function [endogenousvariables, success, err, iter] = sim1_lbj(endogenousvariables, exogenousvariables, steadystate, M_, options_) % Performs deterministic simulations with lead or lag on one period using the historical LBJ algorithm % % INPUTS % ... % % OUTPUTS % endogenousvariables [matrix] All endogenous variables of the model % success [logical] Whether a solution was found % err [double] ∞-norm of Δendogenousvariables % iter [integer] Number of iterations % % ALGORITHM % Laffargue, Boucekkine, Juillard (LBJ) % see Juillard (1996) Dynare: A program for the resolution and % simulation of dynamic models with forward variables through the use % of a relaxation algorithm. CEPREMAP. Couverture Orange. 9602. % % SPECIAL REQUIREMENTS % None. % Copyright © 1996-2023 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 . lead_lag_incidence = M_.lead_lag_incidence; ny = size(endogenousvariables,1); nyp = nnz(lead_lag_incidence(1,:)); nyf = nnz(lead_lag_incidence(3,:)); nrs = ny+nyp+nyf+1; nrc = nyf+1; iyf = find(lead_lag_incidence(3,:)>0); iyp = find(lead_lag_incidence(1,:)>0); isp = 1:nyp; is = nyp+1:ny+nyp; isf = iyf+nyp; isf1 = nyp+ny+1:nyf+nyp+ny+1; success = false; iz = 1:ny+nyp+nyf; function [r, g1] = bytecode_wrapper(y, xpath, params, ys, it_) ypath = NaN(ny, 3); ypath(find(lead_lag_incidence')) = y; [r, s] = bytecode('dynamic', 'evaluate', M_, options_, ypath, xpath(it_+(-1:1), :), params, ys, 1); g1 = s.g1; end if options_.bytecode dynamicmodel = @bytecode_wrapper; else dynamicmodel = str2func(sprintf('%s.dynamic', M_.fname)); end verbose = options_.verbosity; if verbose printline(56) fprintf('MODEL SIMULATION :\n') end h1 = clock; for iter = 1:options_.simul.maxit h2 = clock; c = zeros(ny*options_.periods, nrc); it_ = M_.maximum_lag+1; z = [endogenousvariables(iyp,it_-1) ; endogenousvariables(:,it_) ; endogenousvariables(iyf,it_+1)]; [d1, jacobian] = dynamicmodel(z, exogenousvariables, M_.params, steadystate, it_); jacobian = [jacobian(:,iz), -d1]; ic = 1:ny; icp = iyp; c (ic,:) = jacobian(:,is)\jacobian(:,isf1); for it_ = M_.maximum_lag+(2:options_.periods) z = [endogenousvariables(iyp,it_-1) ; endogenousvariables(:,it_) ; endogenousvariables(iyf,it_+1)]; [d1, jacobian] = dynamicmodel(z, exogenousvariables, M_.params, steadystate, it_); jacobian = [jacobian(:,iz), -d1]; jacobian(:,[isf nrs]) = jacobian(:,[isf nrs])-jacobian(:,isp)*c(icp,:); ic = ic + ny; icp = icp + ny; c (ic,:) = jacobian(:,is)\jacobian(:,isf1); end c = back_subst_lbj(c, ny, iyf, options_.periods); endogenousvariables(:,M_.maximum_lag+(1:options_.periods)) = endogenousvariables(:,M_.maximum_lag+(1:options_.periods))+c; err = max(max(abs(c))); if verbose fprintf('Iter: %s,\t err. = %s, \t time = %s\n', num2str(iter), num2str(err), num2str(etime(clock, h2))); end if err < options_.dynatol.x success = true; % Convergency obtained. break end end if verbose fprintf('\nTotal time of simulation: %s\n', num2str(etime(clock,h1))) if success printline(56) else disp('Maximum number of iterations is reached (modify option maxit).') printline(62) end skipline() end end