85 lines
2.7 KiB
Matlab
85 lines
2.7 KiB
Matlab
function [g, badg, f0, f1, f2, f3, f4] = numgrad5(fcn,f0,x,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 (C) 1993-2007 Christopher Sims
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% Copyright (C) 2008-2010 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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f1 = NaN;
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f2 = NaN;
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f3 = NaN;
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f4 = 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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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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[f1,junk1,junk2,cost_flag1] = feval(fcn, x+scale*transpose(tvecv), varargin{:});
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[f2,junk1,junk2,cost_flag2] = feval(fcn, x-scale*transpose(tvecv), varargin{:});
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if cost_flag1==0 || cost_flag2==0
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cost_flag3 = 0;
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cost_flag4 = 0;
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disp('numgrad:: I cannot use the five points formula!!')
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else
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[f3,junk1,junk2,cost_flag3] = feval(fcn, x+2*scale*transpose(tvecv), varargin{:});
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[f4,junk1,junk2,cost_flag4] = feval(fcn, x-2*scale*transpose(tvecv), varargin{:});
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end
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if cost_flag1 && cost_flag2 && cost_flag3 && cost_flag4% Five Points formula
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g0 = (8*(f1 - f2)+ f4-f3) / (12*scale*delta);
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elseif cost_flag3==0 || cost_flag4==0
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if cost_flag1 && cost_flag2% Three points formula
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g0 = (f1-f2)/(2*scale*delta);
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else
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if cost_flag1% Two points formula
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g0 = (f1-f0) / (scale*delta);
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elseif cost_flag2% Two points formula
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g0 = (f0-f2) / (scale*delta);
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else% Bad gradient!
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goog=0;
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end
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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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g(i)=0;
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badg=1;
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end
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end |