fjaco

 FDJAC Computes two-sided finite difference Jacobian
 USAGE
   fjac = fdjac(f,x,P1,P2,...)
 INPUTS
   f         : name of function of form fval = f(x)
   x         : evaluation point
   P1,P2,... : additional arguments for f (optional)
 OUTPUT
   fjac      : finite differnce Jacobian

 Copyright (C) 2010 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 fjac = fjaco(f,x,varargin)
0002 
0003 % FDJAC Computes two-sided finite difference Jacobian
0004 % USAGE
0005 %   fjac = fdjac(f,x,P1,P2,...)
0006 % INPUTS
0007 %   f         : name of function of form fval = f(x)
0008 %   x         : evaluation point
0009 %   P1,P2,... : additional arguments for f (optional)
0010 % OUTPUT
0011 %   fjac      : finite differnce Jacobian
0012 %
0013 % Copyright (C) 2010 Dynare Team
0014 %
0015 % This file is part of Dynare.
0016 %
0017 % Dynare is free software: you can redistribute it and/or modify
0018 % it under the terms of the GNU General Public License as published by
0019 % the Free Software Foundation, either version 3 of the License, or
0020 % (at your option) any later version.
0021 %
0022 % Dynare is distributed in the hope that it will be useful,
0023 % but WITHOUT ANY WARRANTY; without even the implied warranty of
0024 % MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE.  See the
0025 % GNU General Public License for more details.
0026 %
0027 % You should have received a copy of the GNU General Public License
0028 % along with Dynare.  If not, see <http://www.gnu.org/licenses/>.
0029 
0030 ff=feval(f,x,varargin{:});
0031 
0032 tol    = eps.^(1/3);
0033 h = tol.*max(abs(x),1);
0034 xh1=x+h; xh0=x-h;
0035 h=xh1-xh0;
0036 fjac = NaN(length(ff),length(x));
0037 for j=1:length(x);
0038     xx = x;
0039     xx(j) = xh1(j); f1=feval(f,xx,varargin{:});
0040     xx(j) = xh0(j); f0=feval(f,xx,varargin{:});
0041     fjac(:,j) = (f1-f0)/h(j);
0042 end
0043 
0044 feval(f,x,varargin{:});