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Merge branch 'solve_opt' of git.dynare.org:JohannesPfeifer/dynare

time-shift
Sébastien Villemot 2021-01-22 18:33:12 +01:00
parent 565d61aad3 a89f21b53d
commit dfa6359dd3
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GPG Key ID: 2CECE9350ECEBE4A
1 changed files with 26 additions and 19 deletions
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45
matlab/optimization/solvopt.m
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@ -14,9 +14,8 @@ function [x,f,exitflag,n_f_evals,n_grad_evals,n_constraint_evals,n_constraint_gr
% fun name of an M-file (M-function) which computes the value
% of the objective function <fun> at a point x,
% synopsis: f=fun(x)
% grad name of an M-file (M-function) which computes the gradient
% grad indicator whether objective function provides the gradient
% vector of the function <fun> at a point x,
% synopsis: g=grad(x)
% func name of an M-file (M-function) which computes the MAXIMAL
% RESIDUAL(!) for a set of constraints at a point x,
% synopsis: fc=func(x)
@ -126,7 +125,7 @@ if nargin<2 % Function and/or starting point are not specified
end
if nargin<3
app=1; % No user-supplied gradients
elseif isempty(grad)
elseif isempty(grad) || grad==0
app=1;
else
app=0; % Exact gradients are supplied
@ -271,9 +270,19 @@ stopf=0;
% COMPUTE THE FUNCTION ( FIRST TIME ) ----{
if trx
f=feval(fun,x',varargin{:});
if app
f=feval(fun,x',varargin{:});
else
[f,g]=feval(fun,x',varargin{:});
n_grad_evals=n_grad_evals+1;
end
else
f=feval(fun,x,varargin{:});
if app
f=feval(fun,x,varargin{:});
else
[f,g]=feval(fun,x,varargin{:});
n_grad_evals=n_grad_evals+1;
end
end
n_f_evals=n_f_evals+1;
if isempty(f)
@ -378,12 +387,7 @@ if app
end
n_f_evals=n_f_evals+n;
else
if trx
g=feval(grad,x',varargin{:});
else
g=feval(grad,x,varargin{:});
end
n_grad_evals=n_grad_evals+1;
%done above
end
if size(g,2)==1, g=g'; end
ng=norm(g);
@ -674,6 +678,9 @@ while 1
end
if ksm || kc>=mxtc
exitflag=-3;
% don't return with NaN or Inf despite error code
x=x1;
f=f1;
if trx
x=x';
end
@ -786,10 +793,10 @@ while 1
end
n_f_evals=n_f_evals+n;
else
if trx
g=feval(grad,x',varargin{:});
if trx
[~,g]=feval(fun,x',varargin{:});
else
g=feval(grad,x,varargin{:});
[~,g]=feval(fun,x,varargin{:});
end
n_grad_evals=n_grad_evals+1;
end
@ -1084,7 +1091,7 @@ while 1
elseif isnan(f)
if dispwarn
disp(errmes)
disp(error32)
disp(error31)
end
exitflag=-3;
if trx
@ -1105,9 +1112,9 @@ while 1
n_f_evals=n_f_evals+n;
else
if trx
g=feval(grad,x',varargin{:});
[~,g]=feval(fun,x',varargin{:});
else
g=feval(grad,x,varargin{:});
[~,g]=feval(fun,x,varargin{:});
end
n_grad_evals=n_grad_evals+1;
end
@ -1210,9 +1217,9 @@ while 1
n_f_evals=n_f_evals+n;
else
if trx
gt=feval(grad,x1',varargin{:});
[~,gt]=feval(fun,x1',varargin{:});
else
gt=feval(grad,x1,varargin{:});
[~,gt]=feval(fun,x1,varargin{:});
end
n_grad_evals=n_grad_evals+1;
end