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function [PostMode, HessianMatrix, Scale, ModeValue] = gmhmaxlik(fun, xinit, Hinit, iscale, bounds, priorstd, gmhmaxlikOptions, OptimizationOptions, varargin)
% Copyright (C) 2006-2017 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/>.
% Set default options
if ~isempty(Hinit)
gmhmaxlikOptions.varinit = 'previous';
else
gmhmaxlikOptions.varinit = 'prior';
end
if ~isempty(OptimizationOptions)
DynareOptionslist = read_key_value_string(OptimizationOptions);
for i=1:rows(DynareOptionslist)
switch DynareOptionslist{i,1}
case 'NumberOfMh'
gmhmaxlikOptions.iterations = DynareOptionslist{i,2};
case 'ncov-mh'
gmhmaxlikOptions.number = DynareOptionslist{i,2};
case 'nscale-mh'
gmhmaxlikOptions.nscale = DynareOptionslist{i,2};
case 'nclimb-mh'
gmhmaxlikOptions.nclimb = DynareOptionslist{i,2};
case 'InitialCovarianceMatrix'
switch DynareOptionslist{i,2}
case 'previous'
if isempty(Hinit)
error('gmhmaxlik: No previous estimate of the Hessian matrix available! You cannot use the InitialCovarianceMatrix option!')
else
gmhmaxlikOptions.varinit = 'previous';
end
case {'prior', 'identity'}
gmhmaxlikOptions.varinit = DynareOptionslist{i,2};
otherwise
error('gmhmaxlik: Unknown value for option ''InitialCovarianceMatrix''!')
end
case 'AcceptanceRateTarget'
gmhmaxlikOptions.target = DynareOptionslist{i,2};
if gmhmaxlikOptions.target>1 || gmhmaxlikOptions.target<eps
error('gmhmaxlik: The value of option AcceptanceRateTarget should be a double between 0 and 1!')
end
otherwise
warning(['gmhmaxlik: Unknown option (' DynareOptionslist{i,1} ')!'])
end
end
end
% Evaluate the objective function.
OldModeValue = feval(fun,xinit,varargin{:});
if ~exist('MeanPar','var')
MeanPar = xinit;
end
switch gmhmaxlikOptions.varinit
case 'previous'
CovJump = inv(Hinit);
case 'prior'
% The covariance matrix is initialized with the prior
% covariance (a diagonal matrix) %%Except for infinite variances ;-)
stdev = priorstd;
indx = find(isinf(stdev));
stdev(indx) = ones(length(indx),1)*sqrt(10);
vars = stdev.^2;
CovJump = diag(vars);
case 'identity'
vars = ones(length(priorstd),1)*0.1;
CovJump = diag(vars);
otherwise
error('gmhmaxlik: This is a bug! Please contact the developers.')
end
OldPostVariance = CovJump;
OldPostMean = xinit;
OldPostMode = xinit;
Scale = iscale;
for i=1:gmhmaxlikOptions.iterations
if i<gmhmaxlikOptions.iterations
flag = '';
else
flag = 'LastCall';
end
[PostMode, PostVariance, Scale, PostMean] = gmhmaxlik_core(fun, OldPostMode, bounds, gmhmaxlikOptions, Scale, flag, MeanPar, OldPostVariance, varargin{:});
ModeValue = feval(fun, PostMode, varargin{:});
dVariance = max(max(abs(PostVariance-OldPostVariance)));
dMean = max(abs(PostMean-OldPostMean));
skipline()
printline(58,'=')
disp([' Change in the posterior covariance matrix = ' num2str(dVariance) '.'])
disp([' Change in the posterior mean = ' num2str(dMean) '.'])
disp([' Mode improvement = ' num2str(abs(OldModeValue-ModeValue))])
disp([' New value of jscale = ' num2str(Scale)])
printline(58,'=')
OldModeValue = ModeValue;
OldPostMean = PostMean;
OldPostVariance = PostVariance;
end
HessianMatrix = inv(PostVariance);
skipline()
disp(['Optimal value of the scale parameter = ' num2str(Scale)])
skipline()
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