85 lines
3.1 KiB
Matlab
85 lines
3.1 KiB
Matlab
function [ss, tt, zz, sdim, eigval, info] = mjdgges(e, d, qz_criterium, zhreshold)
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%
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% INPUTS
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% e [double] real square (n*n) matrix.
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% d [double] real square (n*n) matrix.
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% qz_criterium [double] scalar (1+epsilon).
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% zhreshold [double] ignored (in the DLL, this parameter is used for
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% detecting eigenvalues too close to 0/0)
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%
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% OUTPUTS
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% ss [double] (n*n) quasi-triangular matrix.
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% tt [double] (n*n) quasi-triangular matrix.
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% zz [double] (n*n) orthogonal matrix.
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% sdim [integer] scalar: number of stable eigenvalues.
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% eigval [complex] (n*1) vector of generalized eigenvalues.
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% info [integer] scalar.
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%
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% SPECIAL REQUIREMENTS
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% none.
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% Copyright © 1996-2023 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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% along with Dynare. If not, see <https://www.gnu.org/licenses/>.
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if nargin > 5 || nargin < 2 || nargout > 7 || nargout == 0
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error('MJDGGES: takes 2, 3 or 4 input arguments and between 1 and 7 output arguments.')
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end
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if isoctave
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error('Octave unsupported, since it does not have real qz')
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end
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[me, ne] = size(e);
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[md, nd] = size(d);
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if ~isreal(e) || ~isreal(d) || me ~= ne || md ~= nd || me ~= nd
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error('MJDGGES requires two square real matrices of the same dimension.')
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end
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if nargin < 3
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qz_criterium = 1 + 1e-6;
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end
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info = 0;
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try
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[ss, tt, qq, zz] = qz(e, d, 'real');
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eigval = ordeig(ss, tt);
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select = abs(eigval) < qz_criterium;
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sdim = sum(select);
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[ss, tt, qq, zz] = ordqz(ss, tt, qq, zz, select);
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eigval = ordeig(ss, tt);
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catch
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info = 1; % Not as precise as lapack's info!
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end
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return % --*-- Unit tests --*--
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%@test:1
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try
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E =[0,0,0,0,0,0,0,-1,0,0;0,0,0,0,0,0,0,0,-1,0;0,0,0,0,0,0,0,0,0,-0.990099009900990;0,0,0,0,0,0,0,0,0,0.0990099009900990;0,0,0,-1.01010101010101,0,0.0427672955974843,0,0,0,0;0,0,0,0,0,0.128301886792453,-1,0,0,0;0.800000000000000,0,0,0,0,0,0,0,0,0;0,1,0,0,0,0,1,0,0,0;0,0,0.900000000000000,0,0,0,0,0,0,0;0,0,0,-1.01010101010101,-1,0,2,0,-1,0];
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D=[0,0,0,0,-1,0,0,-0.792000000000000,0,0;0,0,0,0,0,0,0,0,-0.990000000000000,0;0,0,0,-0.000493818030899887,0,0,0,0,0,-0.882178217821782;0,0,0,-1.00493818030900,0,0,0,0,0,0.0882178217821782;0,0,0,-1,0.128301886792453,0,0,0,0,0;-1,0,0,0,0,0,-0.990000000000000,0,0,0;1,0,0,0,0,0,0,0,0,0;0,1,0,0,0,0,0,0,0,0;0,0,1,0,0,0,0,0,0,0;0,0,0,0,-1,0,0,0,0,0];
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[ss, tt, w, sdim, dr.eigval, info1]=mjdgges(E, D, 1.000001, 1e-06);
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if sdim==5
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t(1) = 1;
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else
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t(1) = 0;
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end
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catch
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t(1) = 0;
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end
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T = all(t);
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%@eof:1 |