146 lines
4.1 KiB
Matlab
146 lines
4.1 KiB
Matlab
function [Da,DP1,DLIK,D2a,D2P,Hesst] = univariate_computeDLIK(k,indx,Z,Zflag,v,K,PZ,F,Da,DYss,DP,DH,notsteady,D2a,D2Yss,D2P)
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% Copyright (C) 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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% AUTHOR(S) marco.ratto@jrc.ec.europa.eu
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persistent DDK DDF DD2K DD2F
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if notsteady,
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if Zflag
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Dv = -Z*Da(:,:) - Z*DYss(:,:);
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DF = zeros(k,1);
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DK = zeros([rows(K),k]);
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for j=1:k,
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DF(j)=Z*DP(:,:,j)*Z'+DH;
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DK(:,j) = (DP(:,:,j)*Z')/F-PZ*DF(j)/F^2;
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end
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if nargout>3
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D2F = zeros(k,k);
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D2v = zeros(k,k);
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D2K = zeros(rows(K),k,k);
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for j=1:k,
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D2v(:,j) = -Z*D2a(:,:,j) - Z*D2Yss(:,:,j);
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for i=j:k,
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D2F(j,i)=Z*D2P(:,:,j,i)*Z';
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D2F(i,j)=D2F(j,i);
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D2K(:,j,i) = (D2P(:,:,j,i)*Z')/F-(DP(:,:,j)*Z')*DF(i)/F^2-(DP(:,:,i)*Z')*DF(j)/F^2- ...
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PZ*D2F(j,i)/F^2 + 2*PZ/F^3*DF(i)*DF(j);
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D2K(:,i,j) = D2K(:,j,i);
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end
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end
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end
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else
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Dv = -Da(Z,:) - DYss(Z,:);
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DF = squeeze(DP(Z,Z,:))+DH';
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DK = squeeze(DP(:,Z,:))/F-PZ*transpose(DF)/F^2;
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if nargout>3
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D2v = squeeze(-D2a(Z,:,:) - D2Yss(Z,:,:));
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D2F = squeeze(D2P(Z,Z,:,:));
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D2K = squeeze(D2P(:,Z,:,:))/F;
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for j=1:k,
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D2K(:,:,j) = D2K(:,:,j) -PZ*D2F(j,:)/F^2 - squeeze(DP(:,Z,:))*DF(j)/F^2 - ...
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squeeze(DP(:,Z,j))*DF'/F^2 + 2/F^3*PZ*DF'*DF(j);
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end
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end
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end
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if nargout>3
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DD2K(:,indx,:,:)=D2K;
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DD2F(indx,:,:)=D2F;
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end
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DDK(:,indx,:)=DK;
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DDF(indx,:)=DF;
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else
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DK = squeeze(DDK(:,indx,:));
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DF = DDF(indx,:)';
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if nargout>3
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D2K = squeeze(DD2K(:,indx,:,:));
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D2F = squeeze(DD2F(indx,:,:));
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end
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if Zflag
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Dv = -Z*Da(:,:) - Z*DYss(:,:);
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if nargout>3
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D2v = zeros(k,k);
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for j=1:k,
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D2v(:,j) = -Z*D2a(:,:,j) - Z*D2Yss(:,:,j);
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end
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end
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else
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Dv = -Da(Z,:) - DYss(Z,:);
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if nargout>3
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D2v = squeeze(-D2a(Z,:,:) - D2Yss(Z,:,:));
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end
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end
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end
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DLIK = DF/F + 2*Dv'/F*v - v^2/F^2*DF;
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if nargout==6
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Hesst = D2F/F-1/F^2*(DF*DF') + 2*D2v/F*v + 2*(Dv'*Dv)/F - 2*(DF*Dv)*v/F^2 ...
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- v^2/F^2*D2F - 2*v/F^2*(Dv'*DF') + 2*v^2/F^3*(DF*DF');
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end
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Da = Da + DK*v+K*Dv;
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if nargout>3
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D2a = D2a + D2K*v;
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for j=1:k,
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% D2a(:,:,j) = D2a(:,:,j) + DK*Dv(j) + DK(:,j)*Dv + K*D2v(j,:);
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for i=1:j,
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D2a(:,j,i) = D2a(:,j,i) + DK(:,i)*Dv(j) + DK(:,j)*Dv(i) + K*D2v(j,i);
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D2a(:,i,j) = D2a(:,j,i);
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end
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end
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end
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if notsteady,
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DP1 = DP*0;
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if Zflag,
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for j=1:k,
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DP1(:,:,j)=DP(:,:,j) - (DP(:,:,j)*Z')*K'-PZ*DK(:,j)';
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end
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else
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for j=1:k,
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DP1(:,:,j)=DP(:,:,j) - (DP(:,Z,j))*K'-PZ*DK(:,j)';
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end
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end
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if nargout>3,
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if Zflag,
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for j=1:k,
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D2P = D2P;
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end
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else
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D2PZ = squeeze(D2P(:,Z,:,:));
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DPZ = squeeze(DP(:,Z,:));
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for j=1:k,
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for i=j:k,
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D2P(:,:,j,i) = D2P(:,:,j,i) - D2PZ(:,j,i)*K' - DPZ(:,j)*DK(:,i)'- DPZ(:,i)*DK(:,j)' - PZ*squeeze(D2K(:,j,i))';
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D2P(:,:,i,j) = D2P(:,:,j,i);
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end
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end
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end
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end
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else
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DP1=DP;
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end
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