New subject: Fwd: [Dynare Git] Dynare branch, master, updated. fcceec896aee61c050052155ec16e0a4604ea42c

1 Oct 2012

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
This is an automated email from the git hooks/post-receive script. It was
generated because a ref change was pushed to the repository containing
the project "Dynare".
The branch, master has been updated
        via  fcceec896aee61c050052155ec16e0a4604ea42c (commit)
        via  560771bedc10089f306cc11b9fa9b8c33f43e751 (commit)
        via  285e40eb2c248e140bffc351e6bcdd55c1bbc4e5 (commit)
       from  e81f9d48ac5b5dab724ec48195301d139cef85ef (commit)
Those revisions listed above that are new to this repository have
not appeared on any other notification email; so we list those
revisions in full, below.
- Log -----------------------------------------------------------------
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(-)
hooks/post-receive
-- 
Dynare
_______________________________________________
Commit mailing list
Commit@dynare.org
https://www.dynare.org/cgi-bin/mailman/listinfo/commit




    