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TaRB_optimizer_wrapper.m

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  • Forked from Dynare / dynare
    3144 commits behind the upstream repository.
    TaRB_optimizer_wrapper.m 2.30 KiB
    function [fval,info,exit_flag,DLIK,Hess,SteadyState,trend_coeff]  = TaRB_optimizer_wrapper(optpar,par_vector,parameterindices,TargetFun,varargin)
    % function [fval,info,exit_flag,DLIK,Hess,SteadyState,trend_coeff]  = TaRB_optimizer_wrapper(optpar,par_vector,parameterindices,TargetFun,varargin)
    % Wrapper function for target function used in TaRB algorithm; reassembles
    % full parameter vector before calling target function
    %
    % INPUTS
    %   o optpar            [double]   (p_opt*1) vector of subset of parameters to be considered
    %   o par_vector        [double]   (p*1) full vector of parameters
    %   o parameterindices  [double]   (p_opt*1) index of optpar entries in
    %                                   par_vector
    %   o TargetFun         [char]      string specifying the name of the objective
    %                                   function (posterior kernel).
    %   o varargin          [structure] other inputs of target function
    %
    % OUTPUTS
    %   o fval       [scalar]   value of (minus) the likelihood.
    %   o info       [double]  (p*2) error code vector
    %   o exit_flag  [scalar]   equal to zero if the routine return with a penalty (one otherwise).
    %   o DLIK       [double]  (p*1) score vector of the likelihood.
    %   o Hess       [double]  (p*p) asymptotic Hessian matrix.
    %   o SteadyState [double]  Vector of doubles, steady state level for the endogenous variables.
    %   o trend_coeff [double]  Matrix of doubles, coefficients of the deterministic trend in the measurement equation
    %
    
    % Copyright (C) 2015-2017 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 <https://www.gnu.org/licenses/>.
    
    par_vector(parameterindices,:)=optpar; %reassemble parameter
    [fval,info,exit_flag,DLIK,Hess,SteadyState,trend_coeff] = feval(TargetFun,par_vector,varargin{:}); %call target function