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minor changes to new functions and completing headers

time-shift
Michel Juillard 2011-12-20 16:34:30 +01:00
parent 10c6978369
commit 30d815afdc
4 changed files with 120 additions and 10 deletions
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67
matlab/dyn_first_order_solver.m
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@ -1,4 +1,67 @@
function [dr,info] = dyn_first_order_solver(jacobia,b,M_,dr,options,task)
function [dr,info] = dyn_first_order_solver(jacobia,M_,dr,options,task)
%@info:
%! @deftypefn {Function File} {[@var{dr},@var{info}] =} dyn_first_order_solver (@var{jacobia},@var{M_},@var{dr},@var{options},@var{task})
%! @anchor{dyn_first_order_solver}
%! @sp 1
%! Computes the first order reduced form of the DSGE model
%! @sp 2
%! @strong{Inputs}
%! @sp 1
%! @table @ @var
%! @item jacobia
%! Matrix containing the Jacobian of the model
%! @item M_
%! Matlab's structure describing the model (initialized by @code{dynare}).
%! @item dr
%! Matlab's structure describing the reduced form solution of the model.
%! @item qz_criterium
%! Double containing the criterium to separate explosive from stable eigenvalues
%! @end table
%! @sp 2
%! @strong{Outputs}
%! @sp 1
%! @table @ @var
%! @item dr
%! Matlab's structure describing the reduced form solution of the model.
%! @item info
%! Integer scalar, error code.
%! @sp 1
%! @table @ @code
%! @item info==0
%! No error.
%! @item info==1
%! The model doesn't determine the current variables uniquely.
%! @item info==2
%! MJDGGES returned an error code.
%! @item info==3
%! Blanchard & Kahn conditions are not satisfied: no stable equilibrium.
%! @item info==4
%! Blanchard & Kahn conditions are not satisfied: indeterminacy.
%! @item info==5
%! Blanchard & Kahn conditions are not satisfied: indeterminacy due to rank failure.
%! @item info==7
%! One of the generalized eigenvalues is close to 0/0
%! @end table
%! @end deftypefn
%@eod:
% Copyright (C) 2001-2011 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/>.
info = 0;
@ -24,7 +87,7 @@ function [dr,info] = dyn_first_order_solver(jacobia,b,M_,dr,options,task)
order_var));
if nstatic > 0
[Q,R] = qr(b(:,1:nstatic));
[Q,R] = qr(jacobia(:,cols_j(1:nstatic)));
aa = Q'*jacobia;
else
aa = jacobia;

54
matlab/dyn_second_order_solver.m
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@ -1,6 +1,54 @@
function dr = dyn_second_order_solver(jacobia,hessian1,dr,M_,threads_ABC,threads_BC)
function dr = dyn_second_order_solver(jacobia,hessian,dr,M_,threads_ABC,threads_BC)
%@info:
%! @deftypefn {Function File} {@var{dr} =} dyn_second_order_solver (@var{jacobia},@var{hessian},@var{dr},@var{M_},@var{threads_ABC},@var{threads_BC})
%! @anchor{dyn_first_order_solver}
%! @sp 1
%! Computes the first order reduced form of the DSGE model
%! @sp 2
%! @strong{Inputs}
%! @sp 1
%! @table @ @var
%! @item jacobia
%! Matrix containing the Jacobian of the model
%! @item hessian
%! Matrix containing the second order derivatives of the model
%! @item dr
%! Matlab's structure describing the reduced form solution of the model.
%! @item M_
%! Matlab's structure describing the model (initialized by @code{dynare}).
%! @item threads_ABC
%! Integer controlling number of threads in A_times_B_kronecker_C
%! @item threads_BC
%! Integer controlling number of threads in sparse_hessian_times_B_kronecker_C
%! @end table
%! @sp 2
%! @strong{Outputs}
%! @sp 1
%! @table @ @var
%! @item dr
%! Matlab's structure describing the reduced form solution of the model.
%! @end table
%! @end deftypefn
%@eod:
% Copyright (C) 2001-2011 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/>.
dr.ghxx = [];
dr.ghuu = [];
dr.ghxu = [];
@ -29,8 +77,8 @@ function dr = dyn_second_order_solver(jacobia,hessian1,dr,M_,threads_ABC,threads
nk = size(kk,1);
kk1 = reshape([1:nk^2],nk,nk);
kk1 = kk1(kk,kk);
hessian = hessian1(:,kk1(:));
clear hessian1
% reordering second order derivatives
hessian = hessian(:,kk1(:));
zx = zeros(np,np);
zu=zeros(np,M_.exo_nbr);

3
matlab/resol.m
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@ -114,7 +114,8 @@ end
if options.block
[dr,info,M,options,oo] = dr_block(dr,check_flag,M,options,oo);
else
[dr,info,oo] = stochastic_solvers(dr,check_flag,M,options,oo);
[dr,info] = stochastic_solvers(dr,check_flag,M,options,oo);
oo.dr = dr;
end

6
matlab/stochastic_solvers.m
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@ -1,4 +1,4 @@
function [dr,info,oo_] = stochastic_solvers(dr,task,M_,options_,oo_)
function [dr,info] = stochastic_solvers(dr,task,M_,options_,oo_)
% function [dr,info,M_,options_,oo_] = stochastic_solvers(dr,task,M_,options_,oo_)
% computes the reduced form solution of a rational expectation model (first or second order
% approximation of the stochastic model around the deterministic steady state).
@ -21,7 +21,6 @@ function [dr,info,oo_] = stochastic_solvers(dr,task,M_,options_,oo_)
% indeterminacy.
% info=5: BK rank condition not satisfied.
% info=6: The jacobian matrix evaluated at the steady state is complex.
% oo_ [matlab structure] Results
%
% ALGORITHM
% ...
@ -170,7 +169,7 @@ else
[dr,info] = AIM_first_order_solver(jacobia_,M_,dr,options_.qz_criterium);
else % use original Dynare solver
[dr,info] = dyn_first_order_solver(jacobia_,b,M_,dr,options_,task);
[dr,info] = dyn_first_order_solver(jacobia_,M_,dr,options_,task);
if info
return;
end
@ -207,4 +206,3 @@ else
options_.threads.kronecker.sparse_hessian_times_B_kronecker_C);
end
end
oo.dr = dr;