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accept periodic solution in simulations ONLY IF two regimes differ by one period, to avoid pathological solutions. 

We also do not check for periodicity when check ahead periods have been increased endogenously, again to avoid mis-identified periodicity.

Any other type of periodicity, is flagged as non-convergence with error code 313 (infinite loop of solutions).
unit-tests
Marco Ratto 2022-10-19 19:07:45 +02:00
parent 2ccd3d4a0e
commit d0150997f6
3 changed files with 86 additions and 12 deletions
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49
matlab/+occbin/solve_one_constraint.m
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@ -125,20 +125,24 @@ for shock_period = 1:n_shocks_periods
regime_change_this_iteration=true;
iter = 0;
nperiods_endogenously_increased = false;
guess_history_it = false;
if guess_history && (shock_period<=length(regime_history_guess)) %beyond guess regime history
guess_history_it = true;
end
is_periodic=false;
is_periodic_loop=false;
binding_indicator_history={};
max_err = NaN(max_iter,1);
regime_violates_constraint_in_expectation = false(max_iter,1);
while (regime_change_this_iteration && iter<max_iter && ~is_periodic)
while (regime_change_this_iteration && iter<max_iter && ~is_periodic && ~is_periodic_loop)
iter = iter +1;
if binding_indicator(end) && nperiods_0<opts_simul_.max_periods
binding_indicator = [binding_indicator; false ];
nperiods_0 = nperiods_0 + 1;
nperiods_endogenously_increased = true;
disp_verbose(['nperiods has been endogenously increased up to ' int2str(nperiods_0) '.'],opts_simul_.debug)
elseif nperiods_0>=opts_simul_.max_periods
% enforce endogenously increased nperiods to not violate max_periods
@ -201,6 +205,7 @@ for shock_period = 1:n_shocks_periods
err_relax = err.relax_constraint_1(relax.constraint_1(1:end_periods) & binding_indicator(1:end_periods));
max_err(iter) = max(abs([err_viol;err_relax]));
regime_change_this_iteration = true;
regime_violates_constraint_in_expectation(iter) = any(binding.constraint_1(1:end_periods) & ~binding_indicator(1:end_periods));
else
regime_change_this_iteration = false;
max_err(iter) = 0;
@ -220,16 +225,43 @@ for shock_period = 1:n_shocks_periods
binding_indicator= (binding_indicator | binding.constraint_1) & ~(binding_indicator & relax.constraint_1);
end
if iter>1 && regime_change_this_iteration
if iter>1 && regime_change_this_iteration && ~nperiods_endogenously_increased
% check for periodic solution only if nperiods is not
% increased endogenously
% first check for infinite loop
is_periodic_loop = false(iter-1,1);
for kiter=1:iter-1
vvv = [binding_indicator_history{kiter}; false(size(binding_indicator,1)- size(binding_indicator_history{kiter},1), 1)];
is_periodic(kiter) = isequal(vvv, binding_indicator);
if size(binding_indicator,1)== size(binding_indicator_history{kiter},1)
% vvv = [binding_indicator_history{kiter}; false(size(binding_indicator,1)- size(binding_indicator_history{kiter},1), 1)];
% is_periodic(kiter) = isequal(vvv, binding_indicator);
is_periodic_loop(kiter) = isequal(binding_indicator_history{kiter}, binding_indicator);
else
is_periodic_loop(kiter) = false;
end
end
is_periodic_loop_all =is_periodic_loop;
is_periodic_loop = any(is_periodic_loop);
% only accept periodicity where regimes differ by one
% period!
is_periodic = false(iter-1,1);
for kiter=iter-1
if size(binding_indicator,1)== size(binding_indicator_history{kiter},1)
% vvv = [binding_indicator_history{kiter}; false(size(binding_indicator,1)- size(binding_indicator_history{kiter},1), 1)];
% is_periodic(kiter) = isequal(vvv, binding_indicator);
is_periodic(kiter) = isequal(binding_indicator_history{kiter}, binding_indicator) && length(find(binding_indicator_history{iter}-binding_indicator))==1;
else
is_periodic(kiter)=false;
end
end
is_periodic_all =is_periodic;
is_periodic = any(is_periodic);
if is_periodic && periodic_solution
[merr,imerr]=min(max_err(find(is_periodic_all,1):end));
inx = find(is_periodic_all,1):iter;
inx1 = inx(find(~regime_violates_constraint_in_expectation(inx)));
if not(isempty(inx1))
inx=inx1;
end
[merr,imerr]=min(max_err(inx));
inx = inx(imerr);
binding_indicator=binding_indicator_history{inx};
if inx<iter
@ -281,9 +313,14 @@ for shock_period = 1:n_shocks_periods
return
end
else
if is_periodic_loop
disp_verbose('Did not converge -- infinite loop of regimes.',opts_simul_.debug)
error_flag = 313;
else
disp_verbose('Did not converge -- increase maxit.',opts_simul_.debug)
if opts_simul_.waitbar; dyn_waitbar_close(hh); end
error_flag = 311;
end
if opts_simul_.waitbar; dyn_waitbar_close(hh); end
return
end
else

47
matlab/+occbin/solve_two_constraints.m
View File

@ -133,20 +133,24 @@ for shock_period = 1:n_shocks_periods
dyn_waitbar(shock_period/n_shocks_periods, hh, sprintf('Period %u of %u', shock_period,n_shocks_periods));
end
regime_change_this_iteration=true;
nperiods_endogenously_increased = false;
iter = 0;
guess_history_it = false;
if guess_history && (shock_period<=length(regime_history_guess)) %beyond guess regime history
guess_history_it = true;
end
is_periodic=false;
is_periodic_loop=false;
binding_indicator_history={};
max_err = NaN(max_iter,1);
regime_violates_constraint_in_expectation = false(max_iter,1);
while (regime_change_this_iteration && iter<max_iter && ~is_periodic)
while (regime_change_this_iteration && iter<max_iter && ~is_periodic && ~is_periodic_loop)
iter = iter +1;
if any(binding_indicator(end,:)) && nperiods_0<opts_simul_.max_periods
binding_indicator = [binding_indicator; false(1,2)];
nperiods_0 = nperiods_0 + 1;
nperiods_endogenously_increased = true;
disp_verbose(['nperiods has been endogenously increased up to ' int2str(nperiods_0) '.'],opts_simul_.debug)
elseif nperiods_0>=opts_simul_.max_periods
% enforce endogenously increased nperiods to not violate max_periods
@ -248,17 +252,43 @@ for shock_period = 1:n_shocks_periods
end
binding_indicator = reshape(binding_indicator,nperiods_0+1,2);
if iter>1 && regime_change_this_iteration
is_periodic=false(1,iter-1);
if iter>1 && regime_change_this_iteration && ~nperiods_endogenously_increased
% check for periodic solution only if nperiods is not
% increased endogenously
% first check for infinite loop
is_periodic_loop = false(iter-1,1);
for kiter=1:iter-1
vvv = [binding_indicator_history{kiter}; false(size(binding_indicator,1)- size(binding_indicator_history{kiter},1), 2)];
is_periodic(kiter) = isequal(vvv, binding_indicator);
if size(binding_indicator,1)== size(binding_indicator_history{kiter},1)
% vvv = [binding_indicator_history{kiter}; false(size(binding_indicator,1)- size(binding_indicator_history{kiter},1), 1)];
% is_periodic(kiter) = isequal(vvv, binding_indicator);
is_periodic_loop(kiter) = isequal(binding_indicator_history{kiter}, binding_indicator);
else
is_periodic_loop(kiter) = false;
end
end
% is_periodic_loop_all =is_periodic_loop;
is_periodic_loop = any(is_periodic_loop);
% only accept periodicity where regimes differ by one
% period!
is_periodic=false(1,iter-1);
for kiter=iter-1
if size(binding_indicator,1)== size(binding_indicator_history{kiter},1)
% vvv = [binding_indicator_history{kiter}; false(size(binding_indicator,1)- size(binding_indicator_history{kiter},1), 1)];
% is_periodic(kiter) = isequal(vvv, binding_indicator);
is_periodic(kiter) = isequal(binding_indicator_history{kiter}, binding_indicator) && length(find(binding_indicator_history{iter}(:,1)-binding_indicator(:,1)))<=1 && length(find(binding_indicator_history{iter}(:,2)-binding_indicator(:,2)))<=1;
else
is_periodic(kiter)=false;
end
end
is_periodic_all = is_periodic;
is_periodic = any(is_periodic);
if is_periodic && periodic_solution
[min_err,index_min_err]=min(max_err(find(is_periodic_all,1):end));
inx = find(is_periodic_all,1):iter;
inx1 = inx(find(~regime_violates_constraint_in_expectation(inx)));
if not(isempty(inx1))
inx=inx1;
end
[min_err,index_min_err]=min(max_err(inx));
inx = inx(index_min_err);
binding_indicator=binding_indicator_history{inx}; %select regime history with same result, but smallest error
if inx<iter %update if needed
@ -312,8 +342,13 @@ for shock_period = 1:n_shocks_periods
return;
end
else
if is_periodic_loop
disp_verbose('Did not converge -- infinite loop of regimes.',opts_simul_.debug)
error_flag = 313;
else
disp_verbose('Did not converge -- increase maxit.',opts_simul_.debug)
error_flag = 311;
end
if opts_simul_.waitbar; dyn_waitbar_close(hh); end
return;
end

2
matlab/get_error_message.m
View File

@ -188,6 +188,8 @@ switch info(1)
message = 'Occbin: Simulation did not converge, increase maxit or check_ahead_periods.';
case 312
message = 'Occbin: Constraint(s) are binding at the end of the sample.';
case 313
message = 'Occbin: Simulation did not converge -- infinite loop of regimes';
case 320
message = 'Piecewise linear Kalman filter: There was a problem in obtaining the likelihood.';
case 401