107 lines
2.7 KiB
Matlab
107 lines
2.7 KiB
Matlab
function [f0, x, ig] = mr_gstep(h1,x,bounds,func0,penalty,htol0,Verbose,Save_files,gradient_epsilon,parameter_names,varargin)
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% [f0, x, ig] = mr_gstep(h1,x,bounds,func0,penalty,htol0,Verbose,Save_files,gradient_epsilon,parameter_names,varargin)
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%
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% Gibbs type step in optimisation
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%
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% varargin{1} --> dataset_
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% varargin{2} --> dataset_info
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% varargin{3} --> options_
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% varargin{4} --> M_
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% varargin{5} --> estim_params_
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% varargin{6} --> bayestopt_
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% varargin{7} --> BoundsInfo
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% varargin{8} --> oo_
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% Copyright © 2006-2020 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=size(x,1);
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if isempty(h1)
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h1=gradient_epsilon*ones(n,1);
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end
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if isempty(htol0)
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htol = 1.e-6;
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else
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htol = htol0;
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end
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if length(htol)==1
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htol=htol*ones(n,1);
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end
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f0=penalty_objective_function(x,func0,penalty,varargin{:});
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xh1=x;
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f1=zeros(size(f0,1),n);
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f_1=f1;
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i=0;
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ig=zeros(n,1);
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while i<n
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i=i+1;
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h10=h1(i);
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hcheck=0;
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dx=[];
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xh1(i)=x(i)+h1(i);
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fx = penalty_objective_function(xh1,func0,penalty,varargin{:});
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f1(:,i)=fx;
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xh1(i)=x(i)-h1(i);
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fx = penalty_objective_function(xh1,func0,penalty,varargin{:});
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f_1(:,i)=fx;
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if hcheck && htol(i)<1
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htol(i)=min(1,max(min(abs(dx))*2,htol(i)*10));
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h1(i)=h10;
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xh1(i)=x(i);
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i=i-1;
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else
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gg=zeros(size(x));
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hh=gg;
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gg(i)=(f1(i)'-f_1(i)')./(2.*h1(i));
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hh(i) = 1/max(1.e-9,abs( (f1(i)+f_1(i)-2*f0)./(h1(i)*h1(i)) ));
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if gg(i)*(hh(i)*gg(i))/2 > htol(i)
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[f0, x, ~, ~] = csminit1(func0,x,penalty,f0,gg,0,diag(hh),Verbose,varargin{:});
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ig(i)=1;
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if Verbose
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fprintf(['Done for param %s = %8.4f\n'],parameter_names{i},x(i))
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end
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end
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xh1=x;
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end
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x = check_bounds(x,bounds);
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if Save_files
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save('gstep.mat','x','h1','f0')
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end
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end
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if Save_files
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save('gstep.mat','x','h1','f0')
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end
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return
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function x = check_bounds(x,bounds)
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inx = find(x>=bounds(:,2));
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if ~isempty(inx)
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x(inx) = bounds(inx,2)-eps;
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end
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inx = find(x<=bounds(:,1));
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if ~isempty(inx)
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x(inx) = bounds(inx,1)+eps;
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end
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