63 lines
2.7 KiB
Matlab
63 lines
2.7 KiB
Matlab
function [y, out, cost] = findmin(d_index, a0, P1, Qt, Y, ZZ, opts_simul,M_, dr,endo_steady_state,exo_steady_state,exo_det_steady_state, options_)
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% [y, out, cost] = findmin(d_index, a0, P1, Qt, Y, ZZ, opts_simul,M_, dr,endo_steady_state,exo_steady_state,exo_det_steady_state, options_)
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% Outputs:
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% - cost [double] penalty
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% - out [structure] Occbin's results structure
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%
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% Inputs
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% - opts_simul [structure] Structure with simulation options
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% used in cost function
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% - M_ [structure] Matlab's structure describing the model (M_).
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% - dr_ [structure] model information structure
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% - endo_steady_state [vector] steady state value for endogenous variables
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% - exo_steady_state [vector] steady state value for exogenous variables
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% - exo_det_steady_state [vector] steady state value for exogenous deterministic variables
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% - options_ [structure] Matlab's structure describing the current options (options_).
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% Copyright © 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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current_obs = Y(d_index,2)'+dr.ys(options_.varobs_id(d_index))';
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err_index = find(diag(Qt(:,:,2))~=0);
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F = ZZ(d_index,:)*P1(:,:,2)*ZZ(d_index,:)' ;
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weights=diag(F);
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filtered_errs_init = zeros(1,length(err_index));
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opts_simul.varobs_id=options_.varobs_id(d_index)';
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opts_simul.exo_pos=err_index; %err_index is predefined mapping from observables to shocks
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opts_simul.SHOCKS = filtered_errs_init;
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if opts_simul.restrict_state_space
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tmp=zeros(M_.endo_nbr,1);
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tmp(dr.restrict_var_list,1)=a0(:,1); %updated state
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opts_simul.endo_init = tmp(dr.inv_order_var,1);
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else
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opts_simul.endo_init = a0(dr.inv_order_var,1);
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end
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[y] = fminsearch(@cost_function,filtered_errs_init');
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[cost, out] = occbin.cost_function(y, current_obs, weights, opts_simul,...
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M_, dr,endo_steady_state,exo_steady_state,exo_det_steady_state, options_);
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function cost = cost_function(x)
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cost = occbin.cost_function(x, current_obs, weights, opts_simul,...
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M_, dr,endo_steady_state,exo_steady_state,exo_det_steady_state, options_);
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end
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end |