stepan
/
dynare
1
0
Fork 0
Code Issues Pull Requests Packages Projects Releases Wiki Activity

Properly set bounds and H0 for CMAES

time-shift
Johannes Pfeifer 2015-10-11 18:21:25 +02:00
parent 866ab33575
commit df47be4076
1 changed files with 4 additions and 1 deletions
Show Stats Download Patch File Download Diff File Expand all files Collapse all files

5
matlab/optimization/dynare_minimize_objective.m
View File

@ -302,8 +302,11 @@ switch minimizer_algorithm
[opt_par_values,fval,exitflag] = simplex_optimization_routine(objective_function,start_par_value,simplexOptions,parameter_names,varargin{:});
case 9
% Set defaults
H0 = 1e-4*ones(n_params,1);
H0 = (bounds(:,2)-bounds(:,1))*0.2;
H0(~isfinite(H0)) = 0.01;
cmaesOptions = options_.cmaes;
cmaesOptions.LBounds = bounds(:,1);
cmaesOptions.UBounds = bounds(:,2);
% Modify defaults
if ~isempty(options_.optim_opt)
options_list = read_key_value_string(options_.optim_opt);