329 lines
11 KiB
Matlab
329 lines
11 KiB
Matlab
function [hessian_mat, gg, htol1, ihh, hh_mat0] = mr_hessian(func,x,hflag,htol0,varargin)
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% [hessian_mat, gg, htol1, ihh, hh_mat0] = mr_hessian(func,x,hflag,htol0,varargin)
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%
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% numerical gradient and Hessian, with 'automatic' check of numerical
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% error
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%
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% adapted from Michel Juillard original rutine hessian.m
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%
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% func = name of the function: func must give two outputs:
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% - the log-likelihood AND the single contributions at times t=1,...,T
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% of the log-likelihood to compute outer product gradient
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% x = parameter values
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% hflag = 0, Hessian computed with outer product gradient, one point
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% increments for partial derivatives in gradients
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% hflag = 1, 'mixed' Hessian: diagonal elements computed with numerical second order derivatives
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% with correlation structure as from outer product gradient;
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% two point evaluation of derivatives for partial derivatives
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% in gradients
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% hflag = 2, full numerical Hessian, computes second order partial derivatives
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% uses Abramowitz and Stegun (1965) formulas 25.3.24 and 25.3.27
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% p. 884.
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% htol0 = 'precision' of increment of function values for numerical
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% derivatives
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%
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% varargin: other parameters of func
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% Copyright (C) 2004-2008 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 options_ bayestopt_
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persistent h1 htol
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gstep_=options_.gstep;
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if isempty(htol), htol = 1.e-4; end
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func = str2func(func);
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[f0, ff0]=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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hmax=bayestopt_.ub-x;
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hmax=min(hmax,x-bayestopt_.lb);
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%h1=max(abs(x),gstep_*ones(n,1))*eps^(1/3);
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%h1=max(abs(x),sqrt(gstep_)*ones(n,1))*eps^(1/6);
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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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h1 = min(h1,0.5.*hmax);
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if htol0<htol,
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htol=htol0;
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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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ff1=zeros(size(ff0));
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ff_1=ff1;
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%for i=1:n,
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i=0;
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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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try
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[fx, ffx]=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=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, ffx]=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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if abs(dx(it)) ~= 0,
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h1(i)=min(max(1.e-10,0.3*abs(x(i))), 0.9*htol/abs(dx(it))*h1(i));
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else
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h1(i)=2.1*h1(i);
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end
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h1(i) = min(h1(i),0.5*hmax(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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try
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[fx, ffx]=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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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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try
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[fx, ffx]=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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while (fx-f0)==0,
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h1(i)= h1(i)*2;
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xh1(i)=x(i)+h1(i);
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[fx, ffx]=feval(func,xh1,varargin{:});
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ic=1;
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end
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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)) & h1(i)<0.5*hmax(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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% if (it>2 & dx(1)<10^(log10(htol)/2)) ,
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% [dum, is]=sort(h0);
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% if find(diff(sign(diff(dx(is)))));
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% hcheck=1;
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% end
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% elseif (it>3 & dx(1)>10^(log10(htol)/2)) ,
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% [dum, is]=sort(h0);
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% if find(diff(sign(diff(dx(is(1:end-1))))));
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% hcheck=1;
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% end
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% end
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f1(:,i)=fx;
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if any(isnan(ffx)),
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ff1=ones(size(ff0)).*fx/length(ff0);
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else
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ff1=ffx;
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end
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if hflag, % two point based derivatives
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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, ffx]=feval(func,xh1,varargin{:});
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f_1(:,i)=fx;
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if any(isnan(ffx)),
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ff_1=ones(size(ff0)).*fx/length(ff0);
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else
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ff_1=ffx;
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end
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% if ic,
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% xh1(i)=x(i)+h1(i);
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% [f1(:,i), ff1]=feval(func,xh1,varargin{:});
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% end
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ggh(:,i)=(ff1-ff_1)./(2.*h1(i));
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else
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ggh(:,i)=(ff1-ff0)./h1(i);
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end
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xh1(i)=x(i);
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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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i=0;
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end
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save hess
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end
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h_1=h1;
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xh1=x;
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xh_1=xh1;
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if hflag,
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gg=(f1'-f_1')./(2.*h1);
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else
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gg=(f1'-f0)./h1;
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end
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if hflag==2,
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gg=(f1'-f_1')./(2.*h1);
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hessian_mat = zeros(size(f0,1),n*n);
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for i=1:n
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if i > 1
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k=[i:n:n*(i-1)];
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hessian_mat(:,(i-1)*n+1:(i-1)*n+i-1)=hessian_mat(:,k);
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end
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hessian_mat(:,(i-1)*n+i)=(f1(:,i)+f_1(:,i)-2*f0)./(h1(i)*h_1(i));
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temp=f1+f_1-f0*ones(1,n);
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for j=i+1:n
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xh1(i)=x(i)+h1(i);
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xh1(j)=x(j)+h_1(j);
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xh_1(i)=x(i)-h1(i);
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xh_1(j)=x(j)-h_1(j);
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%hessian_mat(:,(i-1)*n+j)=-(-feval(func,xh1,varargin{:})-feval(func,xh_1,varargin{:})+temp(:,i)+temp(:,j))./(2*h1(i)*h_1(j));
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%temp1 = feval(func,xh1,varargin{:});
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% c=mr_nlincon(xh1,varargin{:});
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% lam=1;
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% while c,
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% lam=lam*0.9;
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% xh1(i)=x(i)+h1(i)*lam;
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% xh1(j)=x(j)+h_1(j)*lam;
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% %disp( ['hessian warning cross ', num2str(c) ]),
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% c=mr_nlincon(xh1,varargin{:});
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% end
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% temp1 = f0+(feval(func,xh1,varargin{:})-f0)/lam;
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temp1 = feval(func,xh1,varargin{:});
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% c=mr_nlincon(xh_1,varargin{:});
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% while c,
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% lam=lam*0.9;
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% xh_1(i)=x(i)-h1(i)*lam;
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% xh_1(j)=x(j)-h_1(j)*lam;
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% %disp( ['hessian warning cross ', num2str(c) ]),
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% c=mr_nlincon(xh_1,varargin{:});
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% end
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% temp2 = f0+(feval(func,xh_1,varargin{:})-f0)/lam;
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temp2 = feval(func,xh_1,varargin{:});
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hessian_mat(:,(i-1)*n+j)=-(-temp1 -temp2+temp(:,i)+temp(:,j))./(2*h1(i)*h_1(j));
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xh1(i)=x(i);
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xh1(j)=x(j);
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xh_1(i)=x(i);
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xh_1(j)=x(j);
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j=j+1;
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save hess
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end
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i=i+1;
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end
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elseif hflag==1,
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hessian_mat = zeros(size(f0,1),n*n);
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for i=1:n,
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dum = (f1(:,i)+f_1(:,i)-2*f0)./(h1(i)*h_1(i));
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if dum>eps,
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hessian_mat(:,(i-1)*n+i)=dum;
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else
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hessian_mat(:,(i-1)*n+i)=max(eps, gg(i)^2);
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end
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end
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%hessian_mat2=hh_mat(:)';
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end
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gga=ggh.*kron(ones(size(ff1)),2.*h1'); % re-scaled gradient
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hh_mat=gga'*gga; % rescaled outer product hessian
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hh_mat0=ggh'*ggh; % outer product hessian
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A=diag(2.*h1); % rescaling matrix
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igg=inv(hh_mat); % inverted rescaled outer product hessian
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ihh=A'*igg*A; % inverted outer product hessian
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if hflag>0 & min(eig(reshape(hessian_mat,n,n)))>0,
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hh0 = A*reshape(hessian_mat,n,n)*A'; %rescaled second order derivatives
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hh = reshape(hessian_mat,n,n); %rescaled second order derivatives
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sd0=sqrt(diag(hh0)); %rescaled 'standard errors' using second order derivatives
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sd=sqrt(diag(hh_mat)); %rescaled 'standard errors' using outer product
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hh_mat=hh_mat./(sd*sd').*(sd0*sd0'); %rescaled inverse outer product with 'true' std's
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igg=inv(hh_mat); % rescaled outer product hessian with 'true' std's
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ihh=A'*igg*A; % inverted outer product hessian
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hh_mat0=inv(A)'*hh_mat*inv(A); % outer product hessian with 'true' std's
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sd=sqrt(diag(ihh)); %standard errors
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sdh=sqrt(1./diag(hh)); %diagonal standard errors
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for j=1:length(sd),
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sd0(j,1)=min(bayestopt_.p2(j), sd(j)); %prior std
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sd0(j,1)=10^(0.5*(log10(sd0(j,1))+log10(sdh(j,1))));
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%sd0(j,1)=0.5*(sd0(j,1)+sdh(j,1));
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end
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ihh=ihh./(sd*sd').*(sd0*sd0'); %inverse outer product with modified std's
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igg=inv(A)'*ihh*inv(A); % inverted rescaled outer product hessian with modified std's
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hh_mat=inv(igg); % outer product rescaled hessian with modified std's
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hh_mat0=inv(A)'*hh_mat*inv(A); % outer product hessian with modified std's
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% sd0=sqrt(1./diag(hh0)); %rescaled 'standard errors' using second order derivatives
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% sd=sqrt(diag(igg)); %rescaled 'standard errors' using outer product
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% igg=igg./(sd*sd').*(sd0*sd0'); %rescaled inverse outer product with 'true' std's
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% hh_mat=inv(igg); % rescaled outer product hessian with 'true' std's
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% ihh=A'*igg*A; % inverted outer product hessian
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% hh_mat0=inv(A)'*hh_mat*inv(A); % outer product hessian with 'true' std's
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end
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if hflag<2,
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hessian_mat=hh_mat0(:);
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end
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if any(isnan(hessian_mat)),
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hh_mat0=eye(length(hh_mat0));
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ihh=hh_mat0;
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hessian_mat=hh_mat0(:);
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end
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hh1=h1;
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htol1=htol;
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save hess
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% 11/25/03 SA Created from Hessian_sparse (removed sparse)
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