227 lines
7.5 KiB
Matlab
227 lines
7.5 KiB
Matlab
function [x,info] = dynare_solve(func,x,options,varargin)
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% function [x,info] = dynare_solve(func,x,options,varargin)
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% proposes different solvers
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%
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% INPUTS
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% func: name of the function to be solved
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% x: guess values
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% options: struct of Dynare options
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% varargin: list of arguments following jacobian_flag
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%
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% OUTPUTS
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% x: solution
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% info=1: the model can not be solved
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%
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% SPECIAL REQUIREMENTS
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% none
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% Copyright (C) 2001-2015 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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% jacobian_flag=1: jacobian given by the 'func' function
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% jacobian_flag=0: jacobian obtained numerically
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jacobian_flag = options.jacobian_flag;
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% Set tolerance parameter depending the the caller function.
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stack = dbstack;
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if strcmp(stack(2).file,'simulation_core.m')
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tolf = options.dynatol.f;
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else
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tolf = options.solve_tolf;
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end
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info = 0;
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nn = size(x,1);
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% checking initial values
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if jacobian_flag
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[fvec,fjac] = feval(func,x,varargin{:});
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if any(any(isinf(fjac) | isnan(fjac)))
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[infrow,infcol]=find(isinf(fjac) | isnan(fjac));
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M=evalin('base','M_'); %get variable names from workspace
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fprintf('\nSTEADY: The Jacobian contains Inf or NaN. The problem arises from: \n\n')
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display_problematic_vars_Jacobian(infrow,infcol,M,x,'static','STEADY: ')
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error('An element of the Jacobian is not finite or NaN')
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end
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else
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fvec = feval(func,x,varargin{:});
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fjac = zeros(nn,nn) ;
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end
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i = find(~isfinite(fvec));
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if ~isempty(i)
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disp(['STEADY: numerical initial values or parameters incompatible with the following' ...
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' equations'])
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disp(i')
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disp('Please check for example')
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disp(' i) if all parameters occurring in these equations are defined')
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disp(' ii) that no division by an endogenous variable initialized to 0 occurs')
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info = 1;
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x = NaN(size(fvec));
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return;
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end
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% this test doesn't check complementarity conditions and is not used for
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% mixed complementarity problems
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if (options.solve_algo ~= 10) && (max(abs(fvec)) < tolf)
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return ;
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end
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if options.solve_algo == 0
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if ~isoctave
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if ~user_has_matlab_license('optimization_toolbox')
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error('You can''t use solve_algo=0 since you don''t have MATLAB''s Optimization Toolbox')
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end
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end
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options4fsolve=optimset('fsolve');
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options4fsolve.MaxFunEvals = 50000;
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options4fsolve.MaxIter = options.steady.maxit;
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options4fsolve.TolFun = tolf;
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options4fsolve.Display = 'iter';
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if jacobian_flag
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options4fsolve.Jacobian = 'on';
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else
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options4fsolve.Jacobian = 'off';
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end
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if ~isoctave
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[x,fval,exitval,output] = fsolve(func,x,options4fsolve,varargin{:});
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else
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% Under Octave, use a wrapper, since fsolve() does not have a 4th arg
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func2 = str2func(func);
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func = @(x) func2(x, varargin{:});
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% The Octave version of fsolve does not converge when it starts from the solution
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fvec = feval(func,x);
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if max(abs(fvec)) >= tolf
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[x,fval,exitval,output] = fsolve(func,x,options4fsolve);
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else
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exitval = 3;
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end;
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end
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if exitval == 1
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info = 0;
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elseif exitval > 1
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func2 = str2func(func);
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func = @(x) func2(x, varargin{:});
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fvec = feval(func,x);
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if max(abs(fvec)) >= tolf
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info = 1;
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else
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info = 0;
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end
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else
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info = 1;
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end
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elseif options.solve_algo == 1
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[x,info]=solve1(func,x,1:nn,1:nn,jacobian_flag,options.gstep, ...
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tolf,options.solve_tolx, ...
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options.steady.maxit,options.debug,varargin{:});
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elseif options.solve_algo == 9
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[x,info]=trust_region(func,x,1:nn,1:nn,jacobian_flag,options.gstep, ...
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tolf,options.solve_tolx, ...
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options.steady.maxit,options.debug,varargin{:});
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elseif options.solve_algo == 2 || options.solve_algo == 4
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if options.solve_algo == 2
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solver = @solve1;
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else
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solver = @trust_region;
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end
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if ~jacobian_flag
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fjac = zeros(nn,nn) ;
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dh = max(abs(x),options.gstep(1)*ones(nn,1))*eps^(1/3);
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for j = 1:nn
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xdh = x ;
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xdh(j) = xdh(j)+dh(j) ;
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fjac(:,j) = (feval(func,xdh,varargin{:}) - fvec)./dh(j) ;
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end
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end
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[j1,j2,r,s] = dmperm(fjac);
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if options.debug
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disp(['DYNARE_SOLVE (solve_algo=2|4): number of blocks = ' num2str(length(r))]);
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end
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for i=length(r)-1:-1:1
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if options.debug
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disp(['DYNARE_SOLVE (solve_algo=2|4): solving block ' num2str(i) ', of size ' num2str(r(i+1)-r(i)) ]);
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end
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[x,info]=solver(func,x,j1(r(i):r(i+1)-1),j2(r(i):r(i+1)-1),jacobian_flag, ...
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options.gstep, ...
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tolf,options.solve_tolx, ...
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options.steady.maxit,options.debug,varargin{:});
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if info
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return
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end
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end
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fvec = feval(func,x,varargin{:});
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if max(abs(fvec)) > tolf
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[x,info]=solver(func,x,1:nn,1:nn,jacobian_flag, ...
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options.gstep, tolf,options.solve_tolx, ...
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options.steady.maxit,options.debug,varargin{:});
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end
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elseif options.solve_algo == 3
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if jacobian_flag
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[x,info] = csolve(func,x,func,1e-6,500,varargin{:});
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else
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[x,info] = csolve(func,x,[],1e-6,500,varargin{:});
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end
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elseif options.solve_algo == 10
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% LMMCP
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olmmcp = options.lmmcp;
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[x,fval,exitflag] = lmmcp(func,x,olmmcp.lb,olmmcp.ub,olmmcp,varargin{:});
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if exitflag == 1
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info = 0;
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else
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info = 1;
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end
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elseif options.solve_algo == 11
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% PATH linear mixed complementary problem
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if ~exist('lcppath')
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error(['PATH can''t be provided with Dynare. You need to install it ' ...
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'yourself and add its location to Matlab/Octave path before ' ...
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'running Dynare'])
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end
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if options.linear ~= 1
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error(['solve_algo==11 (linear complementarity problem) requires ' ...
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'linear option in model instruction']);
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end
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olcppath = options.lcppath;
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[junk,M] = func(x,varargin{:});
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[x,mu] = pathlcp(fjac,olcppath.q,olcppath.lb,olcppath.ub,x,olcppath.A,olcppath.b,olcppath.t,olcppath.mu0);
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elseif options.solve_algo == 12
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% PATH mixed complementary problem
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% PATH linear mixed complementary problem
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if ~exist('mcppath')
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error(['PATH can''t be provided with Dynare. You need to install it ' ...
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'yourself and add its location to Matlab/Octave path before ' ...
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'running Dynare'])
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end
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omcppath = options.mcppath;
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global mcp_data
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mcp_data.func = func;
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mcp_data.args = varargin;
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[x,mu] = pathmcp(x,omcppath.lb,omcppath.ub,'mcp_func',omcppath.A,omcppath.b,omcppath.t,omcppath.mu0);
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else
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error('DYNARE_SOLVE: option solve_algo must be one of [0,1,2,3,4,9,10:12]')
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end
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