41 lines
1.1 KiB
Matlab
41 lines
1.1 KiB
Matlab
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function [G, alpha, beta] = buildGmatrixWithAlphaAndBeta(params)
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% Builds the G matrix needed for PAC.
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%
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% INPUTS
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% - params [double] (m+1)*1 vector of PAC parameters.
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%
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% OUTPUTS
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% - G [double] (m+1)*(m+1) matrix.
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% - alpha [double] m*1 vector of PAC parameters.
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% - beta [double] scalar, discount factor.
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% Return an error if the input is not a vector.
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if ~isvector(params) || ~isnumeric(params) || ~isreal(params)
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error('Input argument has to be a vector of doubles!')
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end
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% Get the number of parameters
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m = length(params)-1;
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% Return an error if params is too small.
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if m<1
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error('Input argument has to be a vector with at least two elements. The last element is the discount factor.')
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end
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% Get the transformed PAC parameters and discount factor.
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alpha = flip(a2alpha(params(1:m)));
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beta = params(end);
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% Return an error if beta is not a discount factor
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if beta<eps || beta>1-eps
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error('beta has to be a discount factor!')
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end
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% Initialize the returned G matrix.
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G = zeros(m);
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% Fill the returned G matrix.
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G(1:m-1,2:m) = eye(m-1);
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G(m, :) = -transpose(alpha);
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G(m, :) = G(m, :).*flip(cumprod(beta*ones(1,m)));
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