62 lines
1.7 KiB
Matlab
62 lines
1.7 KiB
Matlab
function [g, badg] = numgrad2(fcn,f0,x,epsilon,varargin)
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% function [g badg] = numgrad2(fcn,xvarargin)
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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 (C) 1993-2007 Christopher Sims
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% Copyright (C) 2008-2012 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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fh = NaN;
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delta = epsilon;
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n=length(x);
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tvec=delta*eye(n);
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g=zeros(n,1);
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badg=0;
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goog=1;
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scale=1;
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g0 = 0;
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for i=1:n
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if size(x,1)>size(x,2)
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tvecv=tvec(i,:);
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else
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tvecv=tvec(:,i);
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end
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[fh,junk1,junk2,cost_flag] = feval(fcn, x+scale*transpose(tvecv), varargin{:});
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if cost_flag
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g0 = (fh - f0) / (scale*delta);
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else
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[fh,junk1,junk2,cost_flag] = feval(fcn, x-scale*transpose(tvecv), varargin{:});
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if cost_flag
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g0 = (f0-fh) / (scale*delta);
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else
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goog = 0;
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end
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end
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if goog && abs(g0)< 1e15
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g(i) = g0;
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else
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disp('bad gradient ------------------------')
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% fprintf('Gradient w.r.t. %3d: %10g\n',i,g0)
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g(i) = 0;
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badg = 1;
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end
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end
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