1function H = bfgsi1(H0,dg,dx,Verbose,Save_files) 2% H = bfgsi1(H0,dg,dx,Verbose,Save_files) 3% Update Inverse Hessian matrix 4% 5% Inputs: 6% H0 [npar by npar] initial inverse Hessian matrix 7% dg [npar by 1] previous change in gradient 8% dx [npar by 1] previous change in x; 9% Verbose [scalar] Indicator for silent mode 10% Save_files [scalar] Indicator whether to save files 11% 12% 6/8/93 version that updates inverse Hessian instead of Hessian 13% itself. 14% 15% Original file downloaded from: 16% http://sims.princeton.edu/yftp/optimize/mfiles/bfgsi.m 17% 18% Copyright (C) 1993-2009 Christopher Sims 19% Copyright (C) 2009-2017 Dynare Team 20% 21% This file is part of Dynare. 22% 23% Dynare is free software: you can redistribute it and/or modify 24% it under the terms of the GNU General Public License as published by 25% the Free Software Foundation, either version 3 of the License, or 26% (at your option) any later version. 27% 28% Dynare is distributed in the hope that it will be useful, 29% but WITHOUT ANY WARRANTY; without even the implied warranty of 30% MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the 31% GNU General Public License for more details. 32% 33% You should have received a copy of the GNU General Public License 34% along with Dynare. If not, see <http://www.gnu.org/licenses/>. 35 36if size(dg,2)>1 37 dg=dg'; 38end 39if size(dx,2)>1 40 dx=dx'; 41end 42Hdg = H0*dg; 43dgdx = dg'*dx; 44if (abs(dgdx) >1e-12) 45 H = H0 + (1+(dg'*Hdg)/dgdx)*(dx*dx')/dgdx - (dx*Hdg'+Hdg*dx')/dgdx; 46else 47 disp_verbose('bfgs update failed.',Verbose) 48 disp_verbose(['|dg| = ' num2str(sqrt(dg'*dg)) '|dx| = ' num2str(sqrt(dx'*dx))],Verbose); 49 disp_verbose(['dg''*dx = ' num2str(dgdx)],Verbose) 50 disp_verbose(['|H*dg| = ' num2str(Hdg'*Hdg)],Verbose) 51 H=H0; 52end 53if Save_files 54 save('H.dat','H') 55end 56