Fixes to mode_compute=5. (1) force univariate steps at every iteration: improve robustness at the expenses of a bit less efficiency; (2) fix gradient computation for special cases when the value of the parameters get stacked at the prior boundary.
parent
a26d32b7fa
commit
e5854cb201
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@ -101,6 +101,7 @@ while i<n
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h1(i)=2.1*h1(i);
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end
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h1(i) = min(h1(i),0.5*hmax(i));
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h1(i) = max(h1(i),1.e-10);
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xh1(i)=x(i)+h1(i);
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try
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[fx, ffx]=feval(func,xh1,DynareDataset,DynareOptions,Model,EstimatedParameters,BayesInfo,DynareResults);
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@ -122,7 +122,7 @@ while norm(gg)>gtol && check==0 && jit<nit
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fval=fval1;
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x0=x01;
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end
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if icount==1 || (icount>1 && (fval0(icount-1)-fval0(icount))>1) || ((fval0(icount)-fval)<1.e-2*(gg'*(H*gg))/2 && igibbs),
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% if icount==1 || (icount>1 && (fval0(icount-1)-fval0(icount))>1) || ((fval0(icount)-fval)<1.e-2*(gg'*(H*gg))/2 && igibbs),
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if length(find(ig))<nx
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ggx=ggx*0;
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ggx(find(ig))=gg(find(ig));
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@ -139,7 +139,7 @@ while norm(gg)>gtol && check==0 && jit<nit
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nig=[nig ig];
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disp('Sequence of univariate steps!!')
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fval=fvala;
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end
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% end
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if (fval0(icount)-fval)<ftol && flagit==0
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disp('Try diagonal Hessian')
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ihh=diag(1./(diag(hhg)));
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