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perfect foresight: making simulation_core into a separate file, perfect_foresight_solver_core.m

time-shift
Michel Juillard 2015-02-06 12:35:00 +01:00
parent 73e292df2a
commit 085ab360cc
2 changed files with 135 additions and 72 deletions
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74
matlab/perfect_foresight_solver.m
View File

@ -86,7 +86,7 @@ end
% Effectively compute simulation, possibly with homotopy
if options_.no_homotopy
simulation_core;
[oo_.endo_simul,oo_.deterministic_simulation.status] = perfect_foresight_solver_core(M_,oo_,options_);
else
exosim = oo_.exo_simul;
exoinit = repmat(oo_.exo_steady_state',M_.maximum_lag+options_.periods+M_.maximum_lead,1);
@ -114,7 +114,7 @@ else
saved_endo_simul = oo_.endo_simul;
simulation_core;
[oo_.endo_simul,oo_.deterministic_simulation.status] = perfect_foresight_solver_core(M_,oo_,options_);
if oo_.deterministic_simulation.status == 1
current_weight = new_weight;
@ -158,73 +158,3 @@ assignin('base', 'Simulated_time_series', ts);
end
function simulation_core()
global M_ oo_ options_
if(options_.block)
if(options_.bytecode)
[info, oo_.endo_simul] = bytecode('dynamic');
if info == 1
oo_.deterministic_simulation.status = 0;
else
oo_.deterministic_simulation.status = 1;
end
mexErrCheck('bytecode', info);
else
eval([M_.fname '_dynamic']);
end
else
if(options_.bytecode)
[info, oo_.endo_simul]=bytecode('dynamic');
if info == 1
oo_.deterministic_simulation.status = 0;
else
oo_.deterministic_simulation.status = 1;
end;
mexErrCheck('bytecode', info);
else
if M_.maximum_endo_lead == 0 % Purely backward model
sim1_purely_backward;
elseif M_.maximum_endo_lag == 0 % Purely forward model
sim1_purely_forward;
else % General case
if options_.stack_solve_algo == 0
sim1;
elseif options_.stack_solve_algo == 6
sim1_lbj;
elseif options_.stack_solve_algo == 7
periods = options_.periods;
if ~isfield(options_.lmmcp,'lb')
[lb,ub,pfm.eq_index] = get_complementarity_conditions(M_);
options_.lmmcp.lb = repmat(lb,periods,1);
options_.lmmcp.ub = repmat(ub,periods,1);
end
y = oo_.endo_simul;
y0 = y(:,1);
yT = y(:,periods+2);
z = y(:,2:periods+1);
illi = M_.lead_lag_incidence';
[i_cols,~,i_cols_j] = find(illi(:));
illi = illi(:,2:3);
[i_cols_J1,~,i_cols_1] = find(illi(:));
i_cols_T = nonzeros(M_.lead_lag_incidence(1:2,:)');
[y,info] = dynare_solve(@perfect_foresight_problem,z(:),1, ...
str2func([M_.fname '_dynamic']),y0,yT, ...
oo_.exo_simul,M_.params,oo_.steady_state, ...
options_.periods,M_.endo_nbr,i_cols, ...
i_cols_J1, i_cols_1, i_cols_T, i_cols_j, ...
M_.NNZDerivatives(1));
oo_.endo_simul = [y0 reshape(y,M_.endo_nbr,periods) yT];
if info == 1
oo_.deterministic_simulation.status = 0;
else
oo_.deterministic_simulation.status = 1;
end;
end
end
end
end
end

133
matlab/perfect_foresight_solver_core.m Normal file
View File

@ -0,0 +1,133 @@
function [endo_simul, status] = perfect_foresight_solver_core(M,oo,options)
% Core function to compute deterministic simulations
%
% INPUTS
% M: model structure
% oo: output structure
% options: options structure
%
% OUTPUTS
% endo_simul: matrix endogenous variables
% deterministic_simulation: simulation status
%
% ALGORITHM
%
% various
%
% SPECIAL REQUIREMENTS
% none
% Copyright (C) 1996-2015 Dynare Team
%
% This file is part of Dynare.
%
% Dynare is free software: you can redistribute it and/or modify
% it under the terms of the GNU General Public License as published by
% the Free Software Foundation, either version 3 of the License, or
% (at your option) any later version.
%
% Dynare is distributed in the hope that it will be useful,
% but WITHOUT ANY WARRANTY; without even the implied warranty of
% MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the
% GNU General Public License for more details.
%
% You should have received a copy of the GNU General Public License
% along with Dynare. If not, see <http://www.gnu.org/licenses/>.
endo_simul = oo.endo_simul;
status = 0;
deterministic_simulation = struct();
if(options.block)
if(options.bytecode)
[info, endo_simul] = bytecode('dynamic');
if info == 1
status = 0;
else
status = 1;
end
mexErrCheck('bytecode', info);
else
eval([M.fname '_dynamic']);
end
else
if(options.bytecode)
[info, endo_simul]=bytecode('dynamic');
if info == 1
status = 0;
else
status = 1;
end;
mexErrCheck('bytecode', info);
else
if M.maximum_endo_lead == 0
% Purely backward model
global oo_
oo_ = oo;
sim1_purely_backward;
endo_simul = oo_.endo_simul;
if oo_.deterministic_simulation.status == 1
status = 1;
end
elseif M.maximum_endo_lag == 0
% Purely forward model
global oo_
oo_ = oo;
sim1_purely_forward;
endo_simul = oo_.endo_simul;
if oo_.deterministic_simulation.status == 1
status = 1;
end
else
% General case
if options.stack_solve_algo == 0
global oo_
oo_ = oo;
sim1;
endo_simul = oo_.endo_simul;
if oo_.deterministic_simulation.status == 1
status = 1;
end
elseif options.stack_solve_algo == 6
global oo_
oo_ = oo;
sim1_lbj;
endo_simul = oo_.endo_simul;
if oo_.deterministic_simulation.status == 1
status = 1;
end
elseif options.stack_solve_algo == 7
periods = options.periods;
if ~isfield(options.lmmcp,'lb')
[lb,ub,pfm.eq_index] = get_complementarity_conditions(M);
options.lmmcp.lb = repmat(lb,periods,1);
options.lmmcp.ub = repmat(ub,periods,1);
end
y = endo_simul;
y0 = y(:,1);
yT = y(:,periods+2);
z = y(:,2:periods+1);
illi = M.lead_lag_incidence';
[i_cols,~,i_cols_j] = find(illi(:));
illi = illi(:,2:3);
[i_cols_J1,~,i_cols_1] = find(illi(:));
i_cols_T = nonzeros(M.lead_lag_incidence(1:2,:)');
[y,info] = dynare_solve(@perfect_foresight_problem,z(:),1, ...
str2func([M.fname '_dynamic']),y0,yT, ...
oo.exo_simul,M.params,oo.steady_state, ...
options.periods,M.endo_nbr,i_cols, ...
i_cols_J1, i_cols_1, i_cols_T, i_cols_j, ...
M.NNZDerivatives(1));
endo_simul = [y0 reshape(y,M.endo_nbr,periods) yT];
if info == 1
status = 1;
else
status = 0;
end;
end
end
end
end