0eba93dd71
Add missing input argument in newrat.m to prevent crashes
2015-11-28 14:06:10 +01:00
2d59920a70
- systematically check bounds for each parameter during optimization
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- make htol adaptive to each parameter to speed up computations
2015-10-13 11:07:01 +02:00
fd9f2db79d
Allow resuming previous run of CMAES
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Also enables saving of intermediate results, consistent with the manual.
2015-10-11 19:13:48 +02:00
e3e34e1c7d
Reduce default accuracy criterion in cmaes.m
2015-10-11 18:50:05 +02:00
df47be4076
Properly set bounds and H0 for CMAES
2015-10-11 18:21:25 +02:00
6502c311a0
replaced global timer by local timer
2015-10-10 14:33:30 +02:00
f7f158f078
Revert "removed global objective_function_penalty_base"
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This reverts commit 5ade8d7c6f
2015-10-09 14:23:32 +02:00
818fa47375
Revert "adding new functions for penalty optimization"
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This reverts commit b9e535e99e
2015-10-09 14:23:31 +02:00
295eed6118
Revert "adapted dsge-var code for new handling of penalties"
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This reverts commit 3966296aca
2015-10-09 14:23:31 +02:00
f464760c45
Revert "remove global objective_function_penalty_base"
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This reverts commit cf858c7fcb
2015-10-09 14:23:31 +02:00
035adeb89e
Revert "More fixing related to objective_function_penalty_base"
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This reverts commit 1ad8df4635
2015-10-09 14:23:31 +02:00
1a9aa17c9e
Revert "More fixings around objective_function"
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This reverts commit 05cd51111c
2015-10-09 14:23:31 +02:00
063a548bd3
Revert "changed persitent variables into local ones in mr_hessian.m"
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This reverts commit fe077fc710
2015-10-09 14:23:31 +02:00
bc37c838c7
Revert "more fixes for penalty objective function"
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This reverts commit 3dac7f8809
2015-10-09 14:23:31 +02:00
a7a3bbef89
Revert "reset newratflag = 0 in dynare_minimize_objective"
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This reverts commit d4cf3576e4
2015-10-09 14:23:31 +02:00
7202c497de
Revert "removed initialization of mr_hessian()"
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This reverts commit f48a026d89
2015-10-09 14:23:31 +02:00
f48a026d89
removed initialization of mr_hessian()
2015-10-08 20:57:00 +02:00
d4cf3576e4
reset newratflag = 0 in dynare_minimize_objective
2015-10-08 20:57:00 +02:00
3dac7f8809
more fixes for penalty objective function
2015-10-08 20:57:00 +02:00
fe077fc710
changed persitent variables into local ones in mr_hessian.m
2015-10-08 20:57:00 +02:00
05cd51111c
More fixings around objective_function
2015-10-08 20:57:00 +02:00
1ad8df4635
More fixing related to objective_function_penalty_base
2015-10-08 20:57:00 +02:00
cf858c7fcb
remove global objective_function_penalty_base
2015-10-08 20:57:00 +02:00
3966296aca
adapted dsge-var code for new handling of penalties
2015-10-08 20:57:00 +02:00
b9e535e99e
adding new functions for penalty optimization
2015-10-08 20:57:00 +02:00
5ade8d7c6f
removed global objective_function_penalty_base
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added penalty_objective_function.m and penalty_hessian.m
2015-10-08 20:57:00 +02:00
489bffdfd8
Fixed option names for mode_compute=6.
2015-10-06 11:34:56 +02:00
3bf13dd53b
Add functionality for TaRB
2015-06-08 16:44:44 +02:00
0769fd1cce
Add verbosity and SaveFile options to some optimizers
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Also moves additional optimizer-related files to corresponding subfolder
Closes #894
2015-06-08 16:44:44 +02:00
b53578dc80
Completed description of minimizer_algorithm input argument.
2015-06-01 16:42:02 +02:00
05635a4546
Change dynare_minimize_objective.m to use the correct field when selecting user-defined optimizer.
2015-06-01 16:42:02 +02:00
cb1fc3ec3c
Lift unnecessary restriction of not allowing simpsa with infinite bounds
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Introduction of options_.huge_number makes this redundant
2015-05-13 20:33:14 +02:00
f960e7bb68
Merged branch simpsa-inf-fix.
2015-05-07 16:01:43 +02:00
6d0dfc2d3f
Do not use hard coded value for the finite interval replacing unbounded intervals in simpsa and simulated annealing algorithms.
2015-05-07 15:59:46 +02:00
f26cec2430
Merge pull request #904 from JohannesPfeifer/mode_compute7_octave
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Fix compatibility of mode_compute=7
2015-05-07 15:16:15 +02:00
9408319e48
Cosmetic changes related to solvopt.m
2015-04-24 12:31:27 +02:00
8eaa645800
Fix compatibility of mode_compute=7
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Uses wrapper as for mode_compute=3 to restore to conform to Octave syntax
2015-04-22 11:08:32 +02:00
c6c5cd8ce8
Allow Inf bounds in simpsa by replacing them with big finite number
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Closes #585
2015-04-21 16:26:46 +02:00
bc6cf0345f
Clean up csminwel1.m
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Adds documentation and puts calling of numerical gradient to nested function as previously suggested in comment at the bottom of file
2015-04-17 07:05:01 +02:00
b629d3ca19
Cosmetic changes to csminwel routines
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Mostly adds documentation
2015-04-17 07:05:00 +02:00
84f0060cbd
Fix bug where inverse Hessian from csminwel1.m was taken as Hessian
2015-04-17 07:05:00 +02:00
f0770186ca
Exhanged mode_compute=2 and mode_compute=102.
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These options are for the simulated annealing algorithm, the Mathworks' global optimization
toolbox is mandatory for mode_compute=102. The first option relies on a
free implementation (works also with Octave).
2015-04-15 12:42:08 +02:00
49d4643481
Fix copy and paste typo in gmhmaxlik.m
2015-04-06 12:04:11 +02:00
d1a80acb44
Replace non-available simulated annealing by Matlab's routine
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Closes #814
2015-04-06 11:28:32 +02:00
39ed3eb3f0
Fix bugs related to allowing mode_compute to be a string
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Crashes otherwise
2015-04-06 11:24:42 +02:00
a81c9da9a2
Add simulated_annealing.m to optimizers
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Restores compatibility of mode_compute=102
2015-04-06 11:08:20 +02:00
405b1f7368
Add solvopt.m to Dynare optimizers
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Restores compatibility of mode_compute=101
2015-04-06 11:05:12 +02:00
214dc74723
- Fixed bugs around analytic derivation.
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- Fixed test routine, eliminating diffuse filter.
- Trapped incompatibility of diffuse filter with analytic derivation.
2015-04-01 09:00:51 +02:00
c881cfff17
Fixed issues related to newratflag.
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This options relates to alternative numerical hessian computations:
optim=('Hessian',1) is the default dynare numeric Hessian
optim=('Hessian',0) is the outer product gradient
optim=('Hessian',2) is the 'mixed' outer product gradient, where diagonal elements using second order derivation formula,
Both 0 and 2 cases require univariate filters, to ensure using maximum number of individual densities.
2015-03-12 17:24:21 +01:00
392486273e
Fixed bug (options_.optim_opt is now initialized as an empty array).
2015-02-26 08:43:30 +01:00
Johannes Pfeifer
Marco Ratto
Michel Juillard
Stéphane Adjemian (Charybdis)