Moved homotopic_steps function from extended_path.m to dynare/matlab subdirectory.
parent
709a9304dd
commit
f85b47e6ed
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@ -143,71 +143,3 @@ while (t<=sample_size)
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oo_.endo_simul(:,end) = oo_.steady_state;
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end
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end
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function [info,number_of_calls] = homotopic_steps(tdx,positive_var_indx,shocks,init_weight,step,init,number_of_calls)
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global oo_
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number_of_calls = number_of_calls + 1;
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max_number_of_calls = 50;
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if number_of_calls>max_number_of_calls
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info = NaN;
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return
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end
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max_iter = 100;
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weight = init_weight;
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verbose = 0;
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iter = 0;
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time = 0;
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reduce_step = 0;
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while iter<=max_iter && weight<=1
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iter = iter+1;
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old_weight = weight;
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weight = weight+step;
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oo_.exo_simul(tdx,positive_var_indx) = weight*shocks+(1-weight);
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if init
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info = perfect_foresight_simulation(oo_.dr,oo_.steady_state);
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else
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info = perfect_foresight_simulation;
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end
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time = time+info.time;
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if verbose
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[iter,step]
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[info.iterations.time,info.iterations.error]
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end
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if ~info.convergence
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if verbose
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disp('Reduce step size!')
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end
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reduce_step = 1;
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break
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else
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if length(info.iterations.error)<5
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if verbose
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disp('Increase step size!')
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end
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step = step*1.5;
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end
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end
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end
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if reduce_step
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step=step/1.5;
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[info,number_of_calls] = homotopic_steps(tdx,positive_var_indx,shocks,old_weight,step,init,number_of_calls);
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if ~isnan(info)
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time = time+info.time;
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return
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else
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return
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end
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end
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if weight<1 && iter<max_iter
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oo_.exo_simul(tdx,positive_var_indx) = shocks;
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if init
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info = perfect_foresight_simulation(oo_.dr,oo_.steady_state);
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else
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info = perfect_foresight_simulation;
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end
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info.time = info.time+time;
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else
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info.time = time;
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end
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@ -0,0 +1,65 @@
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function [info,number_of_calls] = homotopic_steps(tdx,positive_var_indx,shocks,init_weight,step,init,number_of_calls)
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global oo_
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number_of_calls = number_of_calls + 1;
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max_number_of_calls = 50;
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if number_of_calls>max_number_of_calls
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info = NaN;
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return
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end
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max_iter = 100;
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weight = init_weight;
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verbose = 0;
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iter = 0;
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time = 0;
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reduce_step = 0;
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while iter<=max_iter && weight<=1
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iter = iter+1;
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old_weight = weight;
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weight = weight+step;
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oo_.exo_simul(tdx,positive_var_indx) = weight*shocks+(1-weight);
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if init
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info = perfect_foresight_simulation(oo_.dr,oo_.steady_state);
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else
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info = perfect_foresight_simulation;
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end
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time = time+info.time;
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if verbose
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[iter,step]
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[info.iterations.time,info.iterations.error]
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end
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if ~info.convergence
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if verbose
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disp('Reduce step size!')
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end
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reduce_step = 1;
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break
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else
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if length(info.iterations.error)<5
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if verbose
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disp('Increase step size!')
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end
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step = step*1.5;
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end
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end
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end
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if reduce_step
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step=step/1.5;
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[info,number_of_calls] = homotopic_steps(tdx,positive_var_indx,shocks,old_weight,step,init,number_of_calls);
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if ~isnan(info)
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time = time+info.time;
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return
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else
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return
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end
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end
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if weight<1 && iter<max_iter
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oo_.exo_simul(tdx,positive_var_indx) = shocks;
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if init
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info = perfect_foresight_simulation(oo_.dr,oo_.steady_state);
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else
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info = perfect_foresight_simulation;
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end
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info.time = info.time+time;
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else
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info.time = time;
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end
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