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added 2 new occbin.simul options (defaults preserve current behavior): 

1) algo_truncation: sets the number of iterations for a truncated guess-verify algorithm (i.e. if max_iter<=algo_truncation, no error is triggered on output, but the user is happy with the last regime in the algorithm)
2) reset_regime_in_new_period: is set to true, it resets the guess regimes to unconstrained when a new shock arrives, instead of starting with a guess regime consistent with the one identified in previous time periods. this sometimes allows more robust convergence/identification of the regimes
trust-region-mex
Marco Ratto 2021-07-21 18:03:23 +02:00
parent ebdfcc80ec
commit 4caebd76c9
3 changed files with 54 additions and 22 deletions
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2
matlab/+occbin/set_default_options.m
View File

@ -160,6 +160,7 @@ if ismember(flag,{'shock_decomp','all'})
end
if ismember(flag,{'simul','all'})
options_occbin_.simul.algo_truncation = 1;
options_occbin_.simul.debug = false;
options_occbin_.simul.curb_retrench=false;
options_occbin_.simul.endo_init=zeros(M_.endo_nbr,1);
@ -174,6 +175,7 @@ if ismember(flag,{'simul','all'})
options_occbin_.simul.check_ahead_periods=200;
options_occbin_.simul.periodic_solution=true;
options_occbin_.simul.piecewise_only = false;
options_occbin_.simul.reset_regime_in_new_period = false;
options_occbin_.simul.restrict_state_space=false;
options_occbin_.simul.SHOCKS=zeros(1,M_.exo_nbr);
options_occbin_.simul.waitbar=true;

35
matlab/+occbin/solve_one_constraint.m
View File

@ -163,6 +163,15 @@ for shock_period = 1:n_shocks_periods
% get the hypothesized piece wise linear solution
if shock_period==1 || shock_period>1 && any(data.shocks_sequence(shock_period,:))
if iter==1 && opts_simul_.reset_regime_in_new_period
binding_indicator=false(size(binding_indicator));
binding_indicator_history{iter}=binding_indicator;
% analyse violvec and isolate contiguous periods in the other regime.
[regime, regime_start, error_code_period]=occbin.map_regime(binding_indicator,opts_simul_.debug);
regime_history(shock_period).regime = regime;
regime_history(shock_period).regimestart = regime_start;
end
[zdatalinear_, SS_out.T(:,:,shock_period), SS_out.R(:,:,shock_period), SS_out.C(:,shock_period), SS, update_flag]=occbin.mkdatap_anticipated_dyn(nperiods_0,DM,...
regime_start(end)-1,binding_indicator,...
data.exo_pos,data.shocks_sequence(shock_period,:),endo_init,update_flag);
@ -243,22 +252,26 @@ for shock_period = 1:n_shocks_periods
end
if regime_change_this_iteration ==1 && max_iter>1
disp_verbose(['occbin solver:: period ' int2str(shock_period) '::'],opts_simul_.debug)
if is_periodic
disp_verbose('Occbin solver loops between two regimes.',opts_simul_.debug)
if periodic_solution
disp_verbose(['Max error:' num2str(merr) '.'],opts_simul_.debug)
if regime_change_this_iteration ==1
if max_iter>opts_simul_.algo_truncation
disp_verbose(['occbin solver:: period ' int2str(shock_period) '::'],opts_simul_.debug)
if is_periodic
disp_verbose('Occbin solver loops between two regimes.',opts_simul_.debug)
if periodic_solution
disp_verbose(['Max error:' num2str(merr) '.'],opts_simul_.debug)
else
if opts_simul_.waitbar; dyn_waitbar_close(hh); end
error_flag = 310;
return
end
else
disp_verbose('Did not converge -- increase maxit.',opts_simul_.debug)
if opts_simul_.waitbar; dyn_waitbar_close(hh); end
error_flag = 310;
error_flag = 311;
return
end
else
disp_verbose('Did not converge -- increase maxit.',opts_simul_.debug)
if opts_simul_.waitbar; dyn_waitbar_close(hh); end
error_flag = 311;
return
binding_indicator = binding_indicator_history{end};
end
end
if any(error_code_period)

39
matlab/+occbin/solve_two_constraints.m
View File

@ -177,6 +177,17 @@ for shock_period = 1:n_shocks_periods
regime_history(shock_period).regime2 = regime_2;
regime_history(shock_period).regimestart2 = regime_start_2;
if shock_period==1 || shock_period>1 && any(data.shocks_sequence(shock_period,:)) % first period or shock happening
if iter==1 && opts_simul_.reset_regime_in_new_period
binding_indicator=false(size(binding_indicator));
binding_indicator_history{iter}=binding_indicator;
% analyse violvec and isolate contiguous periods in the other regime.
[regime_1, regime_start_1, error_code_period(1)]=occbin.map_regime(binding_indicator(:,1),opts_simul_.debug);
regime_history(shock_period).regime1 = regime_1;
regime_history(shock_period).regimestart1 = regime_start_1;
[regime_2, regime_start_2, error_code_period(2)]=occbin.map_regime(binding_indicator(:,2),opts_simul_.debug);
regime_history(shock_period).regime2 = regime_2;
regime_history(shock_period).regimestart2 = regime_start_2;
end
Tmax=max([regime_start_1(end) regime_start_2(end)])-1;
[zdatalinear_, SS_out.T(:,:,shock_period), SS_out.R(:,:,shock_period), SS_out.C(:,shock_period), SS, update_flag]=occbin.mkdatap_anticipated_2constraints_dyn(nperiods_0,...
DM,Tmax,...
@ -271,22 +282,28 @@ for shock_period = 1:n_shocks_periods
binding_indicator_history{iter}=binding_indicator;
end
end
if regime_change_this_iteration && max_iter>1
disp_verbose(['occbin solver: period ' int2str(shock_period) ':'],opts_simul_.debug)
if is_periodic
disp_verbose('Occbin solver loops between two regimes.',opts_simul_.debug)
if periodic_solution
disp_verbose(['Max error:' num2str(min_err) '.'],opts_simul_.debug)
if regime_change_this_iteration
if max_iter>opts_simul_.algo_truncation
disp_verbose(['occbin solver: period ' int2str(shock_period) ':'],opts_simul_.debug)
if is_periodic
disp_verbose('Occbin solver loops between two regimes.',opts_simul_.debug)
if periodic_solution
disp_verbose(['Max error:' num2str(min_err) '.'],opts_simul_.debug)
else
error_flag = 310;
if opts_simul_.waitbar; dyn_waitbar_close(hh); end
return;
end
else
error_flag = 310;
disp_verbose('Did not converge -- increase maxit.',opts_simul_.debug)
error_flag = 311;
if opts_simul_.waitbar; dyn_waitbar_close(hh); end
return;
end
else
disp_verbose('Did not converge -- increase maxit.',opts_simul_.debug)
error_flag = 311;
if opts_simul_.waitbar; dyn_waitbar_close(hh); end
return;
% if max_iter <= truncation, we force indicator to equal the
% last guess
binding_indicator = binding_indicator_history{end};
end
end
if any(error_code_period)