Added use of G Anderson AIM - see Readme.txt in the new AIM subdirectory.
DR1 tries to invoke AIM if options_.useAIM == 1 is set. for start, options_.useAIM = 0 is set by default in global_initialization.m so that system uses mjdgges by default. If AIM is to be used, options_.useAIM = 1 needs to be set either in the model <>.mod file, before invoking, estimate and/or stoch_simul, or by issuing appropriate command for estimate and/or stoch_simul. However, if other exceptions occur and aimcode is higher than 5, the system resets options_.useAIM = 0 tries to use mjdgges instead. GP July '08 git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@1967 ac1d8469-bf42-47a9-8791-bf33cf982152time-shift
george
parent
bee92a9714
commit
827261166c
333
matlab/dr1.m
333
matlab/dr1.m
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@ -209,17 +209,36 @@ function [dr,info,M_,options_,oo_] = dr1(dr,task,M_,options_,oo_)
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b = jacobia_(:,k0);
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if M_.maximum_endo_lead == 0; % backward models
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a = jacobia_(:,nonzeros(k1'));
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dr.ghx = zeros(size(a));
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m = 0;
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for i=M_.maximum_endo_lag:-1:1
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k = nonzeros(M_.lead_lag_incidence(i,order_var));
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dr.ghx(:,m+[1:length(k)]) = -b\a(:,k);
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m = m+length(k);
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end
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if M_.exo_nbr
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dr.ghu = -b\jacobia_(:,nz+1:end);
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end
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% If required, try Gary Anderson and G Moore AIM solver if not
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% check only and if 1st order (added by GP July'08)
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if (options_.useAIM == 1) && (task == 0) && (options_.order == 1)
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try
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[dr,aimcode]=dynAIMsolver1(jacobia_,M_,dr);
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if aimcode ~=1
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info(1) = aimcode;
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info(2) = 1.0e+8;
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return
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end
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catch
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%warning('Problem with using AIM solver - Using Dynare solver instead');
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disp('Problem with using AIM solver - Using Dynare solver instead');
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options_.useAIM = 0; % and try mjdgges instead
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end
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end % end if useAIM and...
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%else use original Dynare solver
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if ~((options_.useAIM == 1) && (task == 0) && (options_.order == 1))
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a = jacobia_(:,nonzeros(k1'));
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dr.ghx = zeros(size(a));
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m = 0;
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for i=M_.maximum_endo_lag:-1:1
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k = nonzeros(M_.lead_lag_incidence(i,order_var));
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dr.ghx(:,m+[1:length(k)]) = -b\a(:,k);
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m = m+length(k);
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end
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if M_.exo_nbr
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dr.ghu = -b\jacobia_(:,nz+1:end);
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end
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end % if not use AIM or not...
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dr.eigval = eig(transition_matrix(dr));
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dr.rank = 0;
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if any(abs(dr.eigval) > options_.qz_criterium)
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@ -239,121 +258,177 @@ function [dr,info,M_,options_,oo_] = dr1(dr,task,M_,options_,oo_)
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else
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aa = jacobia_;
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end
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a = aa(:,nonzeros(k1'));
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b = aa(:,k0);
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b10 = b(1:nstatic,1:nstatic);
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b11 = b(1:nstatic,nstatic+1:end);
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b2 = b(nstatic+1:end,nstatic+1:end);
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if any(isinf(a(:)))
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info = 1;
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return
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end
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% buildind D and E
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d = zeros(nd,nd) ;
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e = d ;
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k = find(kstate(:,2) >= M_.maximum_endo_lag+2 & kstate(:,3));
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d(1:sdyn,k) = a(nstatic+1:end,kstate(k,3)) ;
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k1 = find(kstate(:,2) == M_.maximum_endo_lag+2);
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e(1:sdyn,k1) = -b2(:,kstate(k1,1)-nstatic);
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k = find(kstate(:,2) <= M_.maximum_endo_lag+1 & kstate(:,4));
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e(1:sdyn,k) = -a(nstatic+1:end,kstate(k,4)) ;
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k2 = find(kstate(:,2) == M_.maximum_endo_lag+1);
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k2 = k2(~ismember(kstate(k2,1),kstate(k1,1)));
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d(1:sdyn,k2) = b2(:,kstate(k2,1)-nstatic);
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if ~isempty(kad)
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for j = 1:size(kad,1)
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d(sdyn+j,kad(j)) = 1 ;
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e(sdyn+j,kae(j)) = 1 ;
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% If required, try Gary Anderson and G Moore AIM solver, that is, if not check
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% only and if 1st order (added by GP July'08)
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if (options_.useAIM == 1) && (task == 0) && (options_.order == 1)
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try
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[dr,aimcode]=dynAIMsolver1(aa,M_,dr);
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% reuse some of the bypassed code and tests that may be needed
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if aimcode ~=1
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info(1) = aimcode;
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info(2) = 1.0e+8;
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return
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end
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[A,B] =transition_matrix(dr);
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dr.eigval = eig(A);
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% if any(abs(dr.eigval) > options_.qz_criterium)
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% temp = sort(abs(dr.eigval));
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% nba = nnz(abs(dr.eigval) > options_.qz_criterium);
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% temp = temp(nd-nba+1:nd)-1-options_.qz_criterium;
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% info(1) = 3;
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% info(2) = temp'*temp;
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% return
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% end
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sdim = sum( abs(dr.eigval) < options_.qz_criterium );
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nba = nd-sdim;
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nyf = sum(kstate(:,2) > M_.maximum_endo_lag+1);
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if nba ~= nyf
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temp = sort(abs(dr.eigval));
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if nba > nyf
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temp = temp(nd-nba+1:nd-nyf)-1-options_.qz_criterium;
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info(1) = 3
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elseif nba < nyf;
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temp = temp(nd-nyf+1:nd-nba)-1-options_.qz_criterium;
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info(1) = 4
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end
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info(2) = temp'*temp;
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return
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end
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catch
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%warning('Problem with using AIM solver - Using Dynare solver instead');
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disp('Problem with using AIM solver - Using Dynare solver instead');
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options_.useAIM = 0; % and then try mjdgges instead
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end
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end
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[ss,tt,w,sdim,dr.eigval,info1] = mjdgges(e,d,options_.qz_criterium);
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if info1
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info(1) = 2;
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info(2) = info1;
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return
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end
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nba = nd-sdim;
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nyf = sum(kstate(:,2) > M_.maximum_endo_lag+1);
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if task == 1
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dr.rank = rank(w(1:nyf,nd-nyf+1:end));
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% Under Octave, eig(A,B) doesn't exist, and
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% lambda = qz(A,B) won't return infinite eigenvalues
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if ~exist('OCTAVE_VERSION')
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dr.eigval = eig(e,d);
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end % end if useAIM and...
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%else % use original Dynare solver
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if ~((options_.useAIM == 1)&& (task == 0) && (options_.order == 1)) % || isempty(options_.useAIM)
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a = aa(:,nonzeros(k1'));
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b = aa(:,k0);
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b10 = b(1:nstatic,1:nstatic);
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b11 = b(1:nstatic,nstatic+1:end);
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b2 = b(nstatic+1:end,nstatic+1:end);
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if any(isinf(a(:)))
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info = 1;
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return
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end
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return
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end
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if nba ~= nyf
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temp = sort(abs(dr.eigval));
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if nba > nyf
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temp = temp(nd-nba+1:nd-nyf)-1-options_.qz_criterium;
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info(1) = 3;
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elseif nba < nyf;
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temp = temp(nd-nyf+1:nd-nba)-1-options_.qz_criterium;
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info(1) = 4;
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% buildind D and E
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d = zeros(nd,nd) ;
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e = d ;
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k = find(kstate(:,2) >= M_.maximum_endo_lag+2 & kstate(:,3));
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d(1:sdyn,k) = a(nstatic+1:end,kstate(k,3)) ;
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k1 = find(kstate(:,2) == M_.maximum_endo_lag+2);
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e(1:sdyn,k1) = -b2(:,kstate(k1,1)-nstatic);
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k = find(kstate(:,2) <= M_.maximum_endo_lag+1 & kstate(:,4));
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e(1:sdyn,k) = -a(nstatic+1:end,kstate(k,4)) ;
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k2 = find(kstate(:,2) == M_.maximum_endo_lag+1);
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k2 = k2(~ismember(kstate(k2,1),kstate(k1,1)));
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d(1:sdyn,k2) = b2(:,kstate(k2,1)-nstatic);
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if ~isempty(kad)
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for j = 1:size(kad,1)
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d(sdyn+j,kad(j)) = 1 ;
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e(sdyn+j,kae(j)) = 1 ;
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end
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end
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info(2) = temp'*temp;
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return
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end
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np = nd - nyf;
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n2 = np + 1;
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n3 = nyf;
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n4 = n3 + 1;
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% derivatives with respect to dynamic state variables
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% forward variables
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w1 =w(1:n3,n2:nd);
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if condest(w1) > 1e9;
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info(1) = 5;
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info(2) = condest(w1);
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return;
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else
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gx = -w1'\w(n4:nd,n2:nd)';
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end
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% predetermined variables
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hx = w(1:n3,1:np)'*gx+w(n4:nd,1:np)';
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hx = (tt(1:np,1:np)*hx)\(ss(1:np,1:np)*hx);
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k1 = find(kstate(n4:nd,2) == M_.maximum_endo_lag+1);
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k2 = find(kstate(1:n3,2) == M_.maximum_endo_lag+2);
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dr.ghx = [hx(k1,:); gx(k2(nboth+1:end),:)];
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%lead variables actually present in the model
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j3 = nonzeros(kstate(:,3));
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j4 = find(kstate(:,3));
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% derivatives with respect to exogenous variables
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if M_.exo_nbr
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fu = aa(:,nz+(1:M_.exo_nbr));
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a1 = b;
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aa1 = [];
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% 1) if mjdgges.dll (or .mexw32 or ....) doesn't exit,
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% matlab/qz is added to the path. There exists now qz/mjdgges.m that
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% contains the calls to the old Sims code
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% 2) In global_initialization.m, if mjdgges.m is visible exist(...)==2,
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% this means that the DLL isn't avaiable and use_qzdiv is set to 1
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[ss,tt,w,sdim,dr.eigval,info1] = mjdgges(e,d,options_.qz_criterium);
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if info1
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info(1) = 2;
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info(2) = info1;
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return
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end
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nba = nd-sdim;
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nyf = sum(kstate(:,2) > M_.maximum_endo_lag+1);
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if task == 1
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dr.rank = rank(w(1:nyf,nd-nyf+1:end));
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% Under Octave, eig(A,B) doesn't exist, and
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% lambda = qz(A,B) won't return infinite eigenvalues
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if ~exist('OCTAVE_VERSION')
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dr.eigval = eig(e,d);
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end
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return
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end
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if nba ~= nyf
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temp = sort(abs(dr.eigval));
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if nba > nyf
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temp = temp(nd-nba+1:nd-nyf)-1-options_.qz_criterium;
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info(1) = 3
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elseif nba < nyf;
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temp = temp(nd-nyf+1:nd-nba)-1-options_.qz_criterium;
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info(1) = 4;
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end
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info(2) = temp'*temp;
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return
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end
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np = nd - nyf;
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n2 = np + 1;
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n3 = nyf;
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n4 = n3 + 1;
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% derivatives with respect to dynamic state variables
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% forward variables
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w1 =w(1:n3,n2:nd);
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if condest(w1) > 1e9;
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info(1) = 5;
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info(2) = condest(w1);
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return;
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else
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gx = -w1'\w(n4:nd,n2:nd)';
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end
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% predetermined variables
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hx = w(1:n3,1:np)'*gx+w(n4:nd,1:np)';
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hx = (tt(1:np,1:np)*hx)\(ss(1:np,1:np)*hx);
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k1 = find(kstate(n4:nd,2) == M_.maximum_endo_lag+1);
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k2 = find(kstate(1:n3,2) == M_.maximum_endo_lag+2);
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dr.ghx = [hx(k1,:); gx(k2(nboth+1:end),:)];
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%lead variables actually present in the model
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j3 = nonzeros(kstate(:,3));
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j4 = find(kstate(:,3));
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% derivatives with respect to exogenous variables
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if M_.exo_nbr
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fu = aa(:,nz+(1:M_.exo_nbr));
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a1 = b;
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aa1 = [];
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if nstatic > 0
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aa1 = a1(:,1:nstatic);
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end
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dr.ghu = -[aa1 a(:,j3)*gx(j4,1:npred)+a1(:,nstatic+1:nstatic+ ...
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npred) a1(:,nstatic+npred+1:end)]\fu;
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else
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dr.ghu = [];
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end
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% static variables
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if nstatic > 0
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aa1 = a1(:,1:nstatic);
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temp = -a(1:nstatic,j3)*gx(j4,:)*hx;
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j5 = find(kstate(n4:nd,4));
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temp(:,j5) = temp(:,j5)-a(1:nstatic,nonzeros(kstate(:,4)));
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temp = b10\(temp-b11*dr.ghx);
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dr.ghx = [temp; dr.ghx];
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temp = [];
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end
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dr.ghu = -[aa1 a(:,j3)*gx(j4,1:npred)+a1(:,nstatic+1:nstatic+ ...
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npred) a1(:,nstatic+npred+1:end)]\fu;
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else
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dr.ghu = [];
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end
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% static variables
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if nstatic > 0
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temp = -a(1:nstatic,j3)*gx(j4,:)*hx;
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j5 = find(kstate(n4:nd,4));
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temp(:,j5) = temp(:,j5)-a(1:nstatic,nonzeros(kstate(:,4)));
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temp = b10\(temp-b11*dr.ghx);
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dr.ghx = [temp; dr.ghx];
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temp = [];
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end
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end % if not use AIM and ....
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% End of if... and if not... main AIM Blocks, continue as per usual...
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if options_.loglinear == 1
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k = find(dr.kstate(:,2) <= M_.maximum_endo_lag+1);
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@ -365,13 +440,15 @@ function [dr,info,M_,options_,oo_] = dr1(dr,task,M_,options_,oo_)
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dr.ghu = repmat(1./dr.ys(k1),1,size(dr.ghu,2)).*dr.ghu;
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end
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%% Necessary when using Sims' routines for QZ
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if options_.use_qzdiv
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gx = real(gx);
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hx = real(hx);
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dr.ghx = real(dr.ghx);
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dr.ghu = real(dr.ghu);
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end
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if ~((options_.useAIM == 1) && (options_.order == 1)) % if not use AIM ...
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%% Necessary when using Sims' routines for QZ
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if options_.use_qzdiv
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gx = real(gx);
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hx = real(hx);
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dr.ghx = real(dr.ghx);
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dr.ghu = real(dr.ghu);
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end
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end % if not use AIM
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%exogenous deterministic variables
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if M_.exo_det_nbr > 0
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