171 lines
4.7 KiB
Matlab
171 lines
4.7 KiB
Matlab
function [dr,info] = dyn_first_order_solver(jacobia,b,M_,dr,options,task)
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info = 0;
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dr.ghx = [];
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dr.ghu = [];
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klen = M_.maximum_endo_lag+M_.maximum_endo_lead+1;
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kstate = dr.kstate;
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kad = dr.kad;
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kae = dr.kae;
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nstatic = dr.nstatic;
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nfwrd = dr.nfwrd;
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npred = dr.npred;
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nboth = dr.nboth;
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order_var = dr.order_var;
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nd = size(kstate,1);
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lead_lag_incidence = M_.lead_lag_incidence;
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nz = nnz(lead_lag_incidence);
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sdyn = M_.endo_nbr - nstatic;
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[junk,cols_b,cols_j] = find(lead_lag_incidence(M_.maximum_endo_lag+1,...
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order_var));
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if nstatic > 0
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[Q,R] = qr(b(:,1:nstatic));
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aa = Q'*jacobia;
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else
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aa = jacobia;
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end
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k1 = find([1:klen] ~= M_.maximum_endo_lag+1);
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a = aa(:,nonzeros(lead_lag_incidence(k1,:)'));
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b(:,cols_b) = aa(:,cols_j);
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b10 = b(1:nstatic,1:nstatic);
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b11 = b(1:nstatic,nstatic+1:end);
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b2 = b(nstatic+1:end,nstatic+1:end);
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if any(isinf(a(:)))
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info = 1;
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return
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end
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% buildind D and E
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d = zeros(nd,nd) ;
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e = d ;
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k = find(kstate(:,2) >= M_.maximum_endo_lag+2 & kstate(:,3));
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d(1:sdyn,k) = a(nstatic+1:end,kstate(k,3)) ;
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k1 = find(kstate(:,2) == M_.maximum_endo_lag+2);
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e(1:sdyn,k1) = -b2(:,kstate(k1,1)-nstatic);
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k = find(kstate(:,2) <= M_.maximum_endo_lag+1 & kstate(:,4));
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e(1:sdyn,k) = -a(nstatic+1:end,kstate(k,4)) ;
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k2 = find(kstate(:,2) == M_.maximum_endo_lag+1);
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k2 = k2(~ismember(kstate(k2,1),kstate(k1,1)));
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d(1:sdyn,k2) = b2(:,kstate(k2,1)-nstatic);
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if ~isempty(kad)
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for j = 1:size(kad,1)
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d(sdyn+j,kad(j)) = 1 ;
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e(sdyn+j,kae(j)) = 1 ;
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end
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end
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% 1) if mjdgges.dll (or .mexw32 or ....) doesn't exit,
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% matlab/qz is added to the path. There exists now qz/mjdgges.m that
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% contains the calls to the old Sims code
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% 2) In global_initialization.m, if mjdgges.m is visible exist(...)==2,
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% this means that the DLL isn't avaiable and use_qzdiv is set to 1
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[err,ss,tt,w,sdim,dr.eigval,info1] = mjdgges(e,d,options.qz_criterium);
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mexErrCheck('mjdgges', err);
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if info1
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if info1 == -30
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info(1) = 7;
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else
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info(1) = 2;
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info(2) = info1;
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info(3) = size(e,2);
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end
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return
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end
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nba = nd-sdim;
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nyf = sum(kstate(:,2) > M_.maximum_endo_lag+1);
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if task == 1
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dr.rank = rank(w(1:nyf,nd-nyf+1:end));
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% Under Octave, eig(A,B) doesn't exist, and
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% lambda = qz(A,B) won't return infinite eigenvalues
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if ~exist('OCTAVE_VERSION')
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dr.eigval = eig(e,d);
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end
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return
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end
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if nba ~= nyf
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temp = sort(abs(dr.eigval));
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if nba > nyf
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temp = temp(nd-nba+1:nd-nyf)-1-options.qz_criterium;
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info(1) = 3;
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elseif nba < nyf;
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temp = temp(nd-nyf+1:nd-nba)-1-options.qz_criterium;
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info(1) = 4;
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end
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info(2) = temp'*temp;
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return
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end
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np = nd - nyf;
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n2 = np + 1;
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n3 = nyf;
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n4 = n3 + 1;
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% derivatives with respect to dynamic state variables
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% forward variables
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w1 =w(1:n3,n2:nd);
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if ~isscalar(w1) && (condest(w1) > 1e9);
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% condest() fails on a scalar under Octave
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info(1) = 5;
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info(2) = condest(w1);
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return;
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else
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gx = -w1'\w(n4:nd,n2:nd)';
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end
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% predetermined variables
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hx = w(1:n3,1:np)'*gx+w(n4:nd,1:np)';
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hx = (tt(1:np,1:np)*hx)\(ss(1:np,1:np)*hx);
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k1 = find(kstate(n4:nd,2) == M_.maximum_endo_lag+1);
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k2 = find(kstate(1:n3,2) == M_.maximum_endo_lag+2);
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dr.gx = gx;
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dr.ghx = [hx(k1,:); gx(k2(nboth+1:end),:)];
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%lead variables actually present in the model
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j3 = nonzeros(kstate(:,3));
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j4 = find(kstate(:,3));
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% derivatives with respect to exogenous variables
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if M_.exo_nbr
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fu = aa(:,nz+(1:M_.exo_nbr));
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a1 = b;
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aa1 = [];
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if nstatic > 0
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aa1 = a1(:,1:nstatic);
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end
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dr.ghu = -[aa1 a(:,j3)*gx(j4,1:npred)+a1(:,nstatic+1:nstatic+ ...
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npred) a1(:,nstatic+npred+1:end)]\fu;
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else
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dr.ghu = [];
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end
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% static variables
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if nstatic > 0
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temp = -a(1:nstatic,j3)*gx(j4,:)*hx;
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j5 = find(kstate(n4:nd,4));
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temp(:,j5) = temp(:,j5)-a(1:nstatic,nonzeros(kstate(:,4)));
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temp = b10\(temp-b11*dr.ghx);
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dr.ghx = [temp; dr.ghx];
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temp = [];
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end
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if options.use_qzdiv
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%% Necessary when using Sims' routines for QZ
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gx = real(gx);
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hx = real(hx);
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dr.ghx = real(dr.ghx);
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dr.ghu = real(dr.ghu);
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end
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dr.Gy = hx; |