Add interface to the main options of the simpsa optimization algorithm.

matlab/dynare_estimation_1.m

@@ -502,8 +502,32 @@ if ~isequal(options_.mode_compute,0) && ~options_.mh_posterior_mode_estimation
         xparam1=BESTEVER.x;
         disp(sprintf('\n Objective function at mode: %f',fval))
       case 10
-        options = simpsaset('TOLX', options_.dynatol.x,'TOLFUN', options_.dynatol.f);
-        [xparam1, fval, exitflag] = simpsa(func2str(objective_function),xparam1,lb,ub,options,dataset_,options_,M_,estim_params_,bayestopt_,oo_);
+        simpsaOptions = options_.simpsa;
+        if isfield(options_,'optim_opt')
+            options_list = strsplit(options_.optim_opt,',');
+            number_of_options = length(options_list)/2;
+            o = 1;
+            while o<=number_of_options
+                switch strtrim(options_list{2*(o-1)+1})
+                  case '''MaxIter'''
+                    simpsaOptions.MAX_ITER_TOTAL = str2num(options_list{2*(o-1)+2});
+                  case '''TolFun'''
+                    simpsaOptions.TOLFUN = str2double(options_list{2*(o-1)+2});
+                  case '''TolX'''
+                    simpsaOptions.TOLX = str2double(options_list{2*(o-1)+2});
+                  case '''EndTemparature'''
+                    simpsaOptions.TEMP_END = str2double(options_list{2*(o-1)+2});
+                  case '''MaxFunEvals'''
+                    simpsaOptions.MAX_FUN_EVALS = str2num(options_list{2*(o-1)+2});
+                  otherwise
+                    warning(['simpsa: Unknown option (' options_list{2*(o-1)+1}  ')!'])
+                end
+                o = o + 1;
+            end
+        end
+        simpsaOptionsList = options2cell(simpsaOptions);
+        simpsaOptions = simpsaset(simpsaOptionsList{:});
+        [xparam1, fval, exitflag] = simpsa(func2str(objective_function),xparam1,lb,ub,simpsaOptions,dataset_,options_,M_,estim_params_,bayestopt_,oo_);
       case 11 
          options_.cova_compute = 0 ;
          [xparam1,stdh,lb_95,ub_95,med_param] = online_auxiliary_filter(xparam1,dataset_,options_,M_,estim_params_,bayestopt_,oo_) ;

matlab/global_initialization.m

@@ -459,6 +459,21 @@ cmaes.LogModulo='0';
 cmaes.LogTime='0';
 options_.cmaes = cmaes;
 
+% simpsa optimization routine.
+simpsa.TOLFUN = 1e-4;
+simpsa.TOLX = 1e-4;
+simpsa.TEMP_END = .1;
+simpsa.COOL_RATE = 10;
+simpsa.INITIAL_ACCEPTANCE_RATIO = .95;
+simpsa.MIN_COOLING_FACTOR = .9;
+simpsa.MAX_ITER_TEMP_FIRST = 50;
+simpsa.MAX_ITER_TEMP_LAST = 2000;
+simpsa.MAX_ITER_TEMP = 10;
+simpsa.MAX_ITER_TOTAL = 5000;
+simpsa.MAX_TIME = 2500;
+simpsa.MAX_FUN_EVALS = 20000;
+simpsa.DISPLAY = 'iter';
+options_.simpsa = simpsa;
 
 % prior analysis
 options_.prior_mc = 20000;