From 2f23604824cfa9a177f5ed1c2bc4018702470d6d Mon Sep 17 00:00:00 2001
From: Marco Ratto <marco.ratto@ec.europa.eu>
Date: Fri, 28 Oct 2022 13:02:57 +0200
Subject: [PATCH] new option max_check_ahead_periods (renaming old undocumented
option max_periods), that truncates the number of periods for which agents
check ahead the regime (a sort of myopic behavior beyond
max_check_ahead_periods), the option is valid for simul, smoother and
likelihood.
---
matlab/+occbin/DSGE_smoother.m | 1 +
matlab/+occbin/IVF_core.m | 1 +
matlab/+occbin/set_default_options.m | 4 +++-
matlab/+occbin/setup.m | 6 +++---
matlab/+occbin/solve_one_constraint.m | 12 ++++++------
matlab/+occbin/solve_two_constraints.m | 26 +++++++++++++++-----------
matlab/+occbin/solver.m | 6 ++++++
matlab/dsge_likelihood.m | 1 +
8 files changed, 36 insertions(+), 21 deletions(-)
diff --git a/matlab/+occbin/DSGE_smoother.m b/matlab/+occbin/DSGE_smoother.m
index 2a5d919d53..386337edae 100644
--- a/matlab/+occbin/DSGE_smoother.m
+++ b/matlab/+occbin/DSGE_smoother.m
@@ -106,6 +106,7 @@ opts_simul.maxit = options_.occbin.smoother.maxit;
opts_simul.waitbar = options_.occbin.smoother.waitbar;
opts_simul.periods = options_.occbin.smoother.periods;
opts_simul.check_ahead_periods = options_.occbin.smoother.check_ahead_periods;
+opts_simul.max_check_ahead_periods = options_.occbin.smoother.max_check_ahead_periods;
opts_simul.periodic_solution = options_.occbin.smoother.periodic_solution;
opts_simul.full_output = options_.occbin.smoother.full_output;
opts_simul.piecewise_only = options_.occbin.smoother.piecewise_only;
diff --git a/matlab/+occbin/IVF_core.m b/matlab/+occbin/IVF_core.m
index b9e96622bc..efc3f6e844 100644
--- a/matlab/+occbin/IVF_core.m
+++ b/matlab/+occbin/IVF_core.m
@@ -57,6 +57,7 @@ opts_simul.maxit = options_.occbin.likelihood.maxit;
opts_simul.waitbar = false;
opts_simul.periods = options_.occbin.likelihood.periods;
opts_simul.check_ahead_periods = options_.occbin.likelihood.check_ahead_periods;
+opts_simul.max_check_ahead_periods = options_.occbin.likelihood.max_check_ahead_periods;
opts_simul.periodic_solution = options_.occbin.likelihood.periodic_solution;
opts_simul.restrict_state_space = options_.occbin.likelihood.restrict_state_space;
opts_simul.piecewise_only = 1;
diff --git a/matlab/+occbin/set_default_options.m b/matlab/+occbin/set_default_options.m
index 0b34a2eca8..17e74a3234 100644
--- a/matlab/+occbin/set_default_options.m
+++ b/matlab/+occbin/set_default_options.m
@@ -76,6 +76,7 @@ if ismember(flag,{'likelihood','all'})
options_occbin_.likelihood.IVF_shock_observable_mapping = [];
options_occbin_.likelihood.maxit = 30; % this is for occbin solver algo
options_occbin_.likelihood.max_number_of_iterations = 10; % this is for occbin_kalman_update loop
+ options_occbin_.likelihood.max_check_ahead_periods=inf;
options_occbin_.likelihood.periods = 100;
options_occbin_.likelihood.check_ahead_periods=200;
options_occbin_.likelihood.periodic_solution=false;
@@ -170,7 +171,7 @@ if ismember(flag,{'simul','all'})
options_occbin_.simul.init_binding_indicator=false(0);
options_occbin_.simul.exo_pos=1:M_.exo_nbr;
options_occbin_.simul.maxit=30;
- options_occbin_.simul.max_periods=inf;
+ options_occbin_.simul.max_check_ahead_periods=inf;
options_occbin_.simul.periods=100;
options_occbin_.simul.check_ahead_periods=200;
options_occbin_.simul.periodic_solution=false;
@@ -194,6 +195,7 @@ if ismember(flag,{'smoother','all'})
options_occbin_.smoother.inversion_filter = false;
options_occbin_.smoother.linear_smoother = true;
options_occbin_.smoother.maxit = 30; % this is for occbin solver algo
+ options_occbin_.smoother.max_check_ahead_periods=inf;
options_occbin_.smoother.max_number_of_iterations = 10; % this is for smoother loop
options_occbin_.smoother.periods = 100;
options_occbin_.smoother.check_ahead_periods=200;
diff --git a/matlab/+occbin/setup.m b/matlab/+occbin/setup.m
index 7c4749623f..a050ee787b 100644
--- a/matlab/+occbin/setup.m
+++ b/matlab/+occbin/setup.m
@@ -2,12 +2,12 @@ function [M_, options_] = setup(M_,options_, options_occbin_)
% function [M_, options_] = setup(M_, options_, options_occbin_)
% Sets up run of Occbin: creates shock matrix, sets options
%
-% INPUT:
+% INPUT:
% - M_ [structure] Matlab's structure describing the model
% - options_ [structure] Matlab's structure containing the options
% - options_occbin_ [structure] Matlab's structure containing Occbin options
%
-% OUTPUT:
+% OUTPUT:
% - M_ [structure] Matlab's structure describing the model
% - options_occbin_ [structure] Matlab's structure containing Occbin options
@@ -55,7 +55,7 @@ if isfield(M_,'surprise_shocks') && ~isempty(M_.surprise_shocks)
for ii = 1:length(M_.surprise_shocks)
ivar = M_.surprise_shocks(ii).exo_id;
temp(M_.surprise_shocks(ii).periods,ivar) = M_.surprise_shocks(ii).value;
- end
+ end
shock_index=~all(temp==0,1);
options_.occbin.simul.SHOCKS=temp(:,shock_index);
options_.occbin.simul.exo_pos=find(shock_index);
diff --git a/matlab/+occbin/solve_one_constraint.m b/matlab/+occbin/solve_one_constraint.m
index bf44f4ce26..0fa13a1fc0 100644
--- a/matlab/+occbin/solve_one_constraint.m
+++ b/matlab/+occbin/solve_one_constraint.m
@@ -139,14 +139,14 @@ for shock_period = 1:n_shocks_periods
while (regime_change_this_iteration && iter<max_iter && ~is_periodic && ~is_periodic_loop)
iter = iter +1;
- if binding_indicator(end) && nperiods_0<opts_simul_.max_periods
+ if binding_indicator(end) && nperiods_0<opts_simul_.max_check_ahead_periods
binding_indicator = [binding_indicator; false ];
nperiods_0 = nperiods_0 + 1;
nperiods_endogenously_increased = true;
disp_verbose(['nperiods has been endogenously increased up to ' int2str(nperiods_0) '.'],opts_simul_.debug)
- elseif nperiods_0>=opts_simul_.max_periods
- % enforce endogenously increased nperiods to not violate max_periods
- binding_indicator = binding_indicator(1:opts_simul_.max_periods+1);
+ elseif nperiods_0>=opts_simul_.max_check_ahead_periods
+ % enforce endogenously increased nperiods to not violate max_check_ahead_periods
+ binding_indicator = binding_indicator(1:opts_simul_.max_check_ahead_periods+1);
binding_indicator(end)=false;
end
if length(binding_indicator)<(nperiods_0 + 1)
@@ -192,8 +192,8 @@ for shock_period = 1:n_shocks_periods
[binding, relax, err]=feval([M_.fname,'.occbin_difference'],zdatalinear_+repmat(dr_base.ys',size(zdatalinear_,1),1),M_.params,dr_base.ys);
- if ~isinf(opts_simul_.max_periods) && opts_simul_.max_periods<length(binding_indicator)
- end_periods = opts_simul_.max_periods;
+ if ~isinf(opts_simul_.max_check_ahead_periods) && opts_simul_.max_check_ahead_periods<length(binding_indicator)
+ end_periods = opts_simul_.max_check_ahead_periods;
else
end_periods = length(binding_indicator);
end
diff --git a/matlab/+occbin/solve_two_constraints.m b/matlab/+occbin/solve_two_constraints.m
index 77514f2733..17d83ab59b 100644
--- a/matlab/+occbin/solve_two_constraints.m
+++ b/matlab/+occbin/solve_two_constraints.m
@@ -147,17 +147,21 @@ for shock_period = 1:n_shocks_periods
while (regime_change_this_iteration && iter<max_iter && ~is_periodic && ~is_periodic_loop)
iter = iter +1;
- if any(binding_indicator(end,:)) && nperiods_0<opts_simul_.max_periods
+ if any(binding_indicator(end,:)) && nperiods_0<opts_simul_.max_check_ahead_periods
binding_indicator = [binding_indicator; false(1,2)];
nperiods_0 = nperiods_0 + 1;
nperiods_endogenously_increased = true;
disp_verbose(['nperiods has been endogenously increased up to ' int2str(nperiods_0) '.'],opts_simul_.debug)
- elseif nperiods_0>=opts_simul_.max_periods
- % enforce endogenously increased nperiods to not violate max_periods
- binding_indicator = binding_indicator(1:opts_simul_.max_periods+1,:);
+ elseif nperiods_0>=opts_simul_.max_check_ahead_periods
+ % enforce endogenously increased nperiods to not violate max_check_ahead_periods
+ binding_indicator = binding_indicator(1:opts_simul_.max_check_ahead_periods+1,:);
binding_indicator(end,:)=false(1,2);
end
if size(binding_indicator,1)<(nperiods_0 + 1)
+ % to ensure the simulation is run for the required nperiods
+ % even beyond max_check_ahead_periods: the latter controls check ahead periods
+ % and NOT how many periods we simulate after we are back to
+ % unconstrained regime (nperiods_0)
binding_indicator=[binding_indicator; false(nperiods_0 + 1-size(binding_indicator,1),2)];
end
binding_indicator_history{iter}=binding_indicator;
@@ -210,13 +214,13 @@ for shock_period = 1:n_shocks_periods
[binding, relax, err]=feval([M_.fname,'.occbin_difference'],zdatalinear_+repmat(dr.ys',size(zdatalinear_,1),1),M_.params,dr.ys);
- if ~isinf(opts_simul_.max_periods) && opts_simul_.max_periods<length(binding_indicator)
- end_periods = opts_simul_.max_periods;
+ if ~isinf(opts_simul_.max_check_ahead_periods) && opts_simul_.max_check_ahead_periods<length(binding_indicator)
+ end_periods = opts_simul_.max_check_ahead_periods;
else
end_periods = length(binding_indicator);
end
- binding_constraint_new=[binding.constraint_1(1:end_periods);binding.constraint_2(1:end_periods)];
- relaxed_constraint_new = [relax.constraint_1(1:end_periods);relax.constraint_2(1:end_periods)];
+ binding_constraint_new=[binding.constraint_1(1:end_periods); binding.constraint_2(1:end_periods)];
+ relaxed_constraint_new = [relax.constraint_1(1:end_periods); relax.constraint_2(1:end_periods)];
my_binding_indicator = binding_indicator(1:end_periods,:);
err_binding_constraint_new = [err.binding_constraint_1(1:end_periods); err.binding_constraint_2(1:end_periods)];
@@ -248,7 +252,7 @@ for shock_period = 1:n_shocks_periods
end
binding_indicator = (binding_indicator(:) | binding_constraint_new) & ~ retrench;
else
- binding_indicator= (binding_indicator(:) | binding_constraint_new) & ~(binding_indicator(:) & relaxed_constraint_new);
+ binding_indicator = (binding_indicator(:) | binding_constraint_new) & ~(binding_indicator(:) & relaxed_constraint_new);
end
binding_indicator = reshape(binding_indicator,nperiods_0+1,2);
@@ -346,8 +350,8 @@ for shock_period = 1:n_shocks_periods
disp_verbose('Did not converge -- infinite loop of guess regimes.',opts_simul_.debug)
error_flag = 313;
else
- disp_verbose('Did not converge -- increase maxit.',opts_simul_.debug)
- error_flag = 311;
+ disp_verbose('Did not converge -- increase maxit.',opts_simul_.debug)
+ error_flag = 311;
end
if opts_simul_.waitbar; dyn_waitbar_close(hh); end
return;
diff --git a/matlab/+occbin/solver.m b/matlab/+occbin/solver.m
index 2d9be14053..9dd44f88fa 100644
--- a/matlab/+occbin/solver.m
+++ b/matlab/+occbin/solver.m
@@ -68,6 +68,12 @@ else
oo_.dr=sto_dr;
end
+if options_.occbin.simul.check_ahead_periods>options_.occbin.simul.max_check_ahead_periods
+ options_.occbin.simul.check_ahead_periods=options_.occbin.simul.max_check_ahead_periods;
+ disp(['occbin::options::' simul '_check_ahead_periods cannot exceed ' simul '_max_check_ahead_periods'])
+ disp(['occbin::options::' simul '_check_ahead_periods is re-set to be equal to ' simul '_max_check_ahead_periods'])
+end
+
if M_.occbin.constraint_nbr==1
[out, ss, error_flag ] = occbin.solve_one_constraint(M_,oo_.dr,options_.occbin.simul,solve_dr);
elseif M_.occbin.constraint_nbr==2
diff --git a/matlab/dsge_likelihood.m b/matlab/dsge_likelihood.m
index 72395f1667..e6fcd04f9d 100644
--- a/matlab/dsge_likelihood.m
+++ b/matlab/dsge_likelihood.m
@@ -976,6 +976,7 @@ occbin_options.opts_simul.curb_retrench = DynareOptions.occbin.likelihood.curb_r
occbin_options.opts_simul.maxit = DynareOptions.occbin.likelihood.maxit;
occbin_options.opts_simul.periods = DynareOptions.occbin.likelihood.periods;
occbin_options.opts_simul.check_ahead_periods = DynareOptions.occbin.likelihood.check_ahead_periods;
+occbin_options.opts_simul.max_check_ahead_periods = DynareOptions.occbin.likelihood.max_check_ahead_periods;
occbin_options.opts_simul.periodic_solution = DynareOptions.occbin.likelihood.periodic_solution;
occbin_options.opts_simul.restrict_state_space = DynareOptions.occbin.likelihood.restrict_state_space;
--
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