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