45 lines
1.3 KiB
Matlab
45 lines
1.3 KiB
Matlab
function fjac = fjaco(f,x,varargin)
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% FDJAC Computes two-sided finite difference Jacobian
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% USAGE
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% fjac = fdjac(f,x,P1,P2,...)
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% INPUTS
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% f : name of function of form fval = f(x)
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% x : evaluation point
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% P1,P2,... : additional arguments for f (optional)
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% OUTPUT
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% fjac : finite differnce Jacobian
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%
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% Copyright (C) 2010 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 <http://www.gnu.org/licenses/>.
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ff=feval(f,x,varargin{:});
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tol = eps.^(1/3);
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h = tol.*max(abs(x),1);
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xh1=x+h; xh0=x-h;
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h=xh1-xh0;
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fjac = NaN(length(ff),length(x));
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for j=1:length(x);
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xx = x;
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xx(j) = xh1(j); f1=feval(f,xx,varargin{:});
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xx(j) = xh0(j); f0=feval(f,xx,varargin{:});
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fjac(:,j) = (f1-f0)/h(j);
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end
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feval(f,x,varargin{:});
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