126 lines
4.3 KiB
Matlab
126 lines
4.3 KiB
Matlab
function homotopy3(values, step_nbr)
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% function homotopy3(values, step_nbr)
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%
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% Implements homotopy (mode 3) for steady-state computation.
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% Tries first the most extreme values. If it fails to compute the steady
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% state, the interval between initial and desired values is divided by two
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% for each parameter. Every time that it is impossible to find a steady
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% state, the previous interval is divided by two. When one succeed to find
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% a steady state, the previous interval is multiplied by two.
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%
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% INPUTS
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% values: a matrix with 4 columns, representing the content of
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% homotopy_setup block, with one variable per line.
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% Column 1 is variable type (1 for exogenous, 2 for
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% exogenous deterministic, 4 for parameters)
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% Column 2 is symbol integer identifier.
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% Column 3 is initial value, and column 4 is final value.
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% Column 3 can contain NaNs, in which case previous
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% initialization of variable will be used as initial value.
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% step_nbr: maximum number of steps to try before aborting
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%
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% OUTPUTS
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% none
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%
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% SPECIAL REQUIREMENTS
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% none
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% Copyright (C) 2008-2009 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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global M_ oo_ options_
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tol = 1e-8;
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nv = size(values,1);
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ip = find(values(:,1) == 4); % Parameters
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ix = find(values(:,1) == 1); % Exogenous
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ixd = find(values(:,1) == 2); % Exogenous deterministic
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if length([ip; ix; ixd]) ~= nv
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error('HOMOTOPY mode 3: incorrect variable types specified')
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end
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% Construct vector of starting values, using previously initialized values
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% when initial value has not been given in homotopy_setup block
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oldvalues = values(:,3);
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ipn = find(values(:,1) == 4 & isnan(oldvalues));
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oldvalues(ipn) = M_.params(values(ipn, 2));
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ixn = find(values(:,1) == 1 & isnan(oldvalues));
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oldvalues(ixn) = oo_.exo_steady_state(values(ixn, 2));
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ixdn = find(values(:,1) == 2 & isnan(oldvalues));
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oldvalues(ixdn) = oo_.exo_det_steady_state(values(ixdn, 2));
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targetvalues = values(:,4);
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if min(abs(targetvalues - oldvalues)) < tol
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error('HOMOTOPY mode 3: distance between initial and final values should be at least %e for all variables', tol)
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end
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iplus = find(targetvalues > oldvalues);
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iminus = find(targetvalues < oldvalues);
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curvalues = oldvalues;
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inc = (targetvalues-oldvalues)/2;
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kplus = [];
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kminus = [];
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disp('HOMOTOPY mode 3: launching solver at initial point...')
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iter = 1;
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while iter < step_nbr
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M_.params(values(ip,2)) = curvalues(ip);
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oo_.exo_steady_state(values(ix,2)) = curvalues(ix);
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oo_.exo_det_steady_state(values(ixd,2)) = curvalues(ixd);
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old_ss = oo_.steady_state;
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try
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steady_(M_,options_,oo_);
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if length([kplus; kminus]) == nv
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return
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end
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if iter == 1
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disp('HOMOTOPY mode 3: successful step, now jumping to final point...')
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else
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disp('HOMOTOPY mode 3: successful step, now multiplying increment by 2...')
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end
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oldvalues = curvalues;
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inc = 2*inc;
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catch E
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disp(E.message)
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disp('HOMOTOPY mode 3: failed step, now dividing increment by 2...')
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inc = inc/2;
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oo_.steady_state = old_ss;
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end
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curvalues = oldvalues + inc;
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kplus = find(curvalues(iplus) >= targetvalues(iplus));
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curvalues(iplus(kplus)) = targetvalues(iplus(kplus));
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kminus = find(curvalues(iminus) <= targetvalues(iminus));
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curvalues(iminus(kminus)) = targetvalues(iminus(kminus));
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if max(abs(inc)) < tol
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error('HOMOTOPY mode 3: failed, increment has become too small')
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end
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iter = iter + 1;
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end
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error('HOMOTOPY mode 3: failed, maximum iterations reached')
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