
|
||||
[g1,badg1] = numgrad2_(fcn, f1, x1, epsilon, [], varargin{:});
|
||||
case 13
|
||||
[g1,badg1] = numgrad3_(fcn, f1, x1, epsilon, [], varargin{:});
|
||||
case 15
|
||||
[g1,badg1] = numgrad5_(fcn, f1, x1, epsilon, [], varargin{:});
|
||||
case 22
|
||||
[g1,badg1] = numgrad2_(fcn, f1, x1, epsilon, abs(diag(H)), varargin{:});
|
||||
case 23
|
||||
[g1,badg1] = numgrad3_(fcn, f1, x1, epsilon, abs(diag(H)), varargin{:});
|
||||
case 25
|
||||
[g1,badg1] = numgrad5_(fcn, f1, x1, epsilon, abs(diag(H)), varargin{:});
|
||||
otherwise
|
||||
error('csminwel1: Unknown method for gradient evaluation!')
|
||||
end
|
||||
elseif ischar(grad),
|
||||
[g1 badg1] = feval(grad,x1,varargin{:});
|
||||
|
|
@ -166,7 +188,21 @@ while ~done
|
|||
case 3
|
||||
[g2 badg2] = numgrad3(fcn, f2, x2, epsilon, varargin{:});
|
||||
case 5
|
||||
[g2,badg2] = numgrad5(fcn, f2, x2, epsilon, varargin{:});
|
||||
[g2,badg2] = numgrad5(fcn, f2, x2, epsilon, varargin{:});
|
||||
case 12
|
||||
[g2,badg2] = numgrad2_(fcn, f2, x2, epsilon, [], varargin{:});
|
||||
case 13
|
||||
[g2,badg2] = numgrad3_(fcn, f2, x2, epsilon, [], varargin{:});
|
||||
case 15
|
||||
[g2,badg2] = numgrad5_(fcn, f2, x2, epsilon, [], varargin{:});
|
||||
case 22
|
||||
[g2,badg2] = numgrad2_(fcn, f2, x2, epsilon, abs(diag(H)), varargin{:});
|
||||
case 23
|
||||
[g2,badg2] = numgrad3_(fcn, f2, x2, epsilon, abs(diag(H)), varargin{:});
|
||||
case 25
|
||||
[g2,badg2] = numgrad5_(fcn, f2, x2, epsilon, abs(diag(H)), varargin{:});
|
||||
otherwise
|
||||
error('csminwel1: Unknown method for gradient evaluation!')
|
||||
end
|
||||
elseif ischar(grad),
|
||||
[g2 badg2] = feval(grad,x2,varargin{:});
|
||||
|
|
@ -204,7 +240,21 @@ while ~done
|
|||
case 3
|
||||
[g3 badg3] = numgrad3(fcn, f3, x3, epsilon, varargin{:});
|
||||
case 5
|
||||
[g3,badg3] = numgrad5(fcn, f3, x3, epsilon, varargin{:});
|
||||
[g3,badg3] = numgrad5(fcn, f3, x3, epsilon, varargin{:});
|
||||
case 12
|
||||
[g3,badg3] = numgrad2_(fcn, f3, x3, epsilon, [], varargin{:});
|
||||
case 13
|
||||
[g3,badg3] = numgrad3_(fcn, f3, x3, epsilon, [], varargin{:});
|
||||
case 15
|
||||
[g3,badg3] = numgrad5_(fcn, f3, x3, epsilon, [], varargin{:});
|
||||
case 22
|
||||
[g3,badg3] = numgrad2_(fcn, f3, x3, epsilon, abs(diag(H)), varargin{:});
|
||||
case 23
|
||||
[g3,badg3] = numgrad3_(fcn, f3, x3, epsilon, abs(diag(H)), varargin{:});
|
||||
case 25
|
||||
[g3,badg3] = numgrad5_(fcn, f3, x3, epsilon, abs(diag(H)), varargin{:});
|
||||
otherwise
|
||||
error('csminwel1: Unknown method for gradient evaluation!')
|
||||
end
|
||||
elseif ischar(grad),
|
||||
[g3 badg3] = feval(grad,x3,varargin{:});
|
||||
|
|
@ -229,7 +279,7 @@ while ~done
|
|||
% normal iteration, no walls, or else we're finished here.
|
||||
f2=f; f3=f; badg2=1; badg3=1; retcode2=101; retcode3=101;
|
||||
end
|
||||
else
|
||||
else
|
||||
f2=f;f3=f;f1=f;retcode2=retcode1;retcode3=retcode1;
|
||||
end
|
||||
%how to pick gh and xh
|
||||
|
|
@ -272,6 +322,20 @@ while ~done
|
|||
[gh,badgh] = numgrad3(fcn, fh, xh, epsilon, varargin{:});
|
||||
case 5
|
||||
[gh,badgh] = numgrad5(fcn, fh, xh, epsilon, varargin{:});
|
||||
case 12
|
||||
[gh,badgh] = numgrad2_(fcn, fh, xh, epsilon, [], varargin{:});
|
||||
case 13
|
||||
[gh,badgh] = numgrad3_(fcn, fh, xh, epsilon, [], varargin{:});
|
||||
case 15
|
||||
[gh,badgh] = numgrad5_(fcn, fh, xh, epsilon, [], varargin{:});
|
||||
case 22
|
||||
[gh,badgh] = numgrad2_(fcn, fh, xh, epsilon, abs(diag(H)), varargin{:});
|
||||
case 23
|
||||
[gh,badgh] = numgrad3_(fcn, fh, xh, epsilon, abs(diag(H)), varargin{:});
|
||||
case 25
|
||||
[gh,badgh] = numgrad5_(fcn, fh, xh, epsilon, abs(diag(H)), varargin{:});
|
||||
otherwise
|
||||
error('csminwel1: Unknown method for gradient evaluation!')
|
||||
end
|
||||
elseif ischar(grad),
|
||||
[gh badgh] = feval(grad, xh,varargin{:});
|
||||
|
|
|
|||
Loading…
Reference in New Issue