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Factorized code using ispd routine.

time-shift
Stéphane Adjemian (Charybdis) 2013-06-20 12:59:01 +02:00
parent 3701707e63
commit 268095276c
2 changed files with 17 additions and 30 deletions
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7
matlab/DsgeVarLikelihood.m
View File

@ -224,10 +224,9 @@ if ~isinf(dsge_prior_weight)% Evaluation of the likelihood of the dsge-var model
tmp1 = dsge_prior_weight*DynareDataset.info.ntobs*GYX + mYX;
tmp2 = inv(dsge_prior_weight*DynareDataset.info.ntobs*GXX+mXX);
SIGMAu = tmp0 - tmp1*tmp2*tmp1'; clear('tmp0');
if ~ispd(SIGMAu)
v = diag(SIGMAu);
k = find(v<0);
fval = objective_function_penalty_base + sum(v(k).^2);
[SIGMAu_is_positive_definite, penalty] = ispd(SIGMAu)
if ~SIGMAu_is_positive_definite
fval = objective_function_penalty_base + penalty;
info = 52;
exit_flag = 0;
return;

40
matlab/dsge_likelihood.m
View File

@ -206,36 +206,24 @@ Q = Model.Sigma_e;
H = Model.H;
% Test if Q is positive definite.
if EstimatedParameters.ncx
% Try to compute the cholesky decomposition of Q (possible iff Q is positive definite)
[CholQ,testQ] = chol(Q);
if testQ
% The variance-covariance matrix of the structural innovations is not definite positive. We have to compute the eigenvalues of this matrix in order to build the endogenous penalty.
a = diag(eig(Q));
k = find(a < 0);
if k > 0
fval = objective_function_penalty_base+sum(-a(k));
exit_flag = 0;
info = 43;
return
end
if ~issquare(Q) && EstimatedParameters.ncx
[Q_is_positive_definite, penalty] = ispd(Q);
if ~Q_is_positive_definite
fval = objective_function_penalty_base+penalty;
exit_flag = 0;
info = 43;
return
end
end
% Test if H is positive definite.
if EstimatedParameters.ncn
% Try to compute the cholesky decomposition of H (possible iff H is positive definite)
[CholH,testH] = chol(H);
if testH
% The variance-covariance matrix of the measurement errors is not definite positive. We have to compute the eigenvalues of this matrix in order to build the endogenous penalty.
a = diag(eig(H));
k = find(a < 0);
if k > 0
fval = objective_function_penalty_base+sum(-a(k));
exit_flag = 0;
info = 44;
return
end
if ~issquare(H) && EstimatedParameters.ncn
[H_is_positive_definite, penalty] = ispd(H);
if ~H_is_positive_definite
fval = objective_function_penalty_base+penalty;
exit_flag = 0;
info = 44;
return
end
end