From 0718a3eb2584462d3a7a4a8405c167f979ff77bf Mon Sep 17 00:00:00 2001 From: Johannes Pfeifer Date: Fri, 22 Jan 2021 20:09:32 +0100 Subject: [PATCH] dynare_minimize_objective: fix use of analytic derivatives by employing wrapper function --- .../optimization/dynare_minimize_objective.m | 89 +++++++++++++------ 1 file changed, 61 insertions(+), 28 deletions(-) diff --git a/matlab/optimization/dynare_minimize_objective.m b/matlab/optimization/dynare_minimize_objective.m index 235bc43fe..8025d5732 100644 --- a/matlab/optimization/dynare_minimize_objective.m +++ b/matlab/optimization/dynare_minimize_objective.m @@ -77,24 +77,37 @@ switch minimizer_algorithm % is not able to even move away from the initial point. optim_options = optimoptions(optim_options, 'Algorithm','active-set'); end + if options_.analytic_derivation || options_.mom.analytic_jacobian==1 + optim_options = optimoptions(optim_options,'GradObj','on','TolX',1e-7); %alter default TolX + end if ~isempty(options_.optim_opt) eval(['optim_options = optimoptions(optim_options,' options_.optim_opt ');']); end if options_.silent_optimizer optim_options = optimoptions(optim_options,'display','off'); end - if options_.analytic_derivation - optim_options = optimoptions(optim_options,'GradObj','on','TolX',1e-7); %alter default TolX - end - if ~isoctave - [opt_par_values,fval,exitflag,output,lamdba,grad,hessian_mat] = ... - fmincon(objective_function,start_par_value,[],[],[],[],bounds(:,1),bounds(:,2),[],optim_options,varargin{:}); + if options_.analytic_derivation || options_.mom.analytic_jacobian==1 %use wrapper + func = @(x) analytic_gradient_wrapper(x,objective_function,varargin{:}); + if ~isoctave + [opt_par_values,fval,exitflag,output,lamdba,grad,hessian_mat] = ... + fmincon(func,start_par_value,[],[],[],[],bounds(:,1),bounds(:,2),[],optim_options); + else + % Under Octave, use a wrapper, since fmincon() does not have an 11th + % arg. Also, only the first 4 output arguments are available. + [opt_par_values,fval,exitflag,output] = ... + fmincon(func,start_par_value,[],[],[],[],bounds(:,1),bounds(:,2),[],optim_options); + end else - % Under Octave, use a wrapper, since fmincon() does not have an 11th - % arg. Also, only the first 4 output arguments are available. - func = @(x) objective_function(x,varargin{:}); - [opt_par_values,fval,exitflag,output] = ... - fmincon(func,start_par_value,[],[],[],[],bounds(:,1),bounds(:,2),[],optim_options); + if ~isoctave + [opt_par_values,fval,exitflag,output,lamdba,grad,hessian_mat] = ... + fmincon(objective_function,start_par_value,[],[],[],[],bounds(:,1),bounds(:,2),[],optim_options,varargin{:}); + else + % Under Octave, use a wrapper, since fmincon() does not have an 11th + % arg. Also, only the first 4 output arguments are available. + func = @(x) objective_function(x,varargin{:}); + [opt_par_values,fval,exitflag,output] = ... + fmincon(func,start_par_value,[],[],[],[],bounds(:,1),bounds(:,2),[],optim_options); + end end case 2 @@ -159,20 +172,28 @@ switch minimizer_algorithm if ~isempty(options_.optim_opt) eval(['optim_options = optimoptions(optim_options,' options_.optim_opt ');']); end - if options_.analytic_derivation - optim_options = optimoptions(optim_options,'GradObj','on'); - end if options_.silent_optimizer optim_options = optimoptions(optim_options,'display','off'); end - if ~isoctave - [opt_par_values,fval,exitflag] = fminunc(objective_function,start_par_value,optim_options,varargin{:}); + if options_.analytic_derivation || options_.mom.analytic_jacobian==1 + optim_options = optimoptions(optim_options,'GradObj','on'); + if ~isoctave + func = @(x) analytic_gradient_wrapper(x,objective_function,varargin{:}); + [opt_par_values,fval,exitflag] = fminunc(func,start_par_value,optim_options); + else + % Under Octave, use a wrapper, since fminunc() does not have a 4th arg + func = @(x) analytic_gradient_wrapper(x,objective_function,varargin{:}); + [opt_par_values,fval,exitflag] = fminunc(func,start_par_value,optim_options); + end else - % Under Octave, use a wrapper, since fminunc() does not have a 4th arg - func = @(x) objective_function(x,varargin{:}); - [opt_par_values,fval,exitflag] = fminunc(func,start_par_value,optim_options); + if ~isoctave + [opt_par_values,fval,exitflag] = fminunc(objective_function,start_par_value,optim_options,varargin{:}); + else + % Under Octave, use a wrapper, since fminunc() does not have a 4th arg + func = @(x) objective_function(x,varargin{:}); + [opt_par_values,fval,exitflag] = fminunc(func,start_par_value,optim_options); + end end - case 4 % Set default options. H0 = 1e-4*eye(n_params); @@ -505,7 +526,12 @@ switch minimizer_algorithm if options_.silent_optimizer solveoptoptions.verbosity = 0; end - [opt_par_values,fval]=solvopt(start_par_value,objective_function,[],[],[],solveoptoptions,varargin{:}); + if options_.analytic_derivation || options_.mom.analytic_jacobian==1 + func = @(x) analytic_gradient_wrapper(x,objective_function,varargin{:}); + [opt_par_values,fval]=solvopt(start_par_value,func,1,[],[],solveoptoptions); + else + [opt_par_values,fval]=solvopt(start_par_value,objective_function,[],[],[],solveoptoptions,varargin{:}); + end case 102 if isoctave error('Optimization algorithm 2 is not available under Octave') @@ -534,15 +560,22 @@ switch minimizer_algorithm eval(['optim_options = optimoptions(optim_options,' options_.optim_opt ');']); end if options_.silent_optimizer - optim_options = optimoptions(optim_options,'Display','off'); + optim_options.Display='off'; end - if ~isoctave - [opt_par_values,Resnorm,fval,exitflag,OUTPUT,LAMBDA,JACOB] = lsqnonlin(objective_function,start_par_value,bounds(:,1),bounds(:,2),optim_options,varargin{:}); + if options_.analytic_derivation || options_.mom.analytic_jacobian==1 + optim_options.SpecifyObjectiveGradient=true; + func = @(x) analytic_gradient_wrapper(x,objective_function,varargin{:}); + [opt_par_values,Resnorm,fval,exitflag,OUTPUT,LAMBDA,JACOB] = ... + lsqnonlin(func,start_par_value,bounds(:,1),bounds(:,2),optim_options); else - % Under Octave, use a wrapper, since lsqnonlin() does not have a 6th arg - func = @(x)objective_function(x,varargin{:}); - [opt_par_values,Resnorm,fval,exitflag,OUTPUT,LAMBDA,JACOB] = lsqnonlin(func,start_par_value,bounds(:,1),bounds(:,2),optim_options); - end + if ~isoctave + [opt_par_values,Resnorm,fval,exitflag,OUTPUT,LAMBDA,JACOB] = lsqnonlin(objective_function,start_par_value,bounds(:,1),bounds(:,2),optim_options,varargin{:}); + else + % Under Octave, use a wrapper, since lsqnonlin() does not have a 6th arg + func = @(x)objective_function(x,varargin{:}); + [opt_par_values,Resnorm,fval,exitflag,OUTPUT,LAMBDA,JACOB] = lsqnonlin(func,start_par_value,bounds(:,1),bounds(:,2),optim_options); + end + end otherwise if ischar(minimizer_algorithm) if exist(minimizer_algorithm) -- GitLab