From 5c6d73228ced1ef5e06e71d427d5ca1d0724ea8b Mon Sep 17 00:00:00 2001
From: Marco Ratto <marco.ratto@ec.europa.eu>
Date: Fri, 28 Oct 2022 13:11:05 +0200
Subject: [PATCH] bug fix when max_check_ahead_periods interacts with
curb_retrench
(cherry picked from commit a1e0c35c1fbbe3c67657f0550a1c35c5347b5255)
---
matlab/+occbin/solve_one_constraint.m | 13 +++++++++----
matlab/+occbin/solve_two_constraints.m | 12 ++++++++----
2 files changed, 17 insertions(+), 8 deletions(-)
diff --git a/matlab/+occbin/solve_one_constraint.m b/matlab/+occbin/solve_one_constraint.m
index 0fa13a1fc0..f5f0c1446c 100644
--- a/matlab/+occbin/solve_one_constraint.m
+++ b/matlab/+occbin/solve_one_constraint.m
@@ -194,8 +194,10 @@ for shock_period = 1:n_shocks_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;
+ last_indicator = false(length(binding_indicator)-end_periods,1);
else
end_periods = length(binding_indicator);
+ last_indicator = false(0);
end
% check if changes to the hypothesis of the duration for each
% regime
@@ -211,18 +213,21 @@ for shock_period = 1:n_shocks_periods
max_err(iter) = 0;
end
+ % if max_check_ahead_periods<inf, enforce unconstrained regime for period larger than max_check_ahead_periods
+ binding_constraint_new=[binding.constraint_1(1:end_periods);last_indicator];
+ relaxed_constraint_new = [relax.constraint_1(1:end_periods);not(last_indicator)];
if curb_retrench % apply Gauss-Seidel idea of slowing down the change in the guess
% for the constraint -- only relax one
% period at a time starting from the last
% one when each of the constraints is true.
retrench = false(numel(binding_indicator),1);
- max_relax_constraint_1=find(relax.constraint_1 & binding_indicator,1,'last');
- if ~isempty(max_relax_constraint_1) && find(relax.constraint_1,1,'last')>=find(binding_indicator,1,'last')
+ max_relax_constraint_1=find(relax.constraint_1(1:end_periods) & binding_indicator(1:end_periods),1,'last');
+ if ~isempty(max_relax_constraint_1) && find(relax.constraint_1(1:end_periods),1,'last')>=find(binding_indicator(1:end_periods),1,'last')
retrench(max_relax_constraint_1) = true;
end
- binding_indicator = (binding_indicator | binding.constraint_1) & ~ retrench;
+ binding_indicator = (binding_indicator | binding_constraint_new) & ~ retrench;
else
- binding_indicator= (binding_indicator | binding.constraint_1) & ~(binding_indicator & relax.constraint_1);
+ binding_indicator = (binding_indicator | binding_constraint_new) & ~(binding_indicator & relaxed_constraint_new);
end
if iter>1 && regime_change_this_iteration && ~nperiods_endogenously_increased
diff --git a/matlab/+occbin/solve_two_constraints.m b/matlab/+occbin/solve_two_constraints.m
index 17d83ab59b..55fff162d7 100644
--- a/matlab/+occbin/solve_two_constraints.m
+++ b/matlab/+occbin/solve_two_constraints.m
@@ -216,8 +216,10 @@ for shock_period = 1:n_shocks_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;
+ last_indicator = false(length(binding_indicator)-end_periods,1);
else
end_periods = length(binding_indicator);
+ last_indicator = false(0);
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)];
@@ -237,17 +239,19 @@ for shock_period = 1:n_shocks_periods
max_err(iter) = 0;
end
+ binding_constraint_new=[binding.constraint_1(1:end_periods);last_indicator; binding.constraint_2(1:end_periods);last_indicator];
+ relaxed_constraint_new = [relax.constraint_1(1:end_periods);not(last_indicator); relax.constraint_2(1:end_periods);not(last_indicator)];
if curb_retrench % apply Gauss-Seidel idea of slowing down the change in the guess
% for the constraint -- only relax one
% period at a time starting from the last
% one when each of the constraints is true.
retrench = false(numel(binding_indicator),1);
- max_relax_constraint_1=find(relax.constraint_1 & binding_indicator(:,1),1,'last');
- if ~isempty(max_relax_constraint_1) && find(relax.constraint_1,1,'last')>=find(binding_indicator(:,1),1,'last')
+ max_relax_constraint_1=find(relax.constraint_1(1:end_periods) & binding_indicator(1:end_periods,1),1,'last');
+ if ~isempty(max_relax_constraint_1) && find(relax.constraint_1(1:end_periods),1,'last')>=find(binding_indicator(1:end_periods,1),1,'last')
retrench(max_relax_constraint_1) = true;
end
- max_relax_constraint_2=find(relax.constraint_2 & binding_indicator(:,2),1,'last');
- if ~isempty(max_relax_constraint_2) && find(relax.constraint_2,1,'last')>=find(binding_indicator(:,2),1,'last')
+ max_relax_constraint_2=find(relax.constraint_2(1:end_periods) & binding_indicator(1:end_periods,2),1,'last');
+ if ~isempty(max_relax_constraint_2) && find(relax.constraint_2(1:end_periods),1,'last')>=find(binding_indicator(1:end_periods,2),1,'last')
retrench(max_relax_constraint_2+nperiods_0+1) = true;
end
binding_indicator = (binding_indicator(:) | binding_constraint_new) & ~ retrench;
--
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