From caf0c8e1f8a6bb18e79a050d7ea3f1baa1d424a5 Mon Sep 17 00:00:00 2001
From: =?UTF-8?q?S=C3=A9bastien=20Villemot?= <sebastien@dynare.org>
Date: Thu, 14 Nov 2019 16:03:50 +0100
Subject: [PATCH] Trust region solver: recompute Jacobian only when necessary
Previously, the solver would recompute the Jacobian at every iteration. But, if
an iteration fails, the current point is not moved (only the radius of the
trust region changes), hence it is not necessary to recompute the Jacobian in
that case. This commit implements this optimization.
---
matlab/trust_region.m | 40 ++++++++++++++++++----------------------
1 file changed, 18 insertions(+), 22 deletions(-)
diff --git a/matlab/trust_region.m b/matlab/trust_region.m
index f4b445cc7b..b0e8566dbd 100644
--- a/matlab/trust_region.m
+++ b/matlab/trust_region.m
@@ -25,7 +25,7 @@ function [x,check,info] = trust_region(fcn,x0,j1,j2,jacobian_flag,gstep,tolf,tol
% none
% Copyright (C) 2008-2012 VZLU Prague, a.s.
-% Copyright (C) 2014-2017 Dynare Team
+% Copyright (C) 2014-2019 Dynare Team
%
% This file is part of Dynare.
%
@@ -65,24 +65,27 @@ info = 0;
fvec = fcn (x, varargin{:});
fvec = fvec(j1);
fn = norm (fvec);
+recompute_jacobian = true;
% Outer loop.
while (niter < maxiter && ~info)
- % Calculate function value and Jacobian (possibly via FD).
- if jacobian_flag
- [fvec, fjac] = fcn (x, varargin{:});
- fvec = fvec(j1);
- fjac = fjac(j1,j2);
- else
- dh = max(abs(x(j2)),gstep(1)*ones(n,1))*eps^(1/3);
+ % Calculate Jacobian (possibly via FD).
+ if recompute_jacobian
+ if jacobian_flag
+ [~, fjac] = fcn (x, varargin{:});
+ fjac = fjac(j1,j2);
+ else
+ dh = max(abs(x(j2)),gstep(1)*ones(n,1))*eps^(1/3);
- for j = 1:n
- xdh = x ;
- xdh(j2(j)) = xdh(j2(j))+dh(j) ;
- t = fcn(xdh,varargin{:});
- fjac(:,j) = (t(j1) - fvec)./dh(j) ;
+ for j = 1:n
+ xdh = x ;
+ xdh(j2(j)) = xdh(j2(j))+dh(j) ;
+ t = fcn(xdh,varargin{:});
+ fjac(:,j) = (t(j1) - fvec)./dh(j) ;
+ end
end
+ recompute_jacobian = false;
end
% Get column norms, use them as scaling factors.
@@ -164,20 +167,13 @@ while (niter < maxiter && ~info)
xn = norm (dg .* x(j2));
fvec = fvec1;
fn = fn1;
+ recompute_jacobian = true;
end
niter = niter + 1;
- % Tests for termination conditions. A mysterious place, anything
- % can happen if you change something here...
-
- % The rule of thumb (which I'm not sure M*b is quite following)
- % is that for a tolerance that depends on scaling, only 0 makes
- % sense as a default value. But 0 usually means uselessly long
- % iterations, so we need scaling-independent tolerances wherever
- % possible.
-
+ % Tests for termination condition
if (fn <= tolf)
info = 1;
end
--
GitLab