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refined the search of x increments for gradients when the parameters are near to boundaries. 

git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@2307 ac1d8469-bf42-47a9-8791-bf33cf982152
time-shift
ratto 2008-12-12 07:40:28 +00:00
parent 697edeb109
commit ee21ad44b8
1 changed files with 6 additions and 1 deletions
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7
matlab/mr_hessian.m
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@ -35,12 +35,16 @@ func = str2func(func);
[f0, ff0]=feval(func,x,varargin{:});
n=size(x,1);
h2=bayestopt_.ub-bayestopt_.lb;
hmax=bayestopt_.ub-x;
hmax=min(hmax,x-bayestopt_.lb);
%h1=max(abs(x),gstep_*ones(n,1))*eps^(1/3);
%h1=max(abs(x),sqrt(gstep_)*ones(n,1))*eps^(1/6);
if isempty(h1),
h1=max(abs(x),sqrt(gstep_)*ones(n,1))*eps^(1/4);
end
h1 = min(h1,0.5.*hmax);
if htol0<htol,
htol=htol0;
end
@ -88,6 +92,7 @@ while i<n,
else
h1(i)=2.1*h1(i);
end
h1(i) = min(h1(i),0.5*hmax(i));
xh1(i)=x(i)+h1(i);
% c=mr_nlincon(xh1,varargin{:});
% while c
@ -112,7 +117,7 @@ while i<n,
it=it+1;
dx(it)=(fx-f0);
h0(it)=h1(i);
if h1(i)<1.e-12*min(1,h2(i)),
if h1(i)<1.e-12*min(1,h2(i)) & h1(i)<0.5*hmax(i),
ic=1;
hcheck=1;
end