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Moved homotopic_steps function from extended_path.m to dynare/matlab subdirectory.

time-shift
Stéphane Adjemian (Charybdis) 2010-05-04 17:15:13 +02:00
parent 709a9304dd
commit f85b47e6ed
2 changed files with 66 additions and 69 deletions
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70
matlab/extended_path.m
View File

@ -83,7 +83,7 @@ norme = 0;
% Set verbose option
verbose = 0;
t = 0;
t = 0;
new_draw = 1;
while (t<=sample_size)
@ -142,72 +142,4 @@ while (t<=sample_size)
oo_.endo_simul(:,1:end-1) = oo_.endo_simul(:,2:end);
oo_.endo_simul(:,end) = oo_.steady_state;
end
end
function [info,number_of_calls] = homotopic_steps(tdx,positive_var_indx,shocks,init_weight,step,init,number_of_calls)
global oo_
number_of_calls = number_of_calls + 1;
max_number_of_calls = 50;
if number_of_calls>max_number_of_calls
info = NaN;
return
end
max_iter = 100;
weight = init_weight;
verbose = 0;
iter = 0;
time = 0;
reduce_step = 0;
while iter<=max_iter && weight<=1
iter = iter+1;
old_weight = weight;
weight = weight+step;
oo_.exo_simul(tdx,positive_var_indx) = weight*shocks+(1-weight);
if init
info = perfect_foresight_simulation(oo_.dr,oo_.steady_state);
else
info = perfect_foresight_simulation;
end
time = time+info.time;
if verbose
[iter,step]
[info.iterations.time,info.iterations.error]
end
if ~info.convergence
if verbose
disp('Reduce step size!')
end
reduce_step = 1;
break
else
if length(info.iterations.error)<5
if verbose
disp('Increase step size!')
end
step = step*1.5;
end
end
end
if reduce_step
step=step/1.5;
[info,number_of_calls] = homotopic_steps(tdx,positive_var_indx,shocks,old_weight,step,init,number_of_calls);
if ~isnan(info)
time = time+info.time;
return
else
return
end
end
if weight<1 && iter<max_iter
oo_.exo_simul(tdx,positive_var_indx) = shocks;
if init
info = perfect_foresight_simulation(oo_.dr,oo_.steady_state);
else
info = perfect_foresight_simulation;
end
info.time = info.time+time;
else
info.time = time;
end

65
matlab/homotopic_steps.m Normal file
View File

@ -0,0 +1,65 @@
function [info,number_of_calls] = homotopic_steps(tdx,positive_var_indx,shocks,init_weight,step,init,number_of_calls)
global oo_
number_of_calls = number_of_calls + 1;
max_number_of_calls = 50;
if number_of_calls>max_number_of_calls
info = NaN;
return
end
max_iter = 100;
weight = init_weight;
verbose = 0;
iter = 0;
time = 0;
reduce_step = 0;
while iter<=max_iter && weight<=1
iter = iter+1;
old_weight = weight;
weight = weight+step;
oo_.exo_simul(tdx,positive_var_indx) = weight*shocks+(1-weight);
if init
info = perfect_foresight_simulation(oo_.dr,oo_.steady_state);
else
info = perfect_foresight_simulation;
end
time = time+info.time;
if verbose
[iter,step]
[info.iterations.time,info.iterations.error]
end
if ~info.convergence
if verbose
disp('Reduce step size!')
end
reduce_step = 1;
break
else
if length(info.iterations.error)<5
if verbose
disp('Increase step size!')
end
step = step*1.5;
end
end
end
if reduce_step
step=step/1.5;
[info,number_of_calls] = homotopic_steps(tdx,positive_var_indx,shocks,old_weight,step,init,number_of_calls);
if ~isnan(info)
time = time+info.time;
return
else
return
end
end
if weight<1 && iter<max_iter
oo_.exo_simul(tdx,positive_var_indx) = shocks;
if init
info = perfect_foresight_simulation(oo_.dr,oo_.steady_state);
else
info = perfect_foresight_simulation;
end
info.time = info.time+time;
else
info.time = time;
end