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Allows to use alternative algorithms to solve lyapunov equation

time-shift
ferhat 2014-01-14 17:32:01 +01:00
parent 168895f428
commit 4e789452b2
1 changed files with 9 additions and 1 deletions
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10
matlab/DsgeSmoother.m
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@ -116,7 +116,15 @@ if options_.lik_init == 1 % Kalman filter
if kalman_algo ~= 2
kalman_algo = 1;
end
Pstar = lyapunov_symm(T,R*Q*transpose(R),options_.qz_criterium,options_.lyapunov_complex_threshold);
if options_.lyapunov_fp == 1
Pstar = lyapunov_symm(T,Q,options_.lyapunov_fixed_point_tol,options_.lyapunov_complex_threshold, 3, R);
elseif options_.lyapunov_db == 1
Pstar = disclyap_fast(T,R*Q*R',options_.lyapunov_doubling_tol);
elseif options_.lyapunov_srs == 1
Pstar = lyapunov_symm(T,Q,options_.lyapunov_fixed_point_tol,options_.lyapunov_complex_threshold, 4, R);
else
Pstar = lyapunov_symm(T,R*Q*R',options_.qz_criterium,options_.lyapunov_complex_threshold);
end;
Pinf = [];
elseif options_.lik_init == 2 % Old Diffuse Kalman filter
if kalman_algo ~= 2