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evaluate_planner_objective.m: lift size restriction by solving Lyapunov equation instead of using Kronecker

time-shift
Johannes Pfeifer 2020-12-19 14:12:12 +01:00
parent 4b793da2c3
commit 9728a52889
1 changed files with 7 additions and 6 deletions
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13
matlab/evaluate_planner_objective.m
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@ -37,11 +37,6 @@ dr = oo.dr;
exo_nbr = M.exo_nbr;
nstatic = M.nstatic;
nspred = M.nspred;
if nspred > 180
fprintf('\nevaluate_planner_objective: model too large, can''t evaluate planner objective\n')
planner_objective_value = NaN;
return
end
beta = get_optimal_policy_discount_factor(M.params, M.param_names);
Gy = dr.ghx(nstatic+(1:nspred),:);
@ -64,7 +59,13 @@ Uyygygu = A_times_B_kronecker_C(Uyy,gy,gu);
Wbar =U/(1-beta); %steady state welfare
Wy = Uy*gy/(eye(nspred)-beta*Gy);
Wu = Uy*gu+beta*Wy*Gu;
Wyy = Uyygygy/(eye(nspred*nspred)-beta*kron(Gy,Gy));
% Wyy = Uyygygy/(eye(nspred*nspred)-beta*kron(Gy,Gy)); %solve Wyy=Uyy*kron(gy,gy)+beta*Wyy*kron(Gy,Gy)
if isempty(options.qz_criterium)
options.qz_criterium = 1+1e-6;
end
%solve Lyapunuv equation Wyy=gy'*Uyy*gy+beta*Gy'Wyy*Gy
Wyy = reshape(lyapunov_symm(sqrt(beta)*Gy',reshape(Uyygygy,nspred,nspred),options.lyapunov_fixed_point_tol,options.qz_criterium,options.lyapunov_complex_threshold, 3, options.debug),1,nspred*nspred);
Wyygugu = A_times_B_kronecker_C(Wyy,Gu,Gu);
Wyygygu = A_times_B_kronecker_C(Wyy,Gy,Gu);
Wuu = Uyygugu+beta*Wyygugu;