From b0358b99395b6ec7253576baf5890c60328a4d6b Mon Sep 17 00:00:00 2001
From: Johannes Pfeifer <jpfeifer@gmx.de>
Date: Sun, 27 Aug 2023 13:32:45 +0200
Subject: [PATCH] dynare_solve.m: add option to disable randomization of
starting value
---
matlab/default_option_values.m | 1 +
matlab/dynare_solve.m | 63 +++++++++++++++++-----------------
2 files changed, 33 insertions(+), 31 deletions(-)
diff --git a/matlab/default_option_values.m b/matlab/default_option_values.m
index 712fd6ef18..ca98027a22 100644
--- a/matlab/default_option_values.m
+++ b/matlab/default_option_values.m
@@ -52,6 +52,7 @@ options_.lyapunov_complex_threshold = 1e-15;
options_.solve_algo = 4;
options_.solve_tolf = eps^(1/3);
options_.solve_tolx = eps^(2/3);
+options_.solve_randomize_initial_guess = true;
options_.trust_region_initial_step_bound_factor = 1;
options_.dr_display_tol=1e-6;
options_.minimal_workspace = false;
diff --git a/matlab/dynare_solve.m b/matlab/dynare_solve.m
index c0a3fd41ff..944a3806c4 100644
--- a/matlab/dynare_solve.m
+++ b/matlab/dynare_solve.m
@@ -59,7 +59,6 @@ else
end
% checking initial values
-% TODO We should have an option to deactivate the randomization.
if jacobian_flag
[fvec, fjac] = feval(f, x, varargin{:});
wrong_initial_guess_flag = false;
@@ -70,36 +69,38 @@ if jacobian_flag
errorcode = -11;
return;
end
- if any(~isreal(fvec)) || any(~isreal(fjac(:)))
- disp_verbose('dynare_solve: starting value results in complex values. Randomize initial guess...', options.verbosity)
- else
- disp_verbose('dynare_solve: starting value results in nonfinite/NaN value. Randomize initial guess...', options.verbosity)
- end
- % Let's try random numbers for the variables initialized with the default value.
- wrong_initial_guess_flag = true;
- % First try with positive numbers.
- tentative_number = 0;
- while wrong_initial_guess_flag && tentative_number<=in0*10
- tentative_number = tentative_number+1;
- x(idx) = rand(in0, 1)*10;
- [fvec, fjac] = feval(f, x, varargin{:});
- wrong_initial_guess_flag = ~all(isfinite(fvec)) || any(isinf(fjac(:))) || any(isnan((fjac(:))));
- end
- % If all previous attempts failed, try with real numbers.
- tentative_number = 0;
- while wrong_initial_guess_flag && tentative_number<=in0*10
- tentative_number = tentative_number+1;
- x(idx) = randn(in0, 1)*10;
- [fvec, fjac] = feval(f, x, varargin{:});
- wrong_initial_guess_flag = ~all(isfinite(fvec)) || any(isinf(fjac(:))) || any(isnan((fjac(:))));
- end
- % Last tentative, ff all previous attempts failed, try with negative numbers.
- tentative_number = 0;
- while wrong_initial_guess_flag && tentative_number<=in0*10
- tentative_number = tentative_number+1;
- x(idx) = -rand(in0, 1)*10;
- [fvec, fjac] = feval(f, x, varargin{:});
- wrong_initial_guess_flag = ~all(isfinite(fvec)) || any(isinf(fjac(:))) || any(isnan((fjac(:))));
+ if options.solve_randomize_initial_guess
+ if any(~isreal(fvec)) || any(~isreal(fjac(:)))
+ disp_verbose('dynare_solve: starting value results in complex values. Randomize initial guess...', options.verbosity)
+ else
+ disp_verbose('dynare_solve: starting value results in nonfinite/NaN value. Randomize initial guess...', options.verbosity)
+ end
+ % Let's try random numbers for the variables initialized with the default value.
+ wrong_initial_guess_flag = true;
+ % First try with positive numbers.
+ tentative_number = 0;
+ while wrong_initial_guess_flag && tentative_number<=in0*10
+ tentative_number = tentative_number+1;
+ x(idx) = rand(in0, 1)*10;
+ [fvec, fjac] = feval(f, x, varargin{:});
+ wrong_initial_guess_flag = ~all(isfinite(fvec)) || any(isinf(fjac(:))) || any(isnan((fjac(:))));
+ end
+ % If all previous attempts failed, try with real numbers.
+ tentative_number = 0;
+ while wrong_initial_guess_flag && tentative_number<=in0*10
+ tentative_number = tentative_number+1;
+ x(idx) = randn(in0, 1)*10;
+ [fvec, fjac] = feval(f, x, varargin{:});
+ wrong_initial_guess_flag = ~all(isfinite(fvec)) || any(isinf(fjac(:))) || any(isnan((fjac(:))));
+ end
+ % Last tentative, ff all previous attempts failed, try with negative numbers.
+ tentative_number = 0;
+ while wrong_initial_guess_flag && tentative_number<=in0*10
+ tentative_number = tentative_number+1;
+ x(idx) = -rand(in0, 1)*10;
+ [fvec, fjac] = feval(f, x, varargin{:});
+ wrong_initial_guess_flag = ~all(isfinite(fvec)) || any(isinf(fjac(:))) || any(isnan((fjac(:))));
+ end
end
end
else
--
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