153 lines
3.9 KiB
Matlab
153 lines
3.9 KiB
Matlab
function [f0, x, ig] = mr_gstep(func0,x,htol0,varargin)
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% function [f0, x] = mr_gstep(func0,x,htol0,varargin)
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%
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% Gibbs type step in optimisation
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% Copyright (C) 2006 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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global bayestopt_ options_
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persistent h1
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gstep_ = options_.gstep;
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if nargin<3,
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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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func = str2func(func0);
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f0=feval(func,x,varargin{:});
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n=size(x,1);
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h2=bayestopt_.ub-bayestopt_.lb;
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if isempty(h1),
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h1=max(abs(x),sqrt(gstep_)*ones(n,1))*eps^(1/4);
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end
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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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%for i=1:n,
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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 = feval(func,xh1,varargin{:});
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it=1;
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dx=(fx-f0);
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ic=0;
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% if abs(dx)>(2*htol),
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% c=mr_nlincon(xh1,varargin{:});
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% while c
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% h1(i)=h1(i)*0.9;
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% xh1(i)=x(i)+h1(i);
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% c=mr_nlincon(xh1,varargin{:});
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% ic=1;
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% end
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% if ic,
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% fx = feval(func,xh1,varargin{:});
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% dx=(fx-f0);
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% end
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% end
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icount = 0;
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h0=h1(i);
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while (abs(dx(it))<0.5*htol | abs(dx(it))>(2*htol)) & icount<10 & ic==0,
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%while abs(dx(it))<0.5*htol & icount< 10 & ic==0,
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icount=icount+1;
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if abs(dx(it)) ~= 0,
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if abs(dx(it))<0.5*htol
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h1(i)=min(0.3*abs(x(i)), 0.9*htol/abs(dx(it))*h1(i));
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xh1(i)=x(i)+h1(i);
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% c=mr_nlincon(xh1,varargin{:});
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% while c
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% h1(i)=h1(i)*0.9;
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% xh1(i)=x(i)+h1(i);
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% c=mr_nlincon(xh1,varargin{:});
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% ic=1;
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% end
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end
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if abs(dx(it))>(2*htol),
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h1(i)= htol/abs(dx(it))*h1(i);
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xh1(i)=x(i)+h1(i);
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end
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try
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fx = feval(func,xh1,varargin{:});
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catch
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fx=1.e8;
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end
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it=it+1;
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dx(it)=(fx-f0);
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h0(it)=h1(i);
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if h1(i)<1.e-12*min(1,h2(i)),
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ic=1;
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hcheck=1;
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end
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else
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h1(i)=1;
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ic=1;
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end
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end
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f1(:,i)=fx;
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xh1(i)=x(i)-h1(i);
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% c=mr_nlincon(xh1,varargin{:});
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% ic=0;
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% while c
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% h1(i)=h1(i)*0.9;
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% xh1(i)=x(i)-h1(i);
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% c=mr_nlincon(xh1,varargin{:});
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% ic = 1;
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% end
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fx = feval(func,xh1,varargin{:});
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f_1(:,i)=fx;
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% if ic,
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% xh1(i)=x(i)+h1(i);
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% f1(:,i)=feval(func,xh1,varargin{:});
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% end
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if hcheck & htol<1,
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htol=min(1,max(min(abs(dx))*2,htol*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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if abs(f1(i)+f_1(i)-2*f0)>1.e-12,
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hh(i) = abs(1/( (f1(i)+f_1(i)-2*f0)./(h1(i)*h1(i)) ));
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else
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hh(i) = 1;
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end
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if gg(i)*(hh(i)*gg(i))/2 > htol,
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[f0 x fc retcode] = csminit(func0,x,f0,gg,0,diag(hh),varargin{:});
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ig(i)=1;
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end
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xh1=x;
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end
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save gstep
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end
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save gstep
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