59 lines
2.1 KiB
Matlab
59 lines
2.1 KiB
Matlab
function H = build_two_dim_hessian(sparse_indices, g2_v, neq, nvar)
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% Creates a 2D Hessian (equations in rows, pairs of variables in columns),
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% given the output from the sparse {static,dynamic}_g2.m
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%
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% – sparse_indices is typically equal to M_.{static,dynamic}_g2_sparse_indices
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% – g2_v is the vector of non zero values returned by {static,dynamic}_g2.m
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% – neq is the number of equations (equal to number of rows of the output matrix)
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% – nvar is the number of variables (the output matrix will have nvar² columns)
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% Copyright © 2024 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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% along with Dynare. If not, see <https://www.gnu.org/licenses/>.
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nnz = size(sparse_indices, 1);
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%% The g2_* arrays may be expanded if there are symmetric elements added
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g2_i = int32(zeros(nnz, 1));
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g2_j = int32(zeros(nnz, 1));
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next_sym_idx = nnz + 1; % Index of next symmetric element to be added
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for k = 1:length(g2_v)
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eq = sparse_indices(k, 1);
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var1 = sparse_indices(k, 2)-1;
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var2 = sparse_indices(k, 3)-1;
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g2_i(k) = eq;
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g2_j(k) = var1 * nvar + var2 + 1;
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%% Add symmetric elements, which are not included by sparse {static,dynamic}_g2.m
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if var1 ~= var2
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g2_i(next_sym_idx) = eq;
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g2_j(next_sym_idx) = var2 * nvar + var1 + 1;
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g2_v(next_sym_idx) = g2_v(k);
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next_sym_idx = next_sym_idx + 1;
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end
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end
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%% On MATLAB < R2020a, sparse() does not accept int32 indices
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if ~isoctave && matlab_ver_less_than('9.8')
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g2_i = double(g2_i);
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g2_j = double(g2_j);
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end
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H = sparse(g2_i, g2_j, g2_v, neq, nvar*nvar);
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