simulated annealing in dynare
Posted: Fri Sep 19, 2008 11:26 am
Hi,
some time ago I posted the Goffe's simulated annealing code.
I see that in version 4 the SA minimization algorithm has bee eliminated
Here you find attached the dynare_estimation.m file that includes two alternative minimization codes: solveopt and simulated annealing (for the first I attach a document, for the second see William L. Goffe "SIMANN: A Global Optimization Algorithm using Simulated Annealing", Studies in Nonlinear Dynamics & Econometrics", 1996.
In order to select the first you need to set options_.mode_compute=101; for the second options_.mode_compute=102, in the .mod file.
The options for both optimizers need still to be changed in dynare_estimation.m. To see what the options mean, check out the sa file and the solveopt document.
Both codes have been slightly changed by me to be able to pass data as a varargin argument to your function.
Gianni
some time ago I posted the Goffe's simulated annealing code.
I see that in version 4 the SA minimization algorithm has bee eliminated
error('ESTIMATION: mode_compute=2 option (Lester Ingber''s Adaptive Simulated Annealing) is no longer available')
Here you find attached the dynare_estimation.m file that includes two alternative minimization codes: solveopt and simulated annealing (for the first I attach a document, for the second see William L. Goffe "SIMANN: A Global Optimization Algorithm using Simulated Annealing", Studies in Nonlinear Dynamics & Econometrics", 1996.
In order to select the first you need to set options_.mode_compute=101; for the second options_.mode_compute=102, in the .mod file.
The options for both optimizers need still to be changed in dynare_estimation.m. To see what the options mean, check out the sa file and the solveopt document.
Both codes have been slightly changed by me to be able to pass data as a varargin argument to your function.
Gianni