90 lines
2.7 KiB
Matlab
90 lines
2.7 KiB
Matlab
function osr1(i_params,i_var,weights)
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% Compute the Optimal Simple Rules
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% INPUTS
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% i_params vector index of optimizing parameters in M_.params
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% i_var vector variables indices
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% weights vector weights in the OSRs
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%
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% Copyright (C) 2005-2013 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 <http://www.gnu.org/licenses/>.
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global M_ oo_ options_ it_
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klen = M_.maximum_lag + M_.maximum_lead + 1;
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iyv = M_.lead_lag_incidence';
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iyv = iyv(:);
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iyr0 = find(iyv) ;
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it_ = M_.maximum_lag + 1 ;
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if M_.exo_nbr == 0
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oo_.exo_steady_state = [] ;
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end
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if ~ M_.lead_lag_incidence(M_.maximum_lag+1,:) > 0
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error ('OSR: Error in model specification: some variables don''t appear as current') ;
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end
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if M_.maximum_lead == 0
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error ('Backward or static model: no point in using OSR') ;
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end
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exe =zeros(M_.exo_nbr,1);
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oo_.dr = set_state_space(oo_.dr,M_,options_);
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np = size(i_params,1);
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t0 = M_.params(i_params);
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inv_order_var = oo_.dr.inv_order_var;
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H0 = 1e-4*eye(np);
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crit=options_.osr.tolf;
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nit=options_.osr.maxit;
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verbose=options_.osr.verbose;
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%% do initial checks
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[loss,vx,info,exit_flag]=osr_obj(t0,i_params,inv_order_var(i_var),weights(i_var,i_var));
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if info~=0
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print_info(info, options_.noprint, options_);
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else
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fprintf('\nOSR: Initial value of the objective function: %g \n\n',loss);
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end
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%%do actual optimization
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[f,p]=csminwel1('osr_obj',t0,H0,[],crit,nit,options_.gradient_method,options_.gradient_epsilon,i_params,...
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inv_order_var(i_var),weights(i_var,i_var));
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oo_.osr.objective_function = f;
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% options = optimset('fminunc');
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% options = optimset('display','iter');
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% [p,f]=fminunc(@osr_obj,t0,options,i_params,...
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% inv_order_var(i_var),weights(i_var,i_var));
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skipline()
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disp('OPTIMAL VALUE OF THE PARAMETERS:')
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skipline()
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for i=1:np
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disp(sprintf('%16s %16.6g\n',M_.param_names(i_params(i),:),p(i)))
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end
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disp(sprintf('Objective function : %16.6g\n',f));
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skipline()
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[oo_.dr,info,M_,options_,oo_] = resol(0,M_,options_,oo_);
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% 05/10/03 MJ modified to work with osr.m and give full report |