Commit 7af760db authored by MichelJuillard's avatar MichelJuillard
Browse files

ms-sbvar: converted CR/LF to Unix new line files in ./matlab/ms-sbvar/cstz

parent 12003fbd
function H = bfgsi(H0,dg,dx)
% H = bfgsi(H0,dg,dx)
% dg is previous change in gradient; dx is previous change in x;
% 6/8/93 version that updates inverse hessian instead of hessian
% itself.
% Copyright by Christopher Sims 1996. This material may be freely
% reproduced and modified.
dispIndx = 0; % 1: turn on all the diplays on the screen; 0: turn off (Added by T. Zha)
% Copyright (C) 1996-2011 Tao Zha and Christopher Sims
%
% This file is part of Dynare.
%
% Dynare is free software: you can redistribute it and/or modify
% it under the terms of the GNU General Public License as published by
% the Free Software Foundation, either version 3 of the License, or
% (at your option) any later version.
%
% Dynare is distributed in the hope that it will be useful,
% but WITHOUT ANY WARRANTY; without even the implied warranty of
% MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the
% GNU General Public License for more details.
%
% You should have received a copy of the GNU General Public License
% along with Dynare. If not, see <http://www.gnu.org/licenses/>.
if size(dg,2)>1
dg=dg';
end
if size(dx,2)>1
dx=dx';
end
Hdg = H0*dg;
dgdx = dg'*dx;
if (abs(dgdx) >1e-12)
H = H0 + (1+(dg'*Hdg)/dgdx)*(dx*dx')/dgdx - (dx*Hdg'+Hdg*dx')/dgdx;
else
if dispIndx
disp('bfgs update failed.')
disp(['|dg| = ' num2str(sqrt(dg'*dg)) '|dx| = ' num2str(sqrt(dx'*dx))]);
disp(['dg''*dx = ' num2str(dgdx)])
disp(['|H*dg| = ' num2str(Hdg'*Hdg)])
end
H=H0;
end
save H.dat H
function H = bfgsi(H0,dg,dx)
% H = bfgsi(H0,dg,dx)
% dg is previous change in gradient; dx is previous change in x;
% 6/8/93 version that updates inverse hessian instead of hessian
% itself.
% Copyright by Christopher Sims 1996. This material may be freely
% reproduced and modified.
dispIndx = 0; % 1: turn on all the diplays on the screen; 0: turn off (Added by T. Zha)
% Copyright (C) 1996-2011 Tao Zha and Christopher Sims
%
% This file is part of Dynare.
%
% Dynare is free software: you can redistribute it and/or modify
% it under the terms of the GNU General Public License as published by
% the Free Software Foundation, either version 3 of the License, or
% (at your option) any later version.
%
% Dynare is distributed in the hope that it will be useful,
% but WITHOUT ANY WARRANTY; without even the implied warranty of
% MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the
% GNU General Public License for more details.
%
% You should have received a copy of the GNU General Public License
% along with Dynare. If not, see <http://www.gnu.org/licenses/>.
if size(dg,2)>1
dg=dg';
end
if size(dx,2)>1
dx=dx';
end
Hdg = H0*dg;
dgdx = dg'*dx;
if (abs(dgdx) >1e-12)
H = H0 + (1+(dg'*Hdg)/dgdx)*(dx*dx')/dgdx - (dx*Hdg'+Hdg*dx')/dgdx;
else
if dispIndx
disp('bfgs update failed.')
disp(['|dg| = ' num2str(sqrt(dg'*dg)) '|dx| = ' num2str(sqrt(dx'*dx))]);
disp(['dg''*dx = ' num2str(dgdx)])
disp(['|H*dg| = ' num2str(Hdg'*Hdg)])
end
H=H0;
end
save H.dat H
function [fhat,xhat,fcount,retcode] = csminit(fcn,x0,f0,g0,badg,H0,varargin)
% [fhat,xhat,fcount,retcode] = csminit(fcn,x0,f0,g0,badg,H0,...
% P1,P2,P3,P4,P5,P6,P7,P8)
% retcodes: 0, normal step. 5, largest step still improves too fast.
% 4,2 back and forth adjustment of stepsize didn't finish. 3, smallest
% stepsize still improves too slow. 6, no improvement found. 1, zero
% gradient.
%---------------------
% Modified 7/22/96 to omit variable-length P list, for efficiency and compilation.
% Places where the number of P's need to be altered or the code could be returned to
% its old form are marked with ARGLIST comments.
%
% Fixed 7/17/93 to use inverse-hessian instead of hessian itself in bfgs
% update.
%
% Fixed 7/19/93 to flip eigenvalues of H to get better performance when
% it's not psd.
%
% Fixed 02/19/05 to correct for low angle problems.
%
%tailstr = ')';
%for i=nargin-6:-1:1
% tailstr=[ ',P' num2str(i) tailstr];
%end
% Copyright (C) 1993-2011 Tao Zha and Christopher Sims
%
% This file is part of Dynare.
%
% Dynare is free software: you can redistribute it and/or modify
% it under the terms of the GNU General Public License as published by
% the Free Software Foundation, either version 3 of the License, or
% (at your option) any later version.
%
% Dynare is distributed in the hope that it will be useful,
% but WITHOUT ANY WARRANTY; without even the implied warranty of
% MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the
% GNU General Public License for more details.
%
% You should have received a copy of the GNU General Public License
% along with Dynare. If not, see <http://www.gnu.org/licenses/>.
dispIndx = 0; % 1: turn on all the diplays on the screen; 0: turn off (Added by T. Zha)
%ANGLE = .03; % when output of this variable becomes negative, we have wrong analytical graident
ANGLE = .005; % works for identified VARs and OLS
%THETA = .03;
THETA = .3; %(0<THETA<.5) THETA near .5 makes long line searches, possibly fewer iterations.
FCHANGE = 1000;
MINLAMB = 1e-9;
% fixed 7/15/94
% MINDX = .0001;
% MINDX = 1e-6;
MINDFAC = .01;
fcount=0;
lambda=1;
xhat=x0;
f=f0;
fhat=f0;
g = g0;
gnorm = norm(g);
%
if (gnorm < 1.e-12) && ~badg % put ~badg 8/4/94
retcode =1;
dxnorm=0;
% gradient convergence
else
% with badg true, we don't try to match rate of improvement to directional
% derivative. We're satisfied just to get some improvement in f.
%
%if(badg)
% dx = -g*FCHANGE/(gnorm*gnorm);
% dxnorm = norm(dx);
% if dxnorm > 1e12
% disp('Bad, small gradient problem.')
% dx = dx*FCHANGE/dxnorm;
% end
%else
% Gauss-Newton step;
%---------- Start of 7/19/93 mod ---------------
%[v d] = eig(H0);
%toc
%d=max(1e-10,abs(diag(d)));
%d=abs(diag(d));
%dx = -(v.*(ones(size(v,1),1)*d'))*(v'*g);
% toc
dx = -H0*g;
% toc
dxnorm = norm(dx);
if dxnorm > 1e12
if dispIndx, disp('Near-singular H problem.'), end
dx = dx*FCHANGE/dxnorm;
end
dfhat = dx'*g0;
%end
%
%
if ~badg
% test for alignment of dx with gradient and fix if necessary
a = -dfhat/(gnorm*dxnorm);
if a<ANGLE
dx = dx - (ANGLE*dxnorm/gnorm+dfhat/(gnorm*gnorm))*g;
% suggested alternate code: ---------------------
dx = dx*dxnorm/norm(dx); % Added 02/19/05 by CAS. This keeps scale invariant to the angle correction
% ------------------------------------------------
dfhat = dx'*g;
% dxnorm = norm(dx); % Removed 02/19/05 by CAS. This line unnecessary with modification that keeps scale invariant
if dispIndx, disp(sprintf('Correct for low angle: %g',a)), end
end
end
if dispIndx, disp(sprintf('Predicted improvement: %18.9f',-dfhat/2)), end
%
% Have OK dx, now adjust length of step (lambda) until min and
% max improvement rate criteria are met.
done=0;
factor=3;
shrink=1;
lambdaMin=0;
lambdaMax=inf;
lambdaPeak=0;
fPeak=f0;
lambdahat=0;
while ~done
if size(x0,2)>1
dxtest=x0+dx'*lambda;
else
dxtest=x0+dx*lambda;
end
% home
f = feval(fcn,dxtest,varargin{:});
%ARGLIST
%f = feval(fcn,dxtest,P1,P2,P3,P4,P5,P6,P7,P8,P9,P10,P11,P12,P13);
% f = feval(fcn,x0+dx*lambda,P1,P2,P3,P4,P5,P6,P7,P8);
if dispIndx, disp(sprintf('lambda = %10.5g; f = %20.7f',lambda,f )), end
%debug
%disp(sprintf('Improvement too great? f0-f: %g, criterion: %g',f0-f,-(1-THETA)*dfhat*lambda))
if f<fhat
fhat=f;
xhat=dxtest;
lambdahat = lambda;
end
fcount=fcount+1;
shrinkSignal = (~badg & (f0-f < max([-THETA*dfhat*lambda 0]))) | (badg & (f0-f) < 0) ;
growSignal = ~badg & ( (lambda > 0) & (f0-f > -(1-THETA)*dfhat*lambda) );
if shrinkSignal && ( (lambda>lambdaPeak) || (lambda<0) )
if (lambda>0) && ((~shrink) || (lambda/factor <= lambdaPeak))
shrink=1;
factor=factor^.6;
while lambda/factor <= lambdaPeak
factor=factor^.6;
end
%if (abs(lambda)*(factor-1)*dxnorm < MINDX) || (abs(lambda)*(factor-1) < MINLAMB)
if abs(factor-1)<MINDFAC
if abs(lambda)<4
retcode=2;
else
retcode=7;
end
done=1;
end
end
if (lambda<lambdaMax) && (lambda>lambdaPeak)
lambdaMax=lambda;
end
lambda=lambda/factor;
if abs(lambda) < MINLAMB
if (lambda > 0) && (f0 <= fhat)
% try going against gradient, which may be inaccurate
if dispIndx, lambda = -lambda*factor^6, end
else
if lambda < 0
retcode = 6;
else
retcode = 3;
end
done = 1;
end
end
elseif (growSignal && lambda>0) || (shrinkSignal && ((lambda <= lambdaPeak) && (lambda>0)))
if shrink
shrink=0;
factor = factor^.6;
%if ( abs(lambda)*(factor-1)*dxnorm< MINDX ) || ( abs(lambda)*(factor-1)< MINLAMB)
if abs(factor-1)<MINDFAC
if abs(lambda)<4
retcode=4;
else
retcode=7;
end
done=1;
end
end
if ( f<fPeak ) && (lambda>0)
fPeak=f;
lambdaPeak=lambda;
if lambdaMax<=lambdaPeak
lambdaMax=lambdaPeak*factor*factor;
end
end
lambda=lambda*factor;
if abs(lambda) > 1e20;
retcode = 5;
done =1;
end
else
done=1;
if factor < 1.2
retcode=7;
else
retcode=0;
end
end
end
end
if dispIndx, disp(sprintf('Norm of dx %10.5g', dxnorm)), end
function [fhat,xhat,fcount,retcode] = csminit(fcn,x0,f0,g0,badg,H0,varargin)
% [fhat,xhat,fcount,retcode] = csminit(fcn,x0,f0,g0,badg,H0,...
% P1,P2,P3,P4,P5,P6,P7,P8)
% retcodes: 0, normal step. 5, largest step still improves too fast.
% 4,2 back and forth adjustment of stepsize didn't finish. 3, smallest
% stepsize still improves too slow. 6, no improvement found. 1, zero
% gradient.
%---------------------
% Modified 7/22/96 to omit variable-length P list, for efficiency and compilation.
% Places where the number of P's need to be altered or the code could be returned to
% its old form are marked with ARGLIST comments.
%
% Fixed 7/17/93 to use inverse-hessian instead of hessian itself in bfgs
% update.
%
% Fixed 7/19/93 to flip eigenvalues of H to get better performance when
% it's not psd.
%
% Fixed 02/19/05 to correct for low angle problems.
%
%tailstr = ')';
%for i=nargin-6:-1:1
% tailstr=[ ',P' num2str(i) tailstr];
%end
% Copyright (C) 1993-2011 Tao Zha and Christopher Sims
%
% This file is part of Dynare.
%
% Dynare is free software: you can redistribute it and/or modify
% it under the terms of the GNU General Public License as published by
% the Free Software Foundation, either version 3 of the License, or
% (at your option) any later version.
%
% Dynare is distributed in the hope that it will be useful,
% but WITHOUT ANY WARRANTY; without even the implied warranty of
% MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the
% GNU General Public License for more details.
%
% You should have received a copy of the GNU General Public License
% along with Dynare. If not, see <http://www.gnu.org/licenses/>.
dispIndx = 0; % 1: turn on all the diplays on the screen; 0: turn off (Added by T. Zha)
%ANGLE = .03; % when output of this variable becomes negative, we have wrong analytical graident
ANGLE = .005; % works for identified VARs and OLS
%THETA = .03;
THETA = .3; %(0<THETA<.5) THETA near .5 makes long line searches, possibly fewer iterations.
FCHANGE = 1000;
MINLAMB = 1e-9;
% fixed 7/15/94
% MINDX = .0001;
% MINDX = 1e-6;
MINDFAC = .01;
fcount=0;
lambda=1;
xhat=x0;
f=f0;
fhat=f0;
g = g0;
gnorm = norm(g);
%
if (gnorm < 1.e-12) && ~badg % put ~badg 8/4/94
retcode =1;
dxnorm=0;
% gradient convergence
else
% with badg true, we don't try to match rate of improvement to directional
% derivative. We're satisfied just to get some improvement in f.
%
%if(badg)
% dx = -g*FCHANGE/(gnorm*gnorm);
% dxnorm = norm(dx);
% if dxnorm > 1e12
% disp('Bad, small gradient problem.')
% dx = dx*FCHANGE/dxnorm;
% end
%else
% Gauss-Newton step;
%---------- Start of 7/19/93 mod ---------------
%[v d] = eig(H0);
%toc
%d=max(1e-10,abs(diag(d)));
%d=abs(diag(d));
%dx = -(v.*(ones(size(v,1),1)*d'))*(v'*g);
% toc
dx = -H0*g;
% toc
dxnorm = norm(dx);
if dxnorm > 1e12
if dispIndx, disp('Near-singular H problem.'), end
dx = dx*FCHANGE/dxnorm;
end
dfhat = dx'*g0;
%end
%
%
if ~badg
% test for alignment of dx with gradient and fix if necessary
a = -dfhat/(gnorm*dxnorm);
if a<ANGLE
dx = dx - (ANGLE*dxnorm/gnorm+dfhat/(gnorm*gnorm))*g;
% suggested alternate code: ---------------------
dx = dx*dxnorm/norm(dx); % Added 02/19/05 by CAS. This keeps scale invariant to the angle correction
% ------------------------------------------------
dfhat = dx'*g;
% dxnorm = norm(dx); % Removed 02/19/05 by CAS. This line unnecessary with modification that keeps scale invariant
if dispIndx, disp(sprintf('Correct for low angle: %g',a)), end
end
end
if dispIndx, disp(sprintf('Predicted improvement: %18.9f',-dfhat/2)), end
%
% Have OK dx, now adjust length of step (lambda) until min and
% max improvement rate criteria are met.
done=0;
factor=3;
shrink=1;
lambdaMin=0;
lambdaMax=inf;
lambdaPeak=0;
fPeak=f0;
lambdahat=0;
while ~done
if size(x0,2)>1
dxtest=x0+dx'*lambda;
else
dxtest=x0+dx*lambda;
end
% home
f = feval(fcn,dxtest,varargin{:});
%ARGLIST
%f = feval(fcn,dxtest,P1,P2,P3,P4,P5,P6,P7,P8,P9,P10,P11,P12,P13);
% f = feval(fcn,x0+dx*lambda,P1,P2,P3,P4,P5,P6,P7,P8);
if dispIndx, disp(sprintf('lambda = %10.5g; f = %20.7f',lambda,f )), end
%debug
%disp(sprintf('Improvement too great? f0-f: %g, criterion: %g',f0-f,-(1-THETA)*dfhat*lambda))
if f<fhat
fhat=f;
xhat=dxtest;
lambdahat = lambda;
end
fcount=fcount+1;
shrinkSignal = (~badg & (f0-f < max([-THETA*dfhat*lambda 0]))) | (badg & (f0-f) < 0) ;
growSignal = ~badg & ( (lambda > 0) & (f0-f > -(1-THETA)*dfhat*lambda) );
if shrinkSignal && ( (lambda>lambdaPeak) || (lambda<0) )
if (lambda>0) && ((~shrink) || (lambda/factor <= lambdaPeak))
shrink=1;
factor=factor^.6;
while lambda/factor <= lambdaPeak
factor=factor^.6;
end
%if (abs(lambda)*(factor-1)*dxnorm < MINDX) || (abs(lambda)*(factor-1) < MINLAMB)
if abs(factor-1)<MINDFAC
if abs(lambda)<4
retcode=2;
else
retcode=7;
end
done=1;
end
end
if (lambda<lambdaMax) && (lambda>lambdaPeak)
lambdaMax=lambda;
end
lambda=lambda/factor;
if abs(lambda) < MINLAMB
if (lambda > 0) && (f0 <= fhat)
% try going against gradient, which may be inaccurate
if dispIndx, lambda = -lambda*factor^6, end
else
if lambda < 0
retcode = 6;
else
retcode = 3;
end
done = 1;
end
end
elseif (growSignal && lambda>0) || (shrinkSignal && ((lambda <= lambdaPeak) && (lambda>0)))
if shrink
shrink=0;
factor = factor^.6;
%if ( abs(lambda)*(factor-1)*dxnorm< MINDX ) || ( abs(lambda)*(factor-1)< MINLAMB)
if abs(factor-1)<MINDFAC
if abs(lambda)<4
retcode=4;
else
retcode=7;
end
done=1;
end
end
if ( f<fPeak ) && (lambda>0)
fPeak=f;
lambdaPeak=lambda;
if lambdaMax<=lambdaPeak
lambdaMax=lambdaPeak*factor*factor;
end
end
lambda=lambda*factor;
if abs(lambda) > 1e20;
retcode = 5;
done =1;
end
else
done=1;
if factor < 1.2
retcode=7;
else
retcode=0;
end
end
end
end
if dispIndx, disp(sprintf('Norm of dx %10.5g', dxnorm)), end
This diff is collapsed.
function of = fn_a0freefun(b,Ui,nvar,n0,fss,H0inv)
% of = fn_a0freefun(b,Ui,nvar,n0,fss,H0inv)
%
% Negative logPosterior function for squeesed A0 free parameters, which are b's in the WZ notation
% Note: columns correspond to equations
%
% b: sum(n0)-by-1 vector of A0 free parameters
% Ui: nvar-by-1 cell. In each cell, nvar-by-qi orthonormal basis for the null of the ith
% equation contemporaneous restriction matrix where qi is the number of free parameters.
% With this transformation, we have ai = Ui*bi or Ui'*ai = bi where ai is a vector
% of total original parameters and bi is a vector of free parameters. When no
% restrictions are imposed, we have Ui = I. There must be at least one free
% parameter left for the ith equation.
% nvar: number of endogeous variables
% n0: nvar-by-1, ith element represents the number of free A0 parameters in ith equation
% fss: nSample-lags (plus ndobs if dummies are included)
% H0inv: cell(nvar,1). In each cell, posterior inverse of covariance inv(H0) for the ith equation,
% resembling old SpH in the exponent term in posterior of A0, but not divided by T yet.
%----------------
% of: objective function (negative logPosterior)
%
% Tao Zha, February 2000
% Copyright (C) 2000-2011 Tao Zha
%
% This file is part of Dynare.
%
% Dynare is free software: you can redistribute it and/or modify
% it under the terms of the GNU General Public License as published by
% the Free Software Foundation, either version 3 of the License, or
% (at your option) any later version.
%
% Dynare is distributed in the hope that it will be useful,
% but WITHOUT ANY WARRANTY; without even the implied warranty of
% MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the
% GNU General Public License for more details.
%
% You should have received a copy of the GNU General Public License
% along with Dynare. If not, see <http://www.gnu.org/licenses/>.
b=b(:); n0=n0(:);
A0 = zeros(nvar);
n0cum = [0;cumsum(n0)];
tra = 0.0;
for kj = 1:nvar
bj = b(n0cum(kj)+1:n0cum(kj+1));
A0(:,kj) = Ui{kj}*bj;
tra = tra + 0.5*bj'*H0inv{kj}*bj; % negative exponential term
end
[A0l,A0u] = lu(A0);
ada = -fss*sum(log(abs(diag(A0u)))); % negative log determinant of A0 raised to power T
of = ada + tra;
function of = fn_a0freefun(b,Ui,nvar,n0,fss,H0inv)
% of = fn_a0freefun(b,Ui,nvar,n0,fss,H0inv)
%
% Negative logPosterior function for squeesed A0 free parameters, which are b's in the WZ notation
% Note: columns correspond to equations
%
% b: sum(n0)-by-1 vector of A0 free parameters
% Ui: nvar-by-1 cell. In each cell, nvar-by-qi orthonormal basis for the null of the ith
% equation contemporaneous restriction matrix where qi is the number of free parameters.
% With this transformation, we have ai = Ui*bi or Ui'*ai = bi where ai is a vector
% of total original parameters and bi is a vector of free parameters. When no
% restrictions are imposed, we have Ui = I. There must be at least one free
% parameter left for the ith equation.
% nvar: number of endogeous variables
% n0: nvar-by-1, ith element represents the number of free A0 parameters in ith equation