v4: corrected osr

git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@924 ac1d8469-bf42-47a9-8791-bf33cf982152

matlab/get_variance_of_endogenous_variables.m

@@ -1,4 +1,4 @@
-function [vx,i_ns] = get_variance_of_endogenous_variables(dr,i_var)
+function [vx1,i_ns] = get_variance_of_endogenous_variables(dr,i_var)
 
   global M_ options_
   
@@ -9,17 +9,21 @@ function [vx,i_ns] = get_variance_of_endogenous_variables(dr,i_var)
   ghx = dr.ghx(i_var,:);
   ghu = dr.ghu(i_var,:);
   nc = size(ghx,2);
+  n = length(i_var);
   
   [A,B] = kalman_transition_matrix(dr,nstatic+(1:npred),1:nc,dr.transition_auxiliary_variables);
   
   [vx,u] = lyapunov_symm(A,B*Sigma_e*B');
   
-  i_ns = find(any(abs(ghx*u) > options_.Schur_vec_tol,2));
+  if size(u,2) > 0
+    i_stat = find(any(abs(ghx*u) < options_.Schur_vec_tol,2));
   
-  ghx = ghx(i_ns,:);
-  ghu = ghu(i_ns,:);
+    ghx = ghx(i_stat,:);
+    ghu = ghu(i_stat,:);
+  else
+    i_stat = (1:n)';
+  end
   
-  n = length(i_var);
-  vx = Inf*ones(n,n);
-  vx(i_ns,i_ns) = ghx*vx*ghx'+ghu*Sigma_e*ghu';
+  vx1 = Inf*ones(n,n);
+  vx1(i_stat,i_stat) = ghx*vx*ghx'+ghu*Sigma_e*ghu';
   

matlab/global_initialization.m

@@ -15,9 +15,12 @@ function global_initialization()
   options_.gstep = 1e-2;
   options_.debug = 0
   options_.initval_file = 0;
-  optinos_.Schur_vec_tol = 1e-8; % used to find nonstationary variables
+  options_.Schur_vec_tol = 1e-8; % used to find nonstationary variables
                                  % in Schur decomposition of the
                                  % transition matrix
+  options_.solve_tolf = eps^(2/3);
+  options_.solve_tolx = 3.7e-11;
+  options_.solve_maxit = 500;
 				 
   if exist([M_.fname '_steadystate'])
     options_.steadystate_flag = 1;

matlab/osr.m

@@ -1,6 +1,6 @@
 % Copyright (C) 2001 Michel Juillard
 %
-function osr(var_list,params,W)
+function osr(var_list,params,i_var,W)
   global M_ options_ oo_  
 
   options_.order = 1;
@@ -36,7 +36,7 @@ function osr(var_list,params,W)
   disp(' ')
   disp('OPTIMAL SIMPLE RULE')
   disp(' ')
-  osr1(i_params,W);
+  osr1(i_params,i_var,W);
   disp('MODEL SUMMARY')
   disp(' ')
   disp(['  Number of variables:         ' int2str(M_.endo_nbr)])

matlab/osr1.m

@@ -1,4 +1,4 @@
-function osr1(i_params,weights)
+function osr1(i_params,i_var,weights)
   global M_ oo_ options_ it_
 
   klen = M_.maximum_lag + M_.maximum_lead + 1;
@@ -21,6 +21,9 @@ function osr1(i_params,weights)
   end
 
   exe =zeros(M_.exo_nbr,1);
+  
+  oo_.dr = set_state_space(oo_.dr);
+  
   % check if ys is steady state
   fh = str2func([M_.fname '_static']);
   if max(abs(feval(fh,oo_.steady_state,exe))) > options_.dynatol
@@ -29,17 +32,26 @@ function osr1(i_params,weights)
       error('OLR: convergence problem in DYNARE_SOLVE')
     end
   else
-    dr.ys = oo_.steady_state;
-    oo_.dr = dr;
+    oo_.dr.ys = oo_.steady_state;
   end
 
   
   np = size(i_params,1);
   t0 = M_.params(i_params);
-  
-  options = optimset('fminunc');
-  options = optimset('display','iter');
-  [p,f]=fminunc(@osr_obj,t0,options,i_params,weights);
+  inv_order_var = oo_.dr.inv_order_var;
+
+  H0 = 1e-4*eye(np);
+  crit = 1e-7;
+  nit = 1000;
+  verbose = 2;
+
+  [f,p]=csminwel('osr_obj',t0,H0,[],crit,nit,i_params,...
+		inv_order_var(i_var),weights(i_var,i_var));
+
+  %  options = optimset('fminunc');
+%  options = optimset('display','iter');
+%  [p,f]=fminunc(@osr_obj,t0,options,i_params,...
+%		inv_order_var(i_var),weights(i_var,i_var));
 
 
   

matlab/th_autocovariances.m

@@ -59,7 +59,7 @@ function [Gamma_y,ivar]=th_autocovariances(dr,ivar)
     [vx, u] =  lyapunov_symm(A,B*M_.Sigma_e*B');
     iky = iv(ivar);
     if ~isempty(u)
-      iky = iky(find(any(abs(ghx(iky,:)*u) < 1e-8,2)));
+      iky = iky(find(any(abs(ghx(iky,:)*u) < options_.Schur_vec_tol,2)));
       ivar = dr.order_var(iky);
     end
     aa = ghx(iky,:);