From 531ef8783ff6eee99f593e7bf70890f362b5c84f Mon Sep 17 00:00:00 2001
From: Marco Ratto <marco.ratto@jrc.ec.europa.eu>
Date: Mon, 19 Apr 2010 16:40:28 +0200
Subject: [PATCH] fixed persistent variable initialization (cherry picked from
commit 47037687d5ca6ae2b2df3dd9954a2ccf0d8ed394)
---
matlab/mr_gstep.m | 19 ++++++++++---------
matlab/mr_hessian.m | 21 +++++++++++----------
matlab/newrat.m | 12 ++++++++----
3 files changed, 29 insertions(+), 23 deletions(-)
diff --git a/matlab/mr_gstep.m b/matlab/mr_gstep.m
index 06e6965ae4..ce6448fbeb 100644
--- a/matlab/mr_gstep.m
+++ b/matlab/mr_gstep.m
@@ -1,5 +1,5 @@
-function [f0, x, ig] = mr_gstep(func0,x,htol0,varargin)
-% function [f0, x] = mr_gstep(func0,x,htol0,varargin)
+function [f0, x, ig] = mr_gstep(init,x,func0,htol0,varargin)
+% function [f0, x] = mr_gstep(init,x,func0,htol0,varargin)
%
% Gibbs type step in optimisation
@@ -23,21 +23,22 @@ function [f0, x, ig] = mr_gstep(func0,x,htol0,varargin)
global bayestopt_ options_
persistent h1
-gstep_ = options_.gstep;
-if nargin<3,
+n=size(x,1);
+
+if init,
+ gstep_ = options_.gstep;
+ h1=max(abs(x),sqrt(gstep_)*ones(n,1))*eps^(1/4);
+ return
+end
+if nargin<4,
htol = 1.e-6;
else
htol = htol0;
end
func = str2func(func0);
f0=feval(func,x,varargin{:});
-n=size(x,1);
h2=bayestopt_.ub-bayestopt_.lb;
-if isempty(h1),
- h1=max(abs(x),sqrt(gstep_)*ones(n,1))*eps^(1/4);
-end
-
xh1=x;
f1=zeros(size(f0,1),n);
f_1=f1;
diff --git a/matlab/mr_hessian.m b/matlab/mr_hessian.m
index 18e9f6fd8c..efa5490c05 100644
--- a/matlab/mr_hessian.m
+++ b/matlab/mr_hessian.m
@@ -1,5 +1,5 @@
-function [hessian_mat, gg, htol1, ihh, hh_mat0] = mr_hessian(func,x,hflag,htol0,varargin)
-% [hessian_mat, gg, htol1, ihh, hh_mat0] = mr_hessian(func,x,hflag,htol0,varargin)
+function [hessian_mat, gg, htol1, ihh, hh_mat0] = mr_hessian(init,x,func,hflag,htol0,varargin)
+% [hessian_mat, gg, htol1, ihh, hh_mat0] = mr_hessian(init,x,func,hflag,htol0,varargin)
%
% numerical gradient and Hessian, with 'automatic' check of numerical
% error
@@ -44,19 +44,20 @@ function [hessian_mat, gg, htol1, ihh, hh_mat0] = mr_hessian(func,x,hflag,htol0,
global options_ bayestopt_
persistent h1 htol
-gstep_=options_.gstep;
-if isempty(htol), htol = 1.e-4; end
-func = str2func(func);
-[f0, ff0]=feval(func,x,varargin{:});
n=size(x,1);
-h2=bayestopt_.ub-bayestopt_.lb;
-hmax=bayestopt_.ub-x;
-hmax=min(hmax,x-bayestopt_.lb);
+if init,
+ gstep_=options_.gstep;
+ htol = 1.e-4;
%h1=max(abs(x),gstep_*ones(n,1))*eps^(1/3);
%h1=max(abs(x),sqrt(gstep_)*ones(n,1))*eps^(1/6);
-if isempty(h1),
h1=max(abs(x),sqrt(gstep_)*ones(n,1))*eps^(1/4);
+ return,
end
+func = str2func(func);
+[f0, ff0]=feval(func,x,varargin{:});
+h2=bayestopt_.ub-bayestopt_.lb;
+hmax=bayestopt_.ub-x;
+hmax=min(hmax,x-bayestopt_.lb);
h1 = min(h1,0.5.*hmax);
diff --git a/matlab/newrat.m b/matlab/newrat.m
index 3a256e279d..0e11f12e4d 100644
--- a/matlab/newrat.m
+++ b/matlab/newrat.m
@@ -59,8 +59,12 @@ func_hh = [func0,'_hh'];
func = str2func(func0);
fval0=feval(func,x,varargin{:});
fval=fval0;
+% initialize mr_gstep and mr_hessian
+mr_gstep(1,x);
+mr_hessian(1,x);
+
if isempty(hh)
- [dum, gg, htol0, igg, hhg]=mr_hessian(func_hh,x,flagit,htol,varargin{:});
+ [dum, gg, htol0, igg, hhg]=mr_hessian(0,x,func_hh,flagit,htol,varargin{:});
hh0 = reshape(dum,nx,nx);
hh=hhg;
if min(eig(hh0))<0,
@@ -121,7 +125,7 @@ while norm(gg)>gtol & check==0 & jit<nit,
iggx(find(ig),find(ig)) = inv( hhx(find(ig),find(ig)) );
[fvala x0 fc retcode] = csminit(func0,x0,fval,ggx,0,iggx,varargin{:});
end
- [fvala, x0, ig] = mr_gstep(func0,x0,htol,varargin{:});
+ [fvala, x0, ig] = mr_gstep(0,x0,func0,htol,varargin{:});
nig=[nig ig];
if (fval-fvala)<gibbstol*(fval0(icount)-fval),
igibbs=0;
@@ -162,7 +166,7 @@ while norm(gg)>gtol & check==0 & jit<nit,
if flagit==2,
hh=hh0;
elseif flagg>0,
- [dum, gg, htol0, igg, hhg]=mr_hessian(func_hh,xparam1,flagg,ftol0,varargin{:});
+ [dum, gg, htol0, igg, hhg]=mr_hessian(0,xparam1,func_hh,flagg,ftol0,varargin{:});
if flagg==2,
hh = reshape(dum,nx,nx);
ee=eig(hh);
@@ -202,7 +206,7 @@ while norm(gg)>gtol & check==0 & jit<nit,
catch
save m1 x fval0 nig
end
- [dum, gg, htol0, igg, hhg]=mr_hessian(func_hh,xparam1,flagit,htol,varargin{:});
+ [dum, gg, htol0, igg, hhg]=mr_hessian(0,xparam1,func_hh,flagit,htol,varargin{:});
if htol0>htol, %ftol,
%ftol=htol0;
htol=htol0;
--
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