e5317b17de
Cosmetic change.
2018-10-06 17:52:58 +02:00
108854a484
Bug fix. verbosity option was not honoured in simplex algorithm (8).
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Thanks to Reuben for reporting.
2018-10-06 17:50:37 +02:00
7421e6b5b2
Fixed copyright header.
2018-07-19 15:36:02 +02:00
44c49eaef8
Improved iterations display of Dynare's simplex routine.
2018-07-19 15:15:05 +02:00
2d321cb0e3
Increased default number of iterations in simplex.
2018-07-19 15:15:05 +02:00
97229177b4
simplex_optimization_routine.m: account for penalty indicator being third output, not fourth one
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Caused occasional crashes
2018-07-19 09:25:27 +02:00
7cbac0c989
Fix user_has_octave_forge_package
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Packages are no longer autoloaded, so testing whether they are "Loaded" does
not work in all cases.
The function now ensures that the package is loaded.
2018-06-05 19:53:02 +02:00
ce7cfccddb
Cosmetic changes.
2017-10-10 10:14:59 +02:00
da063b2e18
bug fix in optimizer 5 [newrat] for dsge_var_likelihood objective function. Fixes #1494
2017-10-09 17:53:19 +02:00
89326090b9
simpsa: Only store output strcuture if requested
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Otherwise a huge three-dimensional array is created by default that is not used, but can run computer out of memory
2017-06-23 10:50:06 +02:00
1bf81c9f5a
Fixed copyright notices.
2017-05-18 18:36:38 +02:00
5417b27ac7
Fixed indentation of matlab files.
2017-05-16 15:10:20 +02:00
a53636e24e
Fixed copyright notices.
2017-05-16 14:11:15 +02:00
88e1701289
Removed useless commas and semicolons.
2017-05-16 13:24:46 +02:00
f1123200e5
mode_compute=9: Make sure initial search volume (SIGMA) is not badly conditioned
2017-04-12 13:39:34 +02:00
9fbef0c107
Removed penalty_hessian routine.
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+ Code factorization.
+ Added an option for using the penalized objective when computing numerically
the hessian at the mode.
Previous behaviour (introduced with penalty_hessian routine) was to compute the
hessian matrix at the mode with the penalized objective function (instead of
the original objective function). This behaviour hides problematic situations,
where the computed hessian (using the original objective) would not be full
rank. For instance, if the estimation ends up with a parameter on (or very
close to) the bounds of its possible values (which is often not a desirable
outcome), the estimated posterior variance would be zero for this
parameter (with the original objective) because the hessian is not finite in
this direction, while the posterior variance would be positive if the penalized
objective is used instead. But this estimate would not be reliable by
construction of the penalty which is quite ad-hoc (more fundamentally I do not
think that there exists any rational for approximating the covariance matrix
with the inverse of the hessian matrix if the mode is on the border of the set
of possible values).
This commit restore the behaviour previous to 2446ab02ba
2017-02-08 13:07:25 +00:00
5b73d7d59c
Added new optimization routine (particleswarm).
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Only available under Matlab if the Global Optimization Toolbox is installed.
2017-02-08 13:07:25 +00:00
35078e13ee
Completed header + cosmetic changes.
2017-02-08 13:07:25 +00:00
920a9911ee
add missing copyright
2016-11-10 17:49:05 +01:00
46cdaf8e0a
fiminsearch only has two output args under Octave
2016-10-21 17:40:27 +02:00
744b52d362
fix bug introduced in 1c892bb3e9
2016-09-27 15:28:43 +02:00
1c892bb3e9
octave: try to load the needed package before ending with an error
2016-09-27 15:26:59 +02:00
552a9b5230
Fix bugs previously introduces in dynare_estimation_1.m related to penalty function
2016-06-15 00:30:28 +02:00
2446ab02ba
Transform persistent variables of newrat.m into function arguments
2016-06-15 00:30:28 +02:00
0c00e28799
Remove objective_function_penalty_base
2016-06-15 00:30:28 +02:00
0edd8e2025
Add penalty_hessian.m and penalty_objective_function.m
2016-06-15 00:30:28 +02:00
676182f550
Cosmetic fix to dynare_minimize_objective.m
2016-05-22 11:41:54 +02:00
bebcfffe04
fix license, file copyright errors
2016-05-04 16:30:16 +02:00
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
83981125c9
Added missing routine and fixed licence header.
2015-02-24 20:42:19 +01:00
5ef340b8cf
Rewrote gmhmaxlik routine (mode_compute==6).
2015-02-24 20:34:35 +01:00
fac1d206ab
Use new wrapper for optimization algorithms when maximizing the prior density.
2015-02-23 18:26:34 +01:00
0ffb9dd6e2
Changed order of the input arguments in dynare_mimimize_objective.
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It is more standard to have the name of the routine (defining the
objective to be minimized) as a first argument.
2015-02-23 14:35:41 +01:00
beb7826376
Moved optimization related routines in a common subfolder.
2015-02-23 14:26:07 +01:00
Stéphane Adjemia (Scylla)
Stéphane Adjemian(Charybdis)
Johannes Pfeifer
Sébastien Villemot
Marco Ratto
Houtan Bastani
Marco Ratto
Michel Juillard