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Oups! I forgot to add this routine in commit ac54f7f528. This routine provides a matlab implementation of the perfect foresight model solver.

time-shift
Stéphane Adjemian (Charybdis) 2012-02-03 15:50:45 +01:00
parent 43f46f2886
commit 3f2d2b3497
1 changed files with 76 additions and 0 deletions
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matlab/solve_perfect_foresight_model.m Normal file
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function [flag,endo_simul,err] = solve_perfect_foresight_model(endo_simul,exo_simul,pfm)
flag = 0;
err = 0;
stop = 0;
model_dynamic = pfm.dynamic_model;
Y = endo_simul(:);
if pfm.verbose
disp (['-----------------------------------------------------']) ;
disp (['MODEL SIMULATION :']) ;
fprintf('\n') ;
end
z = Y(find(pfm.lead_lag_incidence'));
[d1,jacobian] = model_dynamic(z,exo_simul,pfm.params,pfm.steady_state,2);
A = sparse([],[],[],pfm.periods*pfm.ny,pfm.periods*pfm.ny,pfm.periods*nnz(jacobian));
res = zeros(pfm.periods*pfm.ny,1);
h1 = clock;
for iter = 1:pfm.maxit_
h2 = clock;
i_rows = 1:pfm.ny;
i_cols = find(pfm.lead_lag_incidence');
i_cols_A = i_cols;
for it = 2:(pfm.periods+1)
[d1,jacobian] = model_dynamic(Y(i_cols),exo_simul,pfm.params,pfm.steady_state,it);
if it == 2
A(i_rows,pfm.i_cols_A1) = jacobian(:,pfm.i_cols_1);
elseif it == pfm.periods+1
A(i_rows,i_cols_A(pfm.i_cols_T)) = jacobian(:,pfm.i_cols_T);
else
A(i_rows,i_cols_A) = jacobian(:,pfm.i_cols_j);
end
res(i_rows) = d1;
i_rows = i_rows + pfm.ny;
i_cols = i_cols + pfm.ny;
if it > 2
i_cols_A = i_cols_A + pfm.ny;
end
end
err = max(abs(res));
if err < pfm.tolerance
stop = 1 ;
if pfm.verbose
fprintf('\n') ;
disp([' Total time of simulation :' num2str(etime(clock,h1))]) ;
fprintf('\n') ;
disp([' Convergency obtained.']) ;
fprintf('\n') ;
end
flag = 0;% Convergency obtained.
endo_simul = reshape(Y,pfm.ny,pfm.periods+2);
break
end
dy = -A\res;
Y(pfm.i_upd) = Y(pfm.i_upd) + dy;
end
if ~stop
if pfm.verbose
fprintf('\n') ;
disp([' Total time of simulation :' num2str(etime(clock,h1))]) ;
fprintf('\n') ;
disp(['WARNING : maximum number of iterations is reached (modify options_.maxit_).']) ;
fprintf('\n') ;
end
flag = 1;% more iterations are needed.
endo_simul = 1;
end
if pfm.verbose
disp (['-----------------------------------------------------']) ;
end