From a7c4b76e73a632ac946f57e372f9d253c66fc9ca Mon Sep 17 00:00:00 2001
From: Johannes Pfeifer <jpfeifer@gmx.de>
Date: Tue, 28 Jan 2025 17:27:18 +0100
Subject: [PATCH] fix to #1935. Forced options_.analytic_derivation=-1; must be
set before entering dynare_minimize_objective
Cherry pick of 3da4d77f
---
matlab/estimation/dynare_estimation_1.m | 11 ++++++++++-
matlab/optimization/dynare_minimize_objective.m | 5 -----
2 files changed, 10 insertions(+), 6 deletions(-)
diff --git a/matlab/estimation/dynare_estimation_1.m b/matlab/estimation/dynare_estimation_1.m
index 9c9947a3c3..21ccfa5421 100644
--- a/matlab/estimation/dynare_estimation_1.m
+++ b/matlab/estimation/dynare_estimation_1.m
@@ -234,7 +234,13 @@ if ~isequal(options_.mode_compute,0) && ~options_.mh_posterior_mode_estimation &
optimizer_vec = [options_.mode_compute;num2cell(options_.additional_optimizer_steps)];
for optim_iter = 1:length(optimizer_vec)
current_optimizer = optimizer_vec{optim_iter};
- if current_optimizer~=11
+ if current_optimizer~=11
+ if current_optimizer==5
+ if options_.analytic_derivation
+ old_analytic_derivation = options_.analytic_derivation;
+ options_.analytic_derivation=-1; %force analytic outer product gradient hessian for each iteration
+ end
+ end
[xparam1, fval, ~, hh, options_, Scale, new_rat_hess_info] = dynare_minimize_objective(objective_function,xparam1,current_optimizer,options_,[bounds.lb bounds.ub],bayestopt_.name,bayestopt_,hh,dataset_,dataset_info,options_,M_,estim_params_,bayestopt_,bounds,oo_.dr, oo_.steady_state,oo_.exo_steady_state,oo_.exo_det_steady_state);
else
[xparam1, fval, ~, hh, options_, Scale, new_rat_hess_info] = dynare_minimize_objective(objective_function,xparam1,current_optimizer,options_,[bounds.lb bounds.ub],bayestopt_.name,bayestopt_,hh,dataset_,dataset_info,options_,M_,estim_params_,bayestopt_,bounds,oo_);
@@ -245,6 +251,9 @@ if ~isequal(options_.mode_compute,0) && ~options_.mh_posterior_mode_estimation &
if current_optimizer==5
newratflag = new_rat_hess_info.newratflag;
new_rat_hess_info = new_rat_hess_info.new_rat_hess_info;
+ if options_.analytic_derivation
+ options_.analytic_derivation = old_analytic_derivation;
+ end
elseif current_optimizer==6 %save scaling factor
save([M_.dname filesep 'Output' filesep M_.fname '_optimal_mh_scale_parameter.mat'],'Scale');
options_.mh_jscale = Scale;
diff --git a/matlab/optimization/dynare_minimize_objective.m b/matlab/optimization/dynare_minimize_objective.m
index 990f9b146e..9fe8028c27 100644
--- a/matlab/optimization/dynare_minimize_objective.m
+++ b/matlab/optimization/dynare_minimize_objective.m
@@ -277,8 +277,6 @@ switch minimizer_algorithm
prior_information.p2=NaN(n_params,1);
end
if options_.analytic_derivation
- old_analytic_derivation = options_.analytic_derivation;
- options_.analytic_derivation=-1; %force analytic outer product gradient hessian for each iteration
analytic_grad=1;
crit = options_.newrat.tolerance.f_analytic;
newratflag = 0; %analytical Hessian
@@ -340,9 +338,6 @@ switch minimizer_algorithm
[opt_par_values,hessian_mat,~,fval,~,new_rat_hess_info] = newrat(objective_function,start_par_value,bounds,analytic_grad,crit,nit,0,Verbose,Save_files,hess_info,prior_information.p2,options_.gradient_epsilon,parameter_names,varargin{:}); %hessian_mat is the plain outer product gradient Hessian
new_rat_hess_info.new_rat_hess_info = new_rat_hess_info;
new_rat_hess_info.newratflag = newratflag;
- if options_.analytic_derivation
- options_.analytic_derivation = old_analytic_derivation;
- end
case 6
if isempty(prior_information) %Inf will be reset
prior_information.p2=Inf(n_params,1);
--
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