2013-06-20 12:57:53 +02:00
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function [test, penalty] = ispd(A)
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2008-01-17 14:06:54 +01:00
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2013-06-20 12:57:53 +02:00
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%@info:
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%! @deftypefn {Function File} {[@var{test}, @var{penalty} =} ispd (@var{A})
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%! @anchor{ispd}
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%! @sp 1
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%! Tests if the square matrix @var{A} is positive definite.
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%! @sp 2
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%! @strong{Inputs}
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%! @sp 1
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%! @table @ @var
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%! @item A
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%! A square matrix.
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%! @end table
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%! @sp 2
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%! @strong{Outputs}
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%! @sp 1
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%! @table @ @var
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%! @item test
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%! Integer scalar equal to 1 if @var{A} is a positive definite sqquare matrix, 0 otherwise.
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%! @item penalty
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%! Absolute value of the uum of the negative eigenvalues of A. This output argument is optional.
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%! @end table
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%! @end deftypefn
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%@eod:
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2008-08-01 14:40:33 +02:00
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2013-06-20 12:57:53 +02:00
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% Copyright (C) 2007-2009, 2013 Dynare Team
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2008-08-01 14:40:33 +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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2007-07-25 15:25:38 +02:00
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2013-06-20 12:57:53 +02:00
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if ~isquare(A)
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error(['ispd:: Input argument ' inputname(1) ' has to be a square matrix!'])
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end
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[cholA, info] = chol(A);
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test = ~info;
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2007-07-25 15:25:38 +02:00
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2013-06-20 12:57:53 +02:00
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if nargout>1
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penalty = 0;
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if info
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a = diag(eig(A));
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k = find(a<0);
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if k > 0
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penalty = sum(-a(k));
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end
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2009-12-16 18:17:34 +01:00
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end
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2007-07-25 15:25:38 +02:00
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end
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