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Force precision in sylvester equation solution, particularly useful for different behaviour of the function schur under octave

time-shift
Marco Ratto 2012-04-04 10:39:19 +02:00
parent a49e550448
commit 76093094a6
2 changed files with 46 additions and 0 deletions
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38
matlab/gensylv/sylvester3amr.m Normal file
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@ -0,0 +1,38 @@
function [x0, flag]=sylvester3amr(x0,a,b,c,dd)
% solves iteratively ax+bxc=d
% Copyright (C) 2012 Dynare Team
%
% This file is part of Dynare.
%
% Dynare is free software: you can redistribute it and/or modify
% it under the terms of the GNU General Public License as published by
% the Free Software Foundation, either version 3 of the License, or
% (at your option) any later version.
%
% Dynare is distributed in the hope that it will be useful,
% but WITHOUT ANY WARRANTY; without even the implied warranty of
% MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the
% GNU General Public License for more details.
%
% You should have received a copy of the GNU General Public License
% along with Dynare. If not, see <http://www.gnu.org/licenses/>.
a_1 = inv(a);
b = a_1*b;
flag=0;
for j=1:size(dd,3),
d = a_1*dd(:,:,j);
e = 1;
iter = 1;
while e > 1e-8 && iter < 500
x = d-b*x0(:,:,j)*c;
e = max(max(abs(x-x0(:,:,j))));
x0(:,:,j) = x;
iter = iter + 1;
end
if iter == 500
sprintf('sylvester3amr : Only accuracy of %10.8f is achieved after 500 iterations',e);
flag=1;
end
end

8
matlab/getH.m
View File

@ -356,6 +356,10 @@ else % generalized sylvester equation
d(:,:,j) = Dg2(:,:,j)-elem(:,:,j)*A;
end
xx=sylvester3mr(a,b,c,d);
flag=1;
while flag,
[xx, flag]=sylvester3amr(xx,a,b,c,d);
end
H=zeros(m*m+m*(m+1)/2,param_nbr+length(indexo));
if nargout>1,
dOm = zeros(m,m,param_nbr+length(indexo));
@ -436,6 +440,10 @@ if nargout > 5,
end
end
xx2=sylvester3mr(a,b,c,d);
flag=1;
while flag,
[xx2, flag]=sylvester3amr(xx2,a,b,c,d);
end
jcount = 0;
for j=1:param_nbr,
for i=j:param_nbr,