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Merge branch 'lyap' into 'master' 

disclyap_fast.m: bugfixes and improvements

See merge request Dynare/dynare!1745
time-shift
Sébastien Villemot 2020-07-01 08:14:46 +00:00
parent 4913cfb3f0 287ec91982
commit 3736272331
1 changed files with 16 additions and 15 deletions
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31
matlab/partial_information/disclyap_fast.m → matlab/disclyap_fast.m
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@ -1,10 +1,12 @@
function [X,exitflag]=disclyap_fast(G,V,tol,check_flag)
% function X=disclyap_fast(G,V,ch)
function [X,exitflag]=disclyap_fast(G,V,tol,check_flag,max_iter)
% [X,exitflag]=disclyap_fast(G,V,tol,check_flag)
% Inputs:
% - G [double] first input matrix
% - V [double] second input matrix
% - tol [scalar] tolerance criterion
% - check_flag empty of non-empty if non-empty: check positive-definiteness
% - check_flag [boolean] if true: check positive-definiteness
% - max_iter [scalar] maximum number of iterations
% Outputs:
% - X [double] solution matrix
% - exitflag [scalar] 0 if solution is found, 1 otherwise
@ -19,7 +21,7 @@ function [X,exitflag]=disclyap_fast(G,V,tol,check_flag)
% Joe Pearlman and Alejandro Justiniano
% 3/5/2005
% Copyright (C) 2010-2017 Dynare Team
% Copyright (C) 2010-2020 Dynare Team
%
% This file is part of Dynare.
%
@ -36,10 +38,11 @@ function [X,exitflag]=disclyap_fast(G,V,tol,check_flag)
% You should have received a copy of the GNU General Public License
% along with Dynare. If not, see <http://www.gnu.org/licenses/>.
if nargin <= 3 || isempty( check_flag ) == 1
flag_ch = 0;
else
flag_ch = 1;
if nargin <= 3 || isempty(check_flag)
check_flag = 0;
end
if nargin <=4
max_iter=2000;
end
exitflag=0;
@ -48,7 +51,7 @@ A0=G;
matd=1;
iter=1;
while matd > tol && iter< 2000
while matd > tol && iter< max_iter
P1=P0+A0*P0*A0';
A1=A0*A0;
matd=max( max( abs( P1 - P0 ) ) );
@ -56,20 +59,18 @@ while matd > tol && iter< 2000
A0=A1;
iter=iter+1;
end
if iter==5000
X=NaN(P0);
if iter==max_iter
X=NaN(size(P0));
exitflag=1;
return
end
clear A0 A1 P1;
X=(P0+P0')/2;
% Check that X is positive definite
if flag_ch==1
[C,p]=chol(X);
if check_flag==1
[~,p]=chol(X);
if p ~= 0
exitflag=1;
error('X is not positive definite')
end
end