Johannes Pfeifer
552a9b5230
Fix bugs previously introduces in dynare_estimation_1.m related to penalty function
2016-06-15 00:30:28 +02:00
Johannes Pfeifer
2446ab02ba
Transform persistent variables of newrat.m into function arguments
2016-06-15 00:30:28 +02:00
Johannes Pfeifer
0c00e28799
Remove objective_function_penalty_base
2016-06-15 00:30:28 +02:00
Johannes Pfeifer
0edd8e2025
Add penalty_hessian.m and penalty_objective_function.m
2016-06-15 00:30:28 +02:00
Johannes Pfeifer
676182f550
Cosmetic fix to dynare_minimize_objective.m
2016-05-22 11:41:54 +02:00
Houtan Bastani
bebcfffe04
fix license, file copyright errors
2016-05-04 16:30:16 +02:00
Johannes Pfeifer
0eba93dd71
Add missing input argument in newrat.m to prevent crashes
2015-11-28 14:06:10 +01:00
Marco Ratto
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
Johannes Pfeifer
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
Johannes Pfeifer
e3e34e1c7d
Reduce default accuracy criterion in cmaes.m
2015-10-11 18:50:05 +02:00
Johannes Pfeifer
df47be4076
Properly set bounds and H0 for CMAES
2015-10-11 18:21:25 +02:00
Michel Juillard
6502c311a0
replaced global timer by local timer
2015-10-10 14:33:30 +02:00
Michel Juillard
f7f158f078
Revert "removed global objective_function_penalty_base"
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This reverts commit 5ade8d7c6f
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2015-10-09 14:23:32 +02:00
Michel Juillard
818fa47375
Revert "adding new functions for penalty optimization"
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This reverts commit b9e535e99e
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2015-10-09 14:23:31 +02:00
Michel Juillard
295eed6118
Revert "adapted dsge-var code for new handling of penalties"
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This reverts commit 3966296aca
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2015-10-09 14:23:31 +02:00
Michel Juillard
f464760c45
Revert "remove global objective_function_penalty_base"
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This reverts commit cf858c7fcb
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2015-10-09 14:23:31 +02:00
Michel Juillard
035adeb89e
Revert "More fixing related to objective_function_penalty_base"
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This reverts commit 1ad8df4635
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2015-10-09 14:23:31 +02:00
Michel Juillard
1a9aa17c9e
Revert "More fixings around objective_function"
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This reverts commit 05cd51111c
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2015-10-09 14:23:31 +02:00
Michel Juillard
063a548bd3
Revert "changed persitent variables into local ones in mr_hessian.m"
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This reverts commit fe077fc710
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2015-10-09 14:23:31 +02:00
Michel Juillard
bc37c838c7
Revert "more fixes for penalty objective function"
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This reverts commit 3dac7f8809
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2015-10-09 14:23:31 +02:00
Michel Juillard
a7a3bbef89
Revert "reset newratflag = 0 in dynare_minimize_objective"
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This reverts commit d4cf3576e4
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2015-10-09 14:23:31 +02:00
Michel Juillard
7202c497de
Revert "removed initialization of mr_hessian()"
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This reverts commit f48a026d89
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2015-10-09 14:23:31 +02:00
Michel Juillard
f48a026d89
removed initialization of mr_hessian()
2015-10-08 20:57:00 +02:00
Michel Juillard
d4cf3576e4
reset newratflag = 0 in dynare_minimize_objective
2015-10-08 20:57:00 +02:00
Michel Juillard
3dac7f8809
more fixes for penalty objective function
2015-10-08 20:57:00 +02:00
Michel Juillard
fe077fc710
changed persitent variables into local ones in mr_hessian.m
2015-10-08 20:57:00 +02:00
Michel Juillard
05cd51111c
More fixings around objective_function
2015-10-08 20:57:00 +02:00
Michel Juillard
1ad8df4635
More fixing related to objective_function_penalty_base
2015-10-08 20:57:00 +02:00
Michel Juillard
cf858c7fcb
remove global objective_function_penalty_base
2015-10-08 20:57:00 +02:00
Michel Juillard
3966296aca
adapted dsge-var code for new handling of penalties
2015-10-08 20:57:00 +02:00
Michel Juillard
b9e535e99e
adding new functions for penalty optimization
2015-10-08 20:57:00 +02:00
Michel Juillard
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
Stéphane Adjemian (Charybdis)
489bffdfd8
Fixed option names for mode_compute=6.
2015-10-06 11:34:56 +02:00
Johannes Pfeifer
3bf13dd53b
Add functionality for TaRB
2015-06-08 16:44:44 +02:00
Johannes Pfeifer
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
Stéphane Adjemian (Hermes)
b53578dc80
Completed description of minimizer_algorithm input argument.
2015-06-01 16:42:02 +02:00
Johannes Pfeifer
05635a4546
Change dynare_minimize_objective.m to use the correct field when selecting user-defined optimizer.
2015-06-01 16:42:02 +02:00
Johannes Pfeifer
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
Stéphane Adjemian (Hermes)
f960e7bb68
Merged branch simpsa-inf-fix.
2015-05-07 16:01:43 +02:00
Stéphane Adjemian (Hermes)
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
Stéphane Adjemian
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
Johannes Pfeifer
9408319e48
Cosmetic changes related to solvopt.m
2015-04-24 12:31:27 +02:00
Johannes Pfeifer
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
Johannes Pfeifer
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
Johannes Pfeifer
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
Johannes Pfeifer
b629d3ca19
Cosmetic changes to csminwel routines
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Mostly adds documentation
2015-04-17 07:05:00 +02:00
Johannes Pfeifer
84f0060cbd
Fix bug where inverse Hessian from csminwel1.m was taken as Hessian
2015-04-17 07:05:00 +02:00
Stéphane Adjemian (Charybdis)
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
Johannes Pfeifer
49d4643481
Fix copy and paste typo in gmhmaxlik.m
2015-04-06 12:04:11 +02:00
Johannes Pfeifer
d1a80acb44
Replace non-available simulated annealing by Matlab's routine
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Closes #814
2015-04-06 11:28:32 +02:00