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
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- Log -----------------------------------------------------------------
commit fcceec896aee61c050052155ec16e0a4604ea42c
Author: Marco Ratto <marco.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 Ratto <marco.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 Ratto <marco.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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