417 lines
15 KiB
Matlab
417 lines
15 KiB
Matlab
function steady()
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% function steady()
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% computes and prints the steady state calculations
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%
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% INPUTS
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% none
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%
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% OUTPUTS
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% none
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%
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% SPECIAL REQUIREMENTS
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% none
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% Copyright © 2001-2023 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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global M_ oo_ options_
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test_for_deep_parameters_calibration(M_);
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% Keep of a copy of M_.Sigma_e
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Sigma_e = M_.Sigma_e;
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% Set M_.Sigma_e=0 (we compute the *deterministic* steady state)
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M_.Sigma_e(:,:) = 0;
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if ~ismember(options_.homotopy_mode, [0 1 2 3])
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error('STEADY: invalid value for homotopy_mode option')
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end
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if isfield(options_, 'homotopy_values') && options_.homotopy_mode == 0
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warning('STEADY: a homotopy_setup block is present but homotopy will not be performed because homotopy_mode option is equal to 0')
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end
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if options_.homotopy_mode ~= 0
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if ~isfield(options_, 'homotopy_values')
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error('STEADY: a homotopy_setup block must be present when the homotopy_mode option is specified')
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end
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if options_.steadystate_flag
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error('STEADY: Can''t use homotopy when providing a steady state external file');
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end
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hv = options_.homotopy_values;
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if any(hv(:,1)~=1 & hv(:,1)~=2 & hv(:,1)~=4)
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% Already checked by the preprocessor, but let’s stay on the safe side
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error('HOMOTOPY_SETUP: incorrect variable types specified')
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end
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% If the “from_initval_to_endval” option was passed to the “homotopy_setup” block, add the relevant homotopy information
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if options_.homotopy_from_initval_to_endval
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if isempty(oo_.initial_exo_steady_state)
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error('HOMOTOPY_SETUP: the from_initval_to_endval option cannot be used without an endval block')
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end
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for i = 1:M_.exo_nbr
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if ~any(hv(:,1)==1 & hv(:,2)==i) % Do not overwrite information manually specified by the user
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hv = vertcat(hv, [ 1 i oo_.initial_exo_steady_state(i) oo_.exo_steady_state(i)]);
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end
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end
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end
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homotopy_func = str2func(['homotopy' num2str(options_.homotopy_mode)]);
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[M_,oo_,errorcode] = homotopy_func(hv, options_.homotopy_steps, M_, options_, oo_);
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if errorcode
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if errorcode == 2
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disp('WARNING: homotopy failed at the first iteration (for the starting values)')
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else % errorcode == 1: print last successful point
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ip = find(hv(:,1) == 4); % Parameters
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ix = find(hv(:,1) == 1); % Exogenous
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ixd = find(hv(:,1) == 2); % Exogenous deterministic
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skipline()
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disp('WARNING: homotopy step was not completed')
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disp('The last values for which a solution was found are:')
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for i=1:length(ip)
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fprintf('%12s %12.6f\n',char(M_.param_names(hv(ip(i),2))), ...
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M_.params(hv(ip(i),2)))
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end
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for i=1:length(ix)
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fprintf('%12s %12.6f\n',char(M_.exo_names(hv(ix(i),2))), ...
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oo_.exo_steady_state(hv(ix(i),2)))
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end
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for i=1:length(ixd)
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fprintf('%12s %12.6f\n',char(M_.exo_det_names(hv(ixd(i),2))), ...
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oo_.exo_det_steady_state(hv(ixd(i),2)))
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end
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end
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if options_.homotopy_force_continue
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disp('Option homotopy_continue is set, so I continue ...')
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else
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error('Homotopy step failed')
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end
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end
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end
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[oo_.steady_state,M_.params,info] = evaluate_steady_state(oo_.steady_state,[oo_.exo_steady_state; oo_.exo_det_steady_state],M_,options_,~options_.steadystate.nocheck);
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if info(1) == 0
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if ~options_.noprint
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disp_steady_state(M_,oo_,options_);
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end
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else
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if ~options_.noprint
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if ~isempty(oo_.steady_state)
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display_static_residuals(M_, options_, oo_);
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else
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skipline()
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disp('Residuals of the static equations cannot be computed because the steady state routine returned an empty vector.')
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skipline()
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end
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end
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if options_.debug
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fprintf('\nsteady: The steady state computation failed. It terminated with the following values:\n')
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if ~isreal(oo_.steady_state)
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format_string=sprintf('%%-%us= %%g%%+gi\n',size(strvcat(M_.endo_names),2)+1);
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else
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format_string=sprintf('%%-%us= %%14.6f\n',size(strvcat(M_.endo_names),2)+1);
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end
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for i=1:M_.orig_endo_nbr
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if ~isreal(oo_.steady_state)
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fprintf(format_string, M_.endo_names{i}, real(oo_.steady_state(i)),imag(oo_.steady_state(i)));
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else
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fprintf(format_string, M_.endo_names{i}, oo_.steady_state(i));
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end
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end
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end
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print_info(info,options_.noprint, options_);
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end
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M_.Sigma_e = Sigma_e;
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function [M_,oo_,errorcode] = homotopy1(values, step_nbr, M_, options_, oo_)
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% Implements homotopy (mode 1) for steady-state computation.
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% The multi-dimensional vector going from the set of initial values
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% to the set of final values is divided in as many sub-vectors as
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% there are steps, and the problem is solved as many times.
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%
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% INPUTS
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% values: a matrix with 4 columns, representing the content of
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% homotopy_setup block, with one variable per line.
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% Column 1 is variable type (1 for exogenous, 2 for
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% exogenous deterministic, 4 for parameters)
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% Column 2 is symbol integer identifier.
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% Column 3 is initial value, and column 4 is final value.
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% Column 3 can contain NaNs, in which case previous
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% initialization of variable will be used as initial value.
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% step_nbr: number of steps for homotopy
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% M_ struct of model parameters
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% options_ struct of options
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% oo_ struct of outputs
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%
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% OUTPUTS
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% M_ struct of model parameters
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% oo_ struct of outputs
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% errorcode 0 in case of success
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% 1 if some homotopy steps were successful but it was not
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% possible to go up to 100%; in that case, parameters in
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% M_.params and exogenous in oo_ are left to the last
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% successful point
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% 2 if it wasn’t possible to compute a solution for the
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% starting values
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nv = size(values, 1);
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ip = find(values(:,1) == 4); % Parameters
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ix = find(values(:,1) == 1); % Exogenous
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ixd = find(values(:,1) == 2); % Exogenous deterministic
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% Construct vector of starting values, using previously initialized values
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% when initial value has not been given in homotopy_setup block
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oldvalues = values(:,3);
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ipn = find(values(:,1) == 4 & isnan(oldvalues));
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oldvalues(ipn) = M_.params(values(ipn, 2));
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ixn = find(values(:,1) == 1 & isnan(oldvalues));
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oldvalues(ixn) = oo_.exo_steady_state(values(ixn, 2));
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ixdn = find(values(:,1) == 2 & isnan(oldvalues));
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oldvalues(ixdn) = oo_.exo_det_steady_state(values(ixdn, 2));
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points = zeros(nv, step_nbr+1);
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for i = 1:nv
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if (oldvalues(i) ~= values(i, 4))
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points(i,:) = oldvalues(i):(values(i,4)-oldvalues(i))/step_nbr:values(i,4);
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else
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points(i,:) = values(i,4);
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end
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end
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for i=1:step_nbr+1
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disp([ 'HOMOTOPY mode 1: computing step ' int2str(i-1) '/' int2str(step_nbr) '...' ])
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M_.params(values(ip,2)) = points(ip,i);
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oo_.exo_steady_state(values(ix,2)) = points(ix,i);
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oo_.exo_det_steady_state(values(ixd,2)) = points(ixd,i);
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[oo_.steady_state,M_.params,info] = evaluate_steady_state(oo_.steady_state,[oo_.exo_steady_state; oo_.exo_det_steady_state],M_,options_,~options_.steadystate.nocheck);
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if info(1)
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if i == 1
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errorcode = 2;
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else
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M_.params = last_successful_params;
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oo_.exo_steady_state = last_successful_exo;
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oo_.exo_det_steady_state = last_successful_exo_det;
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errorcode = 1;
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end
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return
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end
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last_successful_params = M_.params;
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last_successful_exo = oo_.exo_steady_state;
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last_successful_exo_det = oo_.exo_det_steady_state;
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end
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errorcode = 0;
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function [M_, oo_, errorcode] = homotopy2(values, step_nbr, M_, options_, oo_)
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% Implements homotopy (mode 2) for steady-state computation.
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% Only one parameter/exogenous is changed at a time.
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% Computation jumps to next variable only when current variable has been
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% brought to its final value.
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% Variables are processed in the order in which they appear in "values".
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% The problem is solved var_nbr*step_nbr times.
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%
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% See homotopy1 for the description of inputs and outputs.
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nv = size(values, 1);
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oldvalues = values(:,3);
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% Initialize all variables with initial value, or the reverse...
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for i = 1:nv
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switch values(i,1)
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case 1
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if isnan(oldvalues(i))
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oldvalues(i) = oo_.exo_steady_state(values(i,2));
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else
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oo_.exo_steady_state(values(i,2)) = oldvalues(i);
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end
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case 2
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if isnan(oldvalues(i))
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oldvalues(i) = oo_.exo_det_steady_state(values(i,2));
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else
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oo_.exo_det_steady_state(values(i,2)) = oldvalues(i);
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end
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case 4
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if isnan(oldvalues(i))
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oldvalues(i) = M_.params(values(i,2));
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else
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M_.params(values(i,2)) = oldvalues(i);
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end
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otherwise
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error('HOMOTOPY mode 2: incorrect variable types specified')
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end
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end
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if any(oldvalues == values(:,4))
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error('HOMOTOPY mode 2: initial and final values should be different')
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end
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% Actually do the homotopy
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for i = 1:nv
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switch values(i,1)
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case 1
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varname = M_.exo_names{values(i,2)};
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case 2
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varname = M_.exo_det_names{values(i,2)};
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case 4
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varname = M_.param_names{values(i,2)};
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end
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for v = oldvalues(i):(values(i,4)-oldvalues(i))/step_nbr:values(i,4)
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switch values(i,1)
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case 1
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oo_.exo_steady_state(values(i,2)) = v;
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case 2
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oo_.exo_det_steady_state(values(i,2)) = v;
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case 4
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M_.params(values(i,2)) = v;
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end
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disp([ 'HOMOTOPY mode 2: lauching solver with ' varname ' = ' num2str(v) ' ...'])
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[oo_.steady_state, M_.params, info] = evaluate_steady_state(oo_.steady_state,[oo_.exo_steady_state; oo_.exo_det_steady_state],M_,options_,~options_.steadystate.nocheck);
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if info(1)
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if i == 1 && v == oldvalues(1)
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errorcode = 2;
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else
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M_.params = last_successful_params;
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oo_.exo_steady_state = last_successful_exo;
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oo_.exo_det_steady_state = last_successful_exo_det;
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errorcode = 1;
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end
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return
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end
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last_successful_params = M_.params;
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last_successful_exo = oo_.exo_steady_state;
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last_successful_exo_det = oo_.exo_det_steady_state;
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end
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end
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errorcode = 0;
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function [M_,oo_,errorcode] = homotopy3(values, step_nbr, M_, options_, oo_)
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% Implements homotopy (mode 3) for steady-state computation.
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% Tries first the most extreme values. If it fails to compute the steady
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% state, the interval between initial and desired values is divided by two
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% for each parameter. Every time that it is impossible to find a steady
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% state, the previous interval is divided by two. When one succeed to find
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% a steady state, the previous interval is multiplied by two.
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%
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% See homotopy1 for the description of inputs and outputs.
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info = [];
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tol = 1e-8;
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nv = size(values,1);
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ip = find(values(:,1) == 4); % Parameters
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ix = find(values(:,1) == 1); % Exogenous
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ixd = find(values(:,1) == 2); % Exogenous deterministic
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% Construct vector of starting values, using previously initialized values
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% when initial value has not been given in homotopy_setup block
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oldvalues = values(:,3);
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ipn = find(values(:,1) == 4 & isnan(oldvalues));
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oldvalues(ipn) = M_.params(values(ipn, 2));
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ixn = find(values(:,1) == 1 & isnan(oldvalues));
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oldvalues(ixn) = oo_.exo_steady_state(values(ixn, 2));
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ixdn = find(values(:,1) == 2 & isnan(oldvalues));
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oldvalues(ixdn) = oo_.exo_det_steady_state(values(ixdn, 2));
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targetvalues = values(:,4);
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iplus = find(targetvalues > oldvalues);
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iminus = find(targetvalues < oldvalues);
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curvalues = oldvalues;
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inc = (targetvalues-oldvalues)/2;
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kplus = [];
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kminus = [];
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last_successful_values = [];
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disp('HOMOTOPY mode 3: launching solver at initial point...')
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iter = 1;
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while iter <= step_nbr
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M_.params(values(ip,2)) = curvalues(ip);
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oo_.exo_steady_state(values(ix,2)) = curvalues(ix);
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oo_.exo_det_steady_state(values(ixd,2)) = curvalues(ixd);
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old_ss = oo_.steady_state;
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[steady_state,params,info] = evaluate_steady_state(old_ss,[oo_.exo_steady_state; oo_.exo_det_steady_state],M_,options_,~options_.steadystate.nocheck);
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if info(1) == 0
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oo_.steady_state = steady_state;
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M_.params = params;
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if length([kplus; kminus]) == nv
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errorcode = 0;
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return
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end
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if iter == 1
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disp('HOMOTOPY mode 3: successful step, now jumping to final point...')
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else
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disp('HOMOTOPY mode 3: successful step, now multiplying increment by 2...')
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end
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last_successful_values = curvalues;
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last_successful_params = params;
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last_successful_exo_steady_state = oo_.exo_steady_state;
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last_successful_exo_det_steady_state = oo_.exo_det_steady_state;
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inc = 2*inc;
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elseif iter == 1
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errorcode = 2;
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return
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else
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disp('HOMOTOPY mode 3: failed step, now dividing increment by 2...')
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inc = inc/2;
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oo_.steady_state = old_ss;
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end
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curvalues = last_successful_values + inc;
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kplus = find(curvalues(iplus) >= targetvalues(iplus));
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curvalues(iplus(kplus)) = targetvalues(iplus(kplus));
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kminus = find(curvalues(iminus) <= targetvalues(iminus));
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curvalues(iminus(kminus)) = targetvalues(iminus(kminus));
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if max(abs(inc)) < tol
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disp('HOMOTOPY mode 3: failed, increment has become too small')
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M_.params = last_successful_params;
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oo_.exo_steady_state = last_successful_exo_steady_state;
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oo_.exo_det_steady_state = last_successful_exo_det_steady_state;
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errorcode = 1;
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return
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end
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iter = iter + 1;
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end
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disp('HOMOTOPY mode 3: failed, maximum iterations reached; you may want to increase the homotopy_steps option')
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M_.params = last_successful_params;
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oo_.exo_steady_state = last_successful_exo_steady_state;
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oo_.exo_det_steady_state = last_successful_exo_det_steady_state;
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errorcode = 1;
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