function [fhat,xhat,fcount,retcode] = csminit1(fcn,x0,f0,g0,badg,H0,varargin)
% [fhat,xhat,fcount,retcode] = csminit1(fcn,x0,f0,g0,badg,H0,...
% P1,P2,P3,P4,P5,P6,P7,P8)
% retcodes: 0, normal step. 5, largest step still improves too fast.
% 4,2 back and forth adjustment of stepsize didn't finish. 3, smallest
% stepsize still improves too slow. 6, no improvement found. 1, zero
% gradient.
%---------------------
% Modified 7/22/96 to omit variable-length P list, for efficiency and compilation.
% Places where the number of P's need to be altered or the code could be returned to
% its old form are marked with ARGLIST comments.
%
% Fixed 7/17/93 to use inverse-hessian instead of hessian itself in bfgs
% update.
%
% Fixed 7/19/93 to flip eigenvalues of H to get better performance when
% it's not psd.
% Original file downloaded from:
% http://sims.princeton.edu/yftp/optimize/mfiles/csminit.m
% Copyright (C) 1993-2007 Christopher Sims
% Copyright (C) 2008-2011 Dynare Team
%
% This file is part of Dynare.
%
% Dynare is free software: you can redistribute it and/or modify
% it under the terms of the GNU General Public License as published by
% the Free Software Foundation, either version 3 of the License, or
% (at your option) any later version.
%
% Dynare is distributed in the hope that it will be useful,
% but WITHOUT ANY WARRANTY; without even the implied warranty of
% MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the
% GNU General Public License for more details.
%
% You should have received a copy of the GNU General Public License
% along with Dynare. If not, see .
%tailstr = ')';
%for i=nargin-6:-1:1
% tailstr=[ ',P' num2str(i) tailstr];
%end
%ANGLE = .03;
ANGLE = .005;
%THETA = .03;
THETA = .3; %(0 1e12
% disp('Bad, small gradient problem.')
% dx = dx*FCHANGE/dxnorm;
% end
%else
% Gauss-Newton step;
%---------- Start of 7/19/93 mod ---------------
%[v d] = eig(H0);
%toc
%d=max(1e-10,abs(diag(d)));
%d=abs(diag(d));
%dx = -(v.*(ones(size(v,1),1)*d'))*(v'*g);
% toc
dx = -H0*g;
% toc
dxnorm = norm(dx);
if dxnorm > 1e12
disp('Near-singular H problem.')
dx = dx*FCHANGE/dxnorm;
end
dfhat = dx'*g0;
%end
%
%
if ~badg
% test for alignment of dx with gradient and fix if necessary
a = -dfhat/(gnorm*dxnorm);
if a1
dxtest=x0+dx'*lambda;
else
dxtest=x0+dx*lambda;
end
% home
f = feval(fcn,dxtest,varargin{:});
%ARGLIST
%f = feval(fcn,dxtest,P1,P2,P3,P4,P5,P6,P7,P8,P9,P10,P11,P12,P13);
% f = feval(fcn,x0+dx*lambda,P1,P2,P3,P4,P5,P6,P7,P8);
disp(sprintf('lambda = %10.5g; f = %20.7f',lambda,f ))
%debug
%disp(sprintf('Improvement too great? f0-f: %g, criterion: %g',f0-f,-(1-THETA)*dfhat*lambda))
if f 0) & (f0-f > -(1-THETA)*dfhat*lambda) );
if shrinkSignal && ( (lambda>lambdaPeak) || (lambda<0) )
if (lambda>0) && ((~shrink) || (lambda/factor <= lambdaPeak))
shrink=1;
factor=factor^.6;
while lambda/factor <= lambdaPeak
factor=factor^.6;
end
%if (abs(lambda)*(factor-1)*dxnorm < MINDX) || (abs(lambda)*(factor-1) < MINLAMB)
if abs(factor-1)lambdaPeak)
lambdaMax=lambda;
end
lambda=lambda/factor;
if abs(lambda) < MINLAMB
if (lambda > 0) && (f0 <= fhat)
% try going against gradient, which may be inaccurate
lambda = -lambda*factor^6
else
if lambda < 0
retcode = 6;
else
retcode = 3;
end
done = 1;
end
end
elseif (growSignal && lambda>0) || (shrinkSignal && ((lambda <= lambdaPeak) && (lambda>0)))
if shrink
shrink=0;
factor = factor^.6;
%if ( abs(lambda)*(factor-1)*dxnorm< MINDX ) || ( abs(lambda)*(factor-1)< MINLAMB)
if abs(factor-1)0)
fPeak=f;
lambdaPeak=lambda;
if lambdaMax<=lambdaPeak
lambdaMax=lambdaPeak*factor*factor;
end
end
lambda=lambda*factor;
if abs(lambda) > 1e20;
retcode = 5;
done =1;
end
else
done=1;
if factor < 1.2
retcode=7;
else
retcode=0;
end
end
end
end
disp(sprintf('Norm of dx %10.5g', dxnorm))