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perfect_foresight_solver + homotopy + (marginal) linearization: store intermediate simulations 

First simulation before doing extrapolation is stored in several fields of
oo_.deterministic_simulation.sim1.

For marginal linearization, the second simulation used to compute the marginal
contribution is stored in oo_.deterministic_simulation.sim2.
dcontrib-log
Sébastien Villemot 2023-11-21 17:21:02 +01:00
parent b0197da05f
commit c6c6f4f549
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1 changed files with 19 additions and 1 deletions
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20
matlab/perfect-foresight-models/perfect_foresight_solver.m
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@ -150,6 +150,12 @@ if completed_share == 1
end
oo_.deterministic_simulation.status = true;
elseif options_.simul.homotopy_linearization_fallback && completed_share > 0
oo_.deterministic_simulation.sim1.endo_simul = endo_simul;
oo_.deterministic_simulation.sim1.exo_simul = exo_simul;
oo_.deterministic_simulation.sim1.steady_state = steady_state;
oo_.deterministic_simulation.sim1.exo_steady_state = exo_steady_state;
oo_.deterministic_simulation.sim1.homotopy_completion_share = completed_share;
oo_.endo_simul = endobase + (endo_simul - endobase)/completed_share;
if options_.simul.endval_steady
% The following is needed for the STEADY_STATE() operator to work properly,
@ -167,6 +173,12 @@ elseif options_.simul.homotopy_linearization_fallback && completed_share > 0
oo_.deterministic_simulation.status = true;
oo_.deterministic_simulation.homotopy_linearization = true;
elseif options_.simul.homotopy_marginal_linearization_fallback > 0 && completed_share > options_.simul.homotopy_marginal_linearization_fallback
oo_.deterministic_simulation.sim1.endo_simul = endo_simul;
oo_.deterministic_simulation.sim1.exo_simul = exo_simul;
oo_.deterministic_simulation.sim1.steady_state = steady_state;
oo_.deterministic_simulation.sim1.exo_steady_state = exo_steady_state;
oo_.deterministic_simulation.sim1.homotopy_completion_share = completed_share;
% Now compute extra simulation. First try using the first simulation as guess value.
extra_share = completed_share - options_.simul.homotopy_marginal_linearization_fallback;
if ~options_.noprint
@ -183,11 +195,17 @@ elseif options_.simul.homotopy_marginal_linearization_fallback > 0 && completed_
fprintf('The extra simulation for %.1f%% of the shock did not run when using the first simulation as a guess value. Now trying a full homotopy loop to get that extra simulation working\n\n', extra_share*100)
fprintf('%s\n\n', repmat('*', 1, 80))
end
[extra_completed_share, extra_endo_simul] = homotopy_loop(extra_share, endoorig, exoorig, endobase, exobase, initperiods, simperiods, lastperiods, recompute_final_steady_state, oo_.steady_state, oo_.exo_steady_state);
[extra_completed_share, extra_endo_simul, extra_exo_simul, extra_steady_state, extra_exo_steady_state] = homotopy_loop(extra_share, endoorig, exoorig, endobase, exobase, initperiods, simperiods, lastperiods, recompute_final_steady_state, oo_.steady_state, oo_.exo_steady_state);
extra_success = (extra_completed_share == extra_share);
end
extra_simul_time_elapsed = toc(extra_simul_time_counter);
if extra_success
oo_.deterministic_simulation.sim2.endo_simul = extra_endo_simul;
oo_.deterministic_simulation.sim2.exo_simul = extra_exo_simul;
oo_.deterministic_simulation.sim2.steady_state = extra_steady_state;
oo_.deterministic_simulation.sim2.exo_steady_state = extra_exo_steady_state;
oo_.deterministic_simulation.sim2.homotopy_completion_share = extra_share;
oo_.endo_simul = endo_simul + (endo_simul - extra_endo_simul)*(1-completed_share)/options_.simul.homotopy_marginal_linearization_fallback;
if options_.simul.endval_steady
% The following is needed for the STEADY_STATE() operator to work properly,