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online_auxiliary_filter.m: fix infinite loop

remove-submodule^2
Johannes Pfeifer 2022-01-12 10:54:16 +01:00
parent c220a922db
commit 04e986d5d7
1 changed files with 12 additions and 3 deletions
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15
nonlinear-filters/src/online_auxiliary_filter.m
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@ -119,7 +119,7 @@ for t=1:sample_size
% model resolution
[info, Model, DynareOptions, DynareResults, ReducedForm] = ...
solve_model_for_online_filter(false, fore_xparam(:,i), DynareDataset, DynareOptions, Model, EstimatedParameters, BayesInfo, bounds, DynareResults);
if ~info
if ~info(1)
steadystate = ReducedForm.steadystate;
state_variables_steady_state = ReducedForm.state_variables_steady_state;
% Set local state space model (second-order approximation).
@ -166,13 +166,15 @@ for t=1:sample_size
wtilde = zeros(1, number_of_particles);
for i=1:number_of_particles
info = 12042009;
while info
counter=0;
while info(1) && counter <DynareOptions.particle.liu_west_max_resampling_tries
counter=counter+1;
candidate = xparam(:,i) + chol_sigma_bar*randn(number_of_parameters, 1);
if all(candidate>=bounds.lb) && all(candidate<=bounds.ub)
% model resolution for new parameters particles
[info, Model, DynareOptions, DynareResults, ReducedForm] = ...
solve_model_for_online_filter(false, candidate, DynareDataset, DynareOptions, Model, EstimatedParameters, BayesInfo, bounds, DynareResults) ;
if ~info
if ~info(1)
xparam(:,i) = candidate ;
steadystate = ReducedForm.steadystate;
state_variables_steady_state = ReducedForm.state_variables_steady_state;
@ -209,6 +211,13 @@ for t=1:sample_size
wtilde(i) = w_stage1(i)*exp(-.5*(const_lik+log(det(ReducedForm.H))+sum(PredictionError.*(ReducedForm.H\PredictionError), 1)));
end
end
if counter==DynareOptions.particle.liu_west_max_resampling_tries
fprintf('\nLiu & West particle filter: I haven''t been able to solve the model in %u tries.\n',DynareOptions.particle.liu_west_max_resampling_tries)
fprintf('Liu & West particle filter: The last error message was: %s\n',get_error_message(info))
fprintf('Liu & West particle filter: You can try to increase liu_west_max_resampling_tries, but most\n')
fprintf('Liu & West particle filter: likely there is an issue with the model.\n')
error('Liu & West particle filter: unable to solve the model.')
end
end
end
% normalization