52 lines
1.5 KiB
Matlab
52 lines
1.5 KiB
Matlab
function H = bfgsi1(H0,dg,dx)
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% H = bfgsi1(H0,dg,dx)
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% Update Inverse Hessian matrix
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%
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% Inputs:
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% H0 [npar by npar] initial inverse Hessian matrix
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% dg [npar by 1] previous change in gradient
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% dx [npar by 1] previous change in x;
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%
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% 6/8/93 version that updates inverse hessian instead of hessian
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% itself.
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%
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% Original file downloaded from:
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% http://sims.princeton.edu/yftp/optimize/mfiles/bfgsi.m
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%
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% Copyright (C) 1993-2009 Christopher Sims
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% Copyright (C) 2009-2015 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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if size(dg,2)>1
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dg=dg';
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end
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if size(dx,2)>1
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dx=dx';
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end
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Hdg = H0*dg;
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dgdx = dg'*dx;
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if (abs(dgdx) >1e-12)
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H = H0 + (1+(dg'*Hdg)/dgdx)*(dx*dx')/dgdx - (dx*Hdg'+Hdg*dx')/dgdx;
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else
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disp('bfgs update failed.')
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disp(['|dg| = ' num2str(sqrt(dg'*dg)) '|dx| = ' num2str(sqrt(dx'*dx))]);
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disp(['dg''*dx = ' num2str(dgdx)])
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disp(['|H*dg| = ' num2str(Hdg'*Hdg)])
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H=H0;
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end
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save('H.dat','H')
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