stepan
/
dynare
1
0
Fork 0
Code Issues Pull Requests Packages Projects Releases Wiki Activity

Added unit tests for lyapunov_symm routine.

time-shift
Stéphane Adjemian (Karaba) 2014-10-13 17:39:59 +02:00
parent f99fcfa27f
commit 935f74883d
1 changed files with 115 additions and 2 deletions
Show Stats Download Patch File Download Diff File Expand all files Collapse all files

117
matlab/lyapunov_symm.m
View File

@ -1,4 +1,4 @@
function [x,u] = lyapunov_symm(a,b,third_argument,lyapunov_complex_threshold,method, R, debug)
function [x,u] = lyapunov_symm(a,b,third_argument,lyapunov_complex_threshold,method, R, debug) % --*-- Unitary tests --*--
% Solves the Lyapunov equation x-a*x*a' = b, for b and x symmetric matrices.
% If a has some unit roots, the function computes only the solution of the stable subsystem.
%
@ -27,7 +27,7 @@ function [x,u] = lyapunov_symm(a,b,third_argument,lyapunov_complex_threshold,met
% SPECIAL REQUIREMENTS
% None
% Copyright (C) 2006-2012 Dynare Team
% Copyright (C) 2006-2014 Dynare Team
%
% This file is part of Dynare.
%
@ -178,3 +178,116 @@ if i == 1
end
x = U(:,k+1:end)*x*U(:,k+1:end)';
u = U(:,1:k);
%@test:1
%$ t = NaN(10,1);
%$ lyapunov_complex_threshold = 1e-15;
%$ qz_zero_threshold = 1e-6;
%$ qz_criterium=1-qz_zero_threshold;
%$ lyapunov_fixed_point_tol = 1e-10;
%$ lyapunov_doubling_tol = 1e-16;
%$
%$ n_small=8;
%$ m_small=10;
%$ T_small=randn(n_small,n_small);
%$ T_small=0.99*T_small/max(abs(eigs(T_small)));
%$ tmp2=randn(m_small,m_small);
%$ Q_small=tmp2*tmp2';
%$ R_small=randn(n_small,m_small);
%$
%$ n_large=9;
%$ m_large=11;
%$ T_large=randn(n_large,n_large);
%$ T_large=0.99*T_large/max(abs(eigs(T_large)));
%$ tmp2=randn(m_large,m_large);
%$ Q_large=tmp2*tmp2';
%$ R_large=randn(n_large,m_large);
%$
%$ % DynareOptions.lyapunov_fp == 1
%$ try
%$ Pstar1_small = lyapunov_symm(T_small,R_small*Q_small*R_small',lyapunov_fixed_point_tol,lyapunov_fixed_point_tol,3, [], 0);
%$ Pstar1_large = lyapunov_symm(T_large,R_large*Q_large*R_large',lyapunov_fixed_point_tol,lyapunov_fixed_point_tol,3, [], 0);
%$ t(1) = 1;
%$ catch
%$ t(1) = 0;
%$ end
%$
%$ % Dynareoptions.lyapunov_db == 1
%$ try
%$ Pstar2_small = disclyap_fast(T_small,R_small*Q_small*R_small',lyapunov_doubling_tol);
%$ Pstar2_large = disclyap_fast(T_large,R_large*Q_large*R_large',lyapunov_doubling_tol);
%$ t(2) = 1;
%$ catch
%$ t(2) = 0;
%$ end
%$
%$ % Dynareoptions.lyapunov_srs == 1
%$ if (isoctave && user_has_octave_forge_package('control')) || (~isoctave && user_has_matlab_license('control_toolbox'))
%$ try
%$ Pstar3_small = lyapunov_symm(T_small,Q_small,lyapunov_fixed_point_tol,lyapunov_complex_threshold,4,R_small,0);
%$ Pstar3_large = lyapunov_symm(T_large,Q_large,lyapunov_fixed_point_tol,lyapunov_complex_threshold,4,R_large,0);
%$ t(3) = 1;
%$ catch
%$ t(3) = 0;
%$ end
%$ else
%$ t(3) = 1;
%$ end
%$
%$ % Standard
%$ try
%$ Pstar4_small = lyapunov_symm(T_small,R_small*Q_small*R_small',qz_criterium, lyapunov_complex_threshold, [], [], 0);
%$ Pstar4_large = lyapunov_symm(T_large,R_large*Q_large*R_large',qz_criterium, lyapunov_complex_threshold, [], [], 0);
%$ t(4) = 1;
%$ catch
%$ t(4) = 0;
%$ end
%$
%$ % Test the results.
%$
%$ if max(max(abs(Pstar1_small-Pstar2_small)))>1e-8
%$ t(5) = 0;
%$ else
%$ t(5) = 1;
%$ end
%$
%$ if (isoctave && user_has_octave_forge_package('control')) || (~isoctave && user_has_matlab_license('control_toolbox'))
%$ if max(max(abs(Pstar1_small-Pstar3_small)))>1e-8
%$ t(6) = 0;
%$ else
%$ t(6) = 1;
%$ end
%$ else
%$ t(6) = 1;
%$ end
%$
%$ if max(max(abs(Pstar1_small-Pstar4_small)))>1e-8
%$ t(7) = 0;
%$ else
%$ t(7) = 1;
%$ end
%$
%$ if max(max(abs(Pstar1_large-Pstar2_large)))>1e-8
%$ t(8) = 0;
%$ else
%$ t(8) = 1;
%$ end
%$
%$ if (isoctave && user_has_octave_forge_package('control')) || (~isoctave && user_has_matlab_license('control_toolbox'))
%$ if max(max(abs(Pstar1_large-Pstar3_large)))>1e-8
%$ t(9) = 0;
%$ else
%$ t(9) = 1;
%$ end
%$ else
%$ t(9) = 1;
%$ end
%$
%$ if max(max(abs(Pstar1_large-Pstar4_large)))>1e-8
%$ t(10) = 0;
%$ else
%$ t(10) = 1;
%$ end
%$
%$ T = all(t);
%@eof:1