From 882091cc97d8eed031d8e6d9d865a287898acd41 Mon Sep 17 00:00:00 2001
From: =?UTF-8?q?St=C3=A9phane=20Adjemian=20=28Ry=C3=BBk=29?=
 <stepan@adjemian.eu>
Date: Thu, 3 Mar 2022 22:30:38 +0100
Subject: [PATCH] Return more info about nonlinear solver failures (solve1).

---
 .../simul_backward_nonlinear_model_.m         | 21 ++++++++---
 matlab/dynare_solve.m                         |  4 +--
 matlab/solve1.m                               | 36 +++++++++++++------
 3 files changed, 42 insertions(+), 19 deletions(-)

diff --git a/matlab/backward/simul_backward_nonlinear_model_.m b/matlab/backward/simul_backward_nonlinear_model_.m
index cc1e1698a..bd87796bd 100644
--- a/matlab/backward/simul_backward_nonlinear_model_.m
+++ b/matlab/backward/simul_backward_nonlinear_model_.m
@@ -137,13 +137,25 @@ for it = initialconditions.nobs+(1:samplesize)
             skipline()
             switch exitflag
               case 0
-                dprint('Returned value for exitflag is 0 (maximum number of iterations or evaluation reached).')
+                disp('Returned value for exitflag is 0 (maximum number of iterations or evaluation reached).')
               case -1
-                dprint('Returned value for exitflag is -1 (objective function stopped algorithm).')
+                if options.solve_algo==0
+                    disp('Returned value for exitflag is -1 (objective function stopped algorithm).')
+                elseif options.solve_algo==1
+                    disp('Returned value for exitflag is -1 (objective function cannot be evaluated at the initial guess).')
+                end
               case -3
-                dprint('Returned value for exitflag is -3 (Trust region radius became too small, trust-region-dogleg algorithm).')
+                if options.solve_algo==0
+                    disp('Returned value for exitflag is -3 (Trust region radius became too small, trust-region-dogleg algorithm).')
+                elseif options.solve_algo==1
+                    disp('Returned value for exitflag is -3 (Convergence too slow).')
+                end
               case -2
-                dprint('Returned value for exitflag is -2.')
+                if options.solve_algo==0
+                    disp('Returned value for exitflag is -2.')
+                elseif options.solve_algo==1
+                    disp('Returned value for exitflag is -2 (Spurious convergence).')
+                end
             end
         end
         break
@@ -155,7 +167,6 @@ end
 ysim = DynareOutput.endo_simul(1:DynareModel.orig_endo_nbr,:);
 xsim = DynareOutput.exo_simul;
 
-
 function display_names_of_problematic_equations(DynareModel, TruthTable)
 for i=1:DynareModel.orig_endo_nbr
     if TruthTable(i)
diff --git a/matlab/dynare_solve.m b/matlab/dynare_solve.m
index e38863dee..024485500 100644
--- a/matlab/dynare_solve.m
+++ b/matlab/dynare_solve.m
@@ -229,9 +229,7 @@ if options.solve_algo == 0
         errorflag = true;
     end
 elseif options.solve_algo==1
-    [x, errorflag] = solve1(f, x, 1:nn, 1:nn, jacobian_flag, options.gstep, ...
-                            tolf, tolx, ...
-                            maxit, [], options.debug, arguments{:});
+    [x, errorflag, exitflag] = solve1(f, x, 1:nn, 1:nn, jacobian_flag, options.gstep, tolf, tolx, maxit, [], options.debug, arguments{:});
 elseif options.solve_algo==9
     [x, errorflag] = trust_region(f,x, 1:nn, 1:nn, jacobian_flag, options.gstep, ...
                                   tolf, tolx, maxit, ...
diff --git a/matlab/solve1.m b/matlab/solve1.m
index 173ada50b..7637f057f 100644
--- a/matlab/solve1.m
+++ b/matlab/solve1.m
@@ -1,4 +1,4 @@
-function [x, errorflag] = solve1(func, x, j1, j2, jacobian_flag, gstep, tolf, tolx, maxit, fake, debug, varargin)
+function [x, errorflag, exitflag] = solve1(func, x, j1, j2, jacobian_flag, gstep, tolf, tolx, maxit, fake, debug, varargin)
 
 % Solves systems of non linear equations of several variables
 %
@@ -61,6 +61,7 @@ idCpx = ~isreal(fvec);
 if any(idInf)
     disp('SOLVE1: during the resolution of the non-linear system, the evaluation of the following equation(s) resulted in a non-finite number:')
     disp(j1(idInf)')
+    exitflag = -1;
     errorflag = true;
     return
 end
@@ -68,6 +69,7 @@ end
 if any(idNan)
     disp('SOLVE1: during the resolution of the non-linear system, the evaluation of the following equation(s) resulted in a nan:')
     disp(j1(idNan)')
+    exitflag = -1;
     errorflag = true;
     return
 end
@@ -75,6 +77,7 @@ end
 if any(idNan)
     disp('SOLVE1: during the resolution of the non-linear system, the evaluation of the following equation(s) resulted in a complex number:')
     disp(j1(idCpx)')
+    exitflag = -1;
     errorflag = true;
     return
 end
@@ -83,6 +86,7 @@ f = 0.5*(fvec'*fvec);
 
 if max(abs(fvec))<tolf*tolf
     % Initial guess is a solution
+    exitflag = 1;
     return
 end
 
@@ -136,28 +140,38 @@ for its = 1:maxit
         den = max([f;0.5*nn]) ;
         if max(abs(g).*max([abs(x(j2)') ones(1,nn)])')/den < tolmin
             if max(abs(x(j2)-xold(j2))./max([abs(x(j2)') ones(1,nn)])') < tolx
-                disp (' ')
-                disp (['SOLVE: Iteration ' num2str(its)])
-                disp (['Convergence on dX.'])
-                disp (x)
+                exitflag = -3;
+                if nargout<3
+                    skipline()
+                    dprintf('SOLVE: Iteration %s', num2str(its))
+                    disp('Convergence on dX.')
+                    skipline()
+                end
                 return
             end
         else
-            disp (' ')
-            disp (['SOLVE: Iteration ' num2str(its)])
-            disp (['Spurious convergence.'])
-            disp (x)
+            exitflag = -2;
+            if nargout<3
+                skipline()
+                dprintf('SOLVE: Iteration %s', num2str(its))
+                disp('Spurious convergence.')
+                disp(x)
+            end
             return
         end
     elseif max(abs(fvec)) < tolf
+        exitflag = 1;
         return
     end
 end
 
 errorflag = true;
-skipline()
-disp('SOLVE: maxit has been reached')
+exitflag = 0;
 
+if nargout<3
+    skipline()
+    disp('SOLVE: maxit has been reached')
+end
 % 01/14/01 MJ lnsearch is now a separate function
 % 01/16/01 MJ added varargin to function evaluation
 % 04/13/01 MJ added test  f < tolf !!