Mercurial > octave
changeset 20694:a7dbc4fc3732
fminunc.m: Correctly calculate gradient and hessian even when fminunc fails (bug #40101)
* fminunc.m: Add routine to calculate grad and hess if requested and fminunc
has finished with info value of -1, 2, or 3.
| author | José Vallet <jose.vallet@aalto.fi> |
|---|---|
| date | Mon, 03 Feb 2014 17:25:32 +0200 |
| parents | 7751bd56d0be |
| children | 6faaab833605 |
| files | scripts/optimization/fminunc.m |
| diffstat | 1 files changed, 25 insertions(+), 0 deletions(-) [+] |
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--- a/scripts/optimization/fminunc.m Wed Nov 11 20:09:31 2015 +0100 +++ b/scripts/optimization/fminunc.m Mon Feb 03 17:25:32 2014 +0200 @@ -340,6 +340,31 @@ endwhile endwhile + ## When info != 1, recalculate the gradient and hessian using the final x. + if (nargout > 4 && (info == -1 || info == 2 || info == 3)) + grad0 = grad; + if (has_grad) + [fval, grad] = fcn (reshape (x, xsiz)); + grad = grad(:); + else + grad = __fdjac__ (fcn, reshape (x, xsiz), fval, typicalx, cdif)(:); + endif + + if (nargout > 5) + ## Use the damped BFGS formula. + y = grad - grad0; + sBs = sumsq (w); + Bs = hesr' * w; + sy = y' * s; + theta = 0.8 / max (1 - sy / sBs, 0.8); + r = theta * y + (1-theta) * Bs; + hesr = cholupdate (hesr, r / sqrt (s' * r), "+"); + hesr = cholupdate (hesr, Bs / sqrt (sBs), "-"); + endif + ## Return the gradient in the same shape as x + grad = reshape (grad, xsiz); + endif + ## Restore original shapes. x = reshape (x, xsiz);