8b5b7921f6
Improved solver for (S)EP.
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Use previous solution as an initial condition for the perfect foresight problem.
2016-05-24 17:28:24 +02:00
7d1d860a53
Fixed ep.init option.
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Initialization of the perfect foresight solver (in extended path) with
the solution of the first order approximation of the model was broken.
If the value of options_.ep.init is "true"" (1) then the solution of the
first order approximation is used as an initial guess for the newton
lilke solver. If the value of options_.ep.init is "false" (0) the solver
is initialized with the steady state.
2016-05-24 17:28:24 +02:00
dabdda0506
Fixed wrong definition of a logical variable.
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The second outputr returned by perfect_foresight_solver_core is the
max. abs. residual, not a dummy variable indicating success or failure
of the perfect foresight solver.
2016-05-24 17:28:24 +02:00
fbf2fae036
Changed option value for unscented integration nodes.
2016-05-24 17:28:24 +02:00
fdbd4fa7a7
Code factorization.
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- Added routines for initializing and setting shocks in EP.
- Added a specialized routine for doing Monte Carlo around EP.
2016-05-24 17:28:24 +02:00
3bbac629ed
Cosmetic change.
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Removed maximum_lead and maximum_lag in extended_path routines.
2016-05-24 17:28:24 +02:00
d74f315bfb
Fixed bug in (Stochastic) Extended Path algorithm.
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Innovations were not correctly passed to the non linear solver. Closes #1128 .
2016-05-24 17:28:24 +02:00
8958b7ef98
Cosmetic changes.
2016-05-24 17:28:24 +02:00
3a1f74d7a7
Fixed typo.
2016-05-24 17:28:24 +02:00
13ca15a278
Allow (S)EP with arbitrary sequence of innovations.
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The third input argument of extended_path Matlab/Octave's routine is the
sequence of shocks (T*n array, where n is the number of exogenous
variables and T is the size of the sample). If the third argument is
empty, the (stochastic) extended path is run with gaussian
innovations (this corresponds to the previous behaviour).
TODO:
- Fix the compatibility with ep.replic_nbr
- Check the 'calibrated' mode.
2016-05-24 17:28:24 +02:00
b60bd7b36b
Removed globals from extended_path routine.
2016-05-24 17:28:24 +02:00
8e3cb65258
Provide informative error message if EP is used with varexo_det
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Closes #875
2016-03-17 10:30:14 +01:00
f60945facc
fix copyright dates
2016-03-11 16:22:42 +01:00
d331cf5a7a
Fixed extended path.
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- Removed call to make_ex_,
- Fill oo_.exo_simul in extended path routine,
- Do not update oo_.exo_simul after the call to the extended path routine,
- Cosmetic change.
(cherry picked from commit 4791649524cc7876fc25d04a925f58a546a3a67d)
2016-03-05 16:24:14 +01:00
1bd2a1b1c2
ep: fixed return of solve_stochastic_perfect_foresight() and solve_stochastic_perfect_foresight_2()
2015-07-28 17:17:25 +02:00
c3c72192ac
small bug corrections
2015-07-27 16:52:36 +02:00
22eb824c6f
extended path: fixing bug
2015-07-27 14:31:42 +02:00
e8f318ff50
fixed problems in extended path
2015-07-23 14:27:55 +02:00
9b8077fc28
Merge branch 'master' into new_ep
2015-07-21 09:30:58 +02:00
c43cfb45a8
Fixed bug in Extended Path (added second argument to get_complementarity_condition).
2015-06-03 08:22:26 +02:00
3ef5bc2989
Merge branch 'master' into new_ep
2015-05-25 17:20:23 +02:00
f03839cf12
removed "global options_" in dynare_solve.m and made it an
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argument. Modified all calling functions.
2015-05-25 17:15:09 +02:00
a36fd53eff
fixing extended-path
2015-05-25 09:43:21 +02:00
a53385ea28
dynare_solve: fix initial check for models with complementarity conditions
2015-03-07 10:10:35 +01:00
0c1197c13f
extended_path: fixing bug when initializing with linear approximation,
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adding simple homotopy scheme (unfinished)
2015-03-04 09:43:14 +01:00
70173d4431
fixing bugs in extended_path
2015-02-22 21:56:42 +01:00
55ea2100c6
Merge branch 'master' into new_ep
2015-02-19 10:27:15 +01:00
ca83397d95
update copyright dates for files changed in 2015
2015-02-16 09:08:02 +01:00
6d25d05be4
adapt extended_path to changes in perfect_foresight
2015-02-14 18:29:11 +01:00
21f009a531
Merge branch 'master' into new_ep
2015-02-14 11:54:57 +01:00
9f7c1a9bc6
fixes to extended path
2015-02-11 22:23:21 +01:00
9c6e219990
new implementation for extended path
2015-02-06 12:36:09 +01:00
5ff129e52d
simplified extended_path.m.
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homotopy and variable sample length should be handled in the solvers.
2015-01-11 21:12:32 +01:00
da8f702429
removed parfor used for building the Jacobian
2015-01-11 21:12:32 +01:00
823477519c
Corrects the extended path when bytecode option is used
2014-12-19 14:53:23 +01:00
6d42861e19
extended-path: fixing bug when options_.initial_period is NaN
2014-08-12 18:59:56 +02:00
812a8c7637
extended_path: fixed bugs when model doesn't converge
2014-08-12 12:12:15 +02:00
21d40f6123
fixed minor bug in stochastic extended path
2014-06-21 10:06:01 +02:00
499967f9a1
adding an option to extended path to control homotopic steps and
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continue in case of failed case
2014-06-16 14:25:23 +02:00
6f9720ff84
removing debug code
2014-06-16 14:24:05 +02:00
a7ec5c7258
extended_path: adding missing files
2014-05-18 21:49:52 +02:00
a39d94409f
adding lmmcp as solver for extended path
2014-05-18 21:49:52 +02:00
23134353e3
extended_path: update tests models; correct bugs introduced in
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previous commit
2014-05-12 14:17:19 +02:00
26f2b301b0
make extended path algorithm 1 as a self contained problem usable by dynare_solve
2014-05-12 10:18:43 +02:00
add594ab7e
updating extended_path
2014-05-12 09:40:12 +02:00
f5ae90bcc8
extended-path: changed homotopy so that integration nodes change
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too (only for for case 1)
2014-03-16 18:54:52 +01:00
8f06a3134d
added unscented nodes generator
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put nodes generators in setup_integration_nodes.m
added stochastic_solvers to homotopic_steps
2014-03-16 18:54:52 +01:00
e1308a8192
Fixed homotopy for stochastic extended path.
2014-02-21 12:12:40 +01:00
6efe62a3b2
Transposed the definition of the innovations in (stochastic) extended path routine, so that, for a given state of the random number generator, stochastic simulations obtained with extended_path and stoch_simul commands consider the same innovations (when the number of shocks is greater than one). Otherwise the stochastic simulations cannot be compared.
2013-12-17 22:49:37 +01:00
6cb18b34fb
Added the possibilty to set the initial condition of the (stochastic) extended path simulations with the histval block.
2013-12-11 16:43:15 +01:00
a51db32145
Copy the generated time series in a dseries object (called Simulated_time_series) in the Base workspace (extended_path).
2013-12-11 10:01:22 +01:00
1b57cb4a07
Copy the generated time series in Base workspace (extended_path).
2013-12-09 11:08:08 +01:00
cc0d9b42f0
Changed name of options_.maxit as options_.simul.maxit.
2013-10-09 13:06:06 +02:00
61485ab809
Fix copyright notices
2013-06-12 17:04:46 +02:00
ebf93d672f
stochastic extended path: additional changes
2013-03-12 09:36:58 +01:00
dd75baa9b4
stochastic extended path: new algorithm with leaner tree, new hybrid
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option using second order perturbation correction,
solve_stochastic_perfect_foresight_model.m moves to matlab/ep directory
2013-03-11 16:09:08 +01:00
f42446033c
Compute tensorial grid (based on a univariate gauss hermite quadrature) for future shocks by default.
2012-11-29 12:56:01 +01:00
5c0d387c4f
Cosmetic change. Changed the organization of options for (stochastic) extended path
2012-11-29 12:56:01 +01:00
63157949ca
Removed useless routine.
2012-11-29 12:56:00 +01:00
e9c552c436
Initialize pfm structure in a new routine (setup_stochastic_perfect_foresight_model_solver).
2012-11-29 12:56:00 +01:00
1f9cea669a
Update copyright notices
2012-06-08 18:22:34 +02:00
08b9d1c8b3
fix function name
2012-06-08 16:25:22 +02:00
75675d3677
Code simplification, do not pass endo_simul and exo_simul to bytecode through the global structure oo_.
2012-03-12 10:34:28 +01:00
d995234003
Fixed bugs.
2012-03-08 12:49:17 +01:00
d64817437e
now extended_path with order = 0 calls solve_perfect_foresight_model()
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and order ~= 0 solve_stochastic_perfect_foresight_model().
checking only first period of simulation for convergence when checking horizon
2012-03-05 12:35:55 +01:00
859335b34f
Fixed bug in extended path routine (appearing when some innovations have zero variance).
2012-03-04 22:12:58 +01:00
192b5c7113
Fixed bugs in routines related to the extended path algorithm.
2012-03-04 22:09:18 +01:00
bad8746e77
corrected bugs in extended path. The code works now with
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./tests/ep/linear.mod
2012-03-04 20:59:57 +01:00
3564eca525
new version of solve_stochastic_perfect_foresight_model; doesn't work yet
2012-02-11 14:59:51 +01:00
6c9eeec7e5
Removed codes related to stochastic extended path.
2012-02-10 19:05:50 +01:00
44b03e5f19
modifying extended-path for parallel toolbox
2012-02-07 16:31:57 +01:00
9dfc0d5c08
Added calls to matlab implementation of the perfect foresight solver in homotopic routine (extended path approach).
2012-02-04 18:52:03 +01:00
704b0c9659
Added an option specifying if the bytecode solver has to be used first.
2012-02-04 16:26:22 +01:00
8a35ee7363
Added an option to skip the test on the number of periods over which the perfect foresight models are solved.
2012-02-04 16:19:15 +01:00
43f46f2886
Removed stability test over the last periods of the perfect foresight solution.
2012-02-03 14:06:35 +01:00
7978070814
Fixed bug.
2012-02-03 12:52:37 +01:00
fed2e229e5
Try first Ferhat's code and if it fails try the matlab's implementation of the the perfect foresight model solver.
2012-02-03 12:39:48 +01:00
ac54f7f528
Added comments and the possibility to use a matlab implementation of the perfect foresight model solver.
2012-02-03 11:25:03 +01:00
6328a44f33
Streamlined extended paths routines.
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* Removed the necessity (for the user) to run stoch_simul bebore
executing the exetended path routine (when options_.init>0).
* The value of options_.ep.init defines the mix (used for the
initialization of the perfect foresight solver) between the previous
perfect foresight solution and the path obtained with an order one
perturbation approach.
* Removed timing related statements.
* Changed homotopy set-up for stochastic extended path: add future
multivariate innovations one by one.
* Endogeneously increase step_length in the homotopy routine.
* Removed homotopy_2 related code.
2012-01-27 18:27:42 +01:00
5e87dfcd0f
Prevent homotopy routine to enter in the second loop (doi not (re)start the homotopy from weight=0).
2012-01-23 13:59:25 +01:00
9abb2e9ff8
Adapted homotopy routine to SEP.
2012-01-23 13:57:30 +01:00
02d6987685
Fixed bug in EP algorithm.
2012-01-23 13:56:46 +01:00
62b1ed7923
correcting bug in extended path and added a test
2012-01-21 17:50:11 +01:00
692708859e
Fixed bug.
2012-01-21 14:40:27 +01:00
f63ce01859
Put debug and memory modes in options_.ep.
2012-01-21 14:13:31 +01:00
651c5e7fba
Fixed bug (wrong index variable).
2012-01-21 14:12:05 +01:00
0d8371c299
Added an option to track the expectation in the (S)EP approach.
2012-01-20 18:43:34 +01:00
58f4feb6ad
Cosmetic change + Added scramble mode (possibility to add noise in the future).
2012-01-20 16:40:17 +01:00
1ba89be300
Undo last commit#3dc015592c9da527f7d2ad218bc53422ac7edc83.
2012-01-11 17:10:24 +01:00
3dc015592c
Cosmetic change. Removed useless input argument to dyn_waitbar.
2012-01-11 16:08:24 +01:00
f074679f14
Code factorization. Use dyn_waitbar in extended_path routine.
2012-01-11 16:01:24 +01:00
29cf9c4113
Removed the display of the first lines of oo_.exo_simul (extended path simulations).
2011-12-26 17:46:48 +01:00
3e84e333b4
Changed verbosity options (fast deterministic simulations). Default is options_.verbosity==1.
2011-12-26 17:46:48 +01:00
ecfc5bbbc9
Removed nonsensic options (for the evaluation of the expectations).
2011-12-26 11:53:08 +01:00
e2f69ab4fc
Added arbitrary order of approximation for the Stochastic Extended Path approach.
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Default is that we only consider shocks in t+1 to approximate the expectations. If
options_.ep.stochastic.order is set to s>1, shocks in t+1, t+2, ..., t+s are
considered. Obviously the (tensorial) tree of future shocks is growing
exponentially.
Other numerical rules of integration have to be added...
2011-12-23 17:57:41 +01:00
744f3fd41b
Added Stochastic Extended Path method (SEP).
2011-12-19 18:04:54 +01:00
857eb7438f
Added provisions for future shocks (using Gaussian quadratures).
2011-12-16 11:42:03 +01:00
8fa4bfc160
Cosmetic change.
2011-12-16 11:42:03 +01:00
230e787b27
Fixed bug. The seed has to be set before the sampling of the structural innovations.
2011-12-16 11:42:03 +01:00
95fb57b4e9
Added waitbar for EP simulations.
2011-12-12 14:20:14 +01:00
Stéphane Adjemian (Charybdis)
Johannes Pfeifer
Houtan Bastani
Michel Juillard
ferhat
Sébastien Villemot
Sébastien Villemot
Houtan Bastani