making extended path ready for parallel computing with parfor
parent
020328a844
commit
5c893f501b
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@ -80,18 +80,22 @@ function [flag,endo_simul,err] = solve_stochastic_perfect_foresight_model(endo_s
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% each block of Y with ny rows are unfolded column wise
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% each block of Y with ny rows are unfolded column wise
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dimension = ny*(sum(nnodes.^(0:order-1),2)+(periods-order)*world_nbr);
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dimension = ny*(sum(nnodes.^(0:order-1),2)+(periods-order)*world_nbr);
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if order == 0
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if order == 0
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i_upd = ny+(1:ny*periods);
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i_upd_r = (1:ny*periods);
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i_upd_y = i_upd_r + ny;
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else
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else
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i_upd = zeros(dimension,1);
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i_upd_r = zeros(dimension,1);
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i_upd(1:ny) = ny+(1:ny);
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i_upd_y = i_upd_r;
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i_upd_r(1:ny) = (1:ny);
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i_upd_y(1:ny) = ny+(1:ny);
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i1 = ny+1;
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i1 = ny+1;
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i2 = 2*ny;
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i2 = 2*ny;
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n1 = 2*ny+1;
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n1 = ny+1;
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n2 = 3*ny;
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n2 = 2*ny;
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for i=2:periods
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for i=2:periods
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k = n1:n2;
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k = n1:n2;
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for j=1:nnodes^min(i-1,order)
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for j=1:nnodes^min(i-1,order)
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i_upd(i1:i2) = (n1:n2)+(j-1)*ny*(periods+2);
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i_upd_r(i1:i2) = (n1:n2)+(j-1)*ny*periods;
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i_upd_y(i1:i2) = (n1:n2)+ny+(j-1)*ny*(periods+2);
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i1 = i2+1;
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i1 = i2+1;
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i2 = i2+ny;
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i2 = i2+ny;
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end
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end
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@ -99,12 +103,13 @@ function [flag,endo_simul,err] = solve_stochastic_perfect_foresight_model(endo_s
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n2 = n2+ny;
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n2 = n2+ny;
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end
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end
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end
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end
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icA = [find(lead_lag_incidence(1,:)) find(lead_lag_incidence(2,:))+world_nbr*ny ...
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find(lead_lag_incidence(3,:))+2*world_nbr*ny]';
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h1 = clock;
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h1 = clock;
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for iter = 1:maxit
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for iter = 1:maxit
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h2 = clock;
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h2 = clock;
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A = sparse([],[],[],dimension,dimension,(periods+2)*world_nbr*nnz(jacobian));
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A1 = sparse([],[],[],ny*(sum(nnodes.^(0:order-1),2)+1),dimension,(order+1)*world_nbr*nnz(jacobian));
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res = zeros(dimension,1);
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res = zeros(ny,periods,world_nbr);
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i_rows = 1:ny;
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i_rows = 1:ny;
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i_cols = find(lead_lag_incidence');
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i_cols = find(lead_lag_incidence');
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i_cols_p = i_cols(1:nyp);
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i_cols_p = i_cols(1:nyp);
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@ -114,91 +119,85 @@ function [flag,endo_simul,err] = solve_stochastic_perfect_foresight_model(endo_s
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i_cols_Ap = i_cols_p;
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i_cols_Ap = i_cols_p;
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i_cols_As = i_cols_s;
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i_cols_As = i_cols_s;
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i_cols_Af = i_cols_f - ny;
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i_cols_Af = i_cols_f - ny;
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for i = 1:periods
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for i = 1:order+1
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if i <= order+1
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i_w_p = 1;
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i_w_p = 1;
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for j = 1:nnodes^(i-1)
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for j = 1:nnodes^(i-1)
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innovation = exo_simul;
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innovation = exo_simul;
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if i > 1
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if i > 1
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innovation(i+1,:) = nodes(mod(j-1,nnodes)+1,:);
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innovation(i+1,:) = nodes(mod(j-1,nnodes)+1,:);
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end
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end
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if i <= order
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if i <= order
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for k=1:nnodes
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for k=1:nnodes
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y = [Y(i_cols_p,i_w_p);
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Y(i_cols_s,j);
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Y(i_cols_f,(j-1)*nnodes+k)];
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[d1,jacobian] = dynamic_model(y,innovation,params,steady_state,i+1);
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if i == 1
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% in first period we don't keep track of
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% predetermined variables
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i_cols_A = [i_cols_As - ny; i_cols_Af];
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A(i_rows,i_cols_A) = A(i_rows,i_cols_A) + weights(k)*jacobian(:,i_cols_1);
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else
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i_cols_A = [i_cols_Ap; i_cols_As; i_cols_Af];
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A(i_rows,i_cols_A) = A(i_rows,i_cols_A) + weights(k)*jacobian(:,i_cols_j);
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end
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res(i_rows) = res(i_rows)+weights(k)*d1;
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i_cols_Af = i_cols_Af + ny;
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end
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else
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y = [Y(i_cols_p,i_w_p);
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y = [Y(i_cols_p,i_w_p);
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Y(i_cols_s,j);
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Y(i_cols_s,j);
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Y(i_cols_f,j)];
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Y(i_cols_f,(j-1)*nnodes+k)];
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[d1,jacobian] = dynamic_model(y,innovation,params,steady_state,i+1);
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[d1,jacobian] = dynamic_model(y,innovation,params,steady_state,i+1);
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if i == 1
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if i == 1
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% in first period we don't keep track of
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% in first period we don't keep track of
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% predetermined variables
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% predetermined variables
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i_cols_A = [i_cols_As - ny; i_cols_Af];
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i_cols_A = [i_cols_As - ny; i_cols_Af];
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A(i_rows,i_cols_A) = jacobian(:,i_cols_1);
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A1(i_rows,i_cols_A) = A1(i_rows,i_cols_A) + weights(k)*jacobian(:,i_cols_1);
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else
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else
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i_cols_A = [i_cols_Ap; i_cols_As; i_cols_Af];
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i_cols_A = [i_cols_Ap; i_cols_As; i_cols_Af];
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A(i_rows,i_cols_A) = jacobian(:,i_cols_j);
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A1(i_rows,i_cols_A) = A1(i_rows,i_cols_A) + weights(k)*jacobian(:,i_cols_j);
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end
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end
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res(i_rows) = d1;
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res(:,i,j) = res(:,j,i)+weights(k)*d1;
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i_cols_Af = i_cols_Af + ny;
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i_cols_Af = i_cols_Af + ny;
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end
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end
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i_rows = i_rows + ny;
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else
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y = [Y(i_cols_p,i_w_p);
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Y(i_cols_s,j);
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Y(i_cols_f,j)];
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[d1,jacobian] = dynamic_model(y,innovation,params,steady_state,i+1);
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if i == 1
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% in first period we don't keep track of
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% predetermined variables
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i_cols_A = [i_cols_As - ny; i_cols_Af];
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A1(i_rows,i_cols_A) = jacobian(:,i_cols_1);
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else
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i_cols_A = [i_cols_Ap; i_cols_As; i_cols_Af];
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A1(i_rows,i_cols_A) = jacobian(:,i_cols_j);
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end
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res(:,i,j) = d1;
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i_cols_Af = i_cols_Af + ny;
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end
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i_rows = i_rows + ny;
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if mod(j,nnodes) == 0
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i_w_p = i_w_p + 1;
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end
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if i > 1
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if mod(j,nnodes) == 0
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if mod(j,nnodes) == 0
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i_w_p = i_w_p + 1;
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i_cols_Ap = i_cols_Ap + ny;
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end
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end
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if i > 1
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i_cols_As = i_cols_As + ny;
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if mod(j,nnodes) == 0
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i_cols_Ap = i_cols_Ap + ny;
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end
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i_cols_As = i_cols_As + ny;
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end
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end
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i_cols_p = i_cols_p + ny;
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i_cols_s = i_cols_s + ny;
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i_cols_f = i_cols_f + ny;
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elseif i == periods
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if i == order+2
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i_cols_A = [i_cols_Ap; i_cols_As; i_cols_Af];
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end
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for j=1:world_nbr
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[d1,jacobian] = dynamic_model(Y(i_cols,j),exo_simul, ...
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params,steady_state,i+1);
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A(i_rows,i_cols_A(i_cols_T)) = jacobian(:,i_cols_T);
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res(i_rows) = d1;
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i_rows = i_rows + ny;
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i_cols_A = i_cols_A + ny;
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end
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else
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if i == order+2
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i_cols_A = [i_cols_Ap; i_cols_As; i_cols_Af];
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end
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for j=1:world_nbr
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[d1,jacobian] = dynamic_model(Y(i_cols,j), ...
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exo_simul,params,steady_state,i+1);
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A(i_rows,i_cols_A) = jacobian(:,i_cols_j);
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res(i_rows) = d1;
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i_rows = i_rows + ny;
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i_cols_A = i_cols_A + ny;
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end
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end
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end
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end
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i_cols = i_cols + ny;
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i_cols_p = i_cols_p + ny;
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i_cols_s = i_cols_s + ny;
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i_cols_f = i_cols_f + ny;
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end
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end
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err = max(abs(res));
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nzA = cell(periods,world_nbr);
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parfor j=1:world_nbr
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i_rows_y = find(lead_lag_incidence')+(order+1)*ny;
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offset_c = ny*(sum(nnodes.^(0:order-1),2)+j-1);
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offset_r = (j-1)*ny;
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for i=order+2:periods
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[d1,jacobian] = dynamic_model(Y(i_rows_y,j), ...
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exo_simul,params, ...
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steady_state,i+1);
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if i == periods
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[ir,ic,v] = find(jacobian(:,i_cols_T));
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else
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[ir,ic,v] = find(jacobian(:,i_cols_j));
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end
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nzA{i,j} = [offset_r+ir,offset_c+icA(ic), v]';
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res(:,i,j) = d1;
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i_rows_y = i_rows_y + ny;
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offset_c = offset_c + world_nbr*ny;
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offset_r = offset_r + world_nbr*ny;
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end
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end
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err = max(abs(res(i_upd_r)));
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if err < tolerance
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if err < tolerance
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stop = 1;
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stop = 1;
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if verbose
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if verbose
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@ -214,8 +213,10 @@ function [flag,endo_simul,err] = solve_stochastic_perfect_foresight_model(endo_s
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% pause
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% pause
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break
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break
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end
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end
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dy = -A\res;
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A2 = [nzA{:}]';
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Y(i_upd) = Y(i_upd) + dy;
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A = [A1; sparse(A2(:,1),A2(:,2),A2(:,3),ny*(periods-order-1)*world_nbr,dimension)];
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dy = -A\res(i_upd_r);
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Y(i_upd_y) = Y(i_upd_y) + dy;
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end
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end
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if ~stop
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if ~stop
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@ -79,10 +79,10 @@ copyfile('rbcii_steady_state.m','rbcii_steadystate2.m');
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ts = extended_path([],100);
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ts = extended_path([],100);
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options_.ep.stochastic.order = 1;
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options_.ep.stochastic.order = 1;
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profile on
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// profile on
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ts1_4 = extended_path([],100);
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ts1_4 = extended_path([],100);
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profile off
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// profile off
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profile viewer
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// profile viewer
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@#else
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@#else
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shocks;
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shocks;
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