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Cleaning homotopy1. Removing globals from homotopy3. Now it returns 

last successful values when it fails
time-shift
Michel Juillard 2012-05-20 08:47:54 +02:00
parent 6b100d3dbe
commit d064db34ab
3 changed files with 54 additions and 40 deletions
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5
matlab/homotopy1.m
View File

@ -1,4 +1,4 @@
function [M,oo,info,last_values,ip,ix,ixd] = homotopy1(values, step_nbr, M, options, oo) function [M,oo,info,ip,ix,ixd] = homotopy1(values, step_nbr, M, options, oo)
% function homotopy1(values, step_nbr) % function homotopy1(values, step_nbr)
% %
% Implements homotopy (mode 1) for steady-state computation. % Implements homotopy (mode 1) for steady-state computation.
@ -23,7 +23,6 @@ function [M,oo,info,last_values,ip,ix,ixd] = homotopy1(values, step_nbr, M, opti
% OUTPUTS % OUTPUTS
% M struct of model parameters % M struct of model parameters
% oo struct of outputs % oo struct of outputs
% last_values last set of values fir which a solution was found
% ip index of parameters % ip index of parameters
% ix index of exogenous variables % ix index of exogenous variables
% ixp index of exogenous deterministic variables % ixp index of exogenous deterministic variables
@ -48,7 +47,6 @@ function [M,oo,info,last_values,ip,ix,ixd] = homotopy1(values, step_nbr, M, opti
% You should have received a copy of the GNU General Public License % You should have received a copy of the GNU General Public License
% along with Dynare. If not, see <http://www.gnu.org/licenses/>. % along with Dynare. If not, see <http://www.gnu.org/licenses/>.
last_values = [];
nv = size(values, 1); nv = size(values, 1);
ip = find(values(:,1) == 4); % Parameters ip = find(values(:,1) == 4); % Parameters
@ -96,7 +94,6 @@ for i=1:step_nbr+1
M.params = old_params; M.params = old_params;
oo.exo_steady_state = old_exo; oo.exo_steady_state = old_exo;
oo.exo_det_steady_state = old_exo_det; oo.exo_det_steady_state = old_exo_det;
last_values = points(:,i-1);
break break
end end
end end

77
matlab/homotopy3.m
View File

@ -1,4 +1,4 @@
function homotopy3(values, step_nbr) function [M,oo,info,ip,ix,ixd]=homotopy3(values, step_nbr, M, options, oo)
% function homotopy3(values, step_nbr) % function homotopy3(values, step_nbr)
% %
% Implements homotopy (mode 3) for steady-state computation. % Implements homotopy (mode 3) for steady-state computation.
@ -18,9 +18,17 @@ function homotopy3(values, step_nbr)
% Column 3 can contain NaNs, in which case previous % Column 3 can contain NaNs, in which case previous
% initialization of variable will be used as initial value. % initialization of variable will be used as initial value.
% step_nbr: maximum number of steps to try before aborting % step_nbr: maximum number of steps to try before aborting
% M struct of model parameters
% options struct of options
% oo struct of outputs
% %
% OUTPUTS % OUTPUTS
% none % M struct of model parameters
% oo struct of outputs
% info return status 0: OK, 1: failed
% ip index of parameters
% ix index of exogenous variables
% ixp index of exogenous deterministic variables
% %
% SPECIAL REQUIREMENTS % SPECIAL REQUIREMENTS
% none % none
@ -42,8 +50,7 @@ function homotopy3(values, step_nbr)
% You should have received a copy of the GNU General Public License % You should have received a copy of the GNU General Public License
% along with Dynare. If not, see <http://www.gnu.org/licenses/>. % along with Dynare. If not, see <http://www.gnu.org/licenses/>.
global M_ oo_ options_ info = [];
tol = 1e-8; tol = 1e-8;
nv = size(values,1); nv = size(values,1);
@ -58,41 +65,43 @@ end
% Construct vector of starting values, using previously initialized values % Construct vector of starting values, using previously initialized values
% when initial value has not been given in homotopy_setup block % when initial value has not been given in homotopy_setup block
oldvalues = values(:,3); last_values = values(:,3);
ipn = find(values(:,1) == 4 & isnan(oldvalues)); ipn = find(values(:,1) == 4 & isnan(last_values));
oldvalues(ipn) = M_.params(values(ipn, 2)); last_values(ipn) = M.params(values(ipn, 2));
ixn = find(values(:,1) == 1 & isnan(oldvalues)); ixn = find(values(:,1) == 1 & isnan(last_values));
oldvalues(ixn) = oo_.exo_steady_state(values(ixn, 2)); last_values(ixn) = oo.exo_steady_state(values(ixn, 2));
ixdn = find(values(:,1) == 2 & isnan(oldvalues)); ixdn = find(values(:,1) == 2 & isnan(last_values));
oldvalues(ixdn) = oo_.exo_det_steady_state(values(ixdn, 2)); last_values(ixdn) = oo.exo_det_steady_state(values(ixdn, 2));
targetvalues = values(:,4); targetvalues = values(:,4);
if min(abs(targetvalues - oldvalues)) < tol if min(abs(targetvalues - last_values)) < tol
error('HOMOTOPY mode 3: distance between initial and final values should be at least %e for all variables', tol) error('HOMOTOPY mode 3: distance between initial and final values should be at least %e for all variables', tol)
end end
iplus = find(targetvalues > oldvalues); iplus = find(targetvalues > last_values);
iminus = find(targetvalues < oldvalues); iminus = find(targetvalues < last_values);
curvalues = oldvalues; curvalues = last_values;
inc = (targetvalues-oldvalues)/2; inc = (targetvalues-last_values)/2;
kplus = []; kplus = [];
kminus = []; kminus = [];
last_values = [];
disp('HOMOTOPY mode 3: launching solver at initial point...') disp('HOMOTOPY mode 3: launching solver at initial point...')
iter = 1; iter = 1;
while iter < step_nbr while iter < step_nbr
M_.params(values(ip,2)) = curvalues(ip); M.params(values(ip,2)) = curvalues(ip);
oo_.exo_steady_state(values(ix,2)) = curvalues(ix); oo.exo_steady_state(values(ix,2)) = curvalues(ix);
oo_.exo_det_steady_state(values(ixd,2)) = curvalues(ixd); oo.exo_det_steady_state(values(ixd,2)) = curvalues(ixd);
old_ss = oo_.steady_state; old_ss = oo.steady_state;
try [steady_state,params,info] = steady_(M,options,oo);
oo_.steady_state = steady_(M_,options_,oo_); if info(1) == 0
oo.steady_state = steady_state;
M.params = params;
if length([kplus; kminus]) == nv if length([kplus; kminus]) == nv
return return
end end
@ -101,25 +110,33 @@ while iter < step_nbr
else else
disp('HOMOTOPY mode 3: successful step, now multiplying increment by 2...') disp('HOMOTOPY mode 3: successful step, now multiplying increment by 2...')
end end
oldvalues = curvalues; last_values = curvalues;
old_params = params;
old_exo_steady_state = oo.exo_steady_state;
old_exo_det_steady_state = oo.exo_det_steady_state;
inc = 2*inc; inc = 2*inc;
catch E elseif iter == 1
disp(E.message) error('HOMOTOPY mode 3: can''t solve the model at 1st iteration')
else
disp('HOMOTOPY mode 3: failed step, now dividing increment by 2...') disp('HOMOTOPY mode 3: failed step, now dividing increment by 2...')
inc = inc/2; inc = inc/2;
oo_.steady_state = old_ss; oo.steady_state = old_ss;
end end
curvalues = oldvalues + inc; curvalues = last_values + inc;
kplus = find(curvalues(iplus) >= targetvalues(iplus)); kplus = find(curvalues(iplus) >= targetvalues(iplus));
curvalues(iplus(kplus)) = targetvalues(iplus(kplus)); curvalues(iplus(kplus)) = targetvalues(iplus(kplus));
kminus = find(curvalues(iminus) <= targetvalues(iminus)); kminus = find(curvalues(iminus) <= targetvalues(iminus));
curvalues(iminus(kminus)) = targetvalues(iminus(kminus)); curvalues(iminus(kminus)) = targetvalues(iminus(kminus));
if max(abs(inc)) < tol if max(abs(inc)) < tol
error('HOMOTOPY mode 3: failed, increment has become too small') disp('HOMOTOPY mode 3: failed, increment has become too small')
M.params = old_params;
oo.exo_steady_state = old_exo_steady_state;
oo.exo_det_steady_state = old_exo_det_steady_state;
return
end end
iter = iter + 1; iter = iter + 1;
end end
error('HOMOTOPY mode 3: failed, maximum iterations reached') disp('HOMOTOPY mode 3: failed, maximum iterations reached')

12
matlab/steady.m
View File

@ -46,29 +46,29 @@ M_.Sigma_e = zeros(size(Sigma_e));
info = 0; info = 0;
switch options_.homotopy_mode switch options_.homotopy_mode
case 1 case 1
[M_,oo_,info,last_values,ip,ix,ixd] = homotopy1(options_.homotopy_values, options_.homotopy_steps,M_,options_,oo_); [M_,oo_,info,ip,ix,ixd] = homotopy1(options_.homotopy_values,options_.homotopy_steps,M_,options_,oo_);
case 2 case 2
homotopy2(options_.homotopy_values, options_.homotopy_steps); homotopy2(options_.homotopy_values, options_.homotopy_steps);
case 3 case 3
homotopy3(options_.homotopy_values, options_.homotopy_steps); [M_,oo_,info,ip,ix,ixd] = homotopy3(options_.homotopy_values,options_.homotopy_steps,M_,options_,oo_);
end end
if info(1) if info(1)
hv = options_.homotopy_values; hv = options_.homotopy_values;
disp(' ') disp(' ')
disp('WARNING: homotopy step was not comleted') disp('WARNING: homotopy step was not completed')
disp('The last values for which a solution was found are:') disp('The last values for which a solution was found are:')
for i=1:length(ip) for i=1:length(ip)
disp(sprintf('%12s %12.6f',M_.param_names(hv(ip(i),2),:), ... disp(sprintf('%12s %12.6f',M_.param_names(hv(ip(i),2),:), ...
last_values(ip(i)))) M_.params(hv(ip(i)))))
end end
for i=1:length(ix) for i=1:length(ix)
disp(sprintf('%12s %12.6f',M_.exo_names(hv(ix(i),2),:), ... disp(sprintf('%12s %12.6f',M_.exo_names(hv(ix(i),2),:), ...
last_values(ix(i)))) oo_.exo_steady_state(hv(ix(i)))))
end end
for i=1:length(ixd) for i=1:length(ixd)
disp(sprintf('%12s %12.6f',M_.exo_det_names(hv(ixd(i),2),:), ... disp(sprintf('%12s %12.6f',M_.exo_det_names(hv(ixd(i),2),:), ...
last_values(ixd(i)))) oo_.exo_det_steady_state(hv(ixd(i)))))
end end
if options_.homotopy_force_continue if options_.homotopy_force_continue