Hi Marco,
On the basic standard output for optimizers in matlab, I think it is [X,FVAL,EXITFLAG,OUTPUT] = FUNC(...) at least for fminsearch. Other output arguments like GRAD and HESS come after OUTPUT when the optimizers allow for them.

Maybe we should also use this to standardize the ouput arguments a user-defined optimizer should provide. In my opinion, the first two X and FVAL are the most important.

I welcome the changes.

Best,
Junior

On Tue, Apr 24, 2012 at 3:39 PM, Michel Juillard <michel.juillard@mjui.fr> wrote:

Hi Marco,

thanks a lot for this new development. I agree with your changes.

All the best,

Michel

On 04/24/2012 06:12 PM, Marco Ratto wrote:

Dear Friends,

I just completed the first tests with estimation of DYNARE with analytic scores and hessian and everything seems to work.
I have implemented it so far for stationary models both for univariate and multivariate KF.

Before committing the changes, I would like to anticipate you some decisions I took: I particular I had to change the list of output of dsge_likelihood (and similarly for consistency of dsgevar_likelihood).

We had discussed this a bit some time ago and I envisaged the possibility to keep the current list simply changing the type of output

LIK = scalar for numerical derivs

LIK= cell = {LIK, GRAD, HESS}

Stephan in particular supported this last option.

However, the standard form of objective functions in matlab is

[fval, grad, hess] = func( ... )

and this form would allow, for example, a direct use of mode_compute=1 or 3.
This means I have adapted all fval calls, e.g. in csminwel1, so that now the exit_flag is 4th output of dsge_likelihood.
This will also allow to use Sims optimizer with analytic derivatives

The same for mode_compute=5.

By the way, this will also allow to eliminate the annoying dsge_likelihood_hh. I have also thought of a way to adapt mode_compute=5 for dsge-var as well.

what do you think?
best
Marco

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