71 lines
1.9 KiB
Matlab
71 lines
1.9 KiB
Matlab
function [g, badg, f0, f1, f2] = numgrad3(fcn,x,varargin)
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% Computes the gradient of the objective function fcn using a three points
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% formula if possible.
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%
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% Adapted from Sims' numgrad routine.
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%
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% See section 25.3.4 in 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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% 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 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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f0 = NaN;
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f1 = NaN;
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f2 = NaN;
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delta = 1e-6;
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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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[f0,cost_flag] = feval(fcn, x, varargin{:});
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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,cost_flag1] = feval(fcn, x+scale*transpose(tvecv), varargin{:});
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[f2,cost_flag2] = feval(fcn, x-scale*transpose(tvecv), varargin{:});
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if cost_flag1 && cost_flag2
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g0 = (f1 - f2) / (2*scale*delta);
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else
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if cost_flag1
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g0 = (f1-f0) / (scale*delta);
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elseif cost_flag2
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g0 = (f0-f2) / (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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g(i)=0;
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badg=1;
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end
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end |