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Allow for pass OSR parameter bounds to optimizer

time-shift
Johannes Pfeifer 2016-05-20 20:02:06 +02:00 committed by Stéphane Adjemian (Lupi)
parent 9774d0544d
commit 03563e012b
2 changed files with 38 additions and 2 deletions
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32
doc/dynare.texi
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@ -665,7 +665,7 @@ Dynare unusable.
In order to give instructions to Dynare, the user has to write a In order to give instructions to Dynare, the user has to write a
@emph{model file} whose filename extension must be @file{.mod}. This @emph{model file} whose filename extension must be @file{.mod}. This
file contains the description of the model and the computing tasks file contains the description of the model and the computing tasks
required by the user. Its contents is described in @ref{The Model file}. required by the user. Its contents are described in @ref{The Model file}.
@menu @menu
* Dynare invocation:: * Dynare invocation::
@ -7365,6 +7365,36 @@ osr_params gammax0 gammac0 gamma_y_ gamma_inf_;
osr y; osr y;
@end example @end example
@anchor{osr_params_bounds}
@deffn Block osr_params_bounds ;
This block declares lower and upper bounds for parameters in the optimal simple rule. If not specified
the optimization is unconstrained.
Each line has the following syntax:
@example
PARAMETER_NAME, LOWER_BOUND, UPPER_BOUND;
@end example
Note that the use of this block requires the use of a constrained optimizer, i.e. setting @ref{opt_algo} to
1,2,5, or 9.
@examplehead
@example
osr_param_bounds;
gamma_inf_, 0, 2.5;
end;
osr(solve_algo=9) y;
@end example
@end deffn
@defvr {MATLAB/Octave variable} oo_.osr.objective_function @defvr {MATLAB/Octave variable} oo_.osr.objective_function
After an execution of the @code{osr} command, this variable contains the value of After an execution of the @code{osr} command, this variable contains the value of
the objective under optimal policy. the objective under optimal policy.

8
matlab/osr1.m
View File

@ -97,9 +97,15 @@ elseif isequal(options_.osr.opt_algo,6)
error('OSR: OSR does not support opt_algo=6.') error('OSR: OSR does not support opt_algo=6.')
elseif isequal(options_.osr.opt_algo,10) elseif isequal(options_.osr.opt_algo,10)
error('OSR: OSR does not support opt_algo=10.') error('OSR: OSR does not support opt_algo=10.')
elseif isequal(options_.osr.opt_algo,11)
error('OSR: OSR does not support opt_algo=11.')
else else
if ~isempty(M_.osr.param_bounds) && ~(ismember(options_.osr.opt_algo,[1,2,5,9]) || ischar(options_.osr.opt_algo))
error('OSR: OSR with bounds on parameters requires a constrained optimizer, i.e. 1,2,5, or 9.')
end
%%do actual optimization %%do actual optimization
[p, f, exitflag] = dynare_minimize_objective(str2func('osr_obj'),t0,options_.osr.opt_algo,options_,[],cellstr(M_.param_names(i_params,:)),[],[], i_params,... [p, f, exitflag] = dynare_minimize_objective(str2func('osr_obj'),t0,options_.osr.opt_algo,options_,M_.osr.param_bounds,cellstr(M_.param_names(i_params,:)),[],[], i_params,...
inv_order_var(i_var),weights(i_var,i_var)); inv_order_var(i_var),weights(i_var,i_var));
end end