From 4caebd76c9872bdba7f57cf54e89f35c8e605d31 Mon Sep 17 00:00:00 2001
From: Marco Ratto <marco.ratto@ec.europa.eu>
Date: Wed, 21 Jul 2021 18:03:23 +0200
Subject: [PATCH] added 2 new occbin.simul options (defaults preserve current
behavior): 1) algo_truncation: sets the number of iterations for a truncated
guess-verify algorithm (i.e. if max_iter<=algo_truncation, no error is
triggered on output, but the user is happy with the last regime in the
algorithm) 2) reset_regime_in_new_period: is set to true, it resets the guess
regimes to unconstrained when a new shock arrives, instead of starting with a
guess regime consistent with the one identified in previous time periods.
this sometimes allows more robust convergence/identification of the regimes
---
matlab/+occbin/set_default_options.m | 2 ++
matlab/+occbin/solve_one_constraint.m | 35 +++++++++++++++--------
matlab/+occbin/solve_two_constraints.m | 39 ++++++++++++++++++--------
3 files changed, 54 insertions(+), 22 deletions(-)
diff --git a/matlab/+occbin/set_default_options.m b/matlab/+occbin/set_default_options.m
index a3b437cd16..568fbc5418 100644
--- a/matlab/+occbin/set_default_options.m
+++ b/matlab/+occbin/set_default_options.m
@@ -160,6 +160,7 @@ if ismember(flag,{'shock_decomp','all'})
end
if ismember(flag,{'simul','all'})
+ options_occbin_.simul.algo_truncation = 1;
options_occbin_.simul.debug = false;
options_occbin_.simul.curb_retrench=false;
options_occbin_.simul.endo_init=zeros(M_.endo_nbr,1);
@@ -174,6 +175,7 @@ if ismember(flag,{'simul','all'})
options_occbin_.simul.check_ahead_periods=200;
options_occbin_.simul.periodic_solution=true;
options_occbin_.simul.piecewise_only = false;
+ options_occbin_.simul.reset_regime_in_new_period = false;
options_occbin_.simul.restrict_state_space=false;
options_occbin_.simul.SHOCKS=zeros(1,M_.exo_nbr);
options_occbin_.simul.waitbar=true;
diff --git a/matlab/+occbin/solve_one_constraint.m b/matlab/+occbin/solve_one_constraint.m
index 34b2e25ba2..0801f8c1eb 100644
--- a/matlab/+occbin/solve_one_constraint.m
+++ b/matlab/+occbin/solve_one_constraint.m
@@ -163,6 +163,15 @@ for shock_period = 1:n_shocks_periods
% get the hypothesized piece wise linear solution
if shock_period==1 || shock_period>1 && any(data.shocks_sequence(shock_period,:))
+ if iter==1 && opts_simul_.reset_regime_in_new_period
+ binding_indicator=false(size(binding_indicator));
+ binding_indicator_history{iter}=binding_indicator;
+ % analyse violvec and isolate contiguous periods in the other regime.
+ [regime, regime_start, error_code_period]=occbin.map_regime(binding_indicator,opts_simul_.debug);
+ regime_history(shock_period).regime = regime;
+ regime_history(shock_period).regimestart = regime_start;
+ end
+
[zdatalinear_, SS_out.T(:,:,shock_period), SS_out.R(:,:,shock_period), SS_out.C(:,shock_period), SS, update_flag]=occbin.mkdatap_anticipated_dyn(nperiods_0,DM,...
regime_start(end)-1,binding_indicator,...
data.exo_pos,data.shocks_sequence(shock_period,:),endo_init,update_flag);
@@ -243,22 +252,26 @@ for shock_period = 1:n_shocks_periods
end
- if regime_change_this_iteration ==1 && max_iter>1
- disp_verbose(['occbin solver:: period ' int2str(shock_period) '::'],opts_simul_.debug)
- if is_periodic
- disp_verbose('Occbin solver loops between two regimes.',opts_simul_.debug)
- if periodic_solution
- disp_verbose(['Max error:' num2str(merr) '.'],opts_simul_.debug)
+ if regime_change_this_iteration ==1
+ if max_iter>opts_simul_.algo_truncation
+ disp_verbose(['occbin solver:: period ' int2str(shock_period) '::'],opts_simul_.debug)
+ if is_periodic
+ disp_verbose('Occbin solver loops between two regimes.',opts_simul_.debug)
+ if periodic_solution
+ disp_verbose(['Max error:' num2str(merr) '.'],opts_simul_.debug)
+ else
+ if opts_simul_.waitbar; dyn_waitbar_close(hh); end
+ error_flag = 310;
+ return
+ end
else
+ disp_verbose('Did not converge -- increase maxit.',opts_simul_.debug)
if opts_simul_.waitbar; dyn_waitbar_close(hh); end
- error_flag = 310;
+ error_flag = 311;
return
end
else
- disp_verbose('Did not converge -- increase maxit.',opts_simul_.debug)
- if opts_simul_.waitbar; dyn_waitbar_close(hh); end
- error_flag = 311;
- return
+ binding_indicator = binding_indicator_history{end};
end
end
if any(error_code_period)
diff --git a/matlab/+occbin/solve_two_constraints.m b/matlab/+occbin/solve_two_constraints.m
index 957551d8d4..234aaa78b5 100644
--- a/matlab/+occbin/solve_two_constraints.m
+++ b/matlab/+occbin/solve_two_constraints.m
@@ -177,6 +177,17 @@ for shock_period = 1:n_shocks_periods
regime_history(shock_period).regime2 = regime_2;
regime_history(shock_period).regimestart2 = regime_start_2;
if shock_period==1 || shock_period>1 && any(data.shocks_sequence(shock_period,:)) % first period or shock happening
+ if iter==1 && opts_simul_.reset_regime_in_new_period
+ binding_indicator=false(size(binding_indicator));
+ binding_indicator_history{iter}=binding_indicator;
+ % analyse violvec and isolate contiguous periods in the other regime.
+ [regime_1, regime_start_1, error_code_period(1)]=occbin.map_regime(binding_indicator(:,1),opts_simul_.debug);
+ regime_history(shock_period).regime1 = regime_1;
+ regime_history(shock_period).regimestart1 = regime_start_1;
+ [regime_2, regime_start_2, error_code_period(2)]=occbin.map_regime(binding_indicator(:,2),opts_simul_.debug);
+ regime_history(shock_period).regime2 = regime_2;
+ regime_history(shock_period).regimestart2 = regime_start_2;
+ end
Tmax=max([regime_start_1(end) regime_start_2(end)])-1;
[zdatalinear_, SS_out.T(:,:,shock_period), SS_out.R(:,:,shock_period), SS_out.C(:,shock_period), SS, update_flag]=occbin.mkdatap_anticipated_2constraints_dyn(nperiods_0,...
DM,Tmax,...
@@ -271,22 +282,28 @@ for shock_period = 1:n_shocks_periods
binding_indicator_history{iter}=binding_indicator;
end
end
- if regime_change_this_iteration && max_iter>1
- disp_verbose(['occbin solver: period ' int2str(shock_period) ':'],opts_simul_.debug)
- if is_periodic
- disp_verbose('Occbin solver loops between two regimes.',opts_simul_.debug)
- if periodic_solution
- disp_verbose(['Max error:' num2str(min_err) '.'],opts_simul_.debug)
+ if regime_change_this_iteration
+ if max_iter>opts_simul_.algo_truncation
+ disp_verbose(['occbin solver: period ' int2str(shock_period) ':'],opts_simul_.debug)
+ if is_periodic
+ disp_verbose('Occbin solver loops between two regimes.',opts_simul_.debug)
+ if periodic_solution
+ disp_verbose(['Max error:' num2str(min_err) '.'],opts_simul_.debug)
+ else
+ error_flag = 310;
+ if opts_simul_.waitbar; dyn_waitbar_close(hh); end
+ return;
+ end
else
- error_flag = 310;
+ disp_verbose('Did not converge -- increase maxit.',opts_simul_.debug)
+ error_flag = 311;
if opts_simul_.waitbar; dyn_waitbar_close(hh); end
return;
end
else
- disp_verbose('Did not converge -- increase maxit.',opts_simul_.debug)
- error_flag = 311;
- if opts_simul_.waitbar; dyn_waitbar_close(hh); end
- return;
+ % if max_iter <= truncation, we force indicator to equal the
+ % last guess
+ binding_indicator = binding_indicator_history{end};
end
end
if any(error_code_period)
--
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