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Block decomposition: in the dynamic file, y and T are now vectors as in non-block mode

time-shift
Sébastien Villemot 2020-06-17 16:48:40 +02:00
parent adbb9c9117
commit 20431ed312
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GPG Key ID: 2CECE9350ECEBE4A
8 changed files with 51 additions and 23 deletions
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2
matlab/dr_block.m
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@ -73,7 +73,7 @@ end
if (options_.bytecode)
[zz, data]= bytecode('dynamic','evaluate', z, zx, M_.params, dr.ys, 1, data);
else
[r, data] = feval([M_.fname '.dynamic'], options_, M_, oo_, z', zx, M_.params, dr.ys, M_.maximum_lag+1, data);
[r, data] = feval([M_.fname '.dynamic'], options_, M_, oo_, dynvars_from_endo_simul(z, M_.maximum_lag+1, M_), zx, M_.params, dr.ys, M_.maximum_lag+1, data);
end
dr.full_rank = 1;
dr.eigval = [];

26
matlab/dynvars_from_endo_simul.m Normal file
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@ -0,0 +1,26 @@
function y2 = dynvars_from_endo_simul(y, it_, M_)
% Given the matrix y of paths for all endogenous (same format as
% oo_.endo_simul), and an iteration number (first simulation period corresponds
% to it_=M_.maximum_lag+1), return a vector of endogenous values in the format
% expected by the dynamic.m file (i.e. whose indices are described by
% M_.lead_lag_incidence)
% Copyright (C) 2020 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/>.
y2 = y(:, it_+(-M_.maximum_endo_lag:M_.maximum_endo_lead));
y2 = y2(find(M_.lead_lag_incidence'));

14
matlab/lnsrch1_wrapper_one_boundary.m
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@ -1,18 +1,17 @@
function r = lnsrch1_wrapper_one_boundary(ya, y_index, fname, y, x, params, steady_state, T, it_)
function r = lnsrch1_wrapper_one_boundary(ya, ll_index, fname, y, x, params, steady_state, T, it_)
% wrapper for solve_one_boundary m-file when it is used with a dynamic
% model
%
% INPUTS
% ya [vector] The endogenous of the current block
% y_index [vector of int] The index of the endogenous variables of
% the block
% ll_index [vector] M_.lead_lag_incidence(M_.maximum_endo_lag+1, :)
% fname [string] name of the file containing the block
% to simulate
% y [matrix] All the endogenous variables of the model
% y [vector] Dynamic endogenous variables of the model
% x [matrix] All the exogenous variables of the model
% params [vector] All the parameters of the model
% steady_state [vector] steady state of the model
% T [matrix] Temporary terms
% T [vector] Temporary terms
% OUTPUTS
% r [vector] The residuals of the current block
%
@ -40,6 +39,5 @@ function r = lnsrch1_wrapper_one_boundary(ya, y_index, fname, y, x, params, stea
% You should have received a copy of the GNU General Public License
% along with Dynare. If not, see <http://www.gnu.org/licen
%reshape the input arguments of the dynamic function
y(it_, y_index) = ya;
[r, T, g1]=feval(fname, y, x, params, steady_state, T, it_, false);
y2(nonzeros(ll_index)) = ya(find(ll_index));
[r, ~, g1]=feval(fname, y, x, params, steady_state, T, it_, false);

12
matlab/lnsrch1_wrapper_two_boundaries.m
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@ -1,5 +1,6 @@
function ra = lnsrch1_wrapper_two_boundaries(ya, fname, y, y_index, x, ...
params, steady_state, T, periods, y_kmin, y_size)
params, steady_state, T, periods, ...
y_size, M_)
% wrapper for solve_one_boundary m-file when it is used with a dynamic
% model
%
@ -15,9 +16,10 @@ function ra = lnsrch1_wrapper_two_boundaries(ya, fname, y, y_index, x, ...
% steady_state [vector] steady state of the model
% T [matrix] Temporary terms
% periods [int] The number of periods
% y_kmin [int] The maximum number of lag on en endogenous variables
% y_size [int] The number of endogenous variables
% in the current block
% M_ Model description structure
%
% OUTPUTS
% ra [vector] The residuals of the current block
%
@ -46,8 +48,8 @@ function ra = lnsrch1_wrapper_two_boundaries(ya, fname, y, y_index, x, ...
% along with Dynare. If not, see <http://www.gnu.org/licen
%reshape the input arguments of the dynamic function
y(y_kmin+1:y_kmin+periods, y_index) = reshape(ya',length(y_index),periods)';
y(M_.maximum_lag+(1:periods), y_index) = reshape(ya',length(y_index),periods)';
ra = NaN(periods*y_size, 1);
for it_ = y_kmin+(1:periods)
[ra((it_-y_kmin-1)*y_size+(1:y_size)), T, g1]=feval(fname, y, x, params, steady_state, T, it_, false);
for it_ = M_.maximum_lag+(1:periods)
[ra((it_-M_.maximum_lag-1)*y_size+(1:y_size)), ~, g1]=feval(fname, dynvars_from_endo_simul(y', it_, M_), x, params, steady_state, T(:, it_), it_, false);
end

4
matlab/perfect-foresight-models/solve_block_decomposed_problem.m
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@ -63,7 +63,9 @@ for blk = 1:length(M_.block_structure.block)
range = M_.maximum_lag+options_.periods:-1:M_.maximum_lag+1;
end
for it_ = range
[y, T] = feval(funcname, y, oo_.exo_simul, M_.params, oo_.steady_state, T, it_, false);
y2 = dynvars_from_endo_simul(y', it_, M_);
[y2, T(:, it_)] = feval(funcname, y2, oo_.exo_simul, M_.params, oo_.steady_state, T(:, it_), it_, false);
y(it_, find(M_.lead_lag_incidence(M_.maximum_endo_lag+1, :))) = y2(nonzeros(M_.lead_lag_incidence(M_.maximum_endo_lag+1, :)));
end
elseif M_.block_structure.block(blk).Simulation_Type == 3 || ... % solveForwardSimple
M_.block_structure.block(blk).Simulation_Type == 4 || ... % solveBackwardSimple

10
matlab/solve_one_boundary.m
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@ -92,7 +92,7 @@ for it_=start:incr:finish
g1=spalloc( Blck_size, Blck_size, nze);
while ~(cvg==1 || iter>maxit_)
if is_dynamic
[r, T, g1] = feval(fname, y, x, params, steady_state, T, it_, false);
[r, T(:, it_), g1] = feval(fname, dynvars_from_endo_simul(y', it_, M), x, params, steady_state, T(:, it_), it_, false);
else
[r, T, g1] = feval(fname, y, x, params, T);
end
@ -203,9 +203,9 @@ for it_=start:incr:finish
p = -g1\r ;
[ya,f,r,check]=lnsrch1(ya,f,g,p,stpmax, ...
'lnsrch1_wrapper_one_boundary',nn, ...
y_index_eq, options.solve_tolx, y_index_eq, fname, y, x, params, steady_state, T, it_);
y_index_eq, options.solve_tolx, M.lead_lag_incidence(M.maximum_endo_lag+1, :), fname, dynvars_from_endo_simul(y', it_, M), x, params, steady_state, T(:, it_), it_);
%% Recompute temporary terms, since they are not given as output of lnsrch1
[~, T] = feval(fname, y, x, params, steady_state, T, it_, false);
[~, T(:, it_)] = feval(fname, dynvars_from_endo_simul(y', it_, M), x, params, steady_state, T(:, it_), it_, false);
dx = ya' - y(it_, index_eq);
y(it_, index_eq) = ya';
elseif (is_dynamic && (stack_solve_algo==1 || stack_solve_algo==0)) || (~is_dynamic && options.solve_algo==6)
@ -262,8 +262,8 @@ for it_=start:incr:finish
y(y_index_eq) = phat;
end
if is_dynamic
[r, T, g1] = feval(fname, y, x, params, ...
steady_state, T, it_, false);
[r, T(:, it_), g1] = feval(fname, dynvars_from_endo_simul(y', it_, M), x, params, ...
steady_state, T(:, it_), it_, false);
else
[r, T, g1] = feval(fname, y, x, params, T);
end

4
matlab/solve_two_boundaries.m
View File

@ -83,7 +83,7 @@ while ~(cvg==1 || iter>maxit_)
r = NaN(Blck_size, periods);
g1a = spalloc(Blck_size*periods, Blck_size*periods, nze*periods);
for it_ = y_kmin+(1:periods)
[r(:, it_-y_kmin), T, g1]=feval(fname, y, x, params, steady_state, T, it_, false);
[r(:, it_-y_kmin), T(:, it_), g1]=feval(fname, dynvars_from_endo_simul(y', it_, M), x, params, steady_state, T(:, it_), it_, false);
if periods == 1
g1a = g1(:, Blck_size+(1:Blck_size));
elseif it_ == y_kmin+1
@ -314,7 +314,7 @@ while ~(cvg==1 || iter>maxit_)
g = (ra'*g1a)';
f = 0.5*ra'*ra;
p = -g1a\ra;
[yn,f,ra,check]=lnsrch1(ya,f,g,p,stpmax,'lnsrch1_wrapper_two_boundaries',nn,nn, options.solve_tolx, fname, y, y_index,x, params, steady_state, T, periods, y_kmin, Blck_size);
[yn,f,ra,check]=lnsrch1(ya,f,g,p,stpmax,'lnsrch1_wrapper_two_boundaries',nn,nn, options.solve_tolx, fname, y, y_index,x, params, steady_state, T, periods, Blck_size, M);
dx = ya - yn;
y(1+y_kmin:periods+y_kmin,y_index)=reshape(yn',length(y_index),periods)';
end

2
preprocessor

@ -1 +1 @@
Subproject commit 379be6ccef55dc38af04edb881bf6aa57bdecd65
Subproject commit 79763911b2af3cd3ce368afd8a7e604a0bb43715