File: bfgsi.m

package info (click to toggle)
dynare 4.6.3-4
  • links: PTS, VCS
  • area: main
  • in suites: bullseye
  • size: 74,896 kB
  • sloc: cpp: 98,057; ansic: 28,929; pascal: 13,844; sh: 5,947; objc: 4,236; yacc: 4,215; makefile: 2,583; lex: 1,534; fortran: 877; python: 647; ruby: 291; lisp: 152; xml: 22
file content (44 lines) | stat: -rw-r--r-- 1,363 bytes parent folder | download | duplicates (8)
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
43
44
function H = bfgsi(H0,dg,dx)
% H = bfgsi(H0,dg,dx)
% dg is previous change in gradient; dx is previous change in x;
% 6/8/93 version that updates inverse hessian instead of hessian
% itself.
%
%
% Copyright (C) 1996 Christopher A. Sims
%
% This 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.
%
% It 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.
%
% If you did not received a copy of the GNU General Public License
% with this software, see <http://www.gnu.org/licenses/>.
%
dispIndx = 1;   % 1: turn on all the diplays on the screen; 0: turn off (Added by T. Zha)

if size(dg,2)>1
   dg=dg';
end
if size(dx,2)>1
   dx=dx';
end
Hdg = H0*dg;
dgdx = dg'*dx;
if (abs(dgdx) >1e-12)
   H = H0 + (1+(dg'*Hdg)/dgdx)*(dx*dx')/dgdx - (dx*Hdg'+Hdg*dx')/dgdx;
else
   if dispIndx
      disp('bfgs update failed.')
      disp(['|dg| = ' num2str(sqrt(dg'*dg)) '|dx| = ' num2str(sqrt(dx'*dx))]);
      disp(['dg''*dx = ' num2str(dgdx)])
      disp(['|H*dg| = ' num2str(Hdg'*Hdg)])
   end
   H=H0;
end
save H.dat H