function osr1(i_params,i_var,weights) % Compute the Optimal Simple Rules % INPUTS % i_params vector index of optimizing parameters in M_.params % i_var vector variables indices % weights vector weights in the OSRs % % 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_ it_ klen = M_.maximum_lag + M_.maximum_lead + 1; iyv = M_.lead_lag_incidence'; iyv = iyv(:); iyr0 = find(iyv) ; it_ = M_.maximum_lag + 1 ; if M_.exo_nbr == 0 oo_.exo_steady_state = [] ; end if ~ M_.lead_lag_incidence(M_.maximum_lag+1,:) > 0 error ('OSR: Error in model specification: some variables don''t appear as current') ; end if M_.maximum_lead == 0 error ('Backward or static model: no point in using OSR') ; end exe =zeros(M_.exo_nbr,1); oo_.dr = set_state_space(oo_.dr,M_,options_); np = size(i_params,1); t0 = M_.params(i_params); inv_order_var = oo_.dr.inv_order_var; H0 = 1e-4*eye(np); crit=options_.osr.tolf; nit=options_.osr.maxit; verbose=options_.osr.verbose; %% do initial checks [loss,vx,info,exit_flag]=osr_obj(t0,i_params,inv_order_var(i_var),weights(i_var,i_var)); if info~=0 print_info(info, options_.noprint, options_); else fprintf('\nOSR: Initial value of the objective function: %g \n\n',loss); end %%do actual optimization [f,p]=csminwel1('osr_obj',t0,H0,[],crit,nit,options_.gradient_method,options_.gradient_epsilon,i_params,... inv_order_var(i_var),weights(i_var,i_var)); oo_.osr.objective_function = f; % options = optimset('fminunc'); % options = optimset('display','iter'); % [p,f]=fminunc(@osr_obj,t0,options,i_params,... % inv_order_var(i_var),weights(i_var,i_var)); skipline() disp('OPTIMAL VALUE OF THE PARAMETERS:') skipline() for i=1:np disp(sprintf('%16s %16.6g\n',M_.param_names(i_params(i),:),p(i))) end disp(sprintf('Objective function : %16.6g\n',f)); skipline() [oo_.dr,info,M_,options_,oo_] = resol(0,M_,options_,oo_); % 05/10/03 MJ modified to work with osr.m and give full report