58 lines
1.8 KiB
Matlab
58 lines
1.8 KiB
Matlab
function [g, badg] = numgrad5(fcn,f0,x,penalty,epsilon,varargin)
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% Computes the gradient of the objective function fcn using a five points
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% formula if possible.
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%
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% Adapted from Sims' numgrad.m routine.
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%
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% See section 25.3.6 Abramovitz and Stegun (1972, Tenth Printing, December) Handbook of Mathematical Functions.
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% http://www.math.sfu.ca/~cbm/aands/
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%
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% TODO Try Four points formula when cost_flag3=0 or cost_flag4=0.
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% Original file downloaded from:
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% http://sims.princeton.edu/yftp/optimize/mfiles/numgrad.m
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% Copyright © 1993-2007 Christopher Sims
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% Copyright © 2008-2016 Dynare Team
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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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h = epsilon;
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n = length(x);
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g = zeros(n,1);
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H = 12*h;
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badg = 0;
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for i=1:n
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xiold = x(i);
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x(i) = xiold+h;
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f1 = penalty_objective_function(x, fcn, penalty, varargin{:});
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x(i) = xiold-h;
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f2 = penalty_objective_function(x, fcn, penalty, varargin{:});
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x(i) = xiold+2*h;
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f3 = penalty_objective_function(x, fcn, penalty, varargin{:});
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x(i) = xiold-2*h;
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f4 = penalty_objective_function(x, fcn, penalty, varargin{:});
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g0 = (8*(f1-f2)+f4-f3)/H;
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if abs(g0)< 1e15
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g(i) = g0;
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else
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g(i) = 0;
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badg = 1;
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end
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x(i) = xiold;
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end |