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Add a constraint on the share of optimizing agents PAC/Iterative OLS. 

Ensure that the parameter value lies betwwen 0 and 1.
time-shift
Stéphane Adjemia (Scylla) 2018-12-19 15:43:36 +01:00
parent c0570ff0af
commit 11b24a0663
Signed by untrusted user who does not match committer: stepan
GPG Key ID: A6D44CB9C64CE77B
1 changed files with 8 additions and 0 deletions
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8
matlab/+pac/+estimate/iterative_ols.m
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@ -73,6 +73,9 @@ if is_non_optimizing_agents
estimate_non_optimizing_agents_share = ismember(M_.param_names(M_.pac.(pacmodl).share_of_optimizing_agents_index), fieldnames(params));
if ~estimate_non_optimizing_agents_share
share_of_optimizing_agents = M_.params(M_.pac.(pacmodl).share_of_optimizing_agents_index);
if share_of_optimizing_agents>1 || share_of_optimizing_agents<0
error('The share of optimizing agents shoud be in (0,1).')
end
end
else
share_of_optimizing_agents = 1.0;
@ -167,6 +170,9 @@ if estimate_non_optimizing_agents_share
[~, share_param_id] = setdiff(1:length(ipnames_), ecm_params_id);
params0_ = params0(ecm_params_id);
share_of_optimizing_agents = params0(share_param_id);
if share_of_optimizing_agents>1 || share_of_optimizing_agents<0
error('Initial value for the share of optimizing agents shoud be in (0,1).')
end
else
params0_ = params0;
end
@ -225,6 +231,8 @@ while noconvergence
ZDATA = XDATA*params0_+PacExpectations-dataForNonOptimizingBehaviour(range).data*non_optimizing_behaviour_params;
% Update the (estimated) share of optimizing agents by running OLS
share_of_optimizing_agents = (ZDATA\YDATA);
% Force the share of optimizing agents to be in [0,1].
share_of_optimizing_agents = max(min(share_of_optimizing_agents, 1.0), 0.0);
M_.params(ipnames_(share_param_id)) = share_of_optimizing_agents;
else
M_.params(ipnames_) = params0_;