From 00757767166083f0c2514f147b73545f75322dc9 Mon Sep 17 00:00:00 2001
From: Johannes Pfeifer <jpfeifer@gmx.de>
Date: Thu, 21 Nov 2019 11:32:13 +0100
Subject: [PATCH] Laplace approximation: filter out non-positive definite
Hessians
Closes https://git.dynare.org/Dynare/dynare/issues/1659
---
matlab/dynare_estimation_1.m | 10 +++++++---
1 file changed, 7 insertions(+), 3 deletions(-)
diff --git a/matlab/dynare_estimation_1.m b/matlab/dynare_estimation_1.m
index 933321d9bb..f46f684915 100644
--- a/matlab/dynare_estimation_1.m
+++ b/matlab/dynare_estimation_1.m
@@ -365,9 +365,13 @@ if any(bayestopt_.pshape > 0) && ~options_.mh_posterior_mode_estimation
% Laplace approximation to the marginal log density:
if options_.cova_compute
estim_params_nbr = size(xparam1,1);
- log_det_invhess = log(det(invhess./(stdh*stdh')))+2*sum(log(stdh));
- likelihood = feval(objective_function,xparam1,dataset_,dataset_info,options_,M_,estim_params_,bayestopt_,bounds,oo_);
- oo_.MarginalDensity.LaplaceApproximation = .5*estim_params_nbr*log(2*pi) + .5*log_det_invhess - likelihood;
+ if ispd(invhess)
+ log_det_invhess = log(det(invhess./(stdh*stdh')))+2*sum(log(stdh));
+ likelihood = feval(objective_function,xparam1,dataset_,dataset_info,options_,M_,estim_params_,bayestopt_,bounds,oo_);
+ oo_.MarginalDensity.LaplaceApproximation = .5*estim_params_nbr*log(2*pi) + .5*log_det_invhess - likelihood;
+ else
+ oo_.MarginalDensity.LaplaceApproximation = NaN;
+ end
skipline()
disp(sprintf('Log data density [Laplace approximation] is %f.',oo_.MarginalDensity.LaplaceApproximation))
skipline()
--
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