50 lines
2.3 KiB
Matlab
50 lines
2.3 KiB
Matlab
function [cost, out] = cost_function(err_0, current_obs, weights, opts_simul,...
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M_, dr,endo_steady_state,exo_steady_state,exo_det_steady_state, options_)
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% [cost, out] = cost_function(err_0, current_obs, opts_simul,...
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% M_, dr,endo_steady_state,exo_steady_state,exo_det_steady_state, options_)
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% Outputs:
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% - cost [double] penalty
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% - out [structure] Occbin's results structure
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%
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% Inputs
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% - err_0 [double] value of shocks
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% - current_obs [double] [1 by n_obs] current value of observables
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% - weights [double] [1 by n_obs] variance of observables,
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% - opts_simul [structure] Structure with simulation options
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% used in cost function
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% - M_ [structure] Matlab's structure describing the model (M_).
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% - dr_ [structure] model information structure
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% - endo_steady_state [vector] steady state value for endogenous variables
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% - exo_steady_state [vector] steady state value for exogenous variables
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% - exo_det_steady_state [vector] steady state value for exogenous deterministic variables
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% - options_ [structure] Matlab's structure describing the current options (options_).
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% Copyright © 2023 Dynare Team
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%
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% This file is part of Dynare.
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%
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% Dynare is free software: you can redistribute it and/or modify
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% it under the terms of the GNU General Public License as published by
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% the Free Software Foundation, either version 3 of the License, or
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% (at your option) any later version.
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%
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% Dynare is distributed in the hope that it will be useful,
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% but WITHOUT ANY WARRANTY; without even the implied warranty of
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% MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the
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% GNU General Public License for more details.
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%
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% You should have received a copy of the GNU General Public License
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opts_simul.SHOCKS = err_0';
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options_.occbin.simul=opts_simul;
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options_.occbin.simul.full_output=1;
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options_.noprint = 1;
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[~, out] = occbin.solver(M_,options_,dr,endo_steady_state,exo_steady_state,exo_det_steady_state);
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cost = 0;
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if ~out.error_flag
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cost = mean((out.piecewise(1,opts_simul.varobs_id)'-current_obs').^2./weights);
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else
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cost = cost+1.e10;
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end |