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Merge branch 'master' into 'master' 

occbin fixes and two small new features

See merge request Dynare/dynare!1883
trust-region-mex
Sébastien Villemot 2021-07-21 18:21:16 +00:00
parent 8881f0ecf9 4caebd76c9
commit dc45ac6361
8 changed files with 84 additions and 32 deletions
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4
matlab/+occbin/kalman_update_algo_1.m
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@ -194,7 +194,9 @@ if any(myregime) || ~isequal(regimes_(1),regimes0(1))
else
opts_simul.endo_init = alphahat(oo_.dr.inv_order_var,1);
end
% opts_simul.init_regime=regimes_(1);
if not(options_.occbin.filter.use_relaxation)
opts_simul.init_regime=regimes_(1);
end
if M_.occbin.constraint_nbr==1
myregimestart = [regimes_.regimestart];
else

18
matlab/+occbin/kalman_update_algo_3.m
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@ -128,7 +128,7 @@ if M_.occbin.constraint_nbr==1
else
myregime = [regimes_.regime1 regimes_.regime2];
end
regime_hist = {regimes0};
regime_hist = {regimes0(1)};
if M_.occbin.constraint_nbr==1
regime_end = regimes0(1).regimestart(end);
end
@ -180,7 +180,7 @@ if any(myregime) || ~isequal(regimes_(1),regimes0(1))
CC(:,2)=ss.C(my_order_var,1);
end
newguess=0;
regime_hist(niter) = {regimes_};
regime_hist(niter) = {regimes_(1)};
if M_.occbin.constraint_nbr==1
regime_end(niter) = regimes_(1).regimestart(end);
end
@ -199,7 +199,9 @@ if any(myregime) || ~isequal(regimes_(1),regimes0(1))
opts_simul.endo_init = alphahat(oo_.dr.inv_order_var,1);
end
% end
% opts_simul.init_regime=regimes_(1); %% why don't we use this ???
if not(options_.occbin.filter.use_relaxation)
opts_simul.init_regime=regimes_(1);
end
if M_.occbin.constraint_nbr==1
myregimestart = [regimes_.regimestart];
else
@ -212,7 +214,7 @@ if any(myregime) || ~isequal(regimes_(1),regimes0(1))
regimes_ = out.regime_history;
if niter>1
for kiter=1:niter-1
is_periodic(kiter) = isequal(regime_hist{kiter}, regimes_);
is_periodic(kiter) = isequal(regime_hist{kiter}, regimes_(1));
end
is_periodic = any(is_periodic);
if is_periodic
@ -288,7 +290,13 @@ if error_flag==0 && niter>options_.occbin.likelihood.max_number_of_iterations &&
CC(:,2) = CCx(:,end);
[a, a1, P, P1, v, Fi, Ki, alphahat, etahat] = occbin_kalman_update(a,a1,P,P1,data_index,Z,v,Y,H,QQQ,TT,RR,CC,Ki,Fi,mm,kalman_tol);
opts_simul.SHOCKS(1,:) = etahat(:,2)';
opts_simul.endo_init = alphahat(oo_.dr.inv_order_var,1);
if occbin_options.opts_algo.restrict_state_space
tmp=zeros(M_.endo_nbr,1);
tmp(oo_.dr.restrict_var_list,1)=alphahat(:,1);
opts_simul.endo_init = tmp(oo_.dr.inv_order_var,1);
else
opts_simul.endo_init = alphahat(oo_.dr.inv_order_var,1);
end
if M_.occbin.constraint_nbr==1
myregimestart = [regimes_.regimestart];
else

2
matlab/+occbin/set_default_options.m
View File

@ -160,6 +160,7 @@ if ismember(flag,{'shock_decomp','all'})
end
if ismember(flag,{'simul','all'})
options_occbin_.simul.algo_truncation = 1;
options_occbin_.simul.debug = false;
options_occbin_.simul.curb_retrench=false;
options_occbin_.simul.endo_init=zeros(M_.endo_nbr,1);
@ -174,6 +175,7 @@ if ismember(flag,{'simul','all'})
options_occbin_.simul.check_ahead_periods=200;
options_occbin_.simul.periodic_solution=true;
options_occbin_.simul.piecewise_only = false;
options_occbin_.simul.reset_regime_in_new_period = false;
options_occbin_.simul.restrict_state_space=false;
options_occbin_.simul.SHOCKS=zeros(1,M_.exo_nbr);
options_occbin_.simul.waitbar=true;

35
matlab/+occbin/solve_one_constraint.m
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@ -163,6 +163,15 @@ for shock_period = 1:n_shocks_periods
% get the hypothesized piece wise linear solution
if shock_period==1 || shock_period>1 && any(data.shocks_sequence(shock_period,:))
if iter==1 && opts_simul_.reset_regime_in_new_period
binding_indicator=false(size(binding_indicator));
binding_indicator_history{iter}=binding_indicator;
% analyse violvec and isolate contiguous periods in the other regime.
[regime, regime_start, error_code_period]=occbin.map_regime(binding_indicator,opts_simul_.debug);
regime_history(shock_period).regime = regime;
regime_history(shock_period).regimestart = regime_start;
end
[zdatalinear_, SS_out.T(:,:,shock_period), SS_out.R(:,:,shock_period), SS_out.C(:,shock_period), SS, update_flag]=occbin.mkdatap_anticipated_dyn(nperiods_0,DM,...
regime_start(end)-1,binding_indicator,...
data.exo_pos,data.shocks_sequence(shock_period,:),endo_init,update_flag);
@ -243,22 +252,26 @@ for shock_period = 1:n_shocks_periods
end
if regime_change_this_iteration ==1 && max_iter>1
disp_verbose(['occbin solver:: period ' int2str(shock_period) '::'],opts_simul_.debug)
if is_periodic
disp_verbose('Occbin solver loops between two regimes.',opts_simul_.debug)
if periodic_solution
disp_verbose(['Max error:' num2str(merr) '.'],opts_simul_.debug)
if regime_change_this_iteration ==1
if max_iter>opts_simul_.algo_truncation
disp_verbose(['occbin solver:: period ' int2str(shock_period) '::'],opts_simul_.debug)
if is_periodic
disp_verbose('Occbin solver loops between two regimes.',opts_simul_.debug)
if periodic_solution
disp_verbose(['Max error:' num2str(merr) '.'],opts_simul_.debug)
else
if opts_simul_.waitbar; dyn_waitbar_close(hh); end
error_flag = 310;
return
end
else
disp_verbose('Did not converge -- increase maxit.',opts_simul_.debug)
if opts_simul_.waitbar; dyn_waitbar_close(hh); end
error_flag = 310;
error_flag = 311;
return
end
else
disp_verbose('Did not converge -- increase maxit.',opts_simul_.debug)
if opts_simul_.waitbar; dyn_waitbar_close(hh); end
error_flag = 311;
return
binding_indicator = binding_indicator_history{end};
end
end
if any(error_code_period)

43
matlab/+occbin/solve_two_constraints.m
View File

@ -70,11 +70,11 @@ if solve_DM %recompute solution matrices
[DM.Cbarmat ,DM.Bbarmat, DM.Abarmat, DM.Jbarmat] = occbin.get_deriv(M00_,data.ys);
M10_ = M00_;
M10_.params(strmatch(M_.params(M_.occbin.pswitch(1)),M00_.param_names,'exact'))= 1;
M10_.params(M_.occbin.pswitch(1))= 1;
[DM.Cbarmat10, DM.Bbarmat10, DM.Abarmat10, DM.Jbarmat10, DM.Dbarmat10] = occbin.get_deriv(M10_,data.ys);
M01_ = M00_;
M01_.params(strmatch(M_.params(M_.occbin.pswitch(2)),M00_.param_names,'exact'))= 1;
M01_.params(M_.occbin.pswitch(2))= 1;
[DM.Cbarmat01, DM.Bbarmat01, DM.Abarmat01, DM.Jbarmat01, DM.Dbarmat01] = occbin.get_deriv(M01_,data.ys);
M11_ = M00_;
@ -177,6 +177,17 @@ for shock_period = 1:n_shocks_periods
regime_history(shock_period).regime2 = regime_2;
regime_history(shock_period).regimestart2 = regime_start_2;
if shock_period==1 || shock_period>1 && any(data.shocks_sequence(shock_period,:)) % first period or shock happening
if iter==1 && opts_simul_.reset_regime_in_new_period
binding_indicator=false(size(binding_indicator));
binding_indicator_history{iter}=binding_indicator;
% analyse violvec and isolate contiguous periods in the other regime.
[regime_1, regime_start_1, error_code_period(1)]=occbin.map_regime(binding_indicator(:,1),opts_simul_.debug);
regime_history(shock_period).regime1 = regime_1;
regime_history(shock_period).regimestart1 = regime_start_1;
[regime_2, regime_start_2, error_code_period(2)]=occbin.map_regime(binding_indicator(:,2),opts_simul_.debug);
regime_history(shock_period).regime2 = regime_2;
regime_history(shock_period).regimestart2 = regime_start_2;
end
Tmax=max([regime_start_1(end) regime_start_2(end)])-1;
[zdatalinear_, SS_out.T(:,:,shock_period), SS_out.R(:,:,shock_period), SS_out.C(:,shock_period), SS, update_flag]=occbin.mkdatap_anticipated_2constraints_dyn(nperiods_0,...
DM,Tmax,...
@ -271,22 +282,28 @@ for shock_period = 1:n_shocks_periods
binding_indicator_history{iter}=binding_indicator;
end
end
if regime_change_this_iteration && max_iter>1
disp_verbose(['occbin solver: period ' int2str(shock_period) ':'],opts_simul_.debug)
if is_periodic
disp_verbose('Occbin solver loops between two regimes.',opts_simul_.debug)
if periodic_solution
disp_verbose(['Max error:' num2str(min_err) '.'],opts_simul_.debug)
if regime_change_this_iteration
if max_iter>opts_simul_.algo_truncation
disp_verbose(['occbin solver: period ' int2str(shock_period) ':'],opts_simul_.debug)
if is_periodic
disp_verbose('Occbin solver loops between two regimes.',opts_simul_.debug)
if periodic_solution
disp_verbose(['Max error:' num2str(min_err) '.'],opts_simul_.debug)
else
error_flag = 310;
if opts_simul_.waitbar; dyn_waitbar_close(hh); end
return;
end
else
error_flag = 310;
disp_verbose('Did not converge -- increase maxit.',opts_simul_.debug)
error_flag = 311;
if opts_simul_.waitbar; dyn_waitbar_close(hh); end
return;
end
else
disp_verbose('Did not converge -- increase maxit.',opts_simul_.debug)
error_flag = 311;
if opts_simul_.waitbar; dyn_waitbar_close(hh); end
return;
% if max_iter <= truncation, we force indicator to equal the
% last guess
binding_indicator = binding_indicator_history{end};
end
end
if any(error_code_period)

4
matlab/+occbin/write_regimes_to_xls.m
View File

@ -35,14 +35,14 @@ end
xls_filename = options_.occbin.write_regimes.filename;
if isfield(regime_history,'regime')
Header = {'time', 'regime sequence', 'starting period of regime'};
Header = {'time', 'regime_sequence', 'starting_period_of_regime'};
for tp=1:length(T)
xlsmat{tp,1}=T(tp);
xlsmat{tp,2}=int2str(regime_history(tp).regime);
xlsmat{tp,3}=int2str(regime_history(tp).regimestart);
end
else
Header = {'time', 'regime sequence 1', 'starting period of regime 1', 'regime sequence 2', 'starting period of regime 2'};
Header = {'time', 'regime_sequence_1', 'starting_period_of_regime_1', 'regime_sequence_2', 'starting_period_of_regime_2'};
for tp=1:length(T)
xlsmat{tp,1}=T(tp);
xlsmat{tp,2}=int2str(regime_history(tp).regime1);

3
matlab/DsgeSmoother.m
View File

@ -366,6 +366,7 @@ else
if options_.occbin.smoother.status
% reconstruct occbin smoother
if length_varargin>0
% sequence of regimes is provided in input
isoccbin=1;
else
isoccbin=0;
@ -431,6 +432,8 @@ else
bbb(oo_.dr.inv_order_var,k) = out.zpiece(1,:);
end
end
% do not overwrite accurate computations using reduced st. space
bbb(oo_.dr.restrict_var_list,:)=ahat;
ahat0=ahat;
ahat=bbb;
if ~isempty(P)

7
matlab/missing_DiffuseKalmanSmootherH3_Z.m
View File

@ -212,6 +212,13 @@ else
R0=R;
end
if ~isinf(occbin_options.first_period_occbin_update)
% initialize state matrices (otherwise they are set to 0 for
% t<first_period_occbin_update!)
TTT=repmat(T0,1,1,smpl+1);
RRR=repmat(R0,1,1,smpl+1);
CCC=repmat(zeros(length(T0),1),1,smpl+1);
end
end