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optimal policy: bug correction in Lagrange multipliers elimination (mult_elimination.m)

time-shift
Michel Juillard 2010-05-08 10:10:19 +02:00
parent b903776e0c
commit f12c64cc84
1 changed files with 130 additions and 120 deletions
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22
matlab/mult_elimination.m
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@ -50,21 +50,26 @@ A11 = A1(nil,:);
A21 = A1(il,:);
A12 = A2(nil,:);
A22 = A2(il,:);
B1 = B(nil,:);
B2 = B(il,:);
[Q1,R1,E1] = qr(A2);
[Q1,R1,E1] = qr([A12; A22]);
n1 = sum(abs(diag(R1)) > 1e-8);
Q1_12 = Q1(1:nm_nbr,n1+1:end);
Q1_22 = Q1(nm_nbr+1:end,n1+1:end);
Q1_22 = Q1(nm_nbr+(1:m_nbr),n1+1:end);
[Q2,R2,E2] = qr(Q1_22');
n2 = sum(abs(diag(R2)) > 1e-8);
R2_1 = inv(R2(1:n2,1:n2));
M1(order_var,:) = AA1 - AA2*E2*[R2_1*Q2(:,1:n2)'*Q1_12'; zeros(m_nbr-n2,nm_nbr)];
M2(order_var,:) = AA2*E2*[R2_1*Q2(:,1:n2)'*[Q1_12' Q1_22']*A1; zeros(m_nbr-n2,length(nil))];
M3(order_var,:) = dr.ghu;
M4(order_var,:) = AA2*E2*[R2_1*Q2(:,1:n2)'*[Q1_12' Q1_22']*B; zeros(m_nbr-n2,size(B,2))];
M1 = AA1 - AA2*E2*[R2_1*Q2(:,1:n2)'*Q1_12'; zeros(m_nbr-n2,nm_nbr)];
M2 = AA2*E2*[R2_1*Q2(:,1:n2)'*[Q1_12' Q1_22']*[A11;A21]; zeros(m_nbr-n2,length(nil))];
M3 = dr.ghu;
M4 = AA2*E2*[R2_1*Q2(:,1:n2)'*[Q1_12' Q1_22']*[B1;B2]; zeros(m_nbr-n2,size(B,2))];
k1 = nstatic+(1:npred);
k1 = k1(nil);
endo_nbr = M_.orig_model.endo_nbr;
exo_nbr = M_.exo_nbr;
@ -118,3 +123,8 @@ if nvar > 0
disp(' ')
end
function x=varsol(a,b,c)
x = (kron(a,a)-kron(b,b))\c(:);
x = reshape(x,size(a,1),size(a,1));