Re: [DynareDev] Fwd: [Dynare Git] Dynare branch, master, updated. fcceec896aee61c050052155ec16e0a4604ea42c

Thanks Marco

Best

Michel

On 10/01/2012 02:16 PM, Marco Ratto wrote:

HI Michel,

in fact this was an excess of prudential penalty. Agree to revert at least until further investigations suggest to do so. thanks Marco

On 10/1/2012 12:20 PM, Michel Juillard wrote:

...

Hi Marco,

I don't understand the change below. If the penalty is very steep, as with 1e8, you create a cliff for Newton-type optimizers. objective_function_penalty_base contains the best value of the objective function so far, so a small increase to this value should be sufficient to make sure that the point is never chosen by the optimizer. If you have an example where is doesn't work with a relative penalty of 100, then we should investigate. Maybe objective_function_penalty_base is not set properly somewhere.

Best

Michel

-------- Original Message -------- Subject: [Dynare Git] Dynare branch, master, updated. fcceec896aee61c050052155ec16e0a4604ea42c Date: Mon, 1 Oct 2012 12:04:44 +0200 (CEST) From: sebastien@cepremap.org (Sébastien Villemot) To: commit@dynare.org

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commit fcceec896aee61c050052155ec16e0a4604ea42c Author: Marco Rattomarco.ratto@jrc.ec.europa.eu Date: Mon Oct 1 08:53:50 2012 +0200

 reset penalty to 1.e8.

diff --git a/matlab/dsge_likelihood.m b/matlab/dsge_likelihood.m index 04599ca..d022b6e 100644 --- a/matlab/dsge_likelihood.m +++ b/matlab/dsge_likelihood.m @@ -429,7 +429,7 @@ switch DynareOptions.lik_init end if isnan(dLIK), info = 45;

•    fval = objective_function_penalty_base + 100;
  

•    fval = objective_function_penalty_base + 1.e8;
      exit_flag = 0;
      return
  end
  
  

commit 560771bedc10089f306cc11b9fa9b8c33f43e751 Author: Marco Rattomarco.ratto@jrc.ec.europa.eu Date: Mon Oct 1 08:50:47 2012 +0200

 Trap the case when second output of objective function is empty.

diff --git a/matlab/mr_hessian.m b/matlab/mr_hessian.m index 0b059d9..9fe04dd 100644 --- a/matlab/mr_hessian.m +++ b/matlab/mr_hessian.m @@ -133,7 +133,7 @@ while i<n end f1(:,i)=fx; if outer_product_gradient,

•    if any(isnan(ffx))
  

•    if any(isnan(ffx)) || isempty(ffx),
          ff1=ones(size(ff0)).*fx/length(ff0);
      else
          ff1=ffx;
  

@@ -143,7 +143,7 @@ while i<n [fx, ffx]=feval(func,xh1,DynareDataset,DynareOptions,Model,EstimatedParameters,BayesInfo,DynareResults); f_1(:,i)=fx; if outer_product_gradient,

•    if any(isnan(ffx))
  

•    if any(isnan(ffx)) || isempty(ffx),
          ff_1=ones(size(ff0)).*fx/length(ff0);
      else
          ff_1=ffx;
  
  

commit 285e40eb2c248e140bffc351e6bcdd55c1bbc4e5 Author: Marco Rattomarco.ratto@jrc.ec.europa.eu Date: Mon Oct 1 08:49:58 2012 +0200

 Pass new options nodisplay and graph_format to options_

diff --git a/matlab/dynare_sensitivity.m b/matlab/dynare_sensitivity.m index d688725..c5c16cd 100644 --- a/matlab/dynare_sensitivity.m +++ b/matlab/dynare_sensitivity.m @@ -34,6 +34,12 @@ options_gsa = set_default_option(options_gsa,'datafile',[]); if isfield(options_gsa,'nograph'), options_.nograph=options_gsa.nograph; end +if isfield(options_gsa,'nodisplay'),

• options_.nodisplay=options_gsa.nodisplay;

+end +if isfield(options_gsa,'graph_format'),

• options_.graph_format=options_gsa.graph_format;

+end if isfield(options_gsa,'mode_file'), options_.mode_file=options_gsa.mode_file; end

---

Summary of changes: matlab/dsge_likelihood.m | 2 +- matlab/dynare_sensitivity.m | 6 ++++++ matlab/mr_hessian.m | 4 ++-- 3 files changed, 9 insertions(+), 3 deletions(-)

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