For marginal linearization, an extra simulation is needed. This extra
simulation is first computed using the first simulation as guess value. If that
does not work, the present commits adds an additional attempt for computing
that extra simulation, using a full homotopy loop from the beginning.
As a consequence, the present commits puts the homotopy loop in a dedicated
function.
Only modify oo_ when the homotopy procedure is finished, now that oo_ is no
longer an input to perfect_foresight_solver_core.
By the way, fix the treatment of the exogenous steady state (it is now set
in a consistent way with the endogenous steady state, if the shock is not
simulated up to 100%).
Also fix the initial guess when doing a second attempt at recomputing the
terminal steady state and failing (in the absence of a permanent shock). It was
supposed to use the initial steady state as an initial guess for that second
attempt (through oo_.steady_state), but since that latter variable was modified
in the loop, it would actually correspond to the same initial guess as in the
first attempt.
The exogenous steady state vector was passed as a row-vector to
evaluate_steady_state, thus leading to an incorrectly-sized matrix passed to
bytecode when checking the steady state on the dynamic model (when different
from the static model).
– new option “endval_steady” to pf_setup command to recompute terminal
steady state in the homotopy loop
– new options “homotopy_linearization_fallback” and
“homotopy_marginal_linearization_fallback” to pf_solver and pfwee_solver
commands, to get an approximate solution when homotopy fails to go to 100%
– new options “homotopy_initial_step_size”, “homotopy_min_step_size”,
“homotopy_step_size_increase_success_count” and “homotopy_max_completion_share”
to pf_solver and pfwee_solver commands to fine tune the homotopy behaviour
– removed option “homotopy_alt_starting_point” to pf_solver command, not really
useful
– new options “steady_solve_algo”, “steady_tolf”, “steady_tolx”,
“steady_maxit”, “steady_markowitz” to pf_solver and pfwee_solver commands, to
control the computation of the terminal steady state (and remove the
equivalent options which previously had different names in pfwee_solver command)
They now only return what’s really their output (simulated paths, maximum
residual error…). This is a move towards a more functional programming style.
It is now supported by the MATLAB editor (as of R2022a).
The old ASCII notation is left in some files that we copy as-is from other
sources (e.g. in the contrib/ and m4/ subdirectories).
The particles submodule is not updated at this point, because it is in an
inconsistent state.
[skip ci]
Also adjust the periods in Simulated_time_series (output of the perfect
foresight solver in the workspace). Note that this dseries object contains the
observations for the initial condition (M_.orig_maximum_lag observations) and
for the terminal condition (M_.orig_maximum_lead observations).
See #1838.
Fix testsuite (wrong file name)
It constructs the stacked residuals and jacobian of the perfect foresight
problem.
It is an almost perfect replacement for the perfect_foresight_problem.m
routine, while being much more efficient.
Note however that the DLL never return complex numbers (it instead puts NaNs at
the place where there would have been complex). This may create problems for
some MOD files; the algorithms will need to be adapted to use a more
line-search method.