function [loss,vx,info,exit_flag]=osr_obj(x,i_params,i_var,weights) % objective function for optimal simple rules (OSR) % INPUTS % x vector values of the parameters % over which to optimize % i_params vector index of optimizing parameters in M_.params % i_var vector variables indices % weights vector weights in the OSRs % % OUTPUTS % loss scalar loss function returned to solver % vx vector variances of the endogenous variables % info vector info vector returned by resol % exit_flag scalar exit flag returned to solver % % SPECIAL REQUIREMENTS % none % Copyright (C) 2005-2013 Dynare Team % % This file is part of Dynare. % % Dynare is free software: you can redistribute it and/or modify % it under the terms of the GNU General Public License as published by % the Free Software Foundation, either version 3 of the License, or % (at your option) any later version. % % Dynare is distributed in the hope that it will be useful, % but WITHOUT ANY WARRANTY; without even the implied warranty of % MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the % GNU General Public License for more details. % % You should have received a copy of the GNU General Public License % along with Dynare. If not, see . global M_ oo_ options_ optimal_Q_ it_ % global ys_ Sigma_e_ endo_nbr exo_nbr optimal_Q_ it_ ykmin_ options_ junk = []; exit_flag = 1; vx = []; info=0; loss=[]; % set parameters of the policiy rule M_.params(i_params) = x; % don't change below until the part where the loss function is computed it_ = M_.maximum_lag+1; [dr,info,M_,options_,oo_] = resol(0,M_,options_,oo_); switch info(1) case 1 loss = 1e8; return case 2 loss = 1e8*min(1e3,info(2)); return case 3 loss = 1e8*min(1e3,info(2)); return case 4 loss = 1e8*min(1e3,info(2)); return case 5 loss = 1e8; return case 6 loss = 1e8*min(1e3,info(2)); return case 7 loss = 1e8*min(1e3); return case 8 loss = 1e8*min(1e3,info(2)); return case 9 loss = 1e8*min(1e3,info(2)); return case 20 loss = 1e8*min(1e3,info(2)); return otherwise if info(1)~=0 loss = 1e8; return; end end vx = get_variance_of_endogenous_variables(dr,i_var); loss = full(weights(:)'*vx(:));