Commit 44b268ec authored by Sébastien Villemot's avatar Sébastien Villemot
Browse files

Moved qzdiv.m and qzswitch.m to top-level (they are now used by both partial...

Moved qzdiv.m and qzswitch.m to top-level (they are now used by both partial information code and mjdgges.m)
parent cf9f901e
......@@ -30,7 +30,7 @@ Files: matlab/AIM/SP*
Copyright: Public domain
License: Public domain
Files: matlab/bfgsi.m, matlab/qz/qzswitch.m, matlab/qz/qzdiv.m
Files: matlab/bfgsi.m, matlab/qzswitch.m, matlab/qzdiv.m
Copyright: 1993-2007, Christopher Sims
License: GPL-3+
Dynare is free software: you can redistribute it and/or modify
......
function [A,B,Q,Z] = qzdiv(stake,A,B,Q,Z)
%function [A,B,Q,Z] = qzdiv(stake,A,B,Q,Z)
%
% Takes U.T. matrices A, B, orthonormal matrices Q,Z, rearranges them
% so that all cases of abs(B(i,i)/A(i,i))>stake are in lower right
% corner, while preserving U.T. and orthonormal properties and Q'AZ' and
% Q'BZ'.
% Original file downloaded from:
% http://sims.princeton.edu/yftp/gensys/mfiles/qzdiv.m
% Copyright (C) 1993-2007 Christopher Sims
%
% This file is part of Dynare.
%
% Dynare is free software: you can redistribute it and/or modify
% it under the terms of the GNU General Public License as published by
% the Free Software Foundation, either version 3 of the License, or
% (at your option) any later version.
%
% Dynare is distributed in the hope that it will be useful,
% but WITHOUT ANY WARRANTY; without even the implied warranty of
% MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the
% GNU General Public License for more details.
%
% You should have received a copy of the GNU General Public License
% along with Dynare. If not, see <http://www.gnu.org/licenses/>.
[n jnk] = size(A);
root = abs([diag(A) diag(B)]);
root(:,1) = root(:,1)-(root(:,1)<1.e-13).*(root(:,1)+root(:,2));
root(:,2) = root(:,2)./root(:,1);
for i = n:-1:1
m=0;
for j=i:-1:1
if (root(j,2) > stake | root(j,2) < -.1)
m=j;
break
end
end
if (m==0)
return
end
for k=m:1:i-1
[A B Q Z] = qzswitch(k,A,B,Q,Z);
tmp = root(k,2);
root(k,2) = root(k+1,2);
root(k+1,2) = tmp;
end
end
function [A,B,Q,Z] = qzswitch(i,A,B,Q,Z)
%function [A,B,Q,Z] = qzswitch(i,A,B,Q,Z)
%
% Takes U.T. matrices A, B, orthonormal matrices Q,Z, interchanges
% diagonal elements i and i+1 of both A and B, while maintaining
% Q'AZ' and Q'BZ' unchanged. If diagonal elements of A and B
% are zero at matching positions, the returned A will have zeros at both
% positions on the diagonal. This is natural behavior if this routine is used
% to drive all zeros on the diagonal of A to the lower right, but in this case
% the qz transformation is not unique and it is not possible simply to switch
% the positions of the diagonal elements of both A and B.
% Original file downloaded from:
% http://sims.princeton.edu/yftp/gensys/mfiles/qzswitch.m
% Copyright (C) 1993-2007 Christopher Sims
%
% This file is part of Dynare.
%
% Dynare is free software: you can redistribute it and/or modify
% it under the terms of the GNU General Public License as published by
% the Free Software Foundation, either version 3 of the License, or
% (at your option) any later version.
%
% Dynare is distributed in the hope that it will be useful,
% but WITHOUT ANY WARRANTY; without even the implied warranty of
% MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the
% GNU General Public License for more details.
%
% You should have received a copy of the GNU General Public License
% along with Dynare. If not, see <http://www.gnu.org/licenses/>.
realsmall=sqrt(eps)*10;
%realsmall=1e-3;
a = A(i,i); d = B(i,i); b = A(i,i+1); e = B(i,i+1);
c = A(i+1,i+1); f = B(i+1,i+1);
% A(i:i+1,i:i+1)=[a b; 0 c];
% B(i:i+1,i:i+1)=[d e; 0 f];
if (abs(c)<realsmall & abs(f)<realsmall)
if abs(a)<realsmall
% l.r. coincident 0's with u.l. of A=0; do nothing
return
else
% l.r. coincident zeros; put 0 in u.l. of a
wz=[b; -a];
wz=wz/sqrt(wz'*wz);
wz=[wz [wz(2)';-wz(1)'] ];
xy=eye(2);
end
elseif (abs(a)<realsmall & abs(d)<realsmall)
if abs(c)<realsmall
% u.l. coincident zeros with l.r. of A=0; do nothing
return
else
% u.l. coincident zeros; put 0 in l.r. of A
wz=eye(2);
xy=[c -b];
xy=xy/sqrt(xy*xy');
xy=[[xy(2)' -xy(1)'];xy];
end
else
% usual case
wz = [c*e-f*b, (c*d-f*a)'];
xy = [(b*d-e*a)', (c*d-f*a)'];
n = sqrt(wz*wz');
m = sqrt(xy*xy');
if m<eps*100
% all elements of A and B proportional
return
end
wz = n\wz;
xy = m\xy;
wz = [wz; -wz(2)', wz(1)'];
xy = [xy;-xy(2)', xy(1)'];
end
A(i:i+1,:) = xy*A(i:i+1,:);
B(i:i+1,:) = xy*B(i:i+1,:);
A(:,i:i+1) = A(:,i:i+1)*wz;
B(:,i:i+1) = B(:,i:i+1)*wz;
Z(:,i:i+1) = Z(:,i:i+1)*wz;
Q(i:i+1,:) = xy*Q(i:i+1,:);
\ No newline at end of file
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