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🐛 dynare_solve would incorrectly accept some guess values leading to NaN residuals 

If the guess value passed to dynare_solve was such that the residuals were all
below tolerance, except some that were NaN, then this guess value would be
incorrectly accepted as a solution.
remove-submodule
Sébastien Villemot 2023-06-20 15:32:37 +02:00
parent ec336e9c95
commit 3a789ca780
No known key found for this signature in database
GPG Key ID: 2CECE9350ECEBE4A
1 changed files with 5 additions and 3 deletions
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8
matlab/dynare_solve.m
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@ -22,7 +22,7 @@ function [x, errorflag, fvec, fjac, errorcode] = dynare_solve(f, x, maxit, tolf,
% -10 -> System of equation ill-behaved at the initial guess (Inf, Nans or complex numbers).
% -11 -> Initial guess is a solution of the system of equations.
% Copyright © 2001-2022 Dynare Team
% Copyright © 2001-2023 Dynare Team
%
% This file is part of Dynare.
%
@ -64,8 +64,9 @@ if jacobian_flag
[fvec, fjac] = feval(f, x, varargin{:});
wrong_initial_guess_flag = false;
if ~all(isfinite(fvec)) || any(isinf(fjac(:))) || any(isnan((fjac(:)))) || any(~isreal(fvec)) || any(~isreal(fjac(:)))
if ~ismember(options.solve_algo,[10,11]) && max(abs(fvec))< tolf
if ~ismember(options.solve_algo,[10,11]) && ~any(isnan(fvec)) && max(abs(fvec))< tolf
% return if initial value solves the problem except if a mixed complementarity problem is to be solved (complementarity conditions may not be satisfied)
% max([NaN, 0])=0, so explicitly exclude the case where fvec contains a NaN
errorcode = -11;
return;
end
@ -100,8 +101,9 @@ if jacobian_flag
else
fvec = feval(f, x, varargin{:});
fjac = zeros(nn, nn);
if ~ismember(options.solve_algo,[10,11]) && max(abs(fvec)) < tolf
if ~ismember(options.solve_algo,[10,11]) && ~any(isnan(fvec)) && max(abs(fvec)) < tolf
% return if initial value solves the problem except if a mixed complementarity problem is to be solved (complementarity conditions may not be satisfied)
% max([NaN, 0])=0, so explicitly exclude the case where fvec contains a NaN
errorcode = -11;
return;
end