Commit 45d85f19 authored by Stéphane Adjemian's avatar Stéphane Adjemian
Browse files

Added options for non linear filters + Cosmetic changes.

parent 29cf9c41
......@@ -111,36 +111,75 @@ options_.SpectralDensity = 0;
% Extended path options
%
% Set verbose mode
options_.ep.verbosity = 0;
ep.verbosity = 0;
% Initialization of the perfect foresight equilibrium paths
% * init=0, previous solution is used.
% * init=1, a path generated with the first order reduced form is used.
% * init=2, mix of cases 0 and 1.
options_.ep.init = 0;
ep.init = 0;
% Maximum number of iterations for the deterministic solver.
options_.ep.maxit = 500;
ep.maxit = 500;
% Number of periods for the perfect foresight model.
options_.ep.periods = 200;
ep.periods = 200;
% Default step for increasing the number of periods if needed
options_.ep.step = 50;
ep.step = 50;
% Define last periods used to test if the solution is stable with respect to an increase in the number of periods.
options_.ep.lp = 5;
ep.lp = 5;
% Define first periods used to test if the solution is stable with respect to an increase in the number of periods.
options_.ep.fp = 100;
ep.fp = 100;
% Define the distribution for the structural innovations.
options_.ep.innovation_distribution = 'gaussian';
ep.innovation_distribution = 'gaussian';
% Set flag for the seed
options_.ep.set_dynare_seed_to_default = 1;
ep.set_dynare_seed_to_default = 1;
% Set algorithm for the perfect foresight solver
options_.ep.stack_solve_algo = 4;
ep.stack_solve_algo = 4;
% Stochastic extended path related options.
options_.ep.stochastic.status = 0;
options_.ep.stochastic.method = 'tensor';
options_.ep.stochastic.order = 1;
options_.ep.stochastic.nodes = 5;
options_.ep.stochastic.pruned.status = 0;
options_.ep.stochastic.pruned.relative = 1e-5;
options_.ep.stochastic.pruned.level = 1e-5;
ep.stochastic.status = 0;
ep.stochastic.method = 'tensor';
ep.stochastic.order = 1;
ep.stochastic.nodes = 5;
ep.stochastic.pruned.status = 0;
ep.stochastic.pruned.relative = 1e-5;
ep.stochastic.pruned.level = 1e-5;
% Copy ep structure in options_ global structure
options_.ep = ep;
% Particle filter
%
% Default is that we do not use the non linear kalman filter
particle.status = 0;
% How do we initialize the states?
particle.initialization = 1;
particle_filter.initial_state_prior_std = .0001;
% Set the default order of approximation of the model (perturbation).
particle_filter.perturbation = 2;
% Set the default number of particles.
particle_filter.number_of_particles = 500;
% Set the default approximation order (Smolyak)
particle_filter.smolyak_accuracy = 3;
% By default we don't use pruning
particle_filter.pruning = 0;
% Set default algorithm
particle_filter.algorithm = 'sequential_importance_particle_filter';
% Set the Gaussian approximation method
particle_filter.approximation_method = 'unscented';
% Set unscented parameters alpha, beta and kappa for gaussian approximation
particle_filter.unscented.alpha = 1 ;
particle_filter.unscented.beta = 2 ;
particle_filter.unscented.kappa = 1 ;
% Configuration of resampling in case of particles
particle_filter.resampling = 'systematic' ;
% Choice of the resampling method
particle_filter.resampling_method = 'traditional' ;
% Configuration of the mixture filters
particle_filter.mixture_method = 'particles' ;
% Size of the different mixtures
particle_filter.mixture_state_variables = 5 ;
particle_filter.mixture_structural_shocks = 1 ;
particle_filter.mixture_measurement_shocks = 1 ;
% Copy ep structure in options_ global structure
options_.particle = particle;
% TeX output
options_.TeX = 0;
......
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