74 lines
2.2 KiB
Matlab
74 lines
2.2 KiB
Matlab
function g = apprgrdn(x,f,fun,deltax,obj,varargin)
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% g = apprgrdn(x,f,fun,deltax,obj,varargin)
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% Performs the finite difference approximation of the gradient <g> at a
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% point <x> used in solveopt
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%
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% Inputs:
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% x: point at which to evaluate gradient
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% f: calculated function value at a point x;
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% fun: Name of the Matlab function calculating the function values
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% deltax: vector of the relative stepsizes,
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% obj flag indicating whether the gradient of the objective
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% function (1) or the constraint function (0) is to be calculated.
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%
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% Modified by Giovanni Lombardo and Johannes Pfeifer to accomodate Dynare
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% structure
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%
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%
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% Copyright © 1997-2008, Alexei Kuntsevich and Franz Kappel
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% Copyright © 2008-2015 Giovanni Lombardo
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% Copyright © 2015-2017 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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n=max(size(x)); ee=ones(size(x));
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di=abs(x); idx=find(di<5e-15); di(idx)=5e-15*ee(idx);
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di=deltax.*di;
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if obj
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idx=find(abs(di)<2e-10);
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di(idx)=2e-10*sign(di(idx));
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else
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idx=find(abs(di)<5e-15);
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di(idx)=5e-15*sign(di(idx));
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end
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y=x;
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g=NaN(n,1);
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for i=1:n
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y(i)=x(i)+di(i);
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fi=feval(fun,y,varargin{:});
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if obj
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if fi==f
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for j=1:3
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di(i)=di(i)*10; y(i)=x(i)+di(i);
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fi=feval(fun,y,varargin{:});
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if fi~=f
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break
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end
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end
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end
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end
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g(i)=(fi-f)/di(i);
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if obj
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if ~isempty(idx) && any(idx==i)
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y(i)=x(i)-di(i);
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fi=feval(fun,y,varargin{:});
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g(i)=.5*(g(i)+(f-fi)/di(i));
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end
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end
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y(i)=x(i);
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end
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