75 lines
2.2 KiB
Matlab
75 lines
2.2 KiB
Matlab
function [f0, x, ig] = mr_gstep(h1,x,func0,htol0,DynareDataset,DynareOptions,Model,EstimatedParameters,BayesInfo,DynareResults)
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% function [f0, x, ig] = mr_gstep(h1,x,func0,htol0,varargin)
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%
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% Gibbs type step in optimisation
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% Copyright (C) 2006-2012 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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n=size(x,1);
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if isempty(h1),
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h1=DynareOptions.gradient_epsilon*ones(n,1);
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end
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if isempty(htol0)
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htol = 1.e-6;
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else
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htol = htol0;
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end
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f0=feval(func0,x,DynareDataset,DynareOptions,Model,EstimatedParameters,BayesInfo,DynareResults);
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xh1=x;
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f1=zeros(size(f0,1),n);
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f_1=f1;
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i=0;
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ig=zeros(n,1);
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while i<n
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i=i+1;
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h10=h1(i);
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hcheck=0;
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dx=[];
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xh1(i)=x(i)+h1(i);
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fx = feval(func0,xh1,DynareDataset,DynareOptions,Model,EstimatedParameters,BayesInfo,DynareResults);
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f1(:,i)=fx;
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xh1(i)=x(i)-h1(i);
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fx = feval(func0,xh1,DynareDataset,DynareOptions,Model,EstimatedParameters,BayesInfo,DynareResults);
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f_1(:,i)=fx;
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if hcheck && htol<1
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htol=min(1,max(min(abs(dx))*2,htol*10));
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h1(i)=h10;
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xh1(i)=x(i);
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i=i-1;
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else
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gg=zeros(size(x));
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hh=gg;
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gg(i)=(f1(i)'-f_1(i)')./(2.*h1(i));
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hh(i) = 1/max(1.e-9,abs( (f1(i)+f_1(i)-2*f0)./(h1(i)*h1(i)) ));
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if gg(i)*(hh(i)*gg(i))/2 > htol
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[f0 x fc retcode] = csminit1(func0,x,f0,gg,0,diag(hh),DynareDataset,DynareOptions,Model,EstimatedParameters,BayesInfo,DynareResults);
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ig(i)=1;
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fprintf(['Done for param %s = %8.4f\n'],BayesInfo.name{i},x(i))
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end
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xh1=x;
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end
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save gstep.mat x h1 f0
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end
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save gstep.mat x h1 f0
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