Add the possibility to specify bounds for the BGP solver.
parent
872de4e781
commit
572db78143
GPG Key ID:
295C1FE89E17EB3C
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@ -0,0 +1,101 @@
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function Variables = in(DynareModel, constraints, variables, id, lb, ub)
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if ~iscell(constraints)
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error('Second argument must be a one-dimensional cell array.')
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end
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if iskeyvalue(constraints)
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if nargin<4
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id = zeros(length(constraints)/2,1);
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j = 1;
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for i=1:2:length(constraints)
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if isempty(regexp(constraints{i}, 'G\(\w+\)')) i
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tmp = find(strcmp(constraints{i}, DynareModel.endo_names));
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else
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tmp = find(strcmp(constraints{i}(3:end-1), DynareModel.endo_names));
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if ~isempty(tmp)
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tmp = tmp+DynareModel.endo_nbr;
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end
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end
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if isempty(tmp)
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error('Unknown variable (%s).', constraints{i})
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else
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id(j) = tmp;
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end
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j = j+1;
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end
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end
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Variables = NaN(2*DynareModel.endo_nbr, 1);
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jj = 1:length(Variables);
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ll = setdiff(jj, id);
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Variables(ll) = variables;
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values = NaN(length(constraints)/2, 1);
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j = 1;
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for i=2:2:length(constraints)
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values(j) = constraints{i};
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j = j+1;
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end
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Variables(id) = values;
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return
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end
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if iskeyvalues(constraints)
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halfline.right = @(x, a) a+exp(x);
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halfline.left = @(x, a) a-exp(x);
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interval = @(x, a, b) a+(b-a)/(1+exp(x));
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if nargin<4
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id = zeros(length(constraints)/3,1);
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lb = [-Inf(DynareModel.endo_nbr, 1); zeros(DynareModel.endo_nbr, 1)];
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ub = Inf(2*DynareModel.endo_nbr, 1);
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j = 1;
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for i=1:3:length(constraints)
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if isempty(regexp(constraints{i}, 'G\(\w+\)'))
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tmp = find(strcmp(constraints{i}, DynareModel.endo_names));
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else
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tmp = find(strcmp(constraints{i}(3:end-1), DynareModel.endo_names));
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if ~isempty(tmp)
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tmp = tmp + DynareModel.endo_nbr;
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end
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end
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assert(~isempty(tmp), 'Unknown variable (%s).', constraints{i})
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lb(tmp) = constraints{i+1};
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ub(tmp) = constraints{i+2};
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if abs(lb(tmp)-ub(tmp))<1e-6
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id(j) = tmp;
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end
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j = j+1;
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end
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id = id(id>0);
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end
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Variables = NaN(2*DynareModel.endo_nbr, 1);
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jj = 1:length(Variables);
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ll = setdiff(jj, id);
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Variables(ll) = variables;
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values = NaN(length(id), 1);
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j = 1;
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for i=1:length(id)
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if id(i)>DynareModel.endo_nbr
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j = find(strcmp(sprintf('G(%s)', DynareModel.endo_names{id(i)-DynareModel.endo_nbr}), constraints));
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else
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j = find(strcmp(sprintf('%s', DynareModel.endo_names{id(i)}), constraints));
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end
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assert(~isempty(j), 'Unknown variable (indexing issue).')
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values(i) = constraints{j+1};
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end
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Variables(id) = values;
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for i=1:length(Variables)
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if isfinite(lb(i)) && isinf(ub(i))
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Variables(i) = halfline.right(Variables(i), lb(i));
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elseif isinf(lb(i)) && isfinite(ub(i))
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Variables(i) = halfline.left(Variables(i), ub(i));
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elseif isfinite(lb(i)) && isfinite(ub(i)) && ub(i)-lb(i)>1e-6
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Variables(i) = interval(Variables(i), lb(i), ub(i));
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end
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end
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return
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end
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error('Second argument must be a cell array of key/value pairs or key/values triplets.')
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end
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@ -0,0 +1,78 @@
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function [variables, id, lb, ub] = out(DynareModel, constraints, variables)
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if ~iscell(constraints)
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error('Second argument must be a one-dimensional cell array.')
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end
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if iskeyvalue(constraints)
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% Calibrated variables.
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id = zeros(length(constraints)/2,1);
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j = 1;
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for i=1:2:length(constraints)
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if isempty(regexp(constraints{i}, 'G\(\w+\)'))
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tmp = find(strcmp(constraints{i}, DynareModel.endo_names));
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else
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tmp = DynareModel.endo_nbr+find(strcmp(constraints{i}(3:end-1), DynareModel.endo_names));
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end
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assert(~isempty(tmp), 'Unknown variable (%s).', constraints{i})
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id(j) = tmp;
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j = j+1;
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end
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variables(id) = [];
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lb = []; ub = [];
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return
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end
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if iskeyvalues(constraints)
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% Boundaries on variables and calibrated variables
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halfline.right = @(x, a) log(x-a);
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halfline.x = @(left, a) log(a-x);
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interval = @(x, a, b) log(x-a)-log(b-x);
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id = zeros(length(constraints)/3,1);
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lb = [-Inf(DynareModel.endo_nbr, 1); zeros(DynareModel.endo_nbr, 1)];
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ub = Inf(2*DynareModel.endo_nbr, 1);
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j = 1;
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for i=1:3:length(constraints)
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if isempty(regexp(constraints{i}, 'G\(\w+\)'))
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tmp = find(strcmp(constraints{i}, DynareModel.endo_names));
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else
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tmp = find(strcmp(constraints{i}(3:end-1), DynareModel.endo_names));
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if isempty(tmp)
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tmp = tmp + DynareModel.endo_nbr;
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end
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end
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assert(~isempty(tmp), 'Unknown variable (%s).', constraints{i})
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lb(tmp) = constraints{i+1};
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ub(tmp) = constraints{i+2};
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if abs(lb(tmp)-ub(tmp))<1e-6
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id(j) = tmp;
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end
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j = j+1;
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end
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id = id(id>0);
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id
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for i=1:2*DynareModel.endo_nbr
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if ~ismember(i, id)
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if i>DynareModel.endo_nbr
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assert(lb(i)<variables(i) && ub(i)>variables(i), 'Initial condition not consistent with declared boundaries (G(%s)).', DynareModel.endo_names{i-DynareModel.endo_nbr})
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else
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assert(lb(i)<variables(i) && ub(i)>variables(i), 'Initial condition not consistent with declared boundaries (%s)', DynareModel.endo_names{i})
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end
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if isfinite(lb(i)) && isinf(ub(i))
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variables(i) = halfline.right(variables(i), lb(i));
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elseif isinf(lb(i)) && isfinite(ub(i))
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variables(i) = halfline.left(variables(i), ub(i));
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elseif isfinite(lb(i)) && isfinite(ub(i)) && lb(i)<ub(i)
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variables(i) = interval(variables(i), lb(i), ub(i));
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end
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end
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end
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length(variables)
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variables(id) = [];
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length(variables)
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return
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end
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error('Second argument must be a cell array of key/value pairs or key/values triplets.')
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end
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@ -15,7 +15,7 @@ function write(DynareModel, varargin)
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% REMARKS
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% - The trends are assumed to be multiplicative.
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% Copyright © 2019 Dynare Team
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% Copyright © 2019-2022 Dynare Team
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%
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% This file is part of Dynare.
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%
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@ -51,6 +51,42 @@ function write(DynareModel, varargin)
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error('Wrong input arguments (%s is not an endogenous variable).', varargin{1})
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end
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end
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elseif iskeyvalues(varargin)
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idy = NaN(length(varargin)/3, 1);
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vly = NaN(length(varargin)/3, 1);
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idg = NaN(length(varargin)/3, 1);
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vlg = NaN(length(varargin)/3, 1);
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lb = [-Inf(DynareModel.endo_nbr, 1); zeros(DynareModel.endo_nbr, 1)];
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ub = Inf(2*DynareModel.endo_nbr, 1);
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prn = 0;
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for i=1:3:length(varargin)
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prn = prn+1;
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if ismember(varargin{i}, DynareModel.endo_names)
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j = find(strcmp(varargin{i}, DynareModel.endo_names));
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lb(j) = varargin{i+1};
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ub(j) = varargin{i+2};
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if ub(j)-lb(j)<0
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error('An upper bound cannot be smaller than a lower bound (%s).', varargin{i})
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end
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if ub(j)-lb(j)<1e-6
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idy(prn) = find(strcmp(varargin{i}, DynareModel.endo_names));
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vly(prn) = varargin{i+1};
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end
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elseif ~isempty(regexp(varargin{i}, 'G\(\w+\)')) && ismember(varargin{i}(3:end-1), DynareModel.endo_names)
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j = DynareModel.endo_nbr+find(strcmp(varargin{i}(3:end-1), DynareModel.endo_names));
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lb(j) = varargin{i+1};
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ub(j) = varargin{i+2};
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if ub(j)-lb(j)<0
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error('An upper bound cannot be smaller than a lower bound (%s).', varargin{i})
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end
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if ub(j)-lb(j)<1e-6
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idg(prn) = find(strcmp(varargin{i}, DynareModel.endo_names));
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vlg(prn) = varargin{i+1};
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end
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else
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error('Wrong input arguments (%s is not an endogenous variable).', varargin{1})
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end
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end
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else
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error('Wrong input arguments.')
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end
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@ -354,56 +390,101 @@ function write(DynareModel, varargin)
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fprintf(fid,'end\n');
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fclose(fid);
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if nargin>1
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if iskeyvalue(varargin)
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% Create function in mod namespace.
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fid = fopen(sprintf('+%s/bgpfunhardcon.m', DynareModel.fname), 'w');
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% Write header.
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fprintf(fid, 'function [F, JAC] = bgpfunhardcon(z)\n\n');
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fprintf(fid, '%% This file has been generated by dynare (%s).\n\n', datestr(now));
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j1 = setdiff(transpose(1:DynareModel.endo_nbr), idy(~isnan(idy)));
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j2 = setdiff(transpose(1:DynareModel.endo_nbr), idg(~isnan(idg)));
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tmp = sprintf(' %u', [j1; DynareModel.endo_nbr+j2]);
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fprintf(fid, 'id = [%s];\n\n', strtrim(tmp));
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fprintf(fid, 'Z = NaN(%u, 1);\n\n', 2*DynareModel.endo_nbr);
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fprintf(fid, 'Z(id) = z;\n');
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for i=1:length(idy)
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if ~isnan(idy(i))
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fprintf(fid, 'Z(%u) = %s;\n', idy(i), num2str(vly(i)));
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end
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if ~isnan(idg(i))
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fprintf(fid, 'Z(%u) = %s;\n', length(idy)+idg(i), num2str(vlg(i)));
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end
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end
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skipline(1, fid)
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fprintf(fid, '[F, JAC] = %s.bgpfun(Z);\n\n', DynareModel.fname);
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for i=1:length(idy)
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if ~isnan(idy(i))
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fprintf(fid, 'JAC(:,%u) = [];\n', idy(i));
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end
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if ~isnan(idg(i))
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fprintf(fid, 'JAC(:,%u) = [];\n', length(idy)+idg(i));
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end
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end
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fclose(fid);
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elseif iskeyvalues(varargin)
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% Create function in mod namespace.
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fid = fopen(sprintf('+%s/bgpfuncon.m', DynareModel.fname), 'w');
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% Write header.
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fprintf(fid, 'function [F, JAC] = bgpfuncon(z)\n\n');
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fprintf(fid, '%% This file has been generated by dynare (%s).\n\n', datestr(now));
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%fprintf(fid, 'keyboard\n\n');
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j1 = setdiff(transpose(1:DynareModel.endo_nbr), idy(~isnan(idy)));
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j2 = setdiff(transpose(1:DynareModel.endo_nbr), idg(~isnan(idg)));
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jj = [j1; DynareModel.endo_nbr+j2];
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fprintf(fid, 'Z = NaN(%u, 1);\n\n', 2*DynareModel.endo_nbr);
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for i=1:length(jj)
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j = jj(i);
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if isinf(lb(j)) && isinf(ub(j))
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fprintf(fid, 'Z(%u) = z(%u);\n', j, i);
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elseif isfinite(lb(j)) && isinf(ub(j))
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fprintf(fid, 'Z(%u) = %s+exp(z(%u));\n', j, num2str(lb(j), 9), i);
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elseif isinf(lb(j)) && isfinite(ub(j))
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fprintf(fid, 'Z(%u) = %s-exp(z(%u));\n', j, num2str(ub(j), 9), i);
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elseif isfinite(lb(j)) && isfinite(ub(j))
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fprintf(fid, 'Z(%u) = %s+%s/(1+exp(-z(%u)));\n', j, num2str(lb(j), 9), num2str(ub(j)-lb(j), 9), i);
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end
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end
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skipline(1, fid)
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for i=1:length(idy)
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if ~isnan(idy(i))
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fprintf(fid, 'Z(%u) = %s;\n', idy(i), num2str(vly(i)));
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end
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if ~isnan(idg(i))
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fprintf(fid, 'Z(%u) = %s;\n', length(idy)+idg(i), num2str(vlg(i)));
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end
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end
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skipline(1, fid)
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fprintf(fid, '[F, JAC] = %s.bgpfun(Z);\n\n', DynareModel.fname);
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%
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for i=1:length(jj)
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j = jj(i);
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if isinf(lb(j)) && isinf(ub(j))
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% Do nothing (no transformation of the input)
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elseif isfinite(lb(j)) && isinf(ub(j))
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fprintf(fid, 'JAC(:,%u) = JAC(:,%u)*exp(z(%u));\n', j, j, i);
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elseif isinf(lb(j)) && isfinite(ub(j))
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fprintf(fid, 'JAC(:,%u) = -JAC(:,%u)*exp(z(%u));\n', j, j, i);
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elseif isfinite(lb(j)) && isfinite(ub(j))
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fprintf(fid, 'tmp = 1/(1+exp(-z(%u)));\n', i);
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fprintf(fid, 'JAC(:,%u) = JAC(:,%u)*tmp*(1-tmp)*%s;\n', j, j, num2str(ub(j)-lb(j), 9));
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end
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end
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%
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skipline(1, fid)
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for i=1:length(idy)
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if ~isnan(idy(i))
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fprintf(fid, 'JAC(:,%u) = [];\n', idy(i));
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end
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if ~isnan(idg(i))
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fprintf(fid, 'JAC(:,%u) = [];\n', length(idy)+idg(i));
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end
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end
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fclose(fid);
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end
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if nargin>1 && iskeyvalue(varargin)
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% Create function in mod namespace.
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fid = fopen(sprintf('+%s/bgpfunhardcon.m', DynareModel.fname), 'w');
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% Write header.
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fprintf(fid, 'function [F, JAC] = bgpfunhardcon(z)\n\n');
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fprintf(fid, '%% This file has been generated by dynare (%s).\n\n', datestr(now));
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j1 = setdiff(transpose(1:DynareModel.endo_nbr), idy(~isnan(idy)));
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j2 = setdiff(transpose(1:DynareModel.endo_nbr), idg(~isnan(idg)));
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tmp = sprintf(' %u', [j1; DynareModel.endo_nbr+j2]);
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fprintf(fid, 'id = [%s];\n\n', strtrim(tmp));
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fprintf(fid, 'Z = NaN(%u, 1);\n\n', 2*DynareModel.endo_nbr);
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fprintf(fid, 'Z(id) = z;\n');
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for i=1:length(idy)
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if ~isnan(idy(i))
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fprintf(fid, 'Z(%u) = %s;\n', idy(i), num2str(vly(i)));
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end
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if ~isnan(idg(i))
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fprintf(fid, 'Z(%u) = %s;\n', length(idy)+idg(i), num2str(vlg(i)));
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end
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end
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skipline(1, fid)
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fprintf(fid, '[F, JAC] = %s.bgpfun(Z);\n\n', DynareModel.fname);
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for i=1:length(idy)
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if ~isnan(idy(i))
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fprintf(fid, 'JAC(:,%u) = [];\n', idy(i));
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end
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if ~isnan(idg(i))
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fprintf(fid, 'JAC(:,%u) = [];\n', length(idy)+idg(i));
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end
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end
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fclose(fid);
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end
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rehash()
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end
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function is = iskeyvalue(rowcellarray)
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is = true;
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if ~iscell(rowcellarray) || ~isrow(rowcellarray) || ~iseven(length(rowcellarray))
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is = false;
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return
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end
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if any(~cellfun(@ischar, rowcellarray(1:2:length(rowcellarray))))
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is = false;
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return
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end
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if any(~cellfun(@(x) isnumeric(x) & isscalar(x), rowcellarray(2:2:length(rowcellarray))))
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is = false;
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return
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end
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end
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@ -0,0 +1,15 @@
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function is = iskeyvalue(rowcellarray)
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is = true;
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if ~iscell(rowcellarray) || ~isrow(rowcellarray) || ~iseven(length(rowcellarray))
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is = false;
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return
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end
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if any(~cellfun(@ischar, rowcellarray(1:2:length(rowcellarray))))
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is = false;
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||||
return
|
||||
end
|
||||
if any(~cellfun(@(x) isnumeric(x) & isscalar(x), rowcellarray(2:2:length(rowcellarray))))
|
||||
is = false;
|
||||
return
|
||||
end
|
||||
end
|
||||
|
|
@ -0,0 +1,19 @@
|
|||
function is = iskeyvalues(rowcellarray)
|
||||
is = true;
|
||||
if ~iscell(rowcellarray) || ~isrow(rowcellarray) || ~iseven(length(rowcellarray))
|
||||
is = false;
|
||||
return
|
||||
end
|
||||
if any(~cellfun(@ischar, rowcellarray(1:3:length(rowcellarray))))
|
||||
is = false;
|
||||
return
|
||||
end
|
||||
if any(~cellfun(@(x) isnumeric(x) & isscalar(x), rowcellarray(2:3:length(rowcellarray))))
|
||||
is = false;
|
||||
return
|
||||
end
|
||||
if any(~cellfun(@(x) isnumeric(x) & isscalar(x), rowcellarray(3:3:length(rowcellarray))))
|
||||
is = false;
|
||||
return
|
||||
end
|
||||
end
|
||||
|
|
@ -1,3 +1,4 @@
|
|||
// --+ options: json=compute +--
|
||||
/*
|
||||
* This file is a modified version of 'fs2000.mod'.
|
||||
*
|
||||
|
|
@ -61,12 +62,38 @@ end;
|
|||
|
||||
verbatim;
|
||||
|
||||
HardCodedLevels = {'k', 10, 'M', 1};
|
||||
Constraints = {'M', 1, Inf, ...
|
||||
'A', 1, Inf, ...
|
||||
'k', 10, 10, ...
|
||||
'c', 0, Inf, ...
|
||||
'y', 0, Inf, ...
|
||||
'P', 10, 10, ...
|
||||
'W', 0, Inf, ...
|
||||
'l', 0, Inf, ...
|
||||
'd', 0, Inf, ...
|
||||
'n', 0, Inf, ...
|
||||
'R', 0, Inf, ...
|
||||
'gM', 1, Inf, ...
|
||||
'gA', 1, Inf, ...
|
||||
'G(M)', 1, 1.1, ...
|
||||
'G(A)', 1, 1.1, ...
|
||||
'G(k)', 1, 1.1, ...
|
||||
'G(c)', 1, 1.1, ...
|
||||
'G(y)', 1, 1.1, ...
|
||||
'G(P)', 1, 1.1, ...
|
||||
'G(W)', 1, 1.1, ...
|
||||
xb 'G(l)', 1, 1.1, ...
|
||||
'G(d)', 1, 1.1, ...
|
||||
'G(n)', .9, 1.1, ...
|
||||
'G(R)', .9, 1.1, ...
|
||||
'G(gM)', .9, 1.1, ...
|
||||
'G(gA)', .9, 1.1, ...
|
||||
};
|
||||
|
||||
bgp.write(M_, HardCodedLevels{:});
|
||||
bgp.write(M_, Constraints{:});
|
||||
|
||||
y = ones(M_.endo_nbr,1)+(rand(M_.endo_nbr,1))*.1;
|
||||
G = ones(M_.endo_nbr,1);% 1+(rand(M_.endo_nbr,1)-.5)*.1;
|
||||
y = ones(M_.endo_nbr,1) + rand(M_.endo_nbr,1)*.1;
|
||||
G = ones(M_.endo_nbr,1) + rand(M_.endo_nbr,1)*.1;
|
||||
y = [y;G];
|
||||
|
||||
if isoctave
|
||||
|
|
@ -78,11 +105,17 @@ verbatim;
|
|||
options = optimoptions('fsolve','Display','iter','Algorithm','levenberg-marquardt','MaxFunctionEvaluations',10000000,'MaxIterations',1000000,'SpecifyObjectiveGradient',true,'FunctionTolerance',1e-4,'StepTolerance',1e-6);
|
||||
end
|
||||
|
||||
[y, id] = bgp.hdl.out(M_, HardCodedLevels, y);
|
||||
[y, id, lb, ub] = bgp.transform.out(M_, Constraints, y);
|
||||
|
||||
[y, fval, exitflag] = fsolve(@fs2000.bgpfunhardcon, y, options);
|
||||
[y, fval, exitflag] = fsolve(@fs2000.bgpfuncon, y, options);
|
||||
|
||||
y = bgp.hdl.in(M_, HardCodedLevels, y, id);
|
||||
y(1:M_.orig_endo_nbr-2)
|
||||
y(M_.endo_nbr-2+(1:M_.orig_endo_nbr))
|
||||
|
||||
y = bgp.transform.in(M_, Constraints, y, id, lb, ub);
|
||||
|
||||
y(1:M_.orig_endo_nbr)
|
||||
y(M_.endo_nbr+(1:M_.orig_endo_nbr))
|
||||
|
||||
if exitflag<1
|
||||
error('Solution not found')
|
||||
|
|
|
|||
Loading…
Reference in New Issue