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41 results

numgrad5.m

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  • Forked from Dynare / dynare
    9411 commits behind the upstream repository.
    numgrad5.m 1.67 KiB
    function [g, badg] = numgrad5(fcn,f0,x,epsilon,varargin)
    % Computes the gradient of the objective function fcn using a five points
    % formula if possible.
    %
    % Adapted from Sims' numgrad.m routine.
    %
    % See section 25.3.6 Abramovitz and Stegun (1972, Tenth Printing, December) Handbook of Mathematical Functions.
    % http://www.math.sfu.ca/~cbm/aands/
    %
    % TODO Try Four points formula when cost_flag3=0 or cost_flag4=0.
    
    % Original file downloaded from:
    % http://sims.princeton.edu/yftp/optimize/mfiles/numgrad.m
    
    % Copyright (C) 1993-2007 Christopher Sims
    % Copyright (C) 2008-2014 Dynare Team
    
    % This file is part of Dynare.
    %
    % Dynare is free software: you can redistribute it and/or modify
    % it under the terms of the GNU General Public License as published by
    % the Free Software Foundation, either version 3 of the License, or
    % (at your option) any later version.
    %
    % Dynare is distributed in the hope that it will be useful,
    % but WITHOUT ANY WARRANTY; without even the implied warranty of
    % MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE.  See the
    % GNU General Public License for more details.
    %
    % You should have received a copy of the GNU General Public License
    % along with Dynare.  If not, see <http://www.gnu.org/licenses/>.
    
    h = epsilon;
    n = length(x);
    g = zeros(n,1);
    H = 12*h;
    
    badg = 0;
    
    for i=1:n
        xiold = x(i);
        x(i) = xiold+h;
        f1 = feval(fcn, x, varargin{:});
        x(i) = xiold-h;
        f2 = feval(fcn, x, varargin{:});
        x(i) = xiold+2*h;
        f3 = feval(fcn, x, varargin{:});
        x(i) = xiold-2*h;
        f4 = feval(fcn, x, varargin{:});
        g0 = (8*(f1-f2)+f4-f3)/H;
        if abs(g0)< 1e15
            g(i) = g0;
        else
            g(i) = 0;
            badg = 1;
        end
        x(i) = xiold;
    end