steady: various refactoring related to homotopy
- homotopy_mode = 2: in case of failure, print last successful point as in the other two modes - homotopy_mode = 1: if there is a failure at the first iteration (starting values), do not incorrectly report that there was a successful point - homotopy_mode = 3: if there is a failure at the first iteration (starting values), honour the option homotopy_force_continue – homotopy2: remove globalskalman-mex
Sébastien Villemot
parent
375f65c213
commit
068070d336
188
matlab/steady.m
188
matlab/steady.m
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@ -32,48 +32,56 @@ global M_ oo_ options_
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test_for_deep_parameters_calibration(M_);
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if options_.steadystate_flag && options_.homotopy_mode
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error('STEADY: Can''t use homotopy when providing a steady state external file');
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end
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% Keep of a copy of M_.Sigma_e
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Sigma_e = M_.Sigma_e;
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% Set M_.Sigma_e=0 (we compute the *deterministic* steady state)
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M_.Sigma_e(:,:) = 0;
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info = 0;
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switch options_.homotopy_mode
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case 1
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[M_,oo_,info,ip,ix,ixd] = homotopy1(options_.homotopy_values,options_.homotopy_steps,M_,options_,oo_);
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case 2
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homotopy2(options_.homotopy_values, options_.homotopy_steps);
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case 3
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[M_,oo_,info,ip,ix,ixd] = homotopy3(options_.homotopy_values,options_.homotopy_steps,M_,options_,oo_);
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end
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if options_.homotopy_mode ~= 0
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if options_.steadystate_flag
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error('STEADY: Can''t use homotopy when providing a steady state external file');
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end
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if info(1)
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hv = options_.homotopy_values;
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skipline()
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disp('WARNING: homotopy step was not completed')
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disp('The last values for which a solution was found are:')
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for i=1:length(ip)
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fprintf('%12s %12.6f\n',char(M_.param_names(hv(ip(i),2))), ...
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M_.params(hv(ip(i),2)))
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end
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for i=1:length(ix)
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fprintf('%12s %12.6f\n',char(M_.exo_names(hv(ix(i),2))), ...
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oo_.exo_steady_state(hv(ix(i),2)))
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end
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for i=1:length(ixd)
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fprintf('%12s %12.6f\n',char(M_.exo_det_names(hv(ixd(i),2))), ...
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oo_.exo_det_steady_state(hv(ixd(i),2)))
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if any(hv(:,1)~=1 & hv(:,1)~=2 & hv(:,1)~=4)
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% Already checked by the preprocessor, but let’s stay on the safe side
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error('HOMOTOPY_SETUP: incorrect variable types specified')
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end
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if options_.homotopy_force_continue
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disp('Option homotopy_continue is set, so I continue ...')
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else
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error('Homotopy step failed')
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homotopy_func = str2func(['homotopy' num2str(options_.homotopy_mode)]);
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[M_,oo_,errorcode] = homotopy_func(hv, options_.homotopy_steps, M_, options_, oo_);
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if errorcode
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if errorcode == 2
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disp('WARNING: homotopy failed at the first iteration (for the starting values)')
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else % errorcode == 1: print last successful point
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ip = find(hv(:,1) == 4); % Parameters
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ix = find(hv(:,1) == 1); % Exogenous
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ixd = find(hv(:,1) == 2); % Exogenous deterministic
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skipline()
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disp('WARNING: homotopy step was not completed')
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disp('The last values for which a solution was found are:')
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for i=1:length(ip)
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fprintf('%12s %12.6f\n',char(M_.param_names(hv(ip(i),2))), ...
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M_.params(hv(ip(i),2)))
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end
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for i=1:length(ix)
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fprintf('%12s %12.6f\n',char(M_.exo_names(hv(ix(i),2))), ...
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oo_.exo_steady_state(hv(ix(i),2)))
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end
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for i=1:length(ixd)
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fprintf('%12s %12.6f\n',char(M_.exo_det_names(hv(ixd(i),2))), ...
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oo_.exo_det_steady_state(hv(ixd(i),2)))
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end
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end
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if options_.homotopy_force_continue
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disp('Option homotopy_continue is set, so I continue ...')
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else
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error('Homotopy step failed')
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end
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end
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end
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@ -114,7 +122,7 @@ end
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M_.Sigma_e = Sigma_e;
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function [M,oo,info,ip,ix,ixd] = homotopy1(values, step_nbr, M, options, oo)
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function [M,oo,errorcode] = homotopy1(values, step_nbr, M, options, oo)
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% Implements homotopy (mode 1) for steady-state computation.
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% The multi-dimensional vector going from the set of initial values
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% to the set of final values is divided in as many sub-vectors as
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@ -137,9 +145,13 @@ function [M,oo,info,ip,ix,ixd] = homotopy1(values, step_nbr, M, options, oo)
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% OUTPUTS
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% M struct of model parameters
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% oo struct of outputs
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% ip index of parameters
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% ix index of exogenous variables
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% ixp index of exogenous deterministic variables
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% errorcode 0 in case of success
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% 1 if some homotopy steps were successful but it was not
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% possible to go up to 100%; in that case, parameters in
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% M.params and exogenous in oo are left to the last
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% successful point
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% 2 if it wasn’t possible to compute a solution for the
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% starting values
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nv = size(values, 1);
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@ -147,10 +159,6 @@ ip = find(values(:,1) == 4); % Parameters
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ix = find(values(:,1) == 1); % Exogenous
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ixd = find(values(:,1) == 2); % Exogenous deterministic
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if length([ip; ix; ixd]) ~= nv
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error('HOMOTOPY mode 1: incorrect variable types specified')
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end
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% Construct vector of starting values, using previously initialized values
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% when initial value has not been given in homotopy_setup block
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oldvalues = values(:,3);
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@ -172,28 +180,30 @@ end
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for i=1:step_nbr+1
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disp([ 'HOMOTOPY mode 1: computing step ' int2str(i-1) '/' int2str(step_nbr) '...' ])
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old_params = M.params;
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old_exo = oo.exo_steady_state;
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old_exo_det = oo.exo_det_steady_state;
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M.params(values(ip,2)) = points(ip,i);
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oo.exo_steady_state(values(ix,2)) = points(ix,i);
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oo.exo_det_steady_state(values(ixd,2)) = points(ixd,i);
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[steady_state,M.params,info] = evaluate_steady_state(oo.steady_state,[oo.exo_steady_state; oo.exo_det_steady_state],M,options,~options.steadystate.nocheck);
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if info(1) == 0
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% if homotopy step is not successful, current values of steady
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% state are not modified
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oo.steady_state = steady_state;
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else
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M.params = old_params;
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oo.exo_steady_state = old_exo;
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oo.exo_det_steady_state = old_exo_det;
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break
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[oo.steady_state,M.params,info] = evaluate_steady_state(oo.steady_state,[oo.exo_steady_state; oo.exo_det_steady_state],M,options,~options.steadystate.nocheck);
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if info(1)
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if i == 1
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errorcode = 2;
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else
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M.params = old_params;
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oo.exo_steady_state = old_exo;
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oo.exo_det_steady_state = old_exo_det;
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errorcode = 1;
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end
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return
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end
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old_params = M.params;
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old_exo = oo.exo_steady_state;
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old_exo_det = oo.exo_det_steady_state;
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end
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errorcode = 0;
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function homotopy2(values, step_nbr)
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function [M_, oo_, errorcode] = homotopy2(values, step_nbr, M_, options_, oo_)
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% Implements homotopy (mode 2) for steady-state computation.
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% Only one parameter/exogenous is changed at a time.
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% Computation jumps to next variable only when current variable has been
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@ -201,18 +211,7 @@ function homotopy2(values, step_nbr)
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% Variables are processed in the order in which they appear in "values".
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% The problem is solved var_nbr*step_nbr times.
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%
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% INPUTS
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% values: a matrix with 4 columns, representing the content of
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% homotopy_setup block, with one variable per line.
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% Column 1 is variable type (1 for exogenous, 2 for
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% exogenous deterministic, 4 for parameters)
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% Column 2 is symbol integer identifier.
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% Column 3 is initial value, and column 4 is final value.
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% Column 3 can contain NaNs, in which case previous
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% initialization of variable will be used as initial value.
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% step_nbr: number of steps for homotopy
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global M_ oo_ options_
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% See homoptopy1 for the description of inputs and outputs.
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nv = size(values, 1);
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@ -270,12 +269,28 @@ for i = 1:nv
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disp([ 'HOMOTOPY mode 2: lauching solver with ' varname ' = ' num2str(v) ' ...'])
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oo_.steady_state = evaluate_steady_state(oo_.steady_state,[oo_.exo_steady_state; oo_.exo_det_steady_state],M_,options_,~options_.steadystate.nocheck);
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[oo_.steady_state, M_.params, info] = evaluate_steady_state(oo_.steady_state,[oo_.exo_steady_state; oo_.exo_det_steady_state],M_,options_,~options_.steadystate.nocheck);
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if info(1)
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if i == 1 && v == oldvalues(1)
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errorcode = 2;
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else
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M_.params = last_successful_params;
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oo_.exo_steady_state = last_successful_exo;
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oo_.exo_det_steady_state = last_successful_exo_det;
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errorcode = 1;
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end
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return
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end
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last_successful_params = M_.params;
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last_successful_exo = oo_.exo_steady_state;
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last_successful_exo_det = oo_.exo_det_steady_state;
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end
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end
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errorcode = 0;
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function [M,oo,info,ip,ix,ixd] = homotopy3(values, step_nbr, M, options, oo)
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function [M,oo,errorcode] = homotopy3(values, step_nbr, M, options, oo)
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% Implements homotopy (mode 3) for steady-state computation.
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% Tries first the most extreme values. If it fails to compute the steady
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% state, the interval between initial and desired values is divided by two
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@ -283,27 +298,7 @@ function [M,oo,info,ip,ix,ixd] = homotopy3(values, step_nbr, M, options, oo)
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% state, the previous interval is divided by two. When one succeed to find
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% a steady state, the previous interval is multiplied by two.
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%
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% INPUTS
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% values: a matrix with 4 columns, representing the content of
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% homotopy_setup block, with one variable per line.
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% Column 1 is variable type (1 for exogenous, 2 for
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% exogenous deterministic, 4 for parameters)
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% Column 2 is symbol integer identifier.
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% Column 3 is initial value, and column 4 is final value.
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% Column 3 can contain NaNs, in which case previous
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% initialization of variable will be used as initial value.
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% step_nbr: maximum number of steps to try before aborting
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% M struct of model parameters
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% options struct of options
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% oo struct of outputs
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%
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% OUTPUTS
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% M struct of model parameters
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% oo struct of outputs
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% info return status 0: OK, 1: failed
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% ip index of parameters
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% ix index of exogenous variables
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% ixp index of exogenous deterministic variables
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% See homoptopy1 for the description of inputs and outputs.
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info = [];
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tol = 1e-8;
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@ -314,10 +309,6 @@ ip = find(values(:,1) == 4); % Parameters
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ix = find(values(:,1) == 1); % Exogenous
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ixd = find(values(:,1) == 2); % Exogenous deterministic
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if length([ip; ix; ixd]) ~= nv
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error('HOMOTOPY mode 3: incorrect variable types specified')
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end
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% Construct vector of starting values, using previously initialized values
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% when initial value has not been given in homotopy_setup block
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last_values = values(:,3);
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@ -330,9 +321,6 @@ last_values(ixdn) = oo.exo_det_steady_state(values(ixdn, 2));
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targetvalues = values(:,4);
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%if min(abs(targetvalues - last_values)) < tol
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% error('HOMOTOPY mode 3: distance between initial and final values should be at least %e for all variables', tol)
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%end
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iplus = find(targetvalues > last_values);
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iminus = find(targetvalues < last_values);
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@ -358,6 +346,7 @@ while iter <= step_nbr
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oo.steady_state = steady_state;
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M.params = params;
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if length([kplus; kminus]) == nv
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errorcode = 0;
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return
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end
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if iter == 1
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@ -371,7 +360,8 @@ while iter <= step_nbr
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old_exo_det_steady_state = oo.exo_det_steady_state;
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inc = 2*inc;
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elseif iter == 1
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error('HOMOTOPY mode 3: can''t solve the model at 1st iteration')
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errorcode = 2;
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return
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else
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disp('HOMOTOPY mode 3: failed step, now dividing increment by 2...')
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inc = inc/2;
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@ -389,6 +379,7 @@ while iter <= step_nbr
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M.params = old_params;
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oo.exo_steady_state = old_exo_steady_state;
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oo.exo_det_steady_state = old_exo_det_steady_state;
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errorcode = 1;
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return
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end
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@ -398,3 +389,4 @@ disp('HOMOTOPY mode 3: failed, maximum iterations reached')
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M.params = old_params;
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oo.exo_steady_state = old_exo_steady_state;
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oo.exo_det_steady_state = old_exo_det_steady_state;
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errorcode = 1;
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