Allows to use alternative algorithms to solve lyapunov equation
parent
168895f428
commit
4e789452b2
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@ -116,7 +116,15 @@ if options_.lik_init == 1 % Kalman filter
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if kalman_algo ~= 2
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if kalman_algo ~= 2
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kalman_algo = 1;
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kalman_algo = 1;
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end
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end
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Pstar = lyapunov_symm(T,R*Q*transpose(R),options_.qz_criterium,options_.lyapunov_complex_threshold);
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if options_.lyapunov_fp == 1
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Pstar = lyapunov_symm(T,Q,options_.lyapunov_fixed_point_tol,options_.lyapunov_complex_threshold, 3, R);
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elseif options_.lyapunov_db == 1
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Pstar = disclyap_fast(T,R*Q*R',options_.lyapunov_doubling_tol);
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elseif options_.lyapunov_srs == 1
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Pstar = lyapunov_symm(T,Q,options_.lyapunov_fixed_point_tol,options_.lyapunov_complex_threshold, 4, R);
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else
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Pstar = lyapunov_symm(T,R*Q*R',options_.qz_criterium,options_.lyapunov_complex_threshold);
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end;
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Pinf = [];
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Pinf = [];
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elseif options_.lik_init == 2 % Old Diffuse Kalman filter
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elseif options_.lik_init == 2 % Old Diffuse Kalman filter
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if kalman_algo ~= 2
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if kalman_algo ~= 2
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