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port to occbin smoother the same computational improvements done for standard one under smother_redux option. This also require to provide occbin reduced state-space matrices as output argument of missing_DiffuseKalmanSmootherH3_Z.m

mr#2067
Marco Ratto 2022-01-31 14:09:41 +01:00 committed by Johannes Pfeifer
parent 12c4e03d7b
commit 9304b535f4
2 changed files with 47 additions and 11 deletions
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55
matlab/DsgeSmoother.m
View File

@ -319,7 +319,7 @@ if kalman_algo == 2 || kalman_algo == 4
a_initial = zeros(np,1); a_initial = zeros(np,1);
a_initial=set_Kalman_smoother_starting_values(a_initial,M_,oo_,options_); a_initial=set_Kalman_smoother_starting_values(a_initial,M_,oo_,options_);
a_initial=ST*a_initial; %set state prediction for first Kalman step; a_initial=ST*a_initial; %set state prediction for first Kalman step;
[alphahat,epsilonhat,etahat,ahat,P,aK,PK,decomp,state_uncertainty, aahat, eehat, d, regimes_,TT,RR,CC] = missing_DiffuseKalmanSmootherH3_Z(a_initial,ST, ... [alphahat,epsilonhat,etahat,ahat,P,aK,PK,decomp,state_uncertainty, aahat, eehat, d, regimes_,TT,RR,CC,TTx,RRx,CCx] = missing_DiffuseKalmanSmootherH3_Z(a_initial,ST, ...
Z,R1,Q,diag(H), ... Z,R1,Q,diag(H), ...
Pinf,Pstar,data1,vobs,np,smpl,data_index, ... Pinf,Pstar,data1,vobs,np,smpl,data_index, ...
options_.nk,kalman_tol,diffuse_kalman_tol, ... options_.nk,kalman_tol,diffuse_kalman_tol, ...
@ -386,9 +386,11 @@ else
else else
opts_simul = options_.occbin.simul; opts_simul = options_.occbin.simul;
end end
% reconstruct smoothed variables
aaa=zeros(M_.endo_nbr,gend); aaa=zeros(M_.endo_nbr,gend);
aaa(oo_.dr.restrict_var_list,:)=alphahat; aaa(oo_.dr.restrict_var_list,:)=alphahat;
for k=2:gend iTx = zeros(size(TTx));
for k=1:gend
if isoccbin if isoccbin
A = TT(:,:,k); A = TT(:,:,k);
B = RR(:,:,k); B = RR(:,:,k);
@ -396,20 +398,53 @@ else
else else
C=0; C=0;
end end
aaa(:,k) = C+A*aaa(:,k-1)+B*etahat(:,k); iT = pinv(TTx(:,:,k));
% store pinv
iTx(:,:,k) = iT;
Tstar = A(~ismember(1:M_.endo_nbr,oo_.dr.restrict_var_list),oo_.dr.restrict_var_list);
Rstar = B(~ismember(1:M_.endo_nbr,oo_.dr.restrict_var_list),:);
Cstar = C(~ismember(1:M_.endo_nbr,oo_.dr.restrict_var_list));
AS = Tstar*iT;
BS = Rstar-AS*RRx(:,:,k);
CS = Cstar-AS*CCx(:,k);
static_var_list = ~ismember(1:M_.endo_nbr,oo_.dr.restrict_var_list);
ilagged = any(abs(AS*TTx(:,:,k)-Tstar)'>1.e-12);
static_var_list0 = static_var_list;
static_var_list0(static_var_list) = ilagged;
static_var_list(static_var_list) = ~ilagged;
aaa(static_var_list,k) = AS(~ilagged,:)*alphahat(:,k)+BS(~ilagged,:)*etahat(:,k)+CS(~ilagged);
if any(ilagged) && k>1
aaa(static_var_list0,k) = Tstar(ilagged,:)*alphahat(:,k-1)+Rstar(ilagged,:)*etahat(:,k)+Cstar(ilagged);
end
end end
alphahat=aaa; alphahat=aaa;
aaa=zeros(M_.endo_nbr,gend);
% reconstruct updated variables
bbb=zeros(M_.endo_nbr,gend); bbb=zeros(M_.endo_nbr,gend);
bbb(oo_.dr.restrict_var_list,:)=ahat; bbb(oo_.dr.restrict_var_list,:)=ahat; % this is t|t
aaa(oo_.dr.restrict_var_list,:)=aahat; for k=1:gend
for k=d+2:gend
if isoccbin if isoccbin
A = TT(:,:,k); A = TT(:,:,k);
B = RR(:,:,k); B = RR(:,:,k);
C = CC(:,k); C = CC(:,k);
bbb(:,k) = C+A*aaa(:,k-1)+B*eehat(:,k); iT = iTx(:,:,k);
else Tstar = A(~ismember(1:M_.endo_nbr,oo_.dr.restrict_var_list),oo_.dr.restrict_var_list);
Rstar = B(~ismember(1:M_.endo_nbr,oo_.dr.restrict_var_list),:);
Cstar = C(~ismember(1:M_.endo_nbr,oo_.dr.restrict_var_list));
AS = Tstar*iT;
BS = Rstar-AS*RRx(:,:,k);
CS = Cstar-AS*CCx(:,k);
static_var_list = ~ismember(1:M_.endo_nbr,oo_.dr.restrict_var_list);
ilagged = any(abs(AS*TTx(:,:,k)-Tstar)'>1.e-12);
static_var_list0 = static_var_list;
static_var_list0(static_var_list) = ilagged;
static_var_list(static_var_list) = ~ilagged;
bbb(static_var_list,k) = AS(~ilagged,:)*ahat(:,k)+BS(~ilagged,:)*eehat(:,k)+CS(~ilagged);
if any(ilagged) && k>d+1
bbb(static_var_list0,k) = Tstar(ilagged,:)*aahat(:,k-1)+Rstar(ilagged,:)*eehat(:,k)+Cstar(ilagged);
end
elseif k>d+1
opts_simul.curb_retrench = options_.occbin.smoother.curb_retrench; opts_simul.curb_retrench = options_.occbin.smoother.curb_retrench;
opts_simul.waitbar = options_.occbin.smoother.waitbar; opts_simul.waitbar = options_.occbin.smoother.waitbar;
opts_simul.maxit = options_.occbin.smoother.maxit; opts_simul.maxit = options_.occbin.smoother.maxit;
@ -433,8 +468,6 @@ else
bbb(oo_.dr.inv_order_var,k) = out.piecewise(1,:) - out.ys'; bbb(oo_.dr.inv_order_var,k) = out.piecewise(1,:) - out.ys';
end end
end end
% do not overwrite accurate computations using reduced st. space
bbb(oo_.dr.restrict_var_list,:)=ahat;
ahat0=ahat; ahat0=ahat;
ahat=bbb; ahat=bbb;
if ~isempty(P) if ~isempty(P)

3
matlab/missing_DiffuseKalmanSmootherH3_Z.m
View File

@ -486,6 +486,9 @@ varargout{1} = regimes_;
varargout{2} = TTT; varargout{2} = TTT;
varargout{3} = RRR; varargout{3} = RRR;
varargout{4} = CCC; varargout{4} = CCC;
varargout{5} = TT;
varargout{6} = RR;
varargout{7} = CC;
% $$$ P_s=tril(P(:,:,t))+tril(P(:,:,t),-1)'; % $$$ P_s=tril(P(:,:,t))+tril(P(:,:,t),-1)';
% $$$ P1_s=tril(P1(:,:,t))+tril(P1(:,:,t),-1)'; % $$$ P1_s=tril(P1(:,:,t))+tril(P1(:,:,t),-1)';
% $$$ Fi_s = Fi(:,t); % $$$ Fi_s = Fi(:,t);