calib_obj

 targets and iy order: 1) variances 2) correlations 
 3) constraints on M_.Sigma_e itself 4) autocorrelations

0001 % targets and iy order: 1) variances 2) correlations
0002 % 3) constraints on M_.Sigma_e itself 4) autocorrelations
0003 function f=calib_obj(M_.Sigma_e,A,ghu1,ghx,ghu,targets,var_weights,iy,nar)
0004   global vx fold
0005   
0006   oo_.gamma_y = cell(nar+1,1);
0007 %  M_.Sigma_e = M_.Sigma_e'*M_.Sigma_e;
0008   M_.Sigma_e=diag(M_.Sigma_e);
0009   nx = size(ghx,2);
0010   b=ghu1*M_.Sigma_e*ghu1';
0011   vx = [];
0012   if isempty(vx)
0013     vx = lyapunov_symm(A,b);
0014   else
0015     [vx,status] = bicgstab(@f_var,b(:),vx(:),1e-8,50,A,nx);
0016     if status
0017       vx = lyapunov_symm(A,b);
0018     else
0019       vx=reshape(vx,nx,nx);
0020     end
0021   end
0022   oo_.gamma_y{1} = ghx*vx*ghx'+ ghu*M_.Sigma_e*ghu';
0023   f = 0;
0024   if ~isempty(targets{1})
0025     e = targets{1}-sqrt(oo_.gamma_y{1}(iy{1}));
0026     f = e'*(var_weights{1}.*e);
0027   end
0028 
0029   sy = sqrt(diag(oo_.gamma_y{1}));
0030   sy = sy *sy';
0031   if ~isempty(targets{2})
0032     e = targets{2}-oo_.gamma_y{1}(iy{2})./(sy(iy{2})+1e-10);
0033     f = f+e'*(var_weights{2}.*e);
0034   end
0035   
0036   if ~isempty(targets{3})
0037     e = targets{3}-sqrt(M_.Sigma_e(iy{3}));
0038     f = f+e'*(var_weights{3}.*e);
0039   end
0040   
0041   % autocorrelations
0042   if nar > 0
0043     vxy = (A*vx*ghx'+ghu1*M_.Sigma_e*ghu');
0044     
0045     oo_.gamma_y{2} = ghx*vxy./(sy+1e-10);
0046     if ~isempty(targets{4})
0047       e = targets{4}-oo_.gamma_y{2}(iy{4});
0048       f = f+e'*(var_weights{4}.*e);
0049     end
0050     
0051     for i=2:nar
0052       vxy = A*vxy;
0053       oo_.gamma_y{i+1} = ghx*vxy./(sy+1e-10);
0054       if ~isempty(targets{i+3})
0055     e = targets{i+3}-oo_.gamma_y{i+1}(iy{i+3});
0056     f = f+e'*(var_weights{i+3}.*e);
0057       end
0058     end
0059   end
0060   if isempty(fold) | f < 2*fold
0061     fold = f;
0062     vxold = vx;
0063   end
0064   % 11/04/02 MJ generalized for correlations, autocorrelations and
0065   %             constraints on M_.Sigma_e
0066   % 01/25/03 MJ targets std. dev. instead of variances
0067