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Dóra Kocsis
dynare
Commits
0a5909f1
Commit
0a5909f1
authored
Sep 19, 2012
by
MichelJuillard
Browse files
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Downloads
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Plain Diff
fixed bug with deterministic exogenous variables at order==2 (moved
all relevant code to stochastic_solvers.m)
parent
c29fa9d8
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No related merge requests found
Changes
2
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2 changed files
matlab/dyn_second_order_solver.m
+0
-51
0 additions, 51 deletions
matlab/dyn_second_order_solver.m
matlab/stochastic_solvers.m
+74
-14
74 additions, 14 deletions
matlab/stochastic_solvers.m
with
74 additions
and
65 deletions
matlab/dyn_second_order_solver.m
+
0
−
51
View file @
0a5909f1
...
...
@@ -105,7 +105,6 @@ function dr = dyn_second_order_solver(jacobia,hessian,dr,M_,threads_ABC,threads_
%
Jacobian
with
respect
to
the
variables
with
the
highest
lead
fyp
=
jacobia
(
:
,
kstate
(
k1
,
3
)
+
nnz
(
M_
.
lead_lag_incidence
(
M_
.
maximum_endo_lag
+
1
,
:
)));
B
(
:
,
nstatic
+
npred
-
dr
.
nboth
+
1
:
end
)
=
fyp
;
gx1
=
dr
.
ghx
;
[
junk
,
k1
,
k2
]
=
find
(
M_
.
lead_lag_incidence
(
M_
.
maximum_endo_lag
+
M_
.
maximum_endo_lead
+
1
,
order_var
));
A
(
1
:
M_
.
endo_nbr
,
nstatic
+
1
:
nstatic
+
npred
)
=
...
A
(
1
:
M_
.
endo_nbr
,
nstatic
+
[
1
:
npred
])
+
fyp
*
gx1
(
k1
,
1
:
npred
);
...
...
@@ -185,54 +184,4 @@ function dr = dyn_second_order_solver(jacobia,hessian,dr,M_,threads_ABC,threads_
%
deterministic
exogenous
variables
if
M_
.
exo_det_nbr
>
0
hud
=
dr
.
ghud
{
1
}(
nstatic
+
1
:
nstatic
+
npred
,
:
);
zud
=
[
zeros
(
np
,
M_
.
exo_det_nbr
)
;
dr
.
ghud
{
1
}
;
gx
(
:
,
1
:
npred
)
*
hud
;
zeros
(
M_
.
exo_nbr
,
M_
.
exo_det_nbr
);
eye
(
M_
.
exo_det_nbr
)];
R1
=
hessian
*
kron
(
zx
,
zud
);
dr
.
ghxud
=
cell
(
M_
.
exo_det_length
,
1
);
kf
=
[
M_
.
endo_nbr
-
nyf
+
1
:
M_
.
endo_nbr
];
kp
=
nstatic
+
[
1
:
npred
];
dr
.
ghxud
{
1
}
=
-
M1
*
(
R1
+
f1
*
dr
.
ghxx
(
kf
,
:
)
*
kron
(
dr
.
ghx
(
kp
,
:
),
dr
.
ghud
{
1
}(
kp
,
:
)));
Eud
=
eye
(
M_
.
exo_det_nbr
);
for
i
=
2
:
M_
.
exo_det_length
hudi
=
dr
.
ghud
{
i
}(
kp
,
:
);
zudi
=
[
zeros
(
np
,
M_
.
exo_det_nbr
)
;
dr
.
ghud
{
i
}
;
gx
(
:
,
1
:
npred
)
*
hudi
;
zeros
(
M_
.
exo_nbr
+
M_
.
exo_det_nbr
,
M_
.
exo_det_nbr
)];
R2
=
hessian
*
kron
(
zx
,
zudi
);
dr
.
ghxud
{
i
}
=
-
M2
*
(
dr
.
ghxud
{
i
-
1
}(
kf
,
:
)
*
kron
(
Gy
,
Eud
)
+
dr
.
ghxx
(
kf
,
:
)
*
kron
(
dr
.
ghx
(
kp
,
:
),
dr
.
ghud
{
i
}(
kp
,
:
)))
-
M1
*
R2
;
end
R1
=
hessian
*
kron
(
zu
,
zud
);
dr
.
ghudud
=
cell
(
M_
.
exo_det_length
,
1
);
kf
=
[
M_
.
endo_nbr
-
nyf
+
1
:
M_
.
endo_nbr
];
dr
.
ghuud
{
1
}
=
-
M1
*
(
R1
+
f1
*
dr
.
ghxx
(
kf
,
:
)
*
kron
(
dr
.
ghu
(
kp
,
:
),
dr
.
ghud
{
1
}(
kp
,
:
)));
Eud
=
eye
(
M_
.
exo_det_nbr
);
for
i
=
2
:
M_
.
exo_det_length
hudi
=
dr
.
ghud
{
i
}(
kp
,
:
);
zudi
=
[
zeros
(
np
,
M_
.
exo_det_nbr
)
;
dr
.
ghud
{
i
}
;
gx
(
:
,
1
:
npred
)
*
hudi
;
zeros
(
M_
.
exo_nbr
+
M_
.
exo_det_nbr
,
M_
.
exo_det_nbr
)];
R2
=
hessian
*
kron
(
zu
,
zudi
);
dr
.
ghuud
{
i
}
=
-
M2
*
dr
.
ghxud
{
i
-
1
}(
kf
,
:
)
*
kron
(
hu
,
Eud
)
-
M1
*
R2
;
end
R1
=
hessian
*
kron
(
zud
,
zud
);
dr
.
ghudud
=
cell
(
M_
.
exo_det_length
,
M_
.
exo_det_length
);
dr
.
ghudud
{
1
,
1
}
=
-
M1
*
R1
-
M2
*
dr
.
ghxx
(
kf
,
:
)
*
kron
(
hud
,
hud
);
for
i
=
2
:
M_
.
exo_det_length
hudi
=
dr
.
ghud
{
i
}(
nstatic
+
1
:
nstatic
+
npred
,
:
);
zudi
=
[
zeros
(
np
,
M_
.
exo_det_nbr
)
;
dr
.
ghud
{
i
}
;
gx
(
:
,
1
:
npred
)
*
hudi
+
dr
.
ghud
{
i
-
1
}(
kf
,
:
);
zeros
(
M_
.
exo_nbr
+
M_
.
exo_det_nbr
,
M_
.
exo_det_nbr
)];
R2
=
hessian
*
kron
(
zudi
,
zudi
);
dr
.
ghudud
{
i
,
i
}
=
-
M2
*
(
dr
.
ghudud
{
i
-
1
,
i
-
1
}(
kf
,
:
)
+
...
2
*
dr
.
ghxud
{
i
-
1
}(
kf
,
:
)
*
kron
(
hudi
,
Eud
)
...
+
dr
.
ghxx
(
kf
,
:
)
*
kron
(
hudi
,
hudi
))
-
M1
*
R2
;
R2
=
hessian
*
kron
(
zud
,
zudi
);
dr
.
ghudud
{
1
,
i
}
=
-
M2
*
(
dr
.
ghxud
{
i
-
1
}(
kf
,
:
)
*
kron
(
hud
,
Eud
)
+
...
dr
.
ghxx
(
kf
,
:
)
*
kron
(
hud
,
hudi
))...
-
M1
*
R2
;
for
j
=
2
:
i
-
1
hudj
=
dr
.
ghud
{
j
}(
kp
,
:
);
zudj
=
[
zeros
(
np
,
M_
.
exo_det_nbr
)
;
dr
.
ghud
{
j
}
;
gx
(
:
,
1
:
npred
)
*
hudj
;
zeros
(
M_
.
exo_nbr
+
M_
.
exo_det_nbr
,
M_
.
exo_det_nbr
)];
R2
=
hessian
*
kron
(
zudj
,
zudi
);
dr
.
ghudud
{
j
,
i
}
=
-
M2
*
(
dr
.
ghudud
{
j
-
1
,
i
-
1
}(
kf
,
:
)
+
dr
.
ghxud
{
j
-
1
}(
kf
,
:
)
*
...
kron
(
hudi
,
Eud
)
+
dr
.
ghxud
{
i
-
1
}(
kf
,
:
)
*
...
kron
(
hudj
,
Eud
)
+
dr
.
ghxx
(
kf
,
:
)
*
kron
(
hudj
,
hudi
))
-
M1
*
R2
;
end
end
end
This diff is collapsed.
Click to expand it.
matlab/stochastic_solvers.m
+
74
−
14
View file @
0a5909f1
...
...
@@ -182,25 +182,85 @@ else
end
end
if
options_
.
order
>
1
% Second order
dr
=
dyn_second_order_solver
(
jacobia_
,
hessian1
,
dr
,
M_
,
...
options_
.
threads
.
kronecker
.
A_times_B_kronecker_C
,
...
options_
.
threads
.
kronecker
.
sparse_hessian_times_B_kronecker_C
);
end
end
%exogenous deterministic variables
if
M_
.
exo_det_nbr
>
0
gx
=
dr
.
gx
;
f1
=
sparse
(
jacobia_
(:,
nonzeros
(
M_
.
lead_lag_incidence
(
M_
.
maximum_endo_lag
+
2
:
end
,
order_var
))));
f0
=
sparse
(
jacobia_
(:,
nonzeros
(
M_
.
lead_lag_incidence
(
M_
.
maximum_endo_lag
+
1
,
order_var
))));
fudet
=
sparse
(
jacobia_
(:,
nz
+
M_
.
exo_nbr
+
1
:
end
));
M1
=
inv
(
f0
+
[
zeros
(
M_
.
endo_nbr
,
nstatic
)
f1
*
dr
.
gx
zeros
(
M_
.
endo_nbr
,
nfwrds
-
nboth
)]);
M1
=
inv
(
f0
+
[
zeros
(
M_
.
endo_nbr
,
nstatic
)
f1
*
gx
zeros
(
M_
.
endo_nbr
,
nfwrds
-
nboth
)]);
M2
=
M1
*
f1
;
dr
.
ghud
=
cell
(
M_
.
exo_det_length
,
1
);
dr
.
ghud
{
1
}
=
-
M1
*
fudet
;
for
i
=
2
:
M_
.
exo_det_length
dr
.
ghud
{
i
}
=
-
M2
*
dr
.
ghud
{
i
-
1
}(
end
-
nfwrds
+
1
:
end
,:);
end
end
if
options_
.
order
>
1
% Second order
dr
=
dyn_second_order_solver
(
jacobia_
,
hessian1
,
dr
,
M_
,
...
options_
.
threads
.
kronecker
.
A_times_B_kronecker_C
,
...
options_
.
threads
.
kronecker
.
sparse_hessian_times_B_kronecker_C
);
lead_lag_incidence
=
M_
.
lead_lag_incidence
;
k0
=
find
(
lead_lag_incidence
(
M_
.
maximum_endo_lag
+
1
,
order_var
)
'
);
k1
=
find
(
lead_lag_incidence
(
M_
.
maximum_endo_lag
+
2
,
order_var
)
'
);
hu
=
dr
.
ghu
(
nstatic
+
[
1
:
npred
],:);
hud
=
dr
.
ghud
{
1
}(
nstatic
+
1
:
nstatic
+
npred
,:);
zx
=
[
eye
(
npred
);
dr
.
ghx
(
k0
,:);
gx
*
dr
.
Gy
;
zeros
(
M_
.
exo_nbr
+
M_
.
exo_det_nbr
,
...
npred
)];
zu
=
[
zeros
(
npred
,
M_
.
exo_nbr
);
dr
.
ghu
(
k0
,:);
gx
*
hu
;
zeros
(
M_
.
exo_nbr
+
M_
.
exo_det_nbr
,
...
M_
.
exo_nbr
)];
zud
=
[
zeros
(
npred
,
M_
.
exo_det_nbr
);
dr
.
ghud
{
1
};
gx
(:,
1
:
npred
)
*
hud
;
zeros
(
M_
.
exo_nbr
,
M_
.
exo_det_nbr
);
eye
(
M_
.
exo_det_nbr
)];
R1
=
hessian1
*
kron
(
zx
,
zud
);
dr
.
ghxud
=
cell
(
M_
.
exo_det_length
,
1
);
kf
=
[
M_
.
endo_nbr
-
nfwrd
-
nboth
+
1
:
M_
.
endo_nbr
];
kp
=
nstatic
+
[
1
:
npred
];
dr
.
ghxud
{
1
}
=
-
M1
*
(
R1
+
f1
*
dr
.
ghxx
(
kf
,:)
*
kron
(
dr
.
ghx
(
kp
,:),
dr
.
ghud
{
1
}(
kp
,:)));
Eud
=
eye
(
M_
.
exo_det_nbr
);
for
i
=
2
:
M_
.
exo_det_length
hudi
=
dr
.
ghud
{
i
}(
kp
,:);
zudi
=
[
zeros
(
npred
,
M_
.
exo_det_nbr
);
dr
.
ghud
{
i
};
gx
(:,
1
:
npred
)
*
hudi
;
zeros
(
M_
.
exo_nbr
+
M_
.
exo_det_nbr
,
M_
.
exo_det_nbr
)];
R2
=
hessian1
*
kron
(
zx
,
zudi
);
dr
.
ghxud
{
i
}
=
-
M2
*
(
dr
.
ghxud
{
i
-
1
}(
kf
,:)
*
kron
(
dr
.
Gy
,
Eud
)
+
dr
.
ghxx
(
kf
,:)
*
kron
(
dr
.
ghx
(
kp
,:),
dr
.
ghud
{
i
}(
kp
,:)))
-
M1
*
R2
;
end
R1
=
hessian1
*
kron
(
zu
,
zud
);
dr
.
ghudud
=
cell
(
M_
.
exo_det_length
,
1
);
dr
.
ghuud
{
1
}
=
-
M1
*
(
R1
+
f1
*
dr
.
ghxx
(
kf
,:)
*
kron
(
dr
.
ghu
(
kp
,:),
dr
.
ghud
{
1
}(
kp
,:)));
Eud
=
eye
(
M_
.
exo_det_nbr
);
for
i
=
2
:
M_
.
exo_det_length
hudi
=
dr
.
ghud
{
i
}(
kp
,:);
zudi
=
[
zeros
(
npred
,
M_
.
exo_det_nbr
);
dr
.
ghud
{
i
};
gx
(:,
1
:
npred
)
*
hudi
;
zeros
(
M_
.
exo_nbr
+
M_
.
exo_det_nbr
,
M_
.
exo_det_nbr
)];
R2
=
hessian1
*
kron
(
zu
,
zudi
);
dr
.
ghuud
{
i
}
=
-
M2
*
dr
.
ghxud
{
i
-
1
}(
kf
,:)
*
kron
(
hu
,
Eud
)
-
M1
*
R2
;
end
R1
=
hessian1
*
kron
(
zud
,
zud
);
dr
.
ghudud
=
cell
(
M_
.
exo_det_length
,
M_
.
exo_det_length
);
dr
.
ghudud
{
1
,
1
}
=
-
M1
*
R1
-
M2
*
dr
.
ghxx
(
kf
,:)
*
kron
(
hud
,
hud
);
for
i
=
2
:
M_
.
exo_det_length
hudi
=
dr
.
ghud
{
i
}(
nstatic
+
1
:
nstatic
+
npred
,:);
zudi
=
[
zeros
(
npred
,
M_
.
exo_det_nbr
);
dr
.
ghud
{
i
};
gx
(:,
1
:
npred
)
*
hudi
+
dr
.
ghud
{
i
-
1
}(
kf
,:);
zeros
(
M_
.
exo_nbr
+
M_
.
exo_det_nbr
,
M_
.
exo_det_nbr
)];
R2
=
hessian1
*
kron
(
zudi
,
zudi
);
dr
.
ghudud
{
i
,
i
}
=
-
M2
*
(
dr
.
ghudud
{
i
-
1
,
i
-
1
}(
kf
,:)
+
...
2
*
dr
.
ghxud
{
i
-
1
}(
kf
,:)
*
kron
(
hudi
,
Eud
)
...
+
dr
.
ghxx
(
kf
,:)
*
kron
(
hudi
,
hudi
))
-
M1
*
R2
;
R2
=
hessian1
*
kron
(
zud
,
zudi
);
dr
.
ghudud
{
1
,
i
}
=
-
M2
*
(
dr
.
ghxud
{
i
-
1
}(
kf
,:)
*
kron
(
hud
,
Eud
)
+
...
dr
.
ghxx
(
kf
,:)
*
kron
(
hud
,
hudi
))
...
-
M1
*
R2
;
for
j
=
2
:
i
-
1
hudj
=
dr
.
ghud
{
j
}(
kp
,:);
zudj
=
[
zeros
(
npred
,
M_
.
exo_det_nbr
);
dr
.
ghud
{
j
};
gx
(:,
1
:
npred
)
*
hudj
;
zeros
(
M_
.
exo_nbr
+
M_
.
exo_det_nbr
,
M_
.
exo_det_nbr
)];
R2
=
hessian1
*
kron
(
zudj
,
zudi
);
dr
.
ghudud
{
j
,
i
}
=
-
M2
*
(
dr
.
ghudud
{
j
-
1
,
i
-
1
}(
kf
,:)
+
dr
.
ghxud
{
j
-
1
}(
kf
,:)
*
...
kron
(
hudi
,
Eud
)
+
dr
.
ghxud
{
i
-
1
}(
kf
,:)
*
...
kron
(
hudj
,
Eud
)
+
dr
.
ghxx
(
kf
,:)
*
kron
(
hudj
,
hudi
))
-
M1
*
R2
;
end
end
end
end
...
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