steady: turn homotopy{1,2,3} into local functions

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Sébastien Villemot 2023-02-16 14:22:27 -05:00
parent def25a1fd3
commit 1a421d93dd
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4 changed files with 287 additions and 350 deletions

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@ -1,99 +0,0 @@
function [M,oo,info,ip,ix,ixd] = homotopy1(values, step_nbr, M, options, oo)
% function homotopy1(values, step_nbr)
%
% Implements homotopy (mode 1) for steady-state computation.
% The multi-dimensional vector going from the set of initial values
% to the set of final values is divided in as many sub-vectors as
% there are steps, and the problem is solved as many times.
%
% INPUTS
% values: a matrix with 4 columns, representing the content of
% homotopy_setup block, with one variable per line.
% Column 1 is variable type (1 for exogenous, 2 for
% exogenous deterministic, 4 for parameters)
% Column 2 is symbol integer identifier.
% Column 3 is initial value, and column 4 is final value.
% Column 3 can contain NaNs, in which case previous
% initialization of variable will be used as initial value.
% step_nbr: number of steps for homotopy
% M struct of model parameters
% options struct of options
% oo struct of outputs
%
% OUTPUTS
% M struct of model parameters
% oo struct of outputs
% ip index of parameters
% ix index of exogenous variables
% ixp index of exogenous deterministic variables
%
% SPECIAL REQUIREMENTS
% none
% Copyright © 2008-2022 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 <https://www.gnu.org/licenses/>.
nv = size(values, 1);
ip = find(values(:,1) == 4); % Parameters
ix = find(values(:,1) == 1); % Exogenous
ixd = find(values(:,1) == 2); % Exogenous deterministic
if length([ip; ix; ixd]) ~= nv
error('HOMOTOPY mode 1: incorrect variable types specified')
end
% Construct vector of starting values, using previously initialized values
% when initial value has not been given in homotopy_setup block
oldvalues = values(:,3);
ipn = find(values(:,1) == 4 & isnan(oldvalues));
oldvalues(ipn) = M.params(values(ipn, 2));
ixn = find(values(:,1) == 1 & isnan(oldvalues));
oldvalues(ixn) = oo.exo_steady_state(values(ixn, 2));
ixdn = find(values(:,1) == 2 & isnan(oldvalues));
oldvalues(ixdn) = oo.exo_det_steady_state(values(ixdn, 2));
points = zeros(nv, step_nbr+1);
for i = 1:nv
if (oldvalues(i) ~= values(i, 4))
points(i,:) = oldvalues(i):(values(i,4)-oldvalues(i))/step_nbr:values(i,4);
else
points(i,:) = values(i,4);
end
end
for i=1:step_nbr+1
disp([ 'HOMOTOPY mode 1: computing step ' int2str(i-1) '/' int2str(step_nbr) '...' ])
old_params = M.params;
old_exo = oo.exo_steady_state;
old_exo_det = oo.exo_det_steady_state;
M.params(values(ip,2)) = points(ip,i);
oo.exo_steady_state(values(ix,2)) = points(ix,i);
oo.exo_det_steady_state(values(ixd,2)) = points(ixd,i);
[steady_state,M.params,info] = evaluate_steady_state(oo.steady_state,M,options,oo,~options.steadystate.nocheck);
if info(1) == 0
% if homotopy step is not successful, current values of steady
% state are not modified
oo.steady_state = steady_state;
else
M.params = old_params;
oo.exo_steady_state = old_exo;
oo.exo_det_steady_state = old_exo_det;
break
end
end

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@ -1,105 +0,0 @@
function homotopy2(values, step_nbr)
% function homotopy2(values, step_nbr)
%
% Implements homotopy (mode 2) for steady-state computation.
% Only one parameter/exogenous is changed at a time.
% Computation jumps to next variable only when current variable has been
% brought to its final value.
% Variables are processed in the order in which they appear in "values".
% The problem is solved var_nbr*step_nbr times.
%
% INPUTS
% values: a matrix with 4 columns, representing the content of
% homotopy_setup block, with one variable per line.
% Column 1 is variable type (1 for exogenous, 2 for
% exogenous deterministic, 4 for parameters)
% Column 2 is symbol integer identifier.
% Column 3 is initial value, and column 4 is final value.
% Column 3 can contain NaNs, in which case previous
% initialization of variable will be used as initial value.
% step_nbr: number of steps for homotopy
%
% OUTPUTS
% none
%
% SPECIAL REQUIREMENTS
% none
% Copyright © 2008-2022 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 <https://www.gnu.org/licenses/>.
global M_ oo_ options_
nv = size(values, 1);
oldvalues = values(:,3);
% Initialize all variables with initial value, or the reverse...
for i = 1:nv
switch values(i,1)
case 1
if isnan(oldvalues(i))
oldvalues(i) = oo_.exo_steady_state(values(i,2));
else
oo_.exo_steady_state(values(i,2)) = oldvalues(i);
end
case 2
if isnan(oldvalues(i))
oldvalues(i) = oo_.exo_det_steady_state(values(i,2));
else
oo_.exo_det_steady_state(values(i,2)) = oldvalues(i);
end
case 4
if isnan(oldvalues(i))
oldvalues(i) = M_.params(values(i,2));
else
M_.params(values(i,2)) = oldvalues(i);
end
otherwise
error('HOMOTOPY mode 2: incorrect variable types specified')
end
end
if any(oldvalues == values(:,4))
error('HOMOTOPY mode 2: initial and final values should be different')
end
% Actually do the homotopy
for i = 1:nv
switch values(i,1)
case 1
varname = M_.exo_names{values(i,2)};
case 2
varname = M_.exo_det_names{values(i,2)};
case 4
varname = M_.param_names{values(i,2)};
end
for v = oldvalues(i):(values(i,4)-oldvalues(i))/step_nbr:values(i,4)
switch values(i,1)
case 1
oo_.exo_steady_state(values(i,2)) = v;
case 2
oo_.exo_det_steady_state(values(i,2)) = v;
case 4
M_.params(values(i,2)) = v;
end
disp([ 'HOMOTOPY mode 2: lauching solver with ' varname ' = ' num2str(v) ' ...'])
oo_.steady_state = evaluate_steady_state(oo_.steady_state,M_,options_,oo_,~options_.steadystate.nocheck);
end
end

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@ -1,145 +0,0 @@
function [M,oo,info,ip,ix,ixd]=homotopy3(values, step_nbr, M, options, oo)
% function homotopy3(values, step_nbr)
%
% Implements homotopy (mode 3) for steady-state computation.
% Tries first the most extreme values. If it fails to compute the steady
% state, the interval between initial and desired values is divided by two
% for each parameter. Every time that it is impossible to find a steady
% state, the previous interval is divided by two. When one succeed to find
% a steady state, the previous interval is multiplied by two.
%
% INPUTS
% values: a matrix with 4 columns, representing the content of
% homotopy_setup block, with one variable per line.
% Column 1 is variable type (1 for exogenous, 2 for
% exogenous deterministic, 4 for parameters)
% Column 2 is symbol integer identifier.
% Column 3 is initial value, and column 4 is final value.
% Column 3 can contain NaNs, in which case previous
% initialization of variable will be used as initial value.
% step_nbr: maximum number of steps to try before aborting
% M struct of model parameters
% options struct of options
% oo struct of outputs
%
% OUTPUTS
% M struct of model parameters
% oo struct of outputs
% info return status 0: OK, 1: failed
% ip index of parameters
% ix index of exogenous variables
% ixp index of exogenous deterministic variables
%
% SPECIAL REQUIREMENTS
% none
% Copyright © 2008-2017 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 <https://www.gnu.org/licenses/>.
info = [];
tol = 1e-8;
nv = size(values,1);
ip = find(values(:,1) == 4); % Parameters
ix = find(values(:,1) == 1); % Exogenous
ixd = find(values(:,1) == 2); % Exogenous deterministic
if length([ip; ix; ixd]) ~= nv
error('HOMOTOPY mode 3: incorrect variable types specified')
end
% Construct vector of starting values, using previously initialized values
% when initial value has not been given in homotopy_setup block
last_values = values(:,3);
ipn = find(values(:,1) == 4 & isnan(last_values));
last_values(ipn) = M.params(values(ipn, 2));
ixn = find(values(:,1) == 1 & isnan(last_values));
last_values(ixn) = oo.exo_steady_state(values(ixn, 2));
ixdn = find(values(:,1) == 2 & isnan(last_values));
last_values(ixdn) = oo.exo_det_steady_state(values(ixdn, 2));
targetvalues = values(:,4);
%if min(abs(targetvalues - last_values)) < tol
% error('HOMOTOPY mode 3: distance between initial and final values should be at least %e for all variables', tol)
%end
iplus = find(targetvalues > last_values);
iminus = find(targetvalues < last_values);
curvalues = last_values;
inc = (targetvalues-last_values)/2;
kplus = [];
kminus = [];
last_values = [];
disp('HOMOTOPY mode 3: launching solver at initial point...')
iter = 1;
while iter <= step_nbr
M.params(values(ip,2)) = curvalues(ip);
oo.exo_steady_state(values(ix,2)) = curvalues(ix);
oo.exo_det_steady_state(values(ixd,2)) = curvalues(ixd);
old_ss = oo.steady_state;
[steady_state,params,info] = evaluate_steady_state(old_ss,M,options,oo,~options.steadystate.nocheck);
if info(1) == 0
oo.steady_state = steady_state;
M.params = params;
if length([kplus; kminus]) == nv
return
end
if iter == 1
disp('HOMOTOPY mode 3: successful step, now jumping to final point...')
else
disp('HOMOTOPY mode 3: successful step, now multiplying increment by 2...')
end
last_values = curvalues;
old_params = params;
old_exo_steady_state = oo.exo_steady_state;
old_exo_det_steady_state = oo.exo_det_steady_state;
inc = 2*inc;
elseif iter == 1
error('HOMOTOPY mode 3: can''t solve the model at 1st iteration')
else
disp('HOMOTOPY mode 3: failed step, now dividing increment by 2...')
inc = inc/2;
oo.steady_state = old_ss;
end
curvalues = last_values + inc;
kplus = find(curvalues(iplus) >= targetvalues(iplus));
curvalues(iplus(kplus)) = targetvalues(iplus(kplus));
kminus = find(curvalues(iminus) <= targetvalues(iminus));
curvalues(iminus(kminus)) = targetvalues(iminus(kminus));
if max(abs(inc)) < tol
disp('HOMOTOPY mode 3: failed, increment has become too small')
M.params = old_params;
oo.exo_steady_state = old_exo_steady_state;
oo.exo_det_steady_state = old_exo_det_steady_state;
return
end
iter = iter + 1;
end
disp('HOMOTOPY mode 3: failed, maximum iterations reached')
M.params = old_params;
oo.exo_steady_state = old_exo_steady_state;
oo.exo_det_steady_state = old_exo_det_steady_state;

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@ -11,7 +11,7 @@ function steady()
% SPECIAL REQUIREMENTS
% none
% Copyright © 2001-2022 Dynare Team
% Copyright © 2001-2023 Dynare Team
%
% This file is part of Dynare.
%
@ -103,3 +103,289 @@ else
end
M_.Sigma_e = Sigma_e;
function [M,oo,info,ip,ix,ixd] = homotopy1(values, step_nbr, M, options, oo)
% Implements homotopy (mode 1) for steady-state computation.
% The multi-dimensional vector going from the set of initial values
% to the set of final values is divided in as many sub-vectors as
% there are steps, and the problem is solved as many times.
%
% INPUTS
% values: a matrix with 4 columns, representing the content of
% homotopy_setup block, with one variable per line.
% Column 1 is variable type (1 for exogenous, 2 for
% exogenous deterministic, 4 for parameters)
% Column 2 is symbol integer identifier.
% Column 3 is initial value, and column 4 is final value.
% Column 3 can contain NaNs, in which case previous
% initialization of variable will be used as initial value.
% step_nbr: number of steps for homotopy
% M struct of model parameters
% options struct of options
% oo struct of outputs
%
% OUTPUTS
% M struct of model parameters
% oo struct of outputs
% ip index of parameters
% ix index of exogenous variables
% ixp index of exogenous deterministic variables
nv = size(values, 1);
ip = find(values(:,1) == 4); % Parameters
ix = find(values(:,1) == 1); % Exogenous
ixd = find(values(:,1) == 2); % Exogenous deterministic
if length([ip; ix; ixd]) ~= nv
error('HOMOTOPY mode 1: incorrect variable types specified')
end
% Construct vector of starting values, using previously initialized values
% when initial value has not been given in homotopy_setup block
oldvalues = values(:,3);
ipn = find(values(:,1) == 4 & isnan(oldvalues));
oldvalues(ipn) = M.params(values(ipn, 2));
ixn = find(values(:,1) == 1 & isnan(oldvalues));
oldvalues(ixn) = oo.exo_steady_state(values(ixn, 2));
ixdn = find(values(:,1) == 2 & isnan(oldvalues));
oldvalues(ixdn) = oo.exo_det_steady_state(values(ixdn, 2));
points = zeros(nv, step_nbr+1);
for i = 1:nv
if (oldvalues(i) ~= values(i, 4))
points(i,:) = oldvalues(i):(values(i,4)-oldvalues(i))/step_nbr:values(i,4);
else
points(i,:) = values(i,4);
end
end
for i=1:step_nbr+1
disp([ 'HOMOTOPY mode 1: computing step ' int2str(i-1) '/' int2str(step_nbr) '...' ])
old_params = M.params;
old_exo = oo.exo_steady_state;
old_exo_det = oo.exo_det_steady_state;
M.params(values(ip,2)) = points(ip,i);
oo.exo_steady_state(values(ix,2)) = points(ix,i);
oo.exo_det_steady_state(values(ixd,2)) = points(ixd,i);
[steady_state,M.params,info] = evaluate_steady_state(oo.steady_state,M,options,oo,~options.steadystate.nocheck);
if info(1) == 0
% if homotopy step is not successful, current values of steady
% state are not modified
oo.steady_state = steady_state;
else
M.params = old_params;
oo.exo_steady_state = old_exo;
oo.exo_det_steady_state = old_exo_det;
break
end
end
function homotopy2(values, step_nbr)
% Implements homotopy (mode 2) for steady-state computation.
% Only one parameter/exogenous is changed at a time.
% Computation jumps to next variable only when current variable has been
% brought to its final value.
% Variables are processed in the order in which they appear in "values".
% The problem is solved var_nbr*step_nbr times.
%
% INPUTS
% values: a matrix with 4 columns, representing the content of
% homotopy_setup block, with one variable per line.
% Column 1 is variable type (1 for exogenous, 2 for
% exogenous deterministic, 4 for parameters)
% Column 2 is symbol integer identifier.
% Column 3 is initial value, and column 4 is final value.
% Column 3 can contain NaNs, in which case previous
% initialization of variable will be used as initial value.
% step_nbr: number of steps for homotopy
global M_ oo_ options_
nv = size(values, 1);
oldvalues = values(:,3);
% Initialize all variables with initial value, or the reverse...
for i = 1:nv
switch values(i,1)
case 1
if isnan(oldvalues(i))
oldvalues(i) = oo_.exo_steady_state(values(i,2));
else
oo_.exo_steady_state(values(i,2)) = oldvalues(i);
end
case 2
if isnan(oldvalues(i))
oldvalues(i) = oo_.exo_det_steady_state(values(i,2));
else
oo_.exo_det_steady_state(values(i,2)) = oldvalues(i);
end
case 4
if isnan(oldvalues(i))
oldvalues(i) = M_.params(values(i,2));
else
M_.params(values(i,2)) = oldvalues(i);
end
otherwise
error('HOMOTOPY mode 2: incorrect variable types specified')
end
end
if any(oldvalues == values(:,4))
error('HOMOTOPY mode 2: initial and final values should be different')
end
% Actually do the homotopy
for i = 1:nv
switch values(i,1)
case 1
varname = M_.exo_names{values(i,2)};
case 2
varname = M_.exo_det_names{values(i,2)};
case 4
varname = M_.param_names{values(i,2)};
end
for v = oldvalues(i):(values(i,4)-oldvalues(i))/step_nbr:values(i,4)
switch values(i,1)
case 1
oo_.exo_steady_state(values(i,2)) = v;
case 2
oo_.exo_det_steady_state(values(i,2)) = v;
case 4
M_.params(values(i,2)) = v;
end
disp([ 'HOMOTOPY mode 2: lauching solver with ' varname ' = ' num2str(v) ' ...'])
oo_.steady_state = evaluate_steady_state(oo_.steady_state,M_,options_,oo_,~options_.steadystate.nocheck);
end
end
function [M,oo,info,ip,ix,ixd] = homotopy3(values, step_nbr, M, options, oo)
% Implements homotopy (mode 3) for steady-state computation.
% Tries first the most extreme values. If it fails to compute the steady
% state, the interval between initial and desired values is divided by two
% for each parameter. Every time that it is impossible to find a steady
% state, the previous interval is divided by two. When one succeed to find
% a steady state, the previous interval is multiplied by two.
%
% INPUTS
% values: a matrix with 4 columns, representing the content of
% homotopy_setup block, with one variable per line.
% Column 1 is variable type (1 for exogenous, 2 for
% exogenous deterministic, 4 for parameters)
% Column 2 is symbol integer identifier.
% Column 3 is initial value, and column 4 is final value.
% Column 3 can contain NaNs, in which case previous
% initialization of variable will be used as initial value.
% step_nbr: maximum number of steps to try before aborting
% M struct of model parameters
% options struct of options
% oo struct of outputs
%
% OUTPUTS
% M struct of model parameters
% oo struct of outputs
% info return status 0: OK, 1: failed
% ip index of parameters
% ix index of exogenous variables
% ixp index of exogenous deterministic variables
info = [];
tol = 1e-8;
nv = size(values,1);
ip = find(values(:,1) == 4); % Parameters
ix = find(values(:,1) == 1); % Exogenous
ixd = find(values(:,1) == 2); % Exogenous deterministic
if length([ip; ix; ixd]) ~= nv
error('HOMOTOPY mode 3: incorrect variable types specified')
end
% Construct vector of starting values, using previously initialized values
% when initial value has not been given in homotopy_setup block
last_values = values(:,3);
ipn = find(values(:,1) == 4 & isnan(last_values));
last_values(ipn) = M.params(values(ipn, 2));
ixn = find(values(:,1) == 1 & isnan(last_values));
last_values(ixn) = oo.exo_steady_state(values(ixn, 2));
ixdn = find(values(:,1) == 2 & isnan(last_values));
last_values(ixdn) = oo.exo_det_steady_state(values(ixdn, 2));
targetvalues = values(:,4);
%if min(abs(targetvalues - last_values)) < tol
% error('HOMOTOPY mode 3: distance between initial and final values should be at least %e for all variables', tol)
%end
iplus = find(targetvalues > last_values);
iminus = find(targetvalues < last_values);
curvalues = last_values;
inc = (targetvalues-last_values)/2;
kplus = [];
kminus = [];
last_values = [];
disp('HOMOTOPY mode 3: launching solver at initial point...')
iter = 1;
while iter <= step_nbr
M.params(values(ip,2)) = curvalues(ip);
oo.exo_steady_state(values(ix,2)) = curvalues(ix);
oo.exo_det_steady_state(values(ixd,2)) = curvalues(ixd);
old_ss = oo.steady_state;
[steady_state,params,info] = evaluate_steady_state(old_ss,M,options,oo,~options.steadystate.nocheck);
if info(1) == 0
oo.steady_state = steady_state;
M.params = params;
if length([kplus; kminus]) == nv
return
end
if iter == 1
disp('HOMOTOPY mode 3: successful step, now jumping to final point...')
else
disp('HOMOTOPY mode 3: successful step, now multiplying increment by 2...')
end
last_values = curvalues;
old_params = params;
old_exo_steady_state = oo.exo_steady_state;
old_exo_det_steady_state = oo.exo_det_steady_state;
inc = 2*inc;
elseif iter == 1
error('HOMOTOPY mode 3: can''t solve the model at 1st iteration')
else
disp('HOMOTOPY mode 3: failed step, now dividing increment by 2...')
inc = inc/2;
oo.steady_state = old_ss;
end
curvalues = last_values + inc;
kplus = find(curvalues(iplus) >= targetvalues(iplus));
curvalues(iplus(kplus)) = targetvalues(iplus(kplus));
kminus = find(curvalues(iminus) <= targetvalues(iminus));
curvalues(iminus(kminus)) = targetvalues(iminus(kminus));
if max(abs(inc)) < tol
disp('HOMOTOPY mode 3: failed, increment has become too small')
M.params = old_params;
oo.exo_steady_state = old_exo_steady_state;
oo.exo_det_steady_state = old_exo_det_steady_state;
return
end
iter = iter + 1;
end
disp('HOMOTOPY mode 3: failed, maximum iterations reached')
M.params = old_params;
oo.exo_steady_state = old_exo_steady_state;
oo.exo_det_steady_state = old_exo_det_steady_state;