69 lines
3.5 KiB
Matlab
69 lines
3.5 KiB
Matlab
function check_hessian_at_the_mode(hessian_xparam1, xparam1, M_, estim_params_, options_, bounds)
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% check_hessian_at_the_mode(hessian_xparam1, xparam1, M_, estim_params_, options_, bounds)
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% -------------------------------------------------------------------------
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% This function checks whether the hessian matrix at the mode is positive definite.
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% -------------------------------------------------------------------------
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% INPUTS
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% o hessian_xparam1: [matrix] hessian matrix at the mode
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% o xparam1: [vector] vector of parameter values at the mode
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% o M_: [structure] information about model
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% o estim_params_: [structure] information about estimated parameters
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% o options_: [structure] information about options
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% o bounds: [structure] information about bounds
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% -------------------------------------------------------------------------
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% OUTPUTS
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% none, displays a warning message if the hessian matrix is not positive definite
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% -------------------------------------------------------------------------
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% This function is called by
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% o dynare_estimation_1.m
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% -------------------------------------------------------------------------
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% Copyright © 2023 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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try
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chol(hessian_xparam1);
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catch
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tol_bounds = 1.e-10;
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skipline()
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disp('OPTIMIZATION PROBLEM!')
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disp(' (minus) the hessian matrix at the "mode" is not positive definite!')
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disp('=> variance of the estimated parameters are not positive.')
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disp('You should try to change the initial values of the parameters using')
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disp('the estimated_params_init block, or use another optimization routine.')
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params_at_bound = find(abs(xparam1-bounds.ub)<tol_bounds | abs(xparam1-bounds.lb)<tol_bounds);
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if ~isempty(params_at_bound)
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for ii=1:length(params_at_bound)
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params_at_bound_name{ii,1}=get_the_name(params_at_bound(ii),0,M_,estim_params_,options_.varobs);
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end
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disp_string=[params_at_bound_name{1,:}];
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for ii=2:size(params_at_bound_name,1)
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disp_string=[disp_string,', ',params_at_bound_name{ii,:}];
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end
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fprintf('\nThe following parameters are at the bound: %s\n', disp_string)
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fprintf('Some potential solutions are:\n')
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fprintf(' - Check your model for mistakes.\n')
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fprintf(' - Check whether model and data are consistent (correct observation equation).\n')
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fprintf(' - Shut off prior_trunc.\n')
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fprintf(' - Change the optimization bounds.\n')
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fprintf(' - Use a different mode_compute like 6 or 9.\n')
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fprintf(' - Check whether the parameters estimated are identified.\n')
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fprintf(' - Check prior shape (e.g. Inf density at bound(s)).\n')
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fprintf(' - Increase the informativeness of the prior.\n')
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end
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warning('The results below are most likely wrong!');
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end |