perfect_foresight_with_expectation_errors_{setup,solver}: streamline handling of guess values

– Remove the terminal_steady_state_as_guess_value option to pfwee_solver
– pfwee_setup now sets the same guess values as pf_setup (i.e. terminal steady
  state at all periods)
– With constant_simulation_length option, pfwee_solver uses terminal steady
  state as guess values for periods that are added to the simulation

doc/manual/source/the-model-file.rst

@@ -4174,16 +4174,7 @@ and ``endval`` blocks which are given a special ``learnt_in`` option.
     *Options*
 
     This command accepts all the options of :comm:`perfect_foresight_solver`,
-    with the same semantics, plus the following ones:
-
-    .. option:: terminal_steady_state_as_guess_value
-
-        By default, the initial guess for the computation of the path of
-        endogenous is the initial steady state (when using the information set
-        from period 1) or the previously simulated path (when using an
-        information set that is different from that of period 1). When this
-        option is given, the initial guess is instead the terminal steady
-        state.
+    with the same semantics, plus the following one:
 
     .. option:: constant_simulation_length
 

matlab/default_option_values.m

@@ -329,7 +329,6 @@ options_.no_homotopy = false;
 options_.homotopy_alt_starting_point = false;
 
 % Perfect foresight with expectation errors
-options_.pfwee.terminal_steady_state_as_guess_value = false;
 options_.pfwee.constant_simulation_length = false;
 
 % Solution

matlab/perfect-foresight-models/perfect_foresight_with_expectation_errors_setup.m

@@ -142,12 +142,12 @@ end
 
 % Build initial paths for endos and exos (only initial conditions are set, the rest is NaN)
 if isempty(ys0_)
-    oo_.endo_simul = [repmat(oo_.steady_state, 1, M_.maximum_lag) NaN(M_.endo_nbr, periods+M_.maximum_lead)];
+    oo_.endo_simul = repmat(oo_.steady_state, 1, M_.maximum_lag+periods+M_.maximum_lead);
 else
-    oo_.endo_simul = [repmat(ys0_, 1, M_.maximum_lag) NaN(M_.endo_nbr, periods+M_.maximum_lead)];
+    oo_.endo_simul = [repmat(ys0_, 1, M_.maximum_lag) repmat(oo_.steady_state, 1, periods+M_.maximum_lead)];
 end
 if isempty(ex0_)
-    oo_.exo_simul = [repmat(oo_.exo_steady_state',M_.maximum_lag,1); NaN(periods+M_.maximum_lead,M_.exo_nbr)];
+    oo_.exo_simul = repmat(oo_.exo_steady_state', M_.maximum_lag+periods+M_.maximum_lead, 1);
 else
-    oo_.exo_simul = [repmat(ex0_',M_.maximum_lag,1); NaN(periods+M_.maximum_lead,M_.exo_nbr)];
+    oo_.exo_simul = [repmat(ex0_', M_.maximum_lag, 1); repmat(oo_.exo_steady_state', periods+M_.maximum_lead, 1)];
 end

matlab/perfect-foresight-models/perfect_foresight_with_expectation_errors_solver.m

@@ -55,15 +55,9 @@ while info_period <= periods
     else
         sim_length = periods - info_period + 1;
     end
-    if options_.pfwee.terminal_steady_state_as_guess_value
-        % Overwrite guess value with terminal steady state
-        oo_.endo_simul(:, M_.maximum_lag+(1:sim_length)) = repmat(oo_.steady_state, 1, sim_length);
-    elseif info_period == 1
-        % Use initial steady state as guess value for first simulation if not using terminal steady state
-        oo_.endo_simul(:, M_.maximum_lag+(1:periods)) = repmat(initial_steady_state, 1, periods);
-    elseif options_.pfwee.constant_simulation_length && increment > M_.maximum_lead
-        % Use initial steady state as guess value for simulation periods that don’t yet have an initial guess (i.e. are NaNs)
-        oo_.endo_simul(:, M_.maximum_lag+periods-(0:increment-M_.maximum_lead-1)) = repmat(initial_steady_state, 1, increment-M_.maximum_lead);
+    if options_.pfwee.constant_simulation_length && increment > M_.maximum_lead
+        % Use terminal steady state as guess value for simulation periods that don’t yet have an initial guess (i.e. are NaNs at this point)
+        oo_.endo_simul(:, M_.maximum_lag+periods-(0:increment-M_.maximum_lead-1)) = repmat(oo_.steady_state, 1, increment-M_.maximum_lead);
     end
     oo_.endo_simul(:, end-M_.maximum_lead+1:end) = repmat(oo_.steady_state, 1, M_.maximum_lead);
     oo_.exo_simul = exo_simul(info_period:end, :);

preprocessor

@@ -1 +1 @@
-Subproject commit 0de27e8dab9c4190be17ea8642cf301844c8043a
+Subproject commit a1b8602760e77895ee065de4dadb0d532c4e926e

tests/deterministic_simulations/pfwee.mod

@@ -31,11 +31,7 @@ perfect_foresight_with_expectation_errors_setup(periods = 7, datafile = 'pfwee.c
 
 // First simulation with default options
 perfect_foresight_with_expectation_errors_solver;
-pfwee1 = oo_.endo_simul;
-
-// Second simulation with alternative guess values
-perfect_foresight_with_expectation_errors_solver(terminal_steady_state_as_guess_value);
-pfwee2 = oo_.endo_simul;
+pfwee_simul = oo_.endo_simul;
 
 // Now compute the solution by hand to verify the results
 
@@ -93,12 +89,6 @@ oo_.exo_simul = [ saved_exo; oo_.exo_simul ];
 
 % We should have strict equality with first pfwee simulation, because algorithm
 % and guess values are exactly the same.
-if any(any(pfwee1-oo_.endo_simul ~= 0))
+if any(any(pfwee_simul-oo_.endo_simul ~= 0))
     error('Error in perfect_foresight_with_expectation_errors')
 end
-
-% For the 2nd simulation, since the guess values are different, there are some
-% numerical differences
-if max(max(abs(pfwee2-oo_.endo_simul))) > 10*options_.dynatol.f
-    error('Error in perfect_foresight_with_expectation_errors + terminal_steady_state_as_guess_value')
-end

tests/deterministic_simulations/pfwee_constant_sim_length.mod

@@ -29,12 +29,7 @@ check;
 // First simulation with default options
 perfect_foresight_with_expectation_errors_setup(periods = 7, datafile = 'pfwee.csv');
 perfect_foresight_with_expectation_errors_solver(constant_simulation_length);
-pfwee1 = oo_.endo_simul;
-
-// Second simulation with alternative guess values
-perfect_foresight_with_expectation_errors_setup(periods = 7, datafile = 'pfwee.csv');
-perfect_foresight_with_expectation_errors_solver(terminal_steady_state_as_guess_value, constant_simulation_length);
-pfwee2 = oo_.endo_simul;
+pfwee_simul = oo_.endo_simul;
 
 // Now compute the solution by hand to verify the results
 
@@ -80,8 +75,7 @@ oo_.exo_simul(8,1) = 1.1;
 oo_.exo_steady_state = 1.1;
 oo_.exo_simul(9:14, 1) = repmat(oo_.exo_steady_state', 6, 1);
 oo_.steady_state = evaluate_steady_state(oo_.steady_state, oo_.exo_steady_state, M_, options_, true);
-oo_.endo_simul(:, 12:13) = repmat(initial_steady_state, 1, 2);
-oo_.endo_simul(:, 14) = oo_.steady_state;
+oo_.endo_simul(:, 12:14) = repmat(oo_.steady_state, 1, 3);
 saved_endo = oo_.endo_simul(:, 1:5);
 saved_exo = oo_.exo_simul(1:5, :);
 oo_.endo_simul = oo_.endo_simul(:, 6:end);
@@ -92,12 +86,6 @@ oo_.exo_simul = [ saved_exo; oo_.exo_simul ];
 
 % We should have strict equality with first pfwee simulation, because algorithm
 % and guess values are exactly the same.
-if any(any(pfwee1-oo_.endo_simul ~= 0))
+if any(any(pfwee_simul-oo_.endo_simul ~= 0))
     error('Error in perfect_foresight_with_expectation_errors')
 end
-
-% For the 2nd simulation, since the guess values are different, there are some
-% numerical differences
-if max(max(abs(pfwee2-oo_.endo_simul))) > 40*options_.dynatol.f
-    error('Error in perfect_foresight_with_expectation_errors + terminal_steady_state_as_guess_value')
-end

tests/deterministic_simulations/pfwee_learnt_in.mod

@@ -74,11 +74,7 @@ perfect_foresight_with_expectation_errors_setup(periods = 7);
 
 // First simulation with default options
 perfect_foresight_with_expectation_errors_solver;
-pfwee1 = oo_.endo_simul;
-
-// Second simulation with alternative guess values
-perfect_foresight_with_expectation_errors_solver(terminal_steady_state_as_guess_value);
-pfwee2 = oo_.endo_simul;
+pfwee_simul = oo_.endo_simul;
 
 // Now compute the solution by hand to verify the results
 
@@ -137,12 +133,6 @@ oo_.exo_simul = [ saved_exo; oo_.exo_simul ];
 
 % We should have strict equality with first pfwee simulation, because algorithm
 % and guess values are exactly the same.
-if any(any(pfwee1-oo_.endo_simul ~= 0))
+if any(any(pfwee_simul-oo_.endo_simul ~= 0))
     error('Error in perfect_foresight_with_expectation_errors')
 end
-
-% For the 2nd simulation, since the guess values are different, there are some
-% numerical differences
-if max(max(abs(pfwee2-oo_.endo_simul))) > 10*options_.dynatol.f
-    error('Error in perfect_foresight_with_expectation_errors + terminal_steady_state_as_guess_value')
-end