Added calls to mex files in dr1 + Correction of bugs.
git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@1470 ac1d8469-bf42-47a9-8791-bf33cf982152time-shift
adjemian
parent
17bfdcc1d9
commit
7823073f6c
198
matlab/dr1.m
198
matlab/dr1.m
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@ -29,8 +29,6 @@ function [dr,info]=dr1(dr,task)
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global M_ options_ oo_ olr_state
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info = 0;
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options_ = set_default_option(options_,'loglinear',0);
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@ -454,17 +452,22 @@ end
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zx=[zx; zeros(M_.exo_nbr,np);zeros(M_.exo_det_nbr,np)];
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zu=[zu; eye(M_.exo_nbr);zeros(M_.exo_det_nbr,M_.exo_nbr)];
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[nrzx,nczx] = size(zx);
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if nrzx*nrzx*nczx*nczx > 1e7
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rhs = zeros(M_.endo_nbr,nczx*nczx);
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k1 = 1;
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for i1 = 1:nczx
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for i2 = 1:nczx
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rhs(:,k1) = hessian*kron(zx(:,i1),zx(:,i2));
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k1 = k1 + 1;
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end
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end
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if ~exist('sparse_hessian_times_B_kronecker_C')
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if nrzx*nrzx*nczx*nczx > 1e7
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rhs = zeros(M_.endo_nbr,nczx*nczx);
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k1 = 1;
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for i1 = 1:nczx
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for i2 = 1:nczx
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rhs(:,k1) = hessian*kron(zx(:,i1),zx(:,i2));
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k1 = k1 + 1;
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end
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end
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else
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rhs = hessian*kron(zx,zx);
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end
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else
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rhs = hessian*kron(zx,zx);
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rhs = sparse_hessian_times_B_kronecker_C(hessian,zx);
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end
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rhs = -rhs;
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@ -512,6 +515,7 @@ A(1:M_.endo_nbr,nstatic+1:nstatic+npred)=...
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A(1:M_.endo_nbr,nstatic+[1:npred])+jacobia_(:,k2)*gx1(k1,1:npred);
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C = hx;
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D = [rhs; zeros(n-M_.endo_nbr,size(rhs,2))];
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if exist('gensylv') & (strcmp(version('-release'),'2007b') == 0)
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dr.ghxx = gensylv(2,A,B,C,D);
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elseif exist('gensylv75') & (strcmp(version('-release'),'2007b') == 1)
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@ -528,35 +532,43 @@ hu = dr.ghu(nstatic+1:nstatic+npred,:);
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%kk = reshape([1:np*np],np,np);
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%kk = kk(1:npred,1:npred);
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%rhs = -hessian*kron(zx,zu)-f1*dr.ghxx(end-nyf+1:end,kk(:))*kron(hx(1:npred,:),hu(1:npred,:));
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if nrzx*nrzx*nczx*M_.exo_nbr > 1e7
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rhs = zeros(M_.endo_nbr,nczx*M_.exo_nbr);
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k1 = 1;
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for i1 = 1:nczx
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for i2 = 1:M_.exo_nbr
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rhs(:,k1) = hessian*kron(zx(:,i1),zu(:,i2));
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k1 = k1 + 1;
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end
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end
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if ~exist('sparse_hessian_times_B_kronecker_C')
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if nrzx*nrzx*nczx*M_.exo_nbr > 1e7
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rhs = zeros(M_.endo_nbr,nczx*M_.exo_nbr);
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k1 = 1;
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for i1 = 1:nczx
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for i2 = 1:M_.exo_nbr
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rhs(:,k1) = hessian*kron(zx(:,i1),zu(:,i2));
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k1 = k1 + 1;
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end
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end
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else
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rhs = hessian*kron(zx,zu);
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end
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else
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rhs = hessian*kron(zx,zu);
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rhs = sparse_hessian_times_B_kronecker_C(hessian,zx,zu);
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end
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nyf1 = sum(kstate(:,2) == M_.maximum_endo_lag+2);
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hu1 = [hu;zeros(np-npred,M_.exo_nbr)];
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%B1 = [B(1:M_.endo_nbr,:);zeros(size(A,1)-M_.endo_nbr,size(B,2))];
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[nrhx,nchx] = size(hx);
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[nrhu1,nchu1] = size(hu1);
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if nrhx*nrhu1*nchx*nchu1 > 1e7
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B1 = zeros(size(dr.ghxx,1),nchx*nchu1);
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k1 = 1;
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for i1 = 1:nchx
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for i2 = 1:nchu1
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B1(:,k1) = dr.ghxx*kron(hx(:,i1),hu1(:,i2));
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k1 = k1 + 1;
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end
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end
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B1 = B*B1;
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if ~exist('A_times_B_kronecker_C')
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if nrhx*nrhu1*nchx*nchu1 > 1e7
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B1 = zeros(size(dr.ghxx,1),nchx*nchu1);
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k1 = 1;
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for i1 = 1:nchx
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for i2 = 1:nchu1
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B1(:,k1) = dr.ghxx*kron(hx(:,i1),hu1(:,i2));
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k1 = k1 + 1;
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end
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end
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B1 = B*B1;
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else
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B1 = B*dr.ghxx*kron(hx,hu1);
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end
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else
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B1 = B*dr.ghxx*kron(hx,hu1);
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B1 = B*A_times_B_kronecker_C(dr.ghxx,hx,hu1);
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end
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rhs = -[rhs; zeros(n-M_.endo_nbr,size(rhs,2))]-B1;
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@ -568,30 +580,38 @@ dr.ghxu = A\rhs;
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%rhs
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kk = reshape([1:np*np],np,np);
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kk = kk(1:npred,1:npred);
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if nrzx*nrzx*M_.exo_nbr*M_.exo_nbr > 1e7
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rhs = zeros(M_.endo_nbr,M_.exo_nbr*M_.exo_nbr);
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k1 = 1;
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for i1 = 1:M_.exo_nbr
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for i2 = 1:M_.exo_nbr
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rhs(:,k1) = hessian*kron(zu(:,i1),zu(:,i2));
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k1 = k1 + 1;
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end
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end
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if ~exist('sparse_hessian_times_B_kronecker_C')
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if nrzx*nrzx*M_.exo_nbr*M_.exo_nbr > 1e7
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rhs = zeros(M_.endo_nbr,M_.exo_nbr*M_.exo_nbr);
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k1 = 1;
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for i1 = 1:M_.exo_nbr
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for i2 = 1:M_.exo_nbr
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rhs(:,k1) = hessian*kron(zu(:,i1),zu(:,i2));
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k1 = k1 + 1;
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end
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end
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else
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rhs = hessian*kron(zu,zu);
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end
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else
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rhs = hessian*kron(zu,zu);
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rhs = sparse_hessian_times_B_kronecker_C(hessian,zu);
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end
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if nrhu1*nrhu1*nchu1*nchu1 > 1e7
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B1 = zeros(size(dr.ghxx,1),nchu1*nchu1);
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k1 = 1;
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for i1 = 1:nchu1
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for i2 = 1:nchu1
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B1(:,k1) = dr.ghxx*kron(hu1(:,i1),hu1(:,i2));
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k1 = k1 + 1;
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end
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end
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B1 = B*B1;
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if ~exist('A_times_B_kronecker_C')
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if nrhu1*nrhu1*nchu1*nchu1 > 1e7
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B1 = zeros(size(dr.ghxx,1),nchu1*nchu1);
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k1 = 1;
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for i1 = 1:nchu1
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for i2 = 1:nchu1
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B1(:,k1) = dr.ghxx*kron(hu1(:,i1),hu1(:,i2));
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k1 = k1 + 1;
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end
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end
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B1 = B*B1;
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else
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B1 = B*dr.ghxx*kron(hu1,hu1);
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end
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else
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B1 = B*dr.ghxx*kron(hu1,hu1);
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B1 = A_times_B_kronecker_C(B*dr.ghxx,hu1);
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end
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rhs = -[rhs; zeros(n-M_.endo_nbr,size(rhs,2))]-B1;
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@ -636,19 +656,23 @@ for i=1:M_.maximum_endo_lead
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[junk,k3a,k3] = ...
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find(M_.lead_lag_incidenceordered(M_.maximum_endo_lag+j+1,:));
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nk3a = length(k3a);
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if nk3a*nk3a*M_.exo_nbr*M_.exo_nbr > 1e7
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B1 = zeros(M_.endo_nbr,M_.exo_nbr*M_.exo_nbr);
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k1 = 1;
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Hesse = hessian(:,kh(k3,k3));
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guk3a = gu(k3a,:);
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for i1 = 1:M_.exo_nbr
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for i2 = 1:M_.exo_nbr
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B1(:,k1) = Hesse*kron(guk3a(:,i1),guk3a(:,i2));
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k1 = k1 + 1;
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end
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end
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if ~exist('sparse_hessian_times_B_kronecker_C')
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if nk3a*nk3a*M_.exo_nbr*M_.exo_nbr > 1e7
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B1 = zeros(M_.endo_nbr,M_.exo_nbr*M_.exo_nbr);
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k1 = 1;
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Hesse = hessian(:,kh(k3,k3));
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guk3a = gu(k3a,:);
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for i1 = 1:M_.exo_nbr
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for i2 = 1:M_.exo_nbr
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B1(:,k1) = Hesse*kron(guk3a(:,i1),guk3a(:,i2));
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k1 = k1 + 1;
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end
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end
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else
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B1 = hessian(:,kh(k3,k3))*kron(gu(k3a,:),gu(k3a,:));
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end
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else
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B1 = hessian(:,kh(k3,k3))*kron(gu(k3a,:),gu(k3a,:));
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B1 = sparse_hessian_times_B_kronecker_C(hessian(:,kh(k3,k3)),gu(k3a,:));
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end
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RHS = RHS + jacobia_(:,k2)*guu(k2a,:)+B1;
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end
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@ -664,29 +688,32 @@ for i=1:M_.maximum_endo_lead
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kk = find(kstate(:,2) == M_.maximum_endo_lag+i+1);
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gu = dr.ghx*Gu;
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[nrGu,ncGu] = size(Gu);
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if nrGu*nrGu*ncGu*ncGu > 1e7
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G1 = zeros(M_.endo_nbr,ncGu*ncGu);
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G2 = zeros(size(hxx,1),ncGu*ncGu);
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k1 = 1;
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for i1 = 1:nchx
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for i2 = 1:nchu1
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GuGu = kron(Gu(:,i1),Gu(:,i2));
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G1(:,k1) = dr.ghxx*GuGu
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G2(:,k1) = hxx*GuGu
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k1 = k1 + 1;
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if ~exist('A_times_B_kronecker_C')
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if nrGu*nrGu*ncGu*ncGu > 1e7
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G1 = zeros(M_.endo_nbr,ncGu*ncGu);
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G2 = zeros(size(hxx,1),ncGu*ncGu);
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k1 = 1;
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for i1 = 1:nchx
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for i2 = 1:nchu1
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GuGu = kron(Gu(:,i1),Gu(:,i2));
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G1(:,k1) = dr.ghxx*GuGu;
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G2(:,k1) = hxx*GuGu;
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k1 = k1 + 1;
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end
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end
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else
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GuGu = kron(Gu,Gu);
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G1 = dr.ghxx*GuGu;
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G2 = hxx*GuGu;
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end
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end
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else
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GuGu = kron(Gu,Gu);
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G1 = dr.ghxx*GuGu;
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G2 = hxx*GuGu;
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G1 = A_times_B_kronecker_C(dr.ghxx,Gu);
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G2 = A_times_B_kronecker_C(hxx,Gu);
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end
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guu = dr.ghx*Guu+G1;
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Gu = hx*Gu;
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Guu = hx*Guu;
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Guu(end-npred+1:end,:) = Guu(end-npred+1:end,:) + G2;
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H = E1 + hx*H;
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end
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RHS = RHS*M_.Sigma_e(:);
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@ -747,9 +774,4 @@ if M_.exo_det_nbr > 0
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end
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end
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end
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end
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