148 lines
5.4 KiB
Matlab
148 lines
5.4 KiB
Matlab
function planner_objective_value = evaluate_planner_objective(M,options,oo)
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%function oo1 = evaluate_planner_objective(dr,M,oo,options)
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% computes value of planner objective function
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%
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% INPUTS
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% M: (structure) model description
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% options: (structure) options
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% oo: (structure) output results
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%
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% SPECIAL REQUIREMENTS
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% none
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% Copyright (C) 2007-2012 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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dr = oo.dr;
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endo_nbr = M.endo_nbr;
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exo_nbr = M.exo_nbr;
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nstatic = M.nstatic;
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nspred = M.nspred;
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lead_lag_incidence = M.lead_lag_incidence;
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beta = get_optimal_policy_discount_factor(M.params,M.param_names);
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if options.ramsey_policy
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i_org = (1:M.orig_endo_nbr)';
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else
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i_org = (1:M.endo_nbr)';
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end
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ipred = find(lead_lag_incidence(M.maximum_lag,:))';
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order_var = dr.order_var;
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LQ = true;
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Gy = dr.ghx(nstatic+(1:nspred),:);
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Gu = dr.ghu(nstatic+(1:nspred),:);
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gy(dr.order_var,:) = dr.ghx;
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gu(dr.order_var,:) = dr.ghu;
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if options.ramsey_policy && options.order == 1 && ~options.linear
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options.order = 2;
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options.qz_criterium = 1+1e-6;
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[dr,info] = stochastic_solvers(oo.dr,0,M,options,oo);
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Gyy = dr.ghxx(nstatic+(1:nspred),:);
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Guu = dr.ghuu(nstatic+(1:nspred),:);
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Gyu = dr.ghxu(nstatic+(1:nspred),:);
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Gss = dr.ghs2(nstatic+(1:nspred),:);
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gyy(dr.order_var,:) = dr.ghxx;
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guu(dr.order_var,:) = dr.ghuu;
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gyu(dr.order_var,:) = dr.ghxu;
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gss(dr.order_var,:) = dr.ghs2;
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LQ = false;
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end
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ys = oo.dr.ys;
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u = oo.exo_simul(1,:)';
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[U,Uy,Uyy] = feval([M.fname '_objective_static'],ys,zeros(1,exo_nbr), ...
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M.params);
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Uyy = full(Uyy);
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[Uyygygy, err] = A_times_B_kronecker_C(Uyy,gy,gy,options.threads.kronecker.A_times_B_kronecker_C);
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mexErrCheck('A_times_B_kronecker_C', err);
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[Uyygugu, err] = A_times_B_kronecker_C(Uyy,gu,gu,options.threads.kronecker.A_times_B_kronecker_C);
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mexErrCheck('A_times_B_kronecker_C', err);
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[Uyygygu, err] = A_times_B_kronecker_C(Uyy,gy,gu,options.threads.kronecker.A_times_B_kronecker_C);
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mexErrCheck('A_times_B_kronecker_C', err);
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Wbar =U/(1-beta);
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Wy = Uy*gy/(eye(nspred)-beta*Gy);
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Wu = Uy*gu+beta*Wy*Gu;
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if LQ
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Wyy = Uyygygy/(eye(nspred*nspred)-beta*kron(Gy,Gy));
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else
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Wyy = (Uy*gyy+Uyygygy+beta*Wy*Gyy)/(eye(nspred*nspred)-beta*kron(Gy,Gy));
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end
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[Wyygugu, err] = A_times_B_kronecker_C(Wyy,Gu,Gu,options.threads.kronecker.A_times_B_kronecker_C);
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mexErrCheck('A_times_B_kronecker_C', err);
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[Wyygygu,err] = A_times_B_kronecker_C(Wyy,Gy,Gu,options.threads.kronecker.A_times_B_kronecker_C);
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mexErrCheck('A_times_B_kronecker_C', err);
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if LQ
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Wuu = Uyygugu+beta*Wyygugu;
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Wyu = Uyygygu+beta*Wyygygu;
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Wss = beta*Wuu*M.Sigma_e(:)/(1-beta);
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else
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Wuu = Uy*guu+Uyygugu+beta*(Wy*Guu+Wyygugu);
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Wyu = Uy*gyu+Uyygygu+beta*(Wy*Gyu+Wyygygu);
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Wss = (Uy*gss+beta*(Wuu*M.Sigma_e(:)+Wy*Gss))/(1-beta);
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end
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% initialize yhat1 at the steady state
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yhat1 = oo.steady_state;
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if options.ramsey_policy
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% initialize le Lagrange multipliers to 0 in yhat2
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yhat2 = zeros(M.endo_nbr,1);
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yhat2(1:M.orig_endo_nbr) = oo.steady_state(1:M.orig_endo_nbr);
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end
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if ~isempty(M.endo_histval)
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% initialize endogenous state variable to histval if necessary
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yhat1(1:M.orig_endo_nbr) = M.endo_histval(1:M.orig_endo_nbr);
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if options.ramsey_policy
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yhat2(1:M.orig_endo_nbr) = M.endo_histval(1:M.orig_endo_nbr);
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end
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end
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yhat1 = yhat1(dr.order_var(nstatic+(1:nspred)),1)-dr.ys(dr.order_var(nstatic+(1:nspred)));
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yhat2 = yhat2(dr.order_var(nstatic+(1:nspred)),1)-dr.ys(dr.order_var(nstatic+(1:nspred)));
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u = oo.exo_simul(1,:)';
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[Wyyyhatyhat1, err] = A_times_B_kronecker_C(Wyy,yhat1,yhat1,options.threads.kronecker.A_times_B_kronecker_C);
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mexErrCheck('A_times_B_kronecker_C', err);
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[Wuuuu, err] = A_times_B_kronecker_C(Wuu,u,u,options.threads.kronecker.A_times_B_kronecker_C);
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mexErrCheck('A_times_B_kronecker_C', err);
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[Wyuyhatu1, err] = A_times_B_kronecker_C(Wyu,yhat1,u,options.threads.kronecker.A_times_B_kronecker_C);
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mexErrCheck('A_times_B_kronecker_C', err);
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planner_objective_value(1) = Wbar+Wy*yhat1+Wu*u+Wyuyhatu1 ...
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+ 0.5*(Wyyyhatyhat1 + Wuuuu+Wss);
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if options.ramsey_policy
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[Wyyyhatyhat2, err] = A_times_B_kronecker_C(Wyy,yhat2,yhat2,options.threads.kronecker.A_times_B_kronecker_C);
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mexErrCheck('A_times_B_kronecker_C', err);
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[Wyuyhatu2, err] = A_times_B_kronecker_C(Wyu,yhat2,u,options.threads.kronecker.A_times_B_kronecker_C);
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mexErrCheck('A_times_B_kronecker_C', err);
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planner_objective_value(2) = Wbar+Wy*yhat2+Wu*u+Wyuyhatu2 ...
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+ 0.5*(Wyyyhatyhat2 + Wuuuu+Wss);
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end
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if ~options.noprint
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disp(' ')
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disp('Approximated value of planner objective function')
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disp([' - with initial Lagrange multipliers set to 0: ' ...
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num2str(planner_objective_value(2)) ])
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disp([' - with initial Lagrange multipliers set to steady state: ' ...
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num2str(planner_objective_value(1)) ])
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disp(' ')
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end
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