Commit 4ce4242d authored by Stéphane Adjemian's avatar Stéphane Adjemian
Browse files

Added new numgrad* routines (h specific to each direction).

parent 3589c04f
function [g, badg] = numgrad2_(fcn,f0,x,epsilon,scale,varargin)
% function [g badg] = numgrad2(fcn,xvarargin)
% Original file downloaded from:
% http://sims.princeton.edu/yftp/optimize/mfiles/numgrad.m
% Copyright (C) 1993-2007 Christopher Sims
% Copyright (C) 2012 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/>.
fh = NaN;
delta = epsilon*max(abs(x));
n = length(x);
g = zeros(n,1);
badg=0;
goog=1;
g0 = 0;
for i=1:n
xiold = x(i);
h = step_length_correction(xiold,scale,i)*delta;
x(i) = xiold + h;
[fh,junk1,junk2,cost_flag] = feval(fcn, x, varargin{:});
if cost_flag
g0 = (fh - f0)/h;
else
x(i) = xiold - h;
[fh,junk1,junk2,cost_flag] = feval(fcn, x, varargin{:});
if cost_flag
g0 = (f0-fh)/h;
else
goog = 0;
end
end
if goog && abs(g0)< 1e15
g(i) = g0;
else
disp('bad gradient ------------------------')
% fprintf('Gradient w.r.t. %3d: %10g\n',i,g0)
g(i) = 0;
badg = 1;
end
x(i) = xiold;
end
\ No newline at end of file
function [g, badg, f0, f1, f2] = numgrad3_(fcn,f0,x,epsilon,scale,varargin)
% Computes the gradient of the objective function fcn using a three points
% formula if possible.
%
% Adapted from Sims' numgrad routine.
%
% See section 25.3.4 in Abramovitz and Stegun (1972, Tenth Printing, December) Handbook of Mathematical Functions.
% http://www.math.sfu.ca/~cbm/aands/
% Original file downloaded from:
% http://sims.princeton.edu/yftp/optimize/mfiles/numgrad.m
% Copyright (C) 1993-2007 Christopher Sims
% Copyright (C) 2008-2012 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/>.
f1 = NaN;
f2 = NaN;
delta = epsilon;
n = length(x);
g = zeros(n,1);
badg=0;
goog=1;
zgrad = 1;
for i=1:n
xiold = x(i);
h = step_length_correction(xiold,scale,i)*delta;
x(i) = xiold + h;
[f1,junk1,junk2,cost_flag1] = feval(fcn, x, varargin{:});
x(i) = xiold - h;
[f2,junk1,junk2,cost_flag2] = feval(fcn, x, varargin{:});
if cost_flag1 && cost_flag2
g0 = (f1 - f2) / (2*h);
if zgrad && f1>f0 && f2>f0 % Note that this condition is consistent with a minimization problem!
g0 = 0;
end
else
if cost_flag1
g0 = (f1-f0)/h;
elseif cost_flag2
g0 = (f0-f2)/h;
else
goog=0;
end
end
if goog && abs(g0)< 1e15
g(i)=g0;
else
disp('bad gradient ------------------------')
g(i)=0;
badg=1;
end
x(i) = xiold;
end
\ No newline at end of file
function [g, badg, f0, f1, f2, f3, f4] = numgrad5_(fcn,f0,x,epsilon,scale,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) 2008-2012 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/>.
f1 = NaN;
f2 = NaN;
f3 = NaN;
f4 = NaN;
delta = epsilon;
n=length(x);
tvec=delta*eye(n);
g=zeros(n,1);
badg=0;
goog=1;
zgrad = 1;
for i=1:n
xiold = x(i);
h = step_length_correction(xiold,scale,i)*delta;
x(i) = xiold+h;
[f1,junk1,junk2,cost_flag1] = feval(fcn, x, varargin{:});
x(i) = xiold-h;
[f2,junk1,junk2,cost_flag2] = feval(fcn, x, varargin{:});
if ~cost_flag1 || ~cost_flag2
cost_flag3 = 0;
cost_flag4 = 0;
disp('numgrad:: I cannot use the five points formula!!')
else
x(i) = xiold+2*h;
[f3,junk1,junk2,cost_flag3] = feval(fcn, x, varargin{:});
x(i) = xiold-2*h;
[f4,junk1,junk2,cost_flag4] = feval(fcn, x, varargin{:});
end
if cost_flag1 && cost_flag2 && cost_flag3 && cost_flag4% Five Points formula
g0 = (8*(f1 - f2)+ f4-f3) / (12*h);
if zgrad && f0<f1 && f0<f2 && f1<f3 && f2<f4 % Note that this condition is consistent with a minimization problem!
g0 = 0;
end
elseif ~cost_flag3 || ~cost_flag4
if cost_flag1 && cost_flag2% Three points formula
g0 = (f1-f2)/(2*h);
else
if cost_flag1% Two points formula
g0 = (f1-f0)/h;
elseif cost_flag2% Two points formula
g0 = (f0-f2)/h;
else% Bad gradient!
goog=0;
end
end
end
if goog && abs(g0)< 1e15
g(i)=g0;
else
disp('bad gradient ------------------------')
g(i)=0;
badg=1;
end
x(i) = xiold;
end
\ No newline at end of file
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