37 lines
1.5 KiB
Matlab
37 lines
1.5 KiB
Matlab
function [fval, grad, hess, exit_flag]=analytic_gradient_wrapper(x, fcn, varargin)
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%function [fval, grad, hess, exitflag]=analytic_gradient_wrapper(x, fcn, varargin)
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% Encapsulates an objective function to be minimized for use with Matlab
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% optimizers
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%
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% INPUTS
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% - x [double] n*1 vector of instrument values.
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% - fcn [fhandle] objective function.
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% - varagin [cell] additional parameters for fcn.
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%
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% OUTPUTS
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% - fval [double] scalar, value of the objective function at x.
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% - grad gradient of the objective function
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% - hess Hessian of the objective function
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% - exit_flag [integer] scalar, flag returned by
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% Copyright © 2021 Dynare Team
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%
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% This file is part of Dynare.
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%
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% Dynare is free software: you can redistribute it and/or modify
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% it under the terms of the GNU General Public License as published by
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% the Free Software Foundation, either version 3 of the License, or
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% (at your option) any later version.
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%
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% Dynare is distributed in the hope that it will be useful,
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% but WITHOUT ANY WARRANTY; without even the implied warranty of
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% MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the
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% GNU General Public License for more details.
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%
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% You should have received a copy of the GNU General Public License
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% along with Dynare. If not, see <https://www.gnu.org/licenses/>.
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[fval, ~, exit_flag, grad, hess] = fcn(x, varargin{:});
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if size(grad,2)==1
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grad=grad'; %should be row vector for Matlab; exception lsqnonlin where Jacobian is required
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end |