From 92c8d89cee160ec1c2bc06598db348b5430fcee9 Mon Sep 17 00:00:00 2001
From: =?UTF-8?q?S=C3=A9bastien=20Villemot?= <sebastien@dynare.org>
Date: Fri, 28 Mar 2025 14:56:51 +0100
Subject: [PATCH] Perfect foresight: improve sanity checks for
linear_approximation and endogenous_terminal_period options
---
doc/manual/source/the-model-file.rst | 6 +--
.../perfect_foresight_solver_core.m | 44 +++++++++++++------
2 files changed, 34 insertions(+), 16 deletions(-)
diff --git a/doc/manual/source/the-model-file.rst b/doc/manual/source/the-model-file.rst
index 8be7dda09c..c52076ca1d 100644
--- a/doc/manual/source/the-model-file.rst
+++ b/doc/manual/source/the-model-file.rst
@@ -4015,7 +4015,7 @@ speed-up on large models.
shooting and relaxation approaches. Note that round off errors
are more important with this mixed strategy (user should check
the reported value of the maximum absolute error). Only
- available with option ``stack_solve_algo==0``.
+ available with ``stack_solve_algo`` option equal to ``0``.
.. option:: linear_approximation
@@ -4024,8 +4024,8 @@ speed-up on large models.
model. The model must be stationary and a steady state
needs to be provided. Linearization is conducted about the
last defined steady state, which can derive from ``initval``,
- ``endval`` or a subsequent ``steady``. Only available with option
- ``stack_solve_algo==0`` or ``stack_solve_algo==7``.
+ ``endval`` or a subsequent ``steady``. Only available with
+ ``stack_solve_algo`` option equal to ``0`` or ``7``.
.. option:: steady_solve_algo = INTEGER
diff --git a/matlab/perfect-foresight-models/perfect_foresight_solver_core.m b/matlab/perfect-foresight-models/perfect_foresight_solver_core.m
index 05d20af691..c561e59be8 100644
--- a/matlab/perfect-foresight-models/perfect_foresight_solver_core.m
+++ b/matlab/perfect-foresight-models/perfect_foresight_solver_core.m
@@ -17,7 +17,7 @@ function [y, success, maxerror, iter, per_block_status] = perfect_foresight_solv
% - iter [integer] Number of iterations of the underlying nonlinear solver (empty for non-iterative methods)
% - per_block_status [struct] In the case of block decomposition, provides per-block solver status information (empty if no block decomposition)
-% Copyright © 2015-2024 Dynare Team
+% Copyright © 2015-2025 Dynare Team
%
% This file is part of Dynare.
%
@@ -43,15 +43,39 @@ end
periods = get_simulation_periods(options_);
-if options_.linear_approximation && ~(isequal(options_.stack_solve_algo,0) || isequal(options_.stack_solve_algo,7))
- error('perfect_foresight_solver: Option linear_approximation is only available with option stack_solve_algo equal to 0 or 7.')
+if options_.linear_approximation
+ if ~ismember(options_.stack_solve_algo, [0 7])
+ error('perfect_foresight_solver: option linear_approximation is only available with stack_solve_algo option equal to 0 or 7')
+ end
+ if options_.block
+ error('perfect_foresight_solver: option linear_approximation is not available with the block option')
+ end
+ if options_.bytecode
+ error('perfect_foresight_solver: option linear_approximation is not available with the bytecode option')
+ end
+ if M_.maximum_endo_lead == 0 || M_.maximum_endo_lag == 0
+ error('perfect_foresight_solver: option linear_approximation is not available with purely backward, purely forward or static models')
+ end
end
-if options_.endogenous_terminal_period && options_.stack_solve_algo ~= 0
- error('perfect_foresight_solver: option endogenous_terminal_period is only available with option stack_solve_algo equal to 0')
+if options_.endogenous_terminal_period
+ if options_.stack_solve_algo ~= 0
+ error('perfect_foresight_solver: option endogenous_terminal_period is only available with stack_solve_algo option equal to 0')
+ end
+ if options_.block
+ error('perfect_foresight_solver: option endogenous_terminal_period is not available with the block option')
+ end
+ if options_.bytecode
+ error('perfect_foresight_solver: option endogenous_terminal_period is not available with the bytecode option')
+ end
+ if M_.maximum_endo_lead == 0 || M_.maximum_endo_lag == 0
+ error('perfect_foresight_solver: option endogenous_terminal_period is not available with purely backward, purely forward or static models')
+ end
end
-if options_.linear && (isequal(options_.stack_solve_algo, 0) || isequal(options_.stack_solve_algo, 7))
+
+if options_.linear && ismember(options_.stack_solve_algo, [0 7]) && ~options_.block ...
+ && ~options_.bytecode && M_.maximum_endo_lead > 0 && M_.maximum_endo_lag > 0
options_.linear_approximation = true;
end
@@ -98,22 +122,16 @@ else
switch options_.stack_solve_algo
case {0 2 3}
if options_.linear_approximation
- if ismember(options_.stack_solve_algo, [2 3])
- error('Invalid value of stack_solve_algo option!')
- end
[y, success, maxerror] = sim1_linear(y, exo_simul, steady_state, exo_steady_state, M_, options_);
else
[y, success, maxerror, iter] = sim1(y, exo_simul, steady_state, M_, options_);
end
case {1 6}
- if options_.linear_approximation
- error('Invalid value of stack_solve_algo option!')
- end
[y, success, maxerror, iter] = sim1_lbj(y, exo_simul, steady_state, M_, options_);
case 7
if options_.linear_approximation
if options_.solve_algo == 10 || options_.solve_algo == 11
- warning('Since you are requesting an MCP solver, you should not specify your model as model(linear)!')
+ warning('Since you are requesting an MCP solver, you should not specify your model as model(linear) or use the linear_approximation option!')
end
[y, success] = solve_stacked_linear_problem(y, exo_simul, steady_state, exo_steady_state, M_, options_);
else
--
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