72 lines
2.2 KiB
Matlab
72 lines
2.2 KiB
Matlab
function [g, badg] = numgrad5_(fcn,f0,x,penalty,epsilon,varargin)
|
|
% Computes the gradient of the objective function fcn using a five points
|
|
% formula if possible.
|
|
%
|
|
% Adapted from Sims' numgrad.m routine.
|
|
%
|
|
% See section 25.3.6 Abramovitz and Stegun (1972, Tenth Printing, December) Handbook of Mathematical Functions.
|
|
% http://www.math.sfu.ca/~cbm/aands/
|
|
%
|
|
% TODO Try Four points formula when cost_flag3=0 or cost_flag4=0.
|
|
|
|
% Original file downloaded from:
|
|
% http://sims.princeton.edu/yftp/optimize/mfiles/numgrad.m
|
|
|
|
% Copyright © 1993-2007 Christopher Sims
|
|
% Copyright © 2008-2016 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 <https://www.gnu.org/licenses/>.
|
|
|
|
rescale_step_length = 0;
|
|
|
|
delta = epsilon;
|
|
n = length(x);
|
|
g = zeros(n,1);
|
|
|
|
badg = 0;
|
|
|
|
if rescale_step_length
|
|
scale = [];
|
|
else
|
|
scale = ones(n,1);
|
|
end
|
|
|
|
for i=1:n
|
|
xiold = x(i);
|
|
h = step_length_correction(xiold,scale,i)*delta;
|
|
x(i) = xiold+h;
|
|
[f1,~,~,] = penalty_objective_function(x, fcn, penalty, varargin{:});
|
|
x(i) = xiold-h;
|
|
f2 = penalty_objective_function(x, fcn, penalty, varargin{:});
|
|
x(i) = xiold+2*h;
|
|
f3 = penalty_objective_function(x, fcn, penalty, varargin{:});
|
|
x(i) = xiold-2*h;
|
|
f4 = penalty_objective_function(x, fcn, penalty, varargin{:});
|
|
if f0<f1 && f1<f3 && f0<f2 && f2<f4
|
|
g0 = 0;
|
|
else
|
|
g0 = (8*(f1 - f2)+ f4-f3) / (12*h);
|
|
end
|
|
if abs(g0)< 1e15
|
|
g(i) = g0;
|
|
else
|
|
disp('Bad gradient -----------------------------------')
|
|
fprintf('Gradient w.r.t. parameter number %3d (x=%16.8f,h=%16.8f,g0=%16.8f)\n',i,xiold,h,g0)
|
|
g(i) = 0;
|
|
badg = 1;
|
|
end
|
|
end
|