From c7b47c349d052b622ef2f450b703eccf074a4465 Mon Sep 17 00:00:00 2001
From: Marco Ratto <marco.ratto@ec.europa.eu>
Date: Thu, 14 Dec 2023 19:08:26 +0100
Subject: [PATCH] initialize robust to false and fixed indentation of
mr_gstep.m
---
matlab/default_option_values.m | 2 +-
matlab/optimization/mr_gstep.m | 80 +++++++++++++++++-----------------
2 files changed, 41 insertions(+), 41 deletions(-)
diff --git a/matlab/default_option_values.m b/matlab/default_option_values.m
index 87721dfad9..2ca5507d4e 100644
--- a/matlab/default_option_values.m
+++ b/matlab/default_option_values.m
@@ -564,7 +564,7 @@ options_.csminwel=csminwel;
%newrat optimization routine
newrat.hess=1; % dynare numerical hessian
-newrat.robust=0;
+newrat.robust=false;
newrat.tolerance.f=1e-5;
newrat.tolerance.f_analytic=1e-7;
newrat.tolerance.gstep = NaN;
diff --git a/matlab/optimization/mr_gstep.m b/matlab/optimization/mr_gstep.m
index 02ff7ac529..a119dee390 100644
--- a/matlab/optimization/mr_gstep.m
+++ b/matlab/optimization/mr_gstep.m
@@ -75,11 +75,11 @@ while i<n
if gg(i)*(hh(i)*gg(i))/2 > htol(i)
[ff, xx,fcount,retcode] = csminit1(func0,x,penalty,f0,gg,0,diag(hh),Verbose,varargin{:});
if retcode && robust
-% do_nothing=true;
+
if abs(x(i))<1.e-6
- xa=transpose(linspace(x(i)/2, sign(x(i))*1.e-6*3/2, 7));
+ xa=transpose(linspace(x(i)/2, sign(x(i))*1.e-6*3/2, 7));
else
- xa=transpose(linspace(x(i)/2, x(i)*3/2, 7));
+ xa=transpose(linspace(x(i)/2, x(i)*3/2, 7));
end
for k=1:7
xh1(i)=xa(k);
@@ -100,48 +100,48 @@ while i<n
end
ig(i)=1;
if robust
- if not(isequal(xx , check_bounds(xx,bounds)))
- xx = check_bounds(xx,bounds);
- if xx(i)<x(i)
- % lower bound
- xx(i) = min(xx(i)+h1(i), 0.5*(xx(i)+x(i)));
+ if not(isequal(xx , check_bounds(xx,bounds)))
+ xx = check_bounds(xx,bounds);
+ if xx(i)<x(i)
+ % lower bound
+ xx(i) = min(xx(i)+h1(i), 0.5*(xx(i)+x(i)));
+ else
+ % upper bound
+ xx(i) = max(xx(i)-h1(i), 0.5*(xx(i)+x(i)));
+ end
+ [ff,exit_flag]=penalty_objective_function(xx,func0,penalty,varargin{:});
+ if exit_flag~=1
+ disp('last step exited with bad status!')
+ elseif ff<f0
+ f0=ff;
+ x=xx;
+ end
else
- % upper bound
- xx(i) = max(xx(i)-h1(i), 0.5*(xx(i)+x(i)));
- end
- [ff,exit_flag]=penalty_objective_function(xx,func0,penalty,varargin{:});
- if exit_flag~=1
- disp('last step exited with bad status!')
- elseif ff<f0
- f0=ff;
- x=xx;
- end
- else
- % check improvement wrt predicted one
- if abs(f0-ff) < abs(gg(i)*(hh(i)*gg(i))/2/100) || abs(x(i)-xx(i))<1.e-10
- [ff1, xx1, fcount, retcode] = csminit1(func0,x,penalty,f0,-gg,0,diag(hh),Verbose,varargin{:});
- if not(isequal(xx1 , check_bounds(xx1,bounds)))
- xx1 = check_bounds(xx1,bounds);
- if xx1(i)<x(i)
- % lower bound
- xx1(i) = min(xx1(i)+h1(i), 0.5*(xx1(i)+x(i)));
- else
- % upper bound
- xx1(i) = max(xx1(i)-h1(i), 0.5*(xx1(i)+x(i)));
+ % check improvement wrt predicted one
+ if abs(f0-ff) < abs(gg(i)*(hh(i)*gg(i))/2/100) || abs(x(i)-xx(i))<1.e-10
+ [ff1, xx1, fcount, retcode] = csminit1(func0,x,penalty,f0,-gg,0,diag(hh),Verbose,varargin{:});
+ if not(isequal(xx1 , check_bounds(xx1,bounds)))
+ xx1 = check_bounds(xx1,bounds);
+ if xx1(i)<x(i)
+ % lower bound
+ xx1(i) = min(xx1(i)+h1(i), 0.5*(xx1(i)+x(i)));
+ else
+ % upper bound
+ xx1(i) = max(xx1(i)-h1(i), 0.5*(xx1(i)+x(i)));
+ end
+ [ff1,exit_flag]=penalty_objective_function(xx1,func0,penalty,varargin{:});
+ if exit_flag~=1
+ disp('last step exited with bad status!')
+ end
end
- [ff1,exit_flag]=penalty_objective_function(xx1,func0,penalty,varargin{:});
- if exit_flag~=1
- disp('last step exited with bad status!')
+ if ff1<ff
+ ff=ff1;
+ xx=xx1;
end
end
- if ff1<ff
- ff=ff1;
- xx=xx1;
- end
+ f0=ff;
+ x=xx;
end
- f0=ff;
- x=xx;
- end
else
f0=ff;
x=xx;
--
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