2013-05-02 14:38:47 +02:00
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function [dr,info] = k_order_pert(dr,M,options)
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2010-08-20 16:01:43 +02:00
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% Compute decision rules using the k-order DLL from Dynare++
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2013-05-02 14:38:47 +02:00
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% Copyright (C) 2009-2013 Dynare Team
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2010-08-20 16:01:43 +02:00
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%
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% This file is part of Dynare.
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%
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% Dynare is free software: you can redistribute it and/or modify
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% it under the terms of the GNU General Public License as published by
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% the Free Software Foundation, either version 3 of the License, or
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% (at your option) any later version.
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%
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% Dynare is distributed in the hope that it will be useful,
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% but WITHOUT ANY WARRANTY; without even the implied warranty of
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% MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the
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% GNU General Public License for more details.
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%
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% You should have received a copy of the GNU General Public License
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% along with Dynare. If not, see <http://www.gnu.org/licenses/>.
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2009-11-29 22:01:40 +01:00
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2009-12-16 18:17:34 +01:00
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info = 0;
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M.var_order_endo_names = M.endo_names(dr.order_var,:);
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order = options.order;
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2012-07-31 21:50:28 +02:00
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endo_nbr = M.endo_nbr;
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exo_nbr = M.exo_nbr;
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2012-11-16 20:05:13 +01:00
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nspred = M.nspred;
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2009-12-16 18:17:34 +01:00
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2013-05-08 18:18:34 +02:00
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if order>1 && options.loglinear
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error('The loglinear-option currently only works at order 1')
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end
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2009-12-16 18:17:34 +01:00
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switch(order)
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case 1
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2012-01-09 12:37:55 +01:00
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[err, g_1] = k_order_perturbation(dr,M,options);
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2013-05-02 14:38:47 +02:00
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if err
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info(1)=9;
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return;
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end
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2009-12-16 18:17:34 +01:00
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dr.g_1 = g_1;
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case 2
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2012-01-09 12:37:55 +01:00
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[err, g_0, g_1, g_2] = k_order_perturbation(dr,M,options);
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2013-05-02 14:38:47 +02:00
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if err
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info(1)=9;
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return;
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end
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2009-12-16 18:17:34 +01:00
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dr.g_0 = g_0;
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dr.g_1 = g_1;
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dr.g_2 = g_2;
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case 3
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2013-05-17 10:32:27 +02:00
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if options.pruning
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2012-07-31 21:50:28 +02:00
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[err, g_0, g_1, g_2, g_3, derivs] = k_order_perturbation(dr, ...
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M,options);
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2013-05-02 14:38:47 +02:00
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if err
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info(1)=9;
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return;
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end
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2012-07-31 21:50:28 +02:00
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else
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[err, g_0, g_1, g_2, g_3] = k_order_perturbation(dr, ...
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M,options);
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2013-05-02 14:38:47 +02:00
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if err
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info(1)=9;
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return;
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end
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2012-07-31 21:50:28 +02:00
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end
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2009-12-16 18:17:34 +01:00
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dr.g_0 = g_0;
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dr.g_1 = g_1;
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dr.g_2 = g_2;
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dr.g_3 = g_3;
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otherwise
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error('order > 3 isn''t implemented')
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end
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2013-05-17 10:39:05 +02:00
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% Now fill in dr.ghx, dr.ghu...
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2012-07-31 21:50:28 +02:00
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2013-05-17 10:39:05 +02:00
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if options.pruning && order == 3
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dr.ghx = derivs.gy;
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dr.ghu = derivs.gu;
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dr.ghxx = unfold2(derivs.gyy,nspred);
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dr.ghxu = derivs.gyu;
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dr.ghuu = unfold2(derivs.guu,exo_nbr);
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dr.ghs2 = derivs.gss;
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dr.ghxxx = unfold3(derivs.gyyy,nspred);
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dr.ghxxu = unfold21(derivs.gyyu,nspred,exo_nbr);
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dr.ghxuu = unfold12(derivs.gyuu,nspred,exo_nbr);
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dr.ghuuu = unfold3(derivs.guuu,exo_nbr);
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dr.ghxss = derivs.gyss;
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dr.ghuss = derivs.guss;
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else
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nspred = M.nspred;
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2013-05-17 10:32:27 +02:00
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2013-05-17 10:39:05 +02:00
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dr.ghx = dr.g_1(:,1:nspred);
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dr.ghu = dr.g_1(:,nspred+1:end);
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2013-05-17 10:32:27 +02:00
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2013-05-17 10:39:05 +02:00
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if options.loglinear == 1
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k = find(dr.kstate(:,2) <= M.maximum_endo_lag+1);
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klag = dr.kstate(k,[1 2]);
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k1 = dr.order_var;
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2013-05-17 10:32:27 +02:00
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2013-05-17 10:39:05 +02:00
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dr.ghx = repmat(1./dr.ys(k1),1,size(dr.ghx,2)).*dr.ghx.* ...
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repmat(dr.ys(k1(klag(:,1)))',size(dr.ghx,1),1);
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dr.ghu = repmat(1./dr.ys(k1),1,size(dr.ghu,2)).*dr.ghu;
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end
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2013-05-17 10:32:27 +02:00
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2013-05-17 10:39:05 +02:00
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if order > 1
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dr.ghs2 = 2*g_0;
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s0 = 0;
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s1 = 0;
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ghxx=zeros(endo_nbr, nspred^2);
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ghxu=zeros(endo_nbr, nspred*exo_nbr);
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ghuu=zeros(endo_nbr, exo_nbr^2);
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for i=1:size(g_2,2)
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if s0 < nspred && s1 < nspred
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ghxx(:,s0*nspred+s1+1) = 2*g_2(:,i);
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if s1 > s0
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ghxx(:,s1*nspred+s0+1) = 2*g_2(:,i);
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end
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elseif s0 < nspred && s1 < nspred+exo_nbr
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ghxu(:,(s0*exo_nbr+s1-nspred+1)) = 2*g_2(:,i);
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elseif s0 < nspred+exo_nbr && s1 < nspred+exo_nbr
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ghuu(:,(s0-nspred)*exo_nbr+s1-nspred +1) = 2*g_2(:,i);
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if s1 > s0
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ghuu(:,(s1-nspred)*exo_nbr+s0-nspred+1) = 2*g_2(:,i);
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end
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else
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error('dr1:k_order_perturbation:g_2','Unaccounted columns in g_2');
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2013-05-17 10:32:27 +02:00
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end
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2013-05-17 10:39:05 +02:00
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s1 = s1+1;
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if s1 == nspred+exo_nbr
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s0 = s0+1;
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s1 = s0;
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2013-05-17 10:32:27 +02:00
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end
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2013-05-17 10:39:05 +02:00
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end % for loop
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dr.ghxx = ghxx;
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dr.ghxu = ghxu;
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dr.ghuu = ghuu;
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end
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2013-05-17 10:32:27 +02:00
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end
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2009-12-16 18:17:34 +01:00
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2012-07-31 21:50:28 +02:00
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function y = unfold2(x,n)
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y=zeros(size(x,1),n*n);
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m = 1;
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for i=1:n
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for j=i:n
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y(:,(i-1)*n+j)=x(:,m);
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if j ~= i
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y(:,(j-1)*n+i)=x(:,m);
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end
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m = m+1;
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end
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end
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function y = unfold3(x,n)
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y = zeros(size(x,1),n*n*n);
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m = 1;
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for i=1:n
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for j=i:n
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for k=j:n
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xx = x(:,m);
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y(:,(i-1)*n*n+(j-1)*n+k) = xx;
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y(:,(i-1)*n*n+(k-1)*n+j) = xx;
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y(:,(j-1)*n*n+(k-1)*n+i) = xx;
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2013-04-24 13:09:40 +02:00
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y(:,(j-1)*n*n+(i-1)*n+k) = xx;
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2012-07-31 21:50:28 +02:00
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y(:,(k-1)*n*n+(i-1)*n+j) = xx;
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y(:,(k-1)*n*n+(j-1)*n+i) = xx;
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2013-04-21 19:04:40 +02:00
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m = m + 1;
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2012-07-31 21:50:28 +02:00
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end
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end
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end
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function y = unfold21(x,n1,n2)
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y = zeros(size(x,1),n1*n1*n2);
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m = 1;
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for i=1:n1
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for j=i:n1
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for k=1:n2
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xx = x(:,m);
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y(:,(i-1)*n1*n2+(j-1)*n2+k) = xx;
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if j ~= i
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2012-08-02 10:09:44 +02:00
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y(:,(j-1)*n1*n2+(i-1)*n2+k) = xx;
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2012-07-31 21:50:28 +02:00
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end
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2013-04-21 19:04:40 +02:00
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m = m + 1;
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2012-07-31 21:50:28 +02:00
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end
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end
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2013-04-21 19:04:40 +02:00
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end
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2012-07-31 21:50:28 +02:00
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function y = unfold12(x,n1,n2)
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y = zeros(size(x,1),n1*n2*n2);
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m = 1;
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for i=1:n1
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for j=1:n2
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for k=j:n2
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xx = x(:,m);
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y(:,(i-1)*n2*n2+(j-1)*n2+k) = xx;
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if k ~= j
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y(:,(i-1)*n2*n2+(k-1)*n2+j) = xx;
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end
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2013-04-21 19:04:40 +02:00
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m = m + 1;
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2012-07-31 21:50:28 +02:00
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end
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end
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end
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2012-11-16 20:05:13 +01:00
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