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Update documentation on equation tags and LMMCP 

Also documents solve_algo=10
time-shift
Johannes Pfeifer 2016-05-28 18:00:38 +02:00
parent 06ed7ad83f
commit f5fd699149
1 changed files with 32 additions and 9 deletions
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@ -1812,7 +1812,7 @@ used outside. A model local variable declaration looks like:
It is possible to tag equations written in the model block. A tag can serve
different purposes by allowing the user to attach arbitrary informations to each
equation and to recover them at runtime. For instance, it is possible to name the
equations, using a syntax like:
equations with a @code{name}-tag, using a syntax like:
@example
mode;
...
@ -1821,9 +1821,20 @@ mode;
...
end;
@end example
If all the equations of a model are tagged with a name, the @code{resid} command
Here, @code{name} is the keyword indicating that the tag names the equation. If all the equations
of a model are tagged with a name, the @code{resid} command
will display the names of the equations (which may be more informative than the
equation numbers). More informations are available on the @uref{http://www.dynare.org/DynareWiki/EquationsTags, DynareWiki
equation numbers). Several tags for one equation can be separated using a comma.
@example
mode;
...
[name='Taylor rule',mcp = 'r > -1.94478']
r = rho*r(-1) + (1-rho)*(gpi*Infl+gy*YGap) + e;
...
end;
@end example
More information on tags is available on the @uref{http://www.dynare.org/DynareWiki/EquationsTags, DynareWiki
wiki}.
@ -2951,6 +2962,10 @@ option, @pxref{Model declaration})
@item 9
Trust-region algorithm on the entire model.
@item 10
Levenberg-Marquardt mixed complementarity problem (LMMCP) solver
(@cite{Kanzow and Petra 2004})
@end table
@noindent
@ -3587,6 +3602,9 @@ trigger the computation of the solution with a trust region algorithm.
@end table
@item solve_algo
@xref{qz_zero_threshold}. Allows selecting the solver used with @code{stack_solve_algo=7}.
@item no_homotopy
By default, the perfect foresight solver uses a homotopy technique if it cannot
solve the problem. Concretely, it divides the problem into smaller steps by
@ -3604,12 +3622,13 @@ solved, before using a constant set of operations for the remaining
periods. Only used when @code{stack_solve_algo = 5}. Default: @code{1}.
@item lmmcp
Solves the perfect foresight model with a mixed complementarity problem solver,
which allows to consider inequality constraints on the endogenous variables
Solves the perfect foresight model with a Levenberg-Marquardt mixed complementarity problem (LMMCP) solver
(@cite{Kanzow and Petra 2004}), which allows to consider inequality constraints on the endogenous variables
(such as a ZLB on the nominal interest rate or a model with irreversible
investment). This option is equivalent to @code{stack_solve_algo=7} @strong{and}
@code{solve_algo=10}. The inequality constraints on the endogenous variables
have to be specified with an equation tag @pxref{Model declaration}. For instance,
have to be specified with an equation tag @pxref{Model declaration}. The tag has to use
the @code{mcp} keyword. For instance,
a ZLB on the nominal interest rate would be specified as follows in the model block:
@example
model;
@ -3620,9 +3639,9 @@ model;
end;
@end example
where 1.94478 is the steady state level of the nominal interest rate and
@code{r} is the nominal interest rate in deviation to the steady state. In the
current implementation, the content of the equation tag is not parsed by the
preprocessor. The inequalities must be as simple as possible: an endogenous
@code{r} is the nominal interest rate in deviation from the steady state. In the
current implementation, the content of the @code{mcp} equation tag is not parsed by the
preprocessor. The inequalities must therefore be as simple as possible: an endogenous
variable, followed by a relational operator, followed by a number (not a
variable, parameter or expression). Note also that the constraint on an
endogenous variable must be associated to an equation and that the mixed
@ -13604,6 +13623,10 @@ Kim, Jinill and Sunghyun Kim (2003): ``Spurious welfare reversals in
international business cycle models,'' @i{Journal of International
Economics}, 60, 471--500
@item
Kanzow, Christian and Stefania Petra (2004): ``On a semismooth least squares formulation of
complementarity problems with gap reduction,'' @i{Optimization Methods and Software},19 507--525
@item
Kim, Jinill, Sunghyun Kim, Ernst Schaumburg, and Christopher A. Sims
(2008): ``Calculating and using second-order accurate solutions of