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occbin.kalman_update_engine.m: embed use_relaxation and extend to work with 2 constraints

covariance-quadratic-approximation
Marco Ratto 2023-12-14 18:51:16 +01:00 committed by Johannes Pfeifer
parent 9b165d7785
commit ac346ef83d
4 changed files with 76 additions and 126 deletions
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98
matlab/+occbin/kalman_update_algo_1.m
View File

@ -105,17 +105,17 @@ PZI = P1(:,:,t)*ZZ'*iF(di,di,t);
% L(:,:,t) = T-K(:,di,t)*ZZ;
L(:,:,t) = eye(mm)-PZI*ZZ;
if ~options_.occbin.filter.use_relaxation && ~isempty(fieldnames(regimes0))
if ~isempty(fieldnames(regimes0))
if options_.occbin.filter.guess_regime
[~,~,~,~,~,~, TTx, RRx, CCx] ...
= occbin.dynare_resolve(M_,options_,dr, endo_steady_state, exo_steady_state, exo_det_steady_state, regimes0(1),'reduced_state_space',T0,R0);
if M_.occbin.constraint_nbr==1
bindx = occbin.backward_map_regime(regimes0(1).regime, regimes0(1).regimestart);
bindx = bindx(2:end);
[regimes0(2).regime, regimes0(2).regimestart, error_flag]=occbin.map_regime(bindx);
bindx = bindx(2:end);
[regimes0(3).regime, regimes0(3).regimestart, error_flag]=occbin.map_regime(bindx);
else
if M_.occbin.constraint_nbr==1
bindx = occbin.backward_map_regime(regimes0(1).regime, regimes0(1).regimestart);
bindx = bindx(2:end);
[regimes0(2).regime, regimes0(2).regimestart, error_flag]=occbin.map_regime(bindx);
bindx = bindx(2:end);
[regimes0(3).regime, regimes0(3).regimestart, error_flag]=occbin.map_regime(bindx);
else
bindx1 = occbin.backward_map_regime(regimes0(1).regime1, regimes0(1).regimestart1);
bindx2 = occbin.backward_map_regime(regimes0(1).regime2, regimes0(1).regimestart2);
bindx1 = bindx1(2:end);
@ -126,7 +126,7 @@ if ~options_.occbin.filter.use_relaxation && ~isempty(fieldnames(regimes0))
bindx2 = bindx2(2:end);
[regimes0(3).regime1, regimes0(3).regimestart1, error_flag]=occbin.map_regime(bindx1);
[regimes0(3).regime2, regimes0(3).regimestart2, error_flag]=occbin.map_regime(bindx2);
end
end
% regimes0=[regimes0 base_regime base_regime];
TT(:,:,2) = TTx(:,:,end);
RR(:,:,2) = RRx(:,:,end);
@ -200,48 +200,13 @@ end
lik_hist=lik;
niter=1;
is_periodic=0;
if options_.occbin.filter.use_relaxation || isequal(regimes0(1),base_regime)
nguess=1;
else
nguess=0;
end
newguess=0;
if any(myregime) || ~isequal(regimes_(1),regimes0(1))
while ~isequal(regimes_(1),regimes0(1)) && ~is_periodic && ~out.error_flag && niter<=options_.occbin.likelihood.max_number_of_iterations
niter=niter+1;
oldstart=1;
if M_.occbin.constraint_nbr==1 && length(regimes0(1).regimestart)>1
oldstart = regimes0(1).regimestart(end);
end
newstart=1;
if M_.occbin.constraint_nbr==1 && length(regimes_(1).regimestart)>1
newstart = regimes_(1).regimestart(end);
end
if M_.occbin.constraint_nbr==1 && (newstart-oldstart)>2 && options_.occbin.filter.use_relaxation
regimestart = max(oldstart+2,round(0.5*(newstart+oldstart)));
regimestart = min(regimestart,oldstart+4);
if regimestart<=regimes_(1).regimestart(end-1)
if length(regimes_(1).regimestart)<=3
regimestart = max(regimestart, min(regimes_(1).regimestart(end-1)+2,newstart));
else
regimes_(1).regime = regimes_(1).regime(1:end-2);
regimes_(1).regimestart = regimes_(1).regimestart(1:end-2);
regimestart = max(regimestart, regimes_(1).regimestart(end-1)+1);
end
end
regimes_(1).regimestart(end)=regimestart;
[~,~,~,~,~,~, TTx, RRx, CCx] ...
= occbin.dynare_resolve(M_,options_,dr, endo_steady_state, exo_steady_state, exo_det_steady_state, [base_regime regimes_(1)],'reduced_state_space', T0, R0);
TT(:,:,2) = TTx(:,:,end);
RR(:,:,2) = RRx(:,:,end);
CC(:,2) = CCx(:,end);
elseif newguess==0
TT(:,:,2)=ss.T(my_order_var,my_order_var,1);
RR(:,:,2)=ss.R(my_order_var,:,1);
CC(:,2)=ss.C(my_order_var,1);
end
newguess=0;
TT(:,:,2)=ss.T(my_order_var,my_order_var,1);
RR(:,:,2)=ss.R(my_order_var,:,1);
CC(:,2)=ss.C(my_order_var,1);
regime_hist(niter) = {regimes_(1)};
if M_.occbin.constraint_nbr==1
regime_end(niter) = regimes_(1).regimestart(end);
@ -257,9 +222,7 @@ if any(myregime) || ~isequal(regimes_(1),regimes0(1))
else
opts_simul.endo_init = alphahat(dr.inv_order_var,1);
end
if not(options_.occbin.filter.use_relaxation)
opts_simul.init_regime=regimes_(1);
end
opts_simul.init_regime=regimes_(1);
if M_.occbin.constraint_nbr==1
myregimestart = [regimes_.regimestart];
else
@ -287,11 +250,11 @@ if any(myregime) || ~isequal(regimes_(1),regimes0(1))
is_periodic_iter = find(is_periodic);
is_periodic = any(is_periodic);
if is_periodic
% re-set to previous regime
if options_.occbin.filter.periodic_solution
% force projection conditional on most likely regime
[m, im]=min(lik_hist(is_periodic_iter:end));
opts_simul.init_regime=regime_hist{is_periodic_iter+im-1};
% re-set to previous regime
if options_.occbin.filter.periodic_solution
% force projection conditional on most likely regime
[m, im]=min(lik_hist(is_periodic_iter:end));
opts_simul.init_regime=regime_hist{is_periodic_iter+im-1};
if M_.occbin.constraint_nbr==1
myregimestart = [regimes0.regimestart];
else
@ -303,23 +266,22 @@ if any(myregime) || ~isequal(regimes_(1),regimes0(1))
[~, out, ss] = occbin.solver(M_,options_,dr,endo_steady_state,exo_steady_state,exo_det_steady_state);
if out.error_flag
error_flag = out.error_flag;
etahat=etahat(:,2);
lik=inf;
return;
else
regimes_ = out.regime_history;
TT(:,:,2)=ss.T(my_order_var,my_order_var,1);
RR(:,:,2)=ss.R(my_order_var,:,1);
CC(:,2)=ss.C(my_order_var,1);
[a, a1, P, P1, v, alphahat, etahat, lik, V] = occbin_kalman_update0(a,a1,P,P1,data_index,Z,v,Y,H,QQQ,TT,RR,CC,iF,L,mm, options_.rescale_prediction_error_covariance, options_.occbin.likelihood.IF_likelihood, options_.occbin.filter.state_covariance);
end
else
error_flag = 330;
etahat=etahat(:,2);
lik=inf;
return;
else
regimes_ = out.regime_history;
TT(:,:,2)=ss.T(my_order_var,my_order_var,1);
RR(:,:,2)=ss.R(my_order_var,:,1);
CC(:,2)=ss.C(my_order_var,1);
[a, a1, P, P1, v, alphahat, etahat, lik, V] = occbin_kalman_update0(a,a1,P,P1,data_index,Z,v,Y,H,QQQ,TT,RR,CC,iF,L,mm, options_.rescale_prediction_error_covariance, options_.occbin.likelihood.IF_likelihood, options_.occbin.filter.state_covariance);
end
% end
else
error_flag = 330;
etahat=etahat(:,2);
lik=inf;
return;
end
end
end
end

58
matlab/+occbin/kalman_update_algo_3.m
View File

@ -105,7 +105,7 @@ if options_.smoother_redux
end
mm=size(a,1);
if ~options_.occbin.filter.use_relaxation && ~isempty(fieldnames(regimes0))
if ~isempty(fieldnames(regimes0))
if options_.occbin.filter.guess_regime
[~,~,~,~,~,~, TTx, RRx, CCx] ...
= occbin.dynare_resolve(M_,options_,dr,endo_steady_state,exo_steady_state,exo_det_steady_state, regimes0(1),myrestrict,T0,R0);
@ -198,52 +198,13 @@ end
lik_hist=lik;
niter=1;
is_periodic=0;
if options_.occbin.filter.use_relaxation || isequal(regimes0(1),base_regime)
nguess=1;
else
nguess=0;
end
newguess=0;
if any(myregime) || ~isequal(regimes_(1),regimes0(1))
while ~isequal(regimes_(1),regimes0(1)) && ~is_periodic && ~out.error_flag && niter<=options_.occbin.likelihood.max_number_of_iterations
niter=niter+1;
newstart=1;
if M_.occbin.constraint_nbr==1 && length(regimes_(1).regimestart)>1
newstart = regimes_(1).regimestart(end);
end
oldstart=1;
if M_.occbin.constraint_nbr==1 && length(regimes0(1).regimestart)>1
oldstart = regimes0(1).regimestart(end);
end
if M_.occbin.constraint_nbr==1 && (newstart-oldstart)>2 && options_.occbin.filter.use_relaxation
regimestart = max(oldstart+2,round(0.5*(newstart+oldstart)));
regimestart = min(regimestart,oldstart+4);
if regimestart<=regimes_(1).regimestart(end-1)
if length(regimes_(1).regimestart)<=3
regimestart = max(regimestart, min(regimes_(1).regimestart(end-1)+2,newstart));
else
regimes_(1).regime = regimes_(1).regime(1:end-2);
regimes_(1).regimestart = regimes_(1).regimestart(1:end-2);
regimestart = max(regimestart, regimes_(1).regimestart(end-1)+1);
end
end
% % if (newstart-oldstart)>3
% % regimestart = regimes_(1).regimestart(end-1)+oldstart+2;
% % % regimestart = regimes_(1).regimestart(end-1)+round(0.5*(newstart+oldstart))-1;
regimes_(1).regimestart(end)=regimestart;
[~,~,~,~,~,~, TTx, RRx, CCx] ...
= occbin.dynare_resolve(M_,options_,dr,endo_steady_state,exo_steady_state,exo_det_steady_state, [base_regime regimes_(1)],myrestrict,T0,R0);
TT(:,:,2) = TTx(:,:,end);
RR(:,:,2) = RRx(:,:,end);
CC(:,2) = CCx(:,end);
elseif newguess==0
TT(:,:,2)=ss.T(my_order_var,my_order_var,1);
RR(:,:,2)=ss.R(my_order_var,:,1);
CC(:,2)=ss.C(my_order_var,1);
end
newguess=0;
TT(:,:,2)=ss.T(my_order_var,my_order_var,1);
RR(:,:,2)=ss.R(my_order_var,:,1);
CC(:,2)=ss.C(my_order_var,1);
regime_hist(niter) = {regimes_(1)};
if M_.occbin.constraint_nbr==1
regime_end(niter) = regimes_(1).regimestart(end);
@ -251,11 +212,6 @@ if any(myregime) || ~isequal(regimes_(1),regimes0(1))
[a, a1, P, P1, v, Fi, Ki, alphahat, etahat, lik] = occbin_kalman_update(a,a1,P,P1,data_index,Z,v,Y,H,QQQ,TT,RR,CC,Ki,Fi,mm,kalman_tol);
lik_hist(niter) = lik;
opts_simul.SHOCKS(1,:) = etahat(:,2)';
% if opts_simul.restrict_state_space
% tmp=zeros(M_.endo_nbr,1);
% tmp(dr.restrict_var_list,1)=alphahat(:,1);
% opts_simul.endo_init = tmp(dr.inv_order_var,1);
% else
if opts_simul.restrict_state_space
tmp=zeros(M_.endo_nbr,1);
tmp(dr.restrict_var_list,1)=alphahat(:,1);
@ -263,10 +219,7 @@ if any(myregime) || ~isequal(regimes_(1),regimes0(1))
else
opts_simul.endo_init = alphahat(dr.inv_order_var,1);
end
% end
if not(options_.occbin.filter.use_relaxation)
opts_simul.init_regime=regimes_(1);
end
opts_simul.init_regime=regimes_(1);
if M_.occbin.constraint_nbr==1
myregimestart = [regimes_.regimestart];
else
@ -293,7 +246,6 @@ if any(myregime) || ~isequal(regimes_(1),regimes0(1))
% re-set to previous regime
if options_.occbin.filter.periodic_solution
% force projection conditional on most likely regime
% [m, im]=max(lik_hist(is_periodic_iter:end));
[m, im]=min(lik_hist(is_periodic_iter:end));
opts_simul.init_regime=regime_hist{is_periodic_iter+im-1};
if M_.occbin.constraint_nbr==1

43
matlab/+occbin/kalman_update_engine.m
View File

@ -32,6 +32,8 @@ if nargin>26
is_multivariate = false;
end
use_relaxation = false;
if is_multivariate
[ax, a1x, Px, P1x, vx, Tx, Rx, Cx, regx, info, M_, likx, etahat, alphahat, V] = occbin.kalman_update_algo_1(a0,a1,P0,P1,data_index,Z,vv,Y,H,Qt,T0,R0,TT,RR,CC,struct(),M_,dr,endo_steady_state,exo_steady_state,exo_det_steady_state,options_,occbin_options);
else
@ -93,6 +95,31 @@ else
end
end
diffstart=0;
if info==0
if M_.occbin.constraint_nbr==1
oldstart = regimes_(1).regimestart(end);
newstart = regx(1).regimestart(end);
diffstart = newstart-oldstart;
else
newstart1 = regx(1).regimestart1(end);
newstart2 = regx(1).regimestart2(end);
oldstart1 = regimes_(1).regimestart1(end);
oldstart2 = regimes_(1).regimestart2(end);
diffstart = max(newstart1-oldstart1,newstart2-oldstart2);
end
end
if options_.occbin.filter.use_relaxation && diffstart>2
if info0==0
% make sure we match criteria to enter further solution attempts
info1=1;
end
options_.occbin.likelihood.brute_force_regime_guess = true;
options_.occbin.likelihood.loss_function_regime_guess = true;
use_relaxation = true;
end
if options_.occbin.likelihood.brute_force_regime_guess && (info0 || info1) %|| (info==0 && ~isequal(regx(1),base_regime))
guess_regime = [base_regime base_regime];
@ -110,8 +137,9 @@ if options_.occbin.likelihood.brute_force_regime_guess && (info0 || info1) %|| (
end
if info2==0
use_index= 1;
if not(info==0 && isequal(regx2{1},regx))
% found a solution, different from previous one
if not(info==0 && isequal(regx2{1},regx)) && not(use_relaxation && likx2{1}>=likx)
% found a solution, different from previous or
% use_relaxation and likelihood is better
break
end
end
@ -125,6 +153,8 @@ if options_.occbin.likelihood.brute_force_regime_guess && (info0 || info1) %|| (
end
if info2==0
use_index = 2;
% if use_relaxation and we are here, previous guess did not
% improve solution, so we test for this one
end
if use_index
@ -186,16 +216,18 @@ if options_.occbin.likelihood.brute_force_regime_guess && (info0 || info1) %|| (
end
if info2==0
use_index= gindex;
if not(info==0 && isequal(regx2{gindex},regx))
if not(info==0 && isequal(regx2{gindex},regx)) && not(use_relaxation && likx2{gindex}>=likx)
% found a solution, different from previous one
% use_relaxation and likelihood improves
break
end
end
end % loop over other regime slack, binding in expectation or binding in current period
if info2==0
if not(info==0 && isequal(regx2{gindex},regx))
if not(info==0 && isequal(regx2{gindex},regx)) && not(use_relaxation && likx2{gindex}>=likx)
% found a solution, different from previous one
% use_relaxation and likelihood improves
break
end
end
@ -203,8 +235,9 @@ if options_.occbin.likelihood.brute_force_regime_guess && (info0 || info1) %|| (
end % loop over current regime binding in expectation vs binding in current period
if info2==0
if not(info==0 && isequal(regx2{gindex},regx))
if not(info==0 && isequal(regx2{gindex},regx)) && not(use_relaxation && likx2{gindex}>=likx)
% found a solution, different from previous one
% use_relaxation and likelihood improves
break
end
end

3
tests/occbin/model_irrcap_twoconstraints/dynrbc_common.inc
View File

@ -89,6 +89,9 @@ occbin_graph(noconstant) c erra lambdak k i a k;
occbin_solver(simul_periods=200,simul_maxit=200,simul_curb_retrench,simul_check_ahead_periods=200);
occbin_setup(smoother_periods=200,smoother_maxit=200,smoother_curb_retrench,smoother_check_ahead_periods=200);
calib_smoother(datafile=datasim);
oo0=oo_;
occbin_setup(filter_use_relaxation);
calib_smoother(datafile=datasim);
oo_= occbin.unpack_simulations(M_,oo_,options_);
titlelist = char('c','lambdak','k','i','a','erra');