188 lines
8.7 KiB
HTML
188 lines
8.7 KiB
HTML
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<title>Description of solve1</title>
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<div><a href="../index.html">Home</a> > <a href="index.html">.</a> > solve1.m</div>
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<!--<table width="100%"><tr><td align="left"><a href="../index.html"><img alt="<" border="0" src="../left.png"> Master index</a></td>
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<td align="right"><a href="index.html">Index for . <img alt=">" border="0" src="../right.png"></a></td></tr></table>-->
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<h1>solve1
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</h1>
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<h2><a name="_name"></a>PURPOSE <a href="#_top"><img alt="^" border="0" src="../up.png"></a></h2>
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<div class="box"><strong>Copyright (C) 2001 Michel Juillard</strong></div>
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<h2><a name="_synopsis"></a>SYNOPSIS <a href="#_top"><img alt="^" border="0" src="../up.png"></a></h2>
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<div class="box"><strong>function [x,check] = solve1(func,x,j1,j2,jacobian_flag,varargin) </strong></div>
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<h2><a name="_description"></a>DESCRIPTION <a href="#_top"><img alt="^" border="0" src="../up.png"></a></h2>
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<div class="fragment"><pre class="comment"> Copyright (C) 2001 Michel Juillard</pre></div>
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<!-- crossreference -->
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<h2><a name="_cross"></a>CROSS-REFERENCE INFORMATION <a href="#_top"><img alt="^" border="0" src="../up.png"></a></h2>
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This function calls:
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<ul style="list-style-image:url(../matlabicon.gif)">
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<li><a href="check.html" class="code" title="function result = check">check</a> Copyright (C) 2001 Michel Juillard</li><li><a href="lnsrch1.html" class="code" title="function [x,f,fvec,check]=lnsrch(xold,fold,g,p,stpmax,func,j1,j2,varargin)">lnsrch1</a> Copyright (C) 2001 Michel Juillard</li></ul>
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This function is called by:
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<ul style="list-style-image:url(../matlabicon.gif)">
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<li><a href="dynare_solve.html" class="code" title="function [x,cheik] = dynare_solve(func,x,jacobian_flag,varargin)">dynare_solve</a> Copyright (C) 2001 Michel Juillard</li></ul>
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<!-- crossreference -->
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<h2><a name="_source"></a>SOURCE CODE <a href="#_top"><img alt="^" border="0" src="../up.png"></a></h2>
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<div class="fragment"><pre>0001 <span class="comment">% Copyright (C) 2001 Michel Juillard</span>
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0002 <span class="comment">%</span>
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0003 <a name="_sub0" href="#_subfunctions" class="code">function [x,check] = solve1(func,x,j1,j2,jacobian_flag,varargin)</a>
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0004
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0005 <span class="keyword">global</span> M_ options_ fjac
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0006
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0007 nn = length(j1);
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0008 fjac = zeros(nn,nn) ;
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0009 g = zeros(nn,1) ;
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0010
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0011 tolf = eps^(2/3) ;
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0012 tolmin = 3.7e-11 ;
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0013 tolx = 3.7e-11 ;
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0014
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0015 stpmx = 100 ;
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0016 maxit = 2000 ;
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0017
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0018 <a href="check.html" class="code" title="function result = check">check</a> = 0 ;
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0019
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0020 fvec = feval(func,x,varargin{:});
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0021 fvec = fvec(j1);
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0022
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0023 i = find(~isfinite(fvec));
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0024
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0025 <span class="keyword">if</span> ~isempty(i)
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0026 disp([<span class="string">'STEADY: numerical initial values incompatible with the following'</span> <span class="keyword">...</span>
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0027 <span class="string">' equations'</span>])
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0028 disp(j1(i)')
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0029 <span class="keyword">end</span>
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0030
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0031 f = 0.5*fvec'*fvec ;
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0032
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0033 <span class="keyword">if</span> max(abs(fvec)) < 0.01*tolf
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0034 <span class="keyword">return</span> ;
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0035 <span class="keyword">end</span>
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0036
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0037 stpmax = stpmx*max([sqrt(x'*x);nn]) ;
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0038 first_time = 1;
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0039 <span class="keyword">for</span> its = 1:maxit
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0040 <span class="keyword">if</span> jacobian_flag
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0041 [fvec,fjac] = feval(func,x,varargin{:});
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0042 <span class="keyword">else</span>
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0043 fvec = feval(func,x,varargin{:});
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0044 dh = max(abs(x(j2)),options_.gstep*ones(nn,1))*eps^(1/3);
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0045
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0046 <span class="keyword">for</span> j = 1:nn
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0047 xdh = x ;
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0048 xdh(j2(j)) = xdh(j2(j))+dh(j) ;
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0049 t = feval(func,xdh,varargin{:});
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0050 fjac(:,j) = (t(j1) - fvec)./dh(j) ;
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0051 g(j) = fvec'*fjac(:,j) ;
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0052 <span class="keyword">end</span>
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0053 <span class="keyword">end</span>
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0054 fvec = fvec(j1);
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0055 fjac = fjac(j1,j2);
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0056 g = (fvec'*fjac)';
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0057 <span class="keyword">if</span> options_.debug
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0058 disp([<span class="string">'cond(fjac) '</span> num2str(cond(fjac))])
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0059 <span class="keyword">end</span>
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0060 M_.unit_root = 0;
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0061 <span class="keyword">if</span> M_.unit_root
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0062 <span class="keyword">if</span> first_time
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0063 first_time = 0;
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0064 [q,r,e]=qr(fjac);
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0065 n = sum(abs(diag(r)) < 1e-12);
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0066 fvec = q'*fvec;
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0067 p = e*[-r(1:end-n,1:end-n)\fvec(1:end-n);zeros(n,1)];
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0068 disp(<span class="string">' '</span>)
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0069 disp(<span class="string">'STEADY with unit roots:'</span>)
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0070 disp(<span class="string">' '</span>)
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0071 <span class="keyword">if</span> n > 0
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0072 disp([<span class="string">' The following variable(s) kept their value given in INITVAL'</span> <span class="keyword">...</span>
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0073 <span class="string">' or ENDVAL'</span>])
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0074 disp(char(e(:,end-n+1:end)'*M_.endo_names))
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0075 <span class="keyword">else</span>
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0076 disp(<span class="string">' STEADY can''t find any unit root!'</span>)
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0077 <span class="keyword">end</span>
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0078 <span class="keyword">else</span>
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0079 [q,r]=qr(fjac*e);
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0080 fvec = q'*fvec;
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0081 p = e*[-r(1:end-n,1:end-n)\fvec(1:end-n);zeros(n,1)];
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0082 <span class="keyword">end</span>
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0083 <span class="comment">% elseif cond(fjac) > 10*sqrt(eps)</span>
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0084 <span class="keyword">elseif</span> cond(fjac) > 1/sqrt(eps)
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0085 fjac2=fjac'*fjac;
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0086 p=-(fjac2+sqrt(nn*eps)*max(sum(abs(fjac2)))*eye(nn))\(fjac'*fvec);
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0087 <span class="keyword">else</span>
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0088 p = -fjac\fvec ;
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0089 <span class="keyword">end</span>
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0090 xold = x ;
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0091 fold = f ;
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0092
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0093 [x,f,fvec,<a href="check.html" class="code" title="function result = check">check</a>]=<a href="lnsrch1.html" class="code" title="function [x,f,fvec,check]=lnsrch(xold,fold,g,p,stpmax,func,j1,j2,varargin)">lnsrch1</a>(xold,fold,g,p,stpmax,func,j1,j2,varargin{:});
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0094
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0095 <span class="keyword">if</span> options_.debug
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0096 disp([its f])
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0097 disp([xold x])
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0098 <span class="keyword">end</span>
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0099
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0100 <span class="keyword">if</span> <a href="check.html" class="code" title="function result = check">check</a> > 0
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0101 den = max([f;0.5*nn]) ;
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0102 <span class="keyword">if</span> max(abs(g).*max([abs(x');ones(1,nn)])')/den < tolmin
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0103 <span class="keyword">return</span>
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0104 <span class="keyword">else</span>
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0105 disp (<span class="string">' '</span>)
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0106 disp ([<span class="string">'SOLVE: Iteration '</span> num2str(its)])
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0107 disp ([<span class="string">'Spurious convergence.'</span>])
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0108 disp (x)
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0109 <span class="keyword">return</span>
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0110 <span class="keyword">end</span>
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0111
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0112 <span class="keyword">if</span> max(abs(x-xold)./max([abs(x);ones(1,nn)])') < tolx
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0113 disp (<span class="string">' '</span>)
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0114 disp ([<span class="string">'SOLVE: Iteration '</span> num2str(its)])
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0115 disp ([<span class="string">'Convergence on dX.'</span>])
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0116 disp (x)
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0117 <span class="keyword">return</span>
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0118 <span class="keyword">end</span>
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0119 <span class="keyword">elseif</span> f < tolf
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0120 <span class="keyword">return</span>
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0121 <span class="keyword">end</span>
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0122 <span class="keyword">end</span>
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0123
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0124 <a href="check.html" class="code" title="function result = check">check</a> = 1;
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0125 disp(<span class="string">' '</span>)
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0126 disp(<span class="string">'SOLVE: maxit has been reached'</span>)
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0127
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0128 <span class="comment">% 01/14/01 MJ lnsearch is now a separate function</span>
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0129 <span class="comment">% 01/16/01 MJ added varargin to function evaluation</span>
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0130 <span class="comment">% 04/13/01 MJ added test f < tolf !!</span>
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0131 <span class="comment">% 05/11/01 MJ changed tests for 'check' so as to remove 'continue' which is</span>
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0132 <span class="comment">% an instruction which appears only in version 6</span>
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0133
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0134
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0135
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0136
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0137
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0138
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0139
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0140
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0141
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0142</pre></div>
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<hr><address>Generated on Fri 16-Jun-2006 09:09:06 by <strong><a href="http://www.artefact.tk/software/matlab/m2html/">m2html</a></strong> © 2003</address>
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