67 lines
2.6 KiB
Matlab
67 lines
2.6 KiB
Matlab
function optimize_prior(DynareOptions, ModelInfo, DynareResults, BayesInfo, EstimationInfo)
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% This routine computes the mode of the prior density using an optimization algorithm.
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% Copyright © 2015-2017 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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% Initialize to the prior mean
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DynareResults.dr = set_state_space(DynareResults.dr,ModelInfo);
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xparam1 = BayesInfo.p1;
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% Pertubation of the initial condition.
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look_for_admissible_initial_condition = 1; scale = 1.0; iter = 0;
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while look_for_admissible_initial_condition
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xinit = xparam1+scale*randn(size(xparam1));
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if all(xinit(:)>BayesInfo.p3) && all(xinit(:)<BayesInfo.p4)
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ModelInfo = set_all_parameters(xinit,EstimationInfo,ModelInfo);
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[DynareResults.dr,INFO,ModelInfo.params] = resol(0,ModelInfo,DynareOptions,DynareResults.dr,DynareResults.steady_state, DynareResults.exo_steady_state, DynareResults.exo_det_steady_state);
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if ~INFO(1)
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look_for_admissible_initial_condition = 0;
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end
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else
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if iter == 2000
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scale = scale/1.1;
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iter = 0;
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else
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iter = iter+1;
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end
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end
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end
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% Maximization of the prior density
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[xparams, lpd, hessian_mat] = ...
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maximize_prior_density(xinit, BayesInfo.pshape, ...
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BayesInfo.p6, ...
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BayesInfo.p7, ...
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BayesInfo.p3, ...
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BayesInfo.p4,DynareOptions,ModelInfo,BayesInfo,EstimationInfo,DynareResults);
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% Display the results.
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skipline(2)
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disp('------------------')
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disp('PRIOR OPTIMIZATION')
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disp('------------------')
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skipline()
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for i = 1:length(xparams)
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disp(['deep parameter ' int2str(i) ': ' get_the_name(i,0,ModelInfo,EstimationInfo,DynareOptions) '.'])
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disp([' Initial condition ....... ' num2str(xinit(i)) '.'])
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disp([' Prior mode .............. ' num2str(BayesInfo.p5(i)) '.'])
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disp([' Optimized prior mode .... ' num2str(xparams(i)) '.'])
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skipline()
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end
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skipline() |