From 45899a80c62f30b2dcec779a303fe96c4f60453b Mon Sep 17 00:00:00 2001
From: Marco Ratto <marco.ratto@jrc.ec.europa.eu>
Date: Sat, 7 Dec 2013 10:52:27 +0100
Subject: [PATCH] Fixes to mode_compute=5. (1) force univariate steps at every
iteration: improve robustness at the expenses of a bit less efficiency; (2)
fix gradient computation for special cases when the value of the parameters
get stacked at the prior boundary. (cherry picked from commit
e5854cb2014c0906bd1d797f251547b77fc415aa)
---
matlab/mr_hessian.m | 1 +
matlab/newrat.m | 4 ++--
2 files changed, 3 insertions(+), 2 deletions(-)
diff --git a/matlab/mr_hessian.m b/matlab/mr_hessian.m
index 9fe04ddad9..a428a3c923 100644
--- a/matlab/mr_hessian.m
+++ b/matlab/mr_hessian.m
@@ -101,6 +101,7 @@ while i<n
h1(i)=2.1*h1(i);
end
h1(i) = min(h1(i),0.5*hmax(i));
+ h1(i) = max(h1(i),1.e-10);
xh1(i)=x(i)+h1(i);
try
[fx, ffx]=feval(func,xh1,DynareDataset,DynareOptions,Model,EstimatedParameters,BayesInfo,DynareResults);
diff --git a/matlab/newrat.m b/matlab/newrat.m
index 5b2c7e7d9e..1df0157766 100644
--- a/matlab/newrat.m
+++ b/matlab/newrat.m
@@ -122,7 +122,7 @@ while norm(gg)>gtol && check==0 && jit<nit
fval=fval1;
x0=x01;
end
- if icount==1 || (icount>1 && (fval0(icount-1)-fval0(icount))>1) || ((fval0(icount)-fval)<1.e-2*(gg'*(H*gg))/2 && igibbs),
+% if icount==1 || (icount>1 && (fval0(icount-1)-fval0(icount))>1) || ((fval0(icount)-fval)<1.e-2*(gg'*(H*gg))/2 && igibbs),
if length(find(ig))<nx
ggx=ggx*0;
ggx(find(ig))=gg(find(ig));
@@ -139,7 +139,7 @@ while norm(gg)>gtol && check==0 && jit<nit
nig=[nig ig];
disp('Sequence of univariate steps!!')
fval=fvala;
- end
+% end
if (fval0(icount)-fval)<ftol && flagit==0
disp('Try diagonal Hessian')
ihh=diag(1./(diag(hhg)));
--
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