328 lines
8.6 KiB
Matlab
328 lines
8.6 KiB
Matlab
% Copyright (C) 2001 Michel Juillard
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%
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function simk
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global M_ options_ oo_
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global c it_ iyr0 ct_ ncc broyden_
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func_name = [M_.fname '_static'];
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nk = M_.maximum_lag + M_.maximum_lead + 1 ;
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ny = size(M_.lead_lag_incidence,2) ;
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icc1 = M_.lead_lag_incidence(nk,:) > 0;
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for i = 1:M_.maximum_lead -1
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icc1 = [M_.lead_lag_incidence(nk-i,:) | icc1(1,:); icc1] ;
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end
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icc1 = find(icc1') ;
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iy = M_.lead_lag_incidence > 0 ;
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isc = cumsum(sum(iy',1))' ;
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iyr0 = find(M_.lead_lag_incidence') ;
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ncc1 = size(icc1,1) ;
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ncc = ncc1 + 1 ;
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ncs = size(iyr0,1) ;
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ky = zeros(ny,nk) ; % indices of variables at each lead or lag
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lky = zeros(nk,1) ;
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for i = 1:nk
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j = find(M_.lead_lag_incidence(i,:))' ;
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if isempty(j)
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lky(i) = 0;
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else
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lky(i) = size(j,1) ;
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ky(1:lky(i),i) = j ;
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end
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end
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jwc = find(iy(2:M_.maximum_lead+1,:)') ; % indices of columns for
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% triangularization
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% as many rows as lags in model
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if isempty(jwc)
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jwc = 0 ;
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ljwc = 0 ;
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temp = icc1 ;
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else
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ljwc = size(jwc,1) ; % length of each row in jwc
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temp = union(jwc,icc1) ; % prepares next iteration
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end
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j1 = ky(1:lky(1),1) ;
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lj1 = lky(1) ;
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for i = 2:M_.maximum_lag
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[j1,lj1] = ffill(j1,lj1,selif(temp+(i-1)*ny,temp <= ny)) ;
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if M_.maximum_lead == 1
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if lky(i+M_.maximum_lead) > 0
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[jwc,ljwc] = ffill(jwc,ljwc, ky(1:lky(i+M_.maximum_lead),i+M_.maximum_lead)+(M_.maximum_lead-1)*ny) ;
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if ljwc(i) == 0
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temp = icc1;
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else
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temp = union(jwc(1:ljwc(i),i),icc1) ;
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end
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else
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[jwc,ljwc] = ffill(jwc,ljwc,[]) ;
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temp = icc1 ;
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end
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else
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temp = temp(lj1(i)+1:size(temp,1),:) - ny ;
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if lky(i+M_.maximum_lead) > 0
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[jwc,ljwc] = ffill(jwc,ljwc,[temp;ky(1:lky(i+M_.maximum_lead),i+M_.maximum_lead)+(M_.maximum_lead-1)*ny]);
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else
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[jwc,ljwc] = ffill(jwc,ljwc,temp) ;
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end
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temp = union(jwc(1:ljwc(i),i),icc1) ;
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end
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end
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[j1,lj1] = ffill(j1,lj1,selif(temp+M_.maximum_lag*ny, temp <= ny)) ;
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ltemp = zeros(M_.maximum_lag,1) ;
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jwc1 = zeros(ncc1,M_.maximum_lag) ;
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for i = 1:M_.maximum_lag
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temp = union(jwc(1:ljwc(i),i),icc1) ;
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ltemp(i) = size(temp,1) ;
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if ljwc(i) > 0
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jwc(1:ljwc(i),i) = indnv(jwc(1:ljwc(i),i),temp) ;
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end
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jwc1(:,i) = indnv(icc1,temp) ;
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end
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h1 = clock ;
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disp (['-----------------------------------------------------']) ;
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disp ('MODEL SIMULATION') ;
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fprintf ('\n') ;
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for iter = 1:options_.maxit
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h2 = clock ;
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oo_.y_simul = oo_.y_simul(:);
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err_f = 0;
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fid = fopen('dynare.swp','w+') ;
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it_ = 1+M_.maximum_lag ;
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ic = [1:ny] ;
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iyr = iyr0 ;
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i = M_.maximum_lag+1 ;
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while (i>1) & (it_<=options_.periods+M_.maximum_lag)
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h3 = clock ;
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if broyden_ & iter > 1
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%d1_ = -feval(fh,oo_.y_simul(iyr));
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d1 = -feval([M_.fname '_dynamic'],oo_.y_simul(iyr),z,oo_.exo_simul);
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else
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%jacob(func_name,oo_.y_simul(iyr)) ;
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[d1,M_.jacobia] = feval([M_.fname '_dynamic'],oo_.y_simul(iyr),oo_.exo_simul);
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d1 = -d1 ;
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end
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err_f = max(err_f,max(abs(d1)));
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if lky(i) ~= 0
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j1i = ky(1:lky(i),i) ;
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w0 = M_.jacobia(:,isc(i-1)+1:isc(i)) ;
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else
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w0 = [];
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end
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ttemp = iy(i+1:i+M_.maximum_lead,:)' ;
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jwci = find(ttemp) ;
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if ~ isempty(jwci)
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w = M_.jacobia(:,isc(i)+1:isc(i+M_.maximum_lead)) ;
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end
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j = i ;
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while j <= M_.maximum_lag
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if ~isempty(w0)
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ofs = ((it_-M_.maximum_lag-M_.maximum_lag+j-2)*ny)*ncc*8 ;
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junk = fseek(fid,ofs,-1) ;
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c = fread(fid,[ncc,ny],'float64') ;
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c = c' ;
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if isempty(jwci)
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w = -w0*c(j1i,1:ncc1) ;
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jwci = icc1 ;
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else
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iz = union(jwci,icc1) ;
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ix = indnv(jwci,iz) ;
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iy__ = indnv(icc1,iz) ;
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temp = zeros(size(w,1),size(iz,1)) ;
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temp(:,ix) = w ;
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temp(:,iy__) = temp(:,iy__)-w0*c(j1i,1:ncc1) ;
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w = temp ;
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jwci = iz ;
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clear temp iz ix iy__ ;
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end
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d1 = d1-w0*c(j1i,ncc) ;
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clear c ;
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end
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j = j + 1 ;
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if isempty(jwci)
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j1i = [];
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if lky(j+M_.maximum_lead) ~= 0
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jwci = ky(1:lky(j+M_.maximum_lead),j+M_.maximum_lead) + (M_.maximum_lead-1)*ny ;
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w = M_.jacobia(:,isc(j+M_.maximum_lead-1)+1:isc(j+M_.maximum_lead)) ;
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else
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jwci = [] ;
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end
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else
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j1i = selif(jwci,jwci<(ny+1)) ;
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w0 = w(:,1:size(j1i,1)) ;
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if size(jwci,1) == size(j1i,1)
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if lky(j+M_.maximum_lead) ~= 0
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jwci = ky(1:lky(j+M_.maximum_lead),j+M_.maximum_lead)+(M_.maximum_lead-1)*ny ;
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w = M_.jacobia(:,isc(j+M_.maximum_lead-1)+1:isc(j+M_.maximum_lead)) ;
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else
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jwci = [] ;
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end
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else
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jwci = jwci(size(j1i,1)+1:size(jwci,1),:)-ny ;
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w = w(:,size(j1i,1)+1:size(w,2)) ;
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if lky(j+M_.maximum_lead) ~= 0
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jwci = [ jwci; ky(1: lky(j+M_.maximum_lead),j+M_.maximum_lead)+(M_.maximum_lead-1)*ny] ;
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w = [w M_.jacobia(:,isc(j+M_.maximum_lead-1)+1:isc(j+M_.maximum_lead))] ;
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% else
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% jwci = [] ;
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end
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end
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end
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end
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jwci = [indnv(jwci,icc1);ncc] ;
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w = [w d1] ;
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c = zeros(ny,ncc) ;
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c(:,jwci) = w0\w ;
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clear w w0 ;
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junk = fseek(fid,0,1) ;
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fwrite(fid,c','float64') ;
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clear c ;
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it_ = it_ + 1;
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ic = ic + ny ;
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iyr = iyr + ny ;
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i = i - 1 ;
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end
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icr0 = (it_-M_.maximum_lag-M_.maximum_lag -1)*ny ;
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while it_ <= options_.periods+M_.maximum_lag
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if broyden_
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%d1_ = -feval(fh,oo_.y_simul(iyr));
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d1 = -feval([M_.fname '_dynamic'],oo_.y_simul(iyr),z,oo_.exo_simul);
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else
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%jacob(func_name,oo_.y_simul(iyr)) ;
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[d1,M_.jacobia] = feval([M_.fname '_dynamic'],oo_.y_simul(iyr),oo_.exo_simul);
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d1 = -d1 ;
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end
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err_f = max(err_f,max(abs(d1)));
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w0 = M_.jacobia(:,1:isc(1)) ;
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w = M_.jacobia(:,isc(1)+1:isc(1+M_.maximum_lead)) ;
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j = 1 ;
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while j <= M_.maximum_lag
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icr = j1(1:lj1(j),j)-(j-1)*ny ;
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ofs = ((icr0+(j-1)*ny+1)-1)*ncc*8 ;
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junk = fseek(fid,ofs,-1) ;
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c = fread(fid,[ncc,ny],'float64') ;
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c = c' ;
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temp = zeros(ny,ltemp(j)) ;
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if ljwc(j) > 0
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temp(:,jwc(1:ljwc(j),j)) = w ;
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end
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temp(:,jwc1(:,j))=temp(:,jwc1(:,j))-w0*c(icr,1:ncc1) ;
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w = temp ;
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clear temp ;
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d1 = d1-w0*c(icr,ncc) ;
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clear c ;
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j = j + 1 ;
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w0 = w(:,1:lj1(j)) ;
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if M_.maximum_lead == 1
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w = M_.jacobia(:,isc(j+M_.maximum_lead-1)+1:isc(j+M_.maximum_lead)) ;
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else
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w = w(:,lj1(j)+1:size(w,2)) ;
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if lky(j+M_.maximum_lead) > 0
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w = [w M_.jacobia(:,isc(j+M_.maximum_lead-1)+1:isc(j+M_.maximum_lead))] ;
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end
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end
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end
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c = w0\[w d1] ;
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d1 = [] ;
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clear w w0 ;
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junk = fseek(fid,0,1) ;
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fwrite(fid,c','float64') ;
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clear c ;
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it_ = it_ + 1 ;
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ic = ic + ny ;
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iyr = iyr + ny ;
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icr0 = icr0 + ny ;
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end
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if ct_ == 1
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ofs = (((it_-M_.maximum_lag-2)*ny+1)-1)*ncc*8 ;
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junk = fseek(fid,ofs,-1) ;
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c = fread(fid,[ncc,ny],'float64') ;
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c = c' ;
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for i = 1:M_.maximum_lead
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w = tril(triu(ones(ny,ny+ncc1))) ;
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w(:,jwc1(:,M_.maximum_lag)) = w(:,jwc1(:,M_.maximum_lag))+c(:,1:ncc1) ;
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c = [w(:,ny+1:size(w,2))' c(:,ncc)]/w(:,1:ny) ;
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junk = fseek(fid,0,1) ;
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fwrite(fid,c','float64') ;
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it_ = it_+1 ;
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ic = ic + ny ;
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end
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end
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oo_.y_simul = reshape(oo_.y_simul,ny,options_.periods+M_.maximum_lag+M_.maximum_lead) ;
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if ct_ == 1
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hbacsup = clock ;
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c = bksupk(ny,fid,ncc,icc1) ;
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hbacsup = etime(clock,hbacsup) ;
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c = reshape(c,ny,options_.periods+M_.maximum_lead)' ;
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y(:,1+M_.maximum_lag:(options_.periods+M_.maximum_lead+M_.maximum_lag)) = y(:,1+M_.maximum_lag:(options_.periods+M_.maximum_lead+M_.maximum_lag))+options_.slowc*c' ;
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else
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hbacsup = clock ;
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c = bksupk(ny,fid,ncc,icc1) ;
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hbacsup = etime(clock,hbacsup) ;
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c = reshape(c,ny,options_.periods)' ;
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oo_.y_simul(:,1+M_.maximum_lag:(options_.periods+M_.maximum_lag)) = oo_.y_simul(:,1+M_.maximum_lag:(options_.periods+M_.maximum_lag))+options_.slowc*c' ;
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end
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fclose(fid) ;
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h2 = etime(clock,h2) ;
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[junk,i1] = max(abs(c));
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[junk,i2] = max(junk);
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global M_.endo_names
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disp(['variable ' M_.endo_names(i2,:) ' period ' num2str(i1(i2))])
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err = max(max(abs(c./options_.scalv'))) ;
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disp ([num2str(iter) '- err = ' num2str(err)]) ;
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disp (['err_f = ' num2str(err_f)])
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disp ([' Time of this iteration : ' num2str(h2)]) ;
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if options_.timing
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disp ([' Back substitution : ' num2str(hbacsup)]) ;
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end
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if err < options_.dynatol
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h1 = etime(clock,h1) ;
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fprintf ('\n') ;
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disp ([' Total time of simulation : ' num2str(h1)]) ;
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fprintf ('\n') ;
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disp ([' Convergence achieved.']) ;
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disp (['-----------------------------------------------------']) ;
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fprintf ('\n') ;
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return ;
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end
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end
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disp(['WARNING : the maximum number of iterations is reached.']) ;
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fprintf ('\n') ;
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disp (['-----------------------------------------------------']) ;
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return ;
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% 2/11/99 MJ took out reshapel
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