Skip to content
Snippets Groups Projects
Commit 53b19102 authored by Michel Juillard's avatar Michel Juillard
Browse files

adding missing occbin functions

parent a0ea6e3a
Branches
Tags
No related merge requests found
Show whitespace changes
Inline Side-by-side
Showing
with 325 additions and 0 deletions
matlab/occbin/evaluate_model.m 0 → 100644
+ 19
− 0
View file @ 53b19102
function [r,g1,g2,g3] = evaluate_model(z,x,M,ss)
ll = M.lead_lag_incidence';
y = z(find(ll(:)));
switch nargout
case 1
r = feval([M.fname '_dynamic'],y,x, ...
M.params, ss, 1);
case 2
[r,g1] = feval([M.fname '_dynamic'],y,x, ...
M.params, ss, 1);
case 3
[r,g1,g2] = feval([M.fname '_dynamic'],y,x, ...
M.params, ss, 1);
case 4
[r,g1,g2,g3] = feval([M.fname '_dynamic'],y,x, ...
M.params, ss, 1);
end
\ No newline at end of file
matlab/occbin/get_coef.m 0 → 100644
+ 26
− 0
View file @ 53b19102
function [coef_y,coef_u] = get_coef(jacobian,M)
ll = M.lead_lag_incidence;
endo_nbr = M.endo_nbr;
coef_y = zeros(endo_nbr,3*endo_nbr);
coef_u = zeros(endo_nbr,M.exo_nbr);
if M.maximum_lag > 0
[junk,c1,c2] = find(ll(1,:));
coef_y(:,c1) = jacobian(:,c2);
[junk,c1,c2] = find(ll(2,:));
coef_y(:,c1+endo_nbr) = jacobian(:,c2);
if M.maximum_lead > 0
[junk,c1,c2] = find(ll(3,:));
coef_y(:,c1+2*endo_nbr) = jacobian(:,c2);
end
else
[junk,c1,c2] = find(ll(1,:));
coef_y(:,c1+endo_nbr) = jacobian(:,c2);
if M.maximum_lead > 0
[junk,c1,c2] = find(ll(2,:));
coef_y(:,c1+2*endo_nbr) = jacobian(:,c2);
end
end
coef_u = jacobian(:,max(ll(end,:))+1:end);
\ No newline at end of file
matlab/occbin/get_complementarity_conditions.m 0 → 100644
+ 72
− 0
View file @ 53b19102
function [lb,ub,eq_index] = get_complementarity_conditions(M,ramsey_policy)
% Copyright (C) 2014 Dynare Team
%
% 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/>.
ub = inf(M.endo_nbr,1);
lb = -ub;
eq_index = (1:M.endo_nbr)';
if ramsey_policy
if isfield(M,'ramsey_model_constraints')
rc = M.ramsey_model_constraints;
for i = 1:length(rc)
switch rc{i}{2}
case {'>','>='}
lb(rc{i}{1}) = eval(rc{i}{3});
case {'<','<='}
ub(rc{i}{1}) = eval(rc{i}{3});
otherwise
error('Wrong operator in get_complementarity_conditions')
end
eq_index(i) = 1;
end
end
end
etags = M.equations_tags;
for i=1:size(etags,1)
if strcmp(etags{i,2},'mcp')
str = etags{i,3};
kop = strfind(etags{i,3},'<');
if ~isempty(kop)
k = find(strcmp(strtrim(str(1:kop-1)),cellstr(M.endo_names)));
if isempty(k)
error(sprintf(['Complementarity condition %s: variable %s is ' ...
'not recognized',etags{i,3},b{1}]))
end
ub(k) = str2num(str(kop+1:end));
eq_index(etags{i,1}) = k;
eq_index(k) = etags{i,1};
else
kop = strfind(etags{i,3},'>');
if ~isempty(kop)
k = find(strcmp(strtrim(str(1:kop-1)),cellstr(M.endo_names)));
if isempty(k)
error(sprintf(['Complementarity condition %s: variable %s is ' ...
'not recognized',etags{i},b{1}]))
end
lb(k) = str2num(str(kop+1:end));
eq_index(etags{i,1}) = k;
eq_index(k) = etags{i,1};
else
error(sprintf(['Complementarity condition %s can''t be ' ...
'parsed'],etags{i,3}))
end
end
end
end
matlab/occbin/get_occbin_complementarity_conditions.m 0 → 100644
+ 75
− 0
View file @ 53b19102
function [ivar,ieq,lb,ub] = get_occbin_complementarity_conditions(M,ramsey_policy)
% Copyright (C) 2015 Dynare Team
%
% 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/>.
nrow = 1;
if ramsey_policy
if isfield(M,'ramsey_model_constraints')
rc = M.ramsey_model_constraints;
for i = 1:length(rc)
switch rc{i}{2}
case {'>','>='}
ivar(nrow) = rc{i}{1};
ieq(nrow) = rc{i}{1};
lb(nrow) = eval(rc{i}{3});
case {'<','<='}
ivar(nrow) = rc{i}{1};
ieq(nrow) = rc{i}{1};
ub(nrow) = eval(rc{i}{3});
otherwise
error('Wrong operator in get_complementarity_conditions')
end
nrow = nrow + 1;
end
end
end
etags = M.equations_tags;
for i=1:size(etags,1)
if strcmp(etags{i,2},'mcp')
str = etags{i,3};
kop = strfind(etags{i,3},'<');
if ~isempty(kop)
k = find(strcmp(strtrim(str(1:kop-1)),cellstr(M.endo_names)));
if isempty(k)
error(sprintf(['Complementarity condition %s: variable %s is ' ...
'not recognized',etags{i,3},b{1}]))
end
ivar(nrow) = k;
ieq(nrow) = etags{i,1};
ub(nrow) = eval(str(kop+1:end));
else
kop = strfind(etags{i,3},'>');
if ~isempty(kop)
k = find(strcmp(strtrim(str(1:kop-1)),cellstr(M.endo_names)));
if isempty(k)
error(sprintf(['Complementarity condition %s: variable %s is ' ...
'not recognized',etags{i},b{1}]))
end
ivar(nrow) = k;
ieq(nrow) = etags{i,1};
lb(k) = eval(str(kop+1:end));
else
error(sprintf(['Complementarity condition %s can''t be ' ...
'parsed'],etags{i,3}))
end
end
nrow = nrow + 1;
end
end
matlab/occbin/get_occbin_constraints.m 0 → 100644
+ 88
− 0
View file @ 53b19102
function [i_base,i_alt,c_base,c_alt] = get_occbin_constraints(M,steady_state,ramsey_policy)
% Copyright (C) 2015 Dynare Team
%
% 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/>.
nrow = 1;
if ramsey_policy
if isfield(M,'ramsey_model_constraints')
rc = M.ramsey_model_constraints;
for i = 1:length(rc)
switch rc{i}{2}
case {'>','>='}
ivar(nrow) = rc{i}{1};
ieq(nrow) = rc{i}{1};
lb(nrow) = eval(rc{i}{3});
case {'<','<='}
ivar(nrow) = rc{i}{1};
ieq(nrow) = rc{i}{1};
ub(nrow) = eval(rc{i}{3});
otherwise
error('Wrong operator in get_complementarity_conditions')
end
nrow = nrow + 1;
end
end
end
i_base = {};
i_alt = {};
etags = M.equations_tags;
m = 1;
base = true;
for i=1:size(etags,1)
[iv,boundary,operator] = parse_constraint(etags{i,3},M.endo_names,M.params,M.param_names);
if strcmp(etags{i,2},'OCCBIN')
if base
i_alt{m} = 1:M.eq_nbr;
i_alt{m}(etags{i,1}) = [];
c_base{m,1} = etags{i,1};
c_base{m,2} = iv;
c_base{m,3} = boundary - steady_state(iv);
c_base{m,4} = operator;
base = false;
else
i_base{m} = 1:M.eq_nbr;
i_base{m}(etags{i,1}) = [];
c_alt{m,1} = etags{i,1};
c_alt{m,2} = iv;
c_alt{m,3} = boundary - steady_state(iv);
c_alt{m,4} = operator;
base = true;
m = m + 1;
end
end
end
if ~base
error('OCCBIN: constraints must come by pair')
end
function [iv,boundary,operator] = parse_constraint(str,endo_names,params,param_names)
delim = {'<=','>=','<','>'};
[c,operator] = strsplit(str,delim);
operator = operator{1};
iv = strmatch(strtrim(c{1}),endo_names);
% try for a number
boundary = str2num(strtrim(c{2}));
% if not a number try for a parameter name
if isempty(boundary)
k = strmatch(strtrim(c{2}),param_names);
if isempty(k)
error(['OCCBIN: illegal constraint ' str]);
end
boundary = params(k);
end
matlab/occbin/get_residuals.m 0 → 100644
+ 10
− 0
View file @ 53b19102
function r = get_residuals(ivar,lb,ub,M,oo)
ss = oo.steady_state;
for i = 1:length(ivar)
% only one is different from zero
ss(ivar(i)) = lb(i) + ub(i);
end
oo.steady_state = ss;
r = evaluate_model(M,oo);
\ No newline at end of file
matlab/occbin/occbin.m 0 → 100644
+ 19
− 0
View file @ 53b19102
function [endo_simul,endo_simul_no_constraint,status] = occbin(M,oo,options)
% function oo=occbin(M,oo,options) solves linear models with occasionally
% binding constraints using OCCBIN by L. Guerrieri
status = 1;
constraint_nbr = sum(strcmp(upper(M.equations_tags(:,2)),'OCCBIN'))/2;
switch(constraint_nbr)
case 1
[zdatalinear_ zdatapiecewise_ zdatass_ oobase_ ] = ...
solve_one_constraint(M,oo,options);
case 2
[zdatalinear_ zdatapiecewise_ zdatass_ oobase_ ] = ...
solve_two_constraints(M,oo,options);
otherwise
error('OCCBIN can only handle two constraints in a model')
end
endo_simul = zdatapiecewise_';
endo_simul_no_constraint = zdatalinear_';
\ No newline at end of file
matlab/occbin/test_constraint.m 0 → 100644
+ 16
− 0
View file @ 53b19102
function b=test_constraint(x,constr)
b = zeros(size(x,1),size(constr,1));
for i=1:size(constr,1)
switch constr{i,4}
case '<'
b(:,i) = ~(x(:,constr{i,2}) < constr{i,3});
case '<='
b(:,i) = ~(x(:,constr{i,2}) <= constr{i,3});
case '>'
b(:,i) = ~(x(:,constr{i,2}) > constr{i,3});
case '>='
b(:,i) = ~(x(:,constr{i,2}) >= constr{i,3});
otherwise
error('OCCBIN: wrong inequality sign')
end
end
\ No newline at end of file
0% or .
You are about to add 0 people to the discussion. Proceed with caution.
Please register or to comment