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Fixed bug in homotopy for perfect foresight models. 

Homotopy was not working if nans or complex numbers were present in oo_.endo_simul.
time-shift
Stéphane Adjemian (Charybdis) 2015-02-13 16:00:17 +01:00
parent 3b41aa0e60
commit b3ed7901cf
1 changed files with 19 additions and 5 deletions
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24
matlab/perfect-foresight-models/perfect_foresight_solver.m
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@ -55,6 +55,9 @@ if options_.debug
end
end
initperiods = 1:M_.maximum_lag;
lastperiods = (M_.maximum_endo_lag+options_.periods+1):(M_.maximum_endo_lag+options_.periods+M_.maximum_endo_lead);
% Disable warnings if homotopy
if ~options_.no_homotopy
warning off all
@ -69,6 +72,7 @@ if ~oo_.deterministic_simulation.status && ~options_.no_homotopy
exosim = oo_.exo_simul;
exoinit = repmat(oo_.exo_steady_state',M_.maximum_lag+options_.periods+M_.maximum_lead,1);
endosim = oo_.endo_simul;
endoinit = repmat(oo_.steady_state, 1,M_.maximum_lag+options_.periods+M_.maximum_lead);
@ -79,6 +83,7 @@ if ~oo_.deterministic_simulation.status && ~options_.no_homotopy
fprintf('Iter. \t | Lambda \t | status \t | Max. residual\n')
fprintf('++++++++++++++++++++++++++++++++++++++++++++++++++++++++\n')
while (step > options_.dynatol.x)
if ~isequal(step,1)
@ -96,14 +101,23 @@ if ~oo_.deterministic_simulation.status && ~options_.no_homotopy
% Compute convex combination for exo path and initial/terminal endo conditions
% But take care of not overwriting the computed part of oo_.endo_simul
oo_.exo_simul = exosim*new_weight + exoinit*(1-new_weight);
endocombi = endosim*new_weight + endoinit*(1-new_weight);
oo_.endo_simul(:,1:M_.maximum_endo_lag) = endocombi(:,1:M_.maximum_endo_lag);
oo_.endo_simul(:,(end-M_.maximum_endo_lead):end) = endocombi(:,(end-M_.maximum_endo_lead):end);
oo_.endo_simul(:,[initperiods, lastperiods]) = ...
new_weight*oo_.endo_simul(:,[initperiods, lastperiods])+(1-new_weight)*endoinit(:,[initperiods, lastperiods]);
path_with_nans = any(any(isnan(oo_.endo_simul)));
path_with_cplx = any(any(~isreal(oo_.endo_simul)));
if isequal(iteration,1) && (path_with_nans || path_with_cplx)
oo_.endo_simul(:,M_.maximum_lag+1:end-M_.maximum_lead) = endoinit(:,1:options_.periods);
elseif path_with_nans || path_with_cplx
oo_.endo_simul(:,M_.maximum_lag+1:end-M_.maximum_lead) = saved_endo_simul(:,1+M_.maximum_endo_lag:end-M_.maximum_endo_lead);
end
saved_endo_simul = oo_.endo_simul;
[oo_, me] = simulation_core(options_, M_, oo_);
if oo_.deterministic_simulation.status == 1
current_weight = new_weight;
if current_weight >= 1