66 lines
1.8 KiB
Matlab
66 lines
1.8 KiB
Matlab
function [F,G] = dynare_gradient(fcn,x,epsilon,varargin)
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% Computes the gradient of a function from R^m in R^n.
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%
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% INPUTS:
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% fcn [string] name of the matlab's function.
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% x [double] m*1 vector (where the gradient is evaluated).
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% epsilon [double] scalar or m*1 vector of steps.
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%
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% OUTPUTS:
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% F [double] n*1 vector, evaluation of the function at x.
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% G [double] n*m matrix, evaluation of the gradient at x.
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%
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% OUTPUTS
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%
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% Copyright © 2010-2017 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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% Evaluate the function at x.
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F = feval(fcn, x, varargin{:});
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% (G)Set dimensions.
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m = length(x);
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n = length(F);
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% Initialization of the gradient.
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G = NaN(length(F),length(x));
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if length(epsilon==1)
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H = epsilon*eye(m);
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else
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H = diag(epsilon);
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end
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% Compute the gradient.
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for i=1:m
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if size(x,1)>size(x,2)
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h = H(i,:);
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else
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h = H(:,i);
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end
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[Fh,~,~,flag] = feval(fcn, x+transpose(h), varargin{:});
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if flag
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G(:,i) = (Fh-F)/epsilon;
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else
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[Fh,~,~,flag] = feval(fcn, x-transpose(h), varargin{:});
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if flag
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G(:,i) = (F-Fh)/epsilon;
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else
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error('-- Bad gradient --')
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end
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end
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end |