228 lines
10 KiB
Modula-2
228 lines
10 KiB
Modula-2
% Tests SMM and GMM routines
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%
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% Copyright (C) 2020 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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% =========================================================================
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% Define testscenario
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@#define orderApp = 2
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@#define estimParams = 1
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% Note that we will set the numerical optimization tolerance levels very large to speed up the testsuite
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@#define optimizer = 13
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@#include "RBC_MoM_common.inc"
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shocks;
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var u_a; stderr 0.0072;
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end;
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varobs c iv n;
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@#if estimParams == 0
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estimated_params;
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DELTA, 0.025;
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BETTA, 0.984;
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B, 0.5;
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ETAc, 2;
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ALFA, 0.667;
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RHOA, 0.979;
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stderr u_a, 0.0072;
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end;
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@#endif
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@#if estimParams == 1
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estimated_params;
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DELTA, , 0, 1;
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BETTA, , 0, 1;
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B, , 0, 1;
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ETAc, , 0, 10;
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ALFA, , 0, 1;
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RHOA, , 0, 1;
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stderr u_a, , 0, 1;
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end;
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@#endif
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@#if estimParams == 2
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estimated_params;
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DELTA, 0.025, 0, 1, normal_pdf, 0.02, 0.5;
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BETTA, 0.98, 0, 1, beta_pdf, 0.90, 0.25;
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B, 0.45, 0, 1, normal_pdf, 0.40, 0.5;
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%ETAl, 1, 0, 10, normal_pdf, 0.25, 0.0.1;
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ETAc, 1.8, 0, 10, normal_pdf, 1.80, 0.5;
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ALFA, 0.65, 0, 1, normal_pdf, 0.60, 0.5;
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RHOA, 0.95, 0, 1, normal_pdf, 0.90, 0.5;
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stderr u_a, 0.01, 0, 1, normal_pdf, 0.01, 0.5;
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%THETA, 3.48, 0, 10, normal_pdf, 0.25, 0.0.1;
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end;
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@#endif
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% Simulate data
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%stoch_simul(order=@{orderApp},pruning,nodisplay,nomoments,periods=500);
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%save('RBC_MoM_data_@{orderApp}.mat', options_.varobs{:} );
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%pause(1);
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estimated_params_init(use_calibration);
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end;
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%--------------------------------------------------------------------------
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% Method of Moments Estimation
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%--------------------------------------------------------------------------
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matched_moments;
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c;
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n;
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iv;
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c*c;
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c*iv;
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iv*n;
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iv*iv;
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n*c;
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n*n;
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c*c(-1);
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n*n(-1);
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iv*iv(-1);
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c*c(-3);
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n*n(-3);
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iv*iv(-3);
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c*c(-5);
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n*n(-5);
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iv*iv(-5);
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end;
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% get indices in declaration order
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ic = strmatch('c', M_.endo_names,'exact');
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iiv = strmatch('iv', M_.endo_names,'exact');
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in = strmatch('n', M_.endo_names,'exact');
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% first entry: number of variable in declaration order
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% second entry: lag
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% third entry: power
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matched_moments_ = {
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[ic ] [0 ], [1 ];
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[in ] [0 ], [1 ];
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[iiv ] [0 ], [1 ];
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[ic ic ] [0 0], [1 1];
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[ic iiv] [0 0], [1 1];
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%[ic in ] [0 0], [1 1];
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%[iiv ic ] [0 0], [1 1];
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[in iiv] [0 0], [1 1];
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[iiv iiv] [0 0], [1 1];
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[ic in] [0 0], [1 1];
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%[in iiv] [0 0], [1 1];
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[in in ] [0 0], [1 1];
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[ic ic ] [0 -1], [1 1];
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[in in ] [0 -1], [1 1];
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[iiv iiv] [0 -1], [1 1];
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[ic ic ] [0 -3], [1 1];
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[in in ] [0 -3], [1 1];
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[iiv iiv] [0 -3], [1 1];
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[ic ic ] [0 -5], [1 1];
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[in in ] [0 -5], [1 1];
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[iiv iiv] [0 -5], [1 1];
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};
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if ~isequal(M_.matched_moments,matched_moments_)
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error('Translation to matched_moments-block failed')
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end
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method_of_moments(
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% Necessery options
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mom_method = GMM % method of moments method; possible values: GMM|SMM
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, datafile = 'RBC_Andreasen_Data_2.mat' % name of filename with data
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% Options for both GMM and SMM
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%, bartlett_kernel_lag = 20 % bandwith in optimal weighting matrix
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, order = @{orderApp} % order of Taylor approximation in perturbation
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%, penalized_estimator % use penalized optimization
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%, pruning % use pruned state space system at higher-order
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%, verbose % display and store intermediate estimation results
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, weighting_matrix = ['DIAGONAL','OPTIMAL'] % weighting matrix in moments distance objective function; possible values: OPTIMAL|IDENTITY_MATRIX|DIAGONAL|filename
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%, weighting_matrix_scaling_factor=1
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, additional_optimizer_steps = [13] % vector of additional mode-finders run after mode_compute
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%, prefilter=0 % demean each data series by its empirical mean and use centered moments
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%
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% Options for SMM
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%, bounded_shock_support % trim shocks in simulation to +- 2 stdev
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%, drop = 500 % number of periods dropped at beginning of simulation
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%, seed = 24051986 % seed used in simulations
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%, simulation_multiple = 5 % multiple of the data length used for simulation
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%, burnin = 200
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%
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% General options
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%, dirname = 'MM' % directory in which to store estimation output
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%, graph_format = EPS % specify the file format(s) for graphs saved to disk
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%, nodisplay % do not display the graphs, but still save them to disk
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%, nograph % do not create graphs (which implies that they are not saved to the disk nor displayed)
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%, noprint % do not print stuff to console
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%, plot_priors = 1 % control plotting of priors
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%, prior_trunc = 1e-10 % probability of extreme values of the prior density that is ignored when computing bounds for the parameters
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, TeX % print TeX tables and graphics
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%
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% Data and model options
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%, first_obs = 501 % number of first observation
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%, logdata % if loglinear is set, this option is necessary if the user provides data already in logs, otherwise the log transformation will be applied twice (this may result in complex data)
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%, loglinear % computes a log-linear approximation of the model instead of a linear approximation
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%, nobs = 50 % number of observations
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% , xls_sheet = willi % name of sheet with data in Excel
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% , xls_range = B2:D200 % range of data in Excel sheet
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%
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% Optimization options that can be set by the user in the mod file, otherwise default values are provided
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%, analytic_derivation % uses analytic derivatives to compute standard errors for GMM
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%, huge_number=1D10 % value for replacing the infinite bounds on parameters by finite numbers. Used by some optimizers for numerical reasons
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, mode_compute = 13 % specifies the optimizer for minimization of moments distance, note that by default there is a new optimizer
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, optim = ('TolFun', 1D-6
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,'TolX', 1D-6
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) % a list of NAME and VALUE pairs to set options for the optimization routines. Available options depend on mode_compute
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%, silent_optimizer % run minimization of moments distance silently without displaying results or saving files in between
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, se_tolx = 1e-6 % convergence criterion on funciton input for numerical differentiation
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%
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% % Numerical algorithms options
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%, aim_solver % Use AIM algorithm to compute perturbation approximation
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%, dr=DEFAULT % method used to compute the decision rule; possible values are DEFAULT, CYCLE_REDUCTION, LOGARITHMIC_REDUCTION
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%, dr_cycle_reduction_tol = 1e-7 % convergence criterion used in the cycle reduction algorithm
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%, dr_logarithmic_reduction_maxiter = 100 % maximum number of iterations used in the logarithmic reduction algorithm
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%, dr_logarithmic_reduction_tol = 1e-12 % convergence criterion used in the cycle reduction algorithm
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%, k_order_solver % use k_order_solver in higher order perturbation approximations
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%, lyapunov = DEFAULT % algorithm used to solve lyapunov equations; possible values are DEFAULT, FIXED_POINT, DOUBLING, SQUARE_ROOT_SOLVER
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%, lyapunov_complex_threshold = 1e-15 % complex block threshold for the upper triangular matrix in symmetric Lyapunov equation solver
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%, lyapunov_fixed_point_tol = 1e-10 % convergence criterion used in the fixed point Lyapunov solver
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%, lyapunov_doubling_tol = 1e-16 % convergence criterion used in the doubling algorithm
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%, sylvester = default % algorithm to solve Sylvester equation; possible values are DEFAULT, FIXED_POINT
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%, sylvester_fixed_point_tol = 1e-12 % convergence criterion used in the fixed point Sylvester solver
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%, qz_criterium = 0.999999 % value used to split stable from unstable eigenvalues in reordering the Generalized Schur decomposition used for solving first order problems [IS THIS CORRET @wmutschl]
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%, qz_zero_threshold = 1e-6 % value used to test if a generalized eigenvalue is 0/0 in the generalized Schur decomposition
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, mode_check
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%, mode_check_neighbourhood_size=0.5
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%, mode_check_symmetric_plots=0
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%, mode_check_number_of_points=25
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);
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