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Add iteration maximum to disclyap_fast.m prevent infinite loops

time-shift
Johannes Pfeifer 2015-07-22 15:08:25 +02:00
parent 5f7a8a6b0e
commit aee579ecc1
1 changed files with 21 additions and 4 deletions
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25
matlab/partial_information/disclyap_fast.m
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@ -1,6 +1,14 @@
function X=disclyap_fast(G,V,tol,ch)
function [X,exitflag]=disclyap_fast(G,V,tol,ch)
% function X=disclyap_fast(G,V,ch)
%
% Inputs:
% - G [double] first input matrix
% - V [double] second input matrix
% - tol [scalar] tolerance criterion
% - ch empty of non-empty if non-empty: check positive-definiteness
% Outputs:
% - X [double] solution matrix
% - exitflag [scalar] 0 if solution is found, 1 otherwise
%
% Solve the discrete Lyapunov Equation
% X=G*X*G'+V
% Using the Doubling Algorithm
@ -11,7 +19,7 @@ function X=disclyap_fast(G,V,tol,ch)
% Joe Pearlman and Alejandro Justiniano
% 3/5/2005
% Copyright (C) 2010-2012 Dynare Team
% Copyright (C) 2010-2015 Dynare Team
%
% This file is part of Dynare.
%
@ -34,6 +42,7 @@ else
flag_ch = 1;
end
s=size(G,1);
exitflag=0;
%tol = 1e-16;
@ -41,13 +50,20 @@ P0=V;
A0=G;
matd=1;
while matd > tol
iter=1;
while matd > tol && iter< 2000
P1=P0+A0*P0*A0';
A1=A0*A0;
matd=max( max( abs( P1 - P0 ) ) );
P0=P1;
A0=A1;
iter=iter+1;
end
if iter==5000
X=NaN(P0);
exitflag=1;
return
end
clear A0 A1 P1;
X=(P0+P0')/2;
@ -56,6 +72,7 @@ X=(P0+P0')/2;
if flag_ch==1
[C,p]=chol(X);
if p ~= 0
exitflag=1;
error('X is not positive definite')
end
end