Computes the gradient of a function from R^m in R^n. INPUTS: fcn [string] name of the matlab's function. x [double] m*1 vector (where the gradient is evaluated). epsilon [double] scalar or m*1 vector of steps. OUTPUTS: F [double] n*1 vector, evaluation of the function at x. G [double] n*m matrix, evaluation of the gradient at x. OUTPUTS Copyright (C) 2010-2011 Dynare Team This file is part of Dynare. Dynare is free software: you can redistribute it and/or modify it under the terms of the GNU General Public License as published by the Free Software Foundation, either version 3 of the License, or (at your option) any later version. Dynare is distributed in the hope that it will be useful, but WITHOUT ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the GNU General Public License for more details. You should have received a copy of the GNU General Public License along with Dynare. If not, see <http://www.gnu.org/licenses/>.
0001 function [F,G] = dynare_gradient(fcn,x,epsilon,varargin) 0002 % Computes the gradient of a function from R^m in R^n. 0003 % 0004 % INPUTS: 0005 % fcn [string] name of the matlab's function. 0006 % x [double] m*1 vector (where the gradient is evaluated). 0007 % epsilon [double] scalar or m*1 vector of steps. 0008 % 0009 % OUTPUTS: 0010 % F [double] n*1 vector, evaluation of the function at x. 0011 % G [double] n*m matrix, evaluation of the gradient at x. 0012 % 0013 % OUTPUTS 0014 % 0015 % Copyright (C) 2010-2011 Dynare Team 0016 % 0017 % This file is part of Dynare. 0018 % 0019 % Dynare is free software: you can redistribute it and/or modify 0020 % it under the terms of the GNU General Public License as published by 0021 % the Free Software Foundation, either version 3 of the License, or 0022 % (at your option) any later version. 0023 % 0024 % Dynare is distributed in the hope that it will be useful, 0025 % but WITHOUT ANY WARRANTY; without even the implied warranty of 0026 % MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the 0027 % GNU General Public License for more details. 0028 % 0029 % You should have received a copy of the GNU General Public License 0030 % along with Dynare. If not, see <http://www.gnu.org/licenses/>. 0031 0032 % Evaluate the function at x. 0033 F = feval(fcn, x, varargin{:}); 0034 0035 % (G)Set dimensions. 0036 m = length(x); 0037 n = length(F); 0038 0039 % Initialization of the gradient. 0040 G = NaN(length(F),length(x)); 0041 0042 if length(epsilon==1) 0043 H = epsilon*eye(m); 0044 else 0045 H = diag(epsilon); 0046 end 0047 0048 % Compute the gradient. 0049 for i=1:m 0050 if size(x,1)>size(x,2) 0051 h = H(i,:); 0052 else 0053 h = H(:,i); 0054 end 0055 [Fh,junk1,junk2,flag] = feval(fcn, x+transpose(h), varargin{:}); 0056 if flag 0057 G(:,i) = (Fh-F)/epsilon; 0058 else 0059 [Fh,junk1,junk2,flag] = feval(fcn, x-transpose(h), varargin{:}); 0060 if flag 0061 G(:,i) = (F-Fh)/epsilon; 0062 else 0063 error('-- Bad gradient --') 0064 end 0065 end 0066 end