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Perfect foresight homotopy: display duration of every iteration

kalman-mex
Sébastien Villemot 2023-10-11 14:58:16 -04:00
parent b4e2a0be48
commit f94e7ae9a6
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GPG Key ID: 2CECE9350ECEBE4A
1 changed files with 15 additions and 9 deletions
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24
matlab/perfect-foresight-models/perfect_foresight_solver.m
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@ -205,6 +205,8 @@ while step > options_.simul.homotopy_min_step_size
step = new_share - current_share;
end
iter_time_counter = tic;
steady_success = create_scenario(new_share);
if steady_success
@ -232,6 +234,8 @@ while step > options_.simul.homotopy_min_step_size
per_block_status = [];
end
iter_time_elapsed = toc(iter_time_counter);
if options_.no_homotopy || (iteration == 1 && success && new_share == 1)
% Skip homotopy
if success
@ -247,8 +251,8 @@ while step > options_.simul.homotopy_min_step_size
if ~options_.noprint
fprintf('\nEntering the homotopy method iterations...\n')
fprintf('\nIter. \t | Share \t | Status \t | Max. residual\n')
fprintf('++++++++++++++++++++++++++++++++++++++++++++++++++++++++\n')
fprintf('\nIter. \t | Share \t | Status \t | Max. residual\t | Duration (sec)\n')
fprintf('+++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++\n')
end
% Disable warnings if homotopy
@ -262,7 +266,7 @@ while step > options_.simul.homotopy_min_step_size
if success
% Successful step
if ~options_.noprint
fprintf('%i \t | %1.5f \t | %s \t | %e\n', iteration, new_share, 'succeeded', maxerror)
fprintf('%i \t | %1.5f \t | %s \t | %e \t | %.1f\n', iteration, new_share, 'succeeded', maxerror, iter_time_elapsed)
end
current_share = new_share;
if current_share >= options_.simul.homotopy_max_completion_share
@ -280,18 +284,18 @@ while step > options_.simul.homotopy_min_step_size
step = step / 2;
if ~options_.noprint
if ~steady_success
fprintf('%i \t | %1.5f \t | %s\n', iteration, new_share, 'failed (in endval steady)')
fprintf('%i \t | %1.5f \t | %s \t\t | %.1f\n', iteration, new_share, 'failed (in endval steady)', iter_time_elapsed)
elseif isreal(maxerror)
fprintf('%i \t | %1.5f \t | %s \t | %e\n', iteration, new_share, 'failed', maxerror)
fprintf('%i \t | %1.5f \t | %s \t | %e \t | %.1f\n', iteration, new_share, 'failed', maxerror, iter_time_elapsed)
else
fprintf('%i \t | %1.5f \t | %s \t | %s\n', iteration, new_share, 'failed', 'Complex')
fprintf('%i \t | %1.5f \t | %s \t | %s \t | %.1f\n', iteration, new_share, 'failed', 'Complex', iter_time_elapsed)
end
end
end
end
if did_homotopy && ~options_.noprint
fprintf('++++++++++++++++++++++++++++++++++++++++++++++++++++++++\n\n')
fprintf('+++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++\n\n')
end
%If simulated paths are complex, take real part and recompute the residuals to check whether this is actually a solution
@ -332,10 +336,12 @@ elseif options_.simul.homotopy_linearization_fallback && current_share > 0
elseif options_.simul.homotopy_marginal_linearization_fallback > 0 && current_share > options_.simul.homotopy_marginal_linearization_fallback
saved_endo_simul = oo_.endo_simul;
new_share = current_share - options_.simul.homotopy_marginal_linearization_fallback;
extra_simul_time_counter = tic;
new_success = create_scenario(new_share);
if new_success
[oo_.endo_simul, new_success] = perfect_foresight_solver_core(M_, options_, oo_);
end
extra_simul_time_elapsed = toc(extra_simul_time_counter);
if new_success
oo_.endo_simul = saved_endo_simul + (saved_endo_simul - oo_.endo_simul)*(1-current_share)/options_.simul.homotopy_marginal_linearization_fallback;
oo_.exo_simul = exoorig;
@ -348,11 +354,11 @@ elseif options_.simul.homotopy_marginal_linearization_fallback > 0 && current_sh
maxerror = recompute_maxerror(oo_.endo_simul, oo_, M_, options_);
if ~options_.noprint
fprintf('Perfect foresight solution found for %.1f%% of the shock, then extrapolation was performed using marginal linearization\n\n', current_share*100)
fprintf('Perfect foresight solution found for %.1f%% of the shock, then extrapolation was performed using marginal linearization (extra simulation took %.1f seconds)\n\n', current_share*100, extra_simul_time_elapsed)
end
oo_.deterministic_simulation.homotopy_marginal_linearization = true;
else
fprintf('perfect_foresight_solver: marginal linearization failed, unable to find solution for %.1f%% of the shock. Try to modify the value of homotopy_marginal_linearization_fallback option\n\n', new_share*100)
fprintf('perfect_foresight_solver: marginal linearization failed, unable to find solution for %.1f%% of the shock (extra simulation took %.1f seconds). Try to modify the value of homotopy_marginal_linearization_fallback option\n\n', new_share*100, extra_simul_time_elapsed)
end
oo_.deterministic_simulation.status = new_success;
else