From ad2324091c6d694d0ad896af8bc44ed36f31f7dc Mon Sep 17 00:00:00 2001
From: Marco Ratto <marco.ratto@ec.europa.eu>
Date: Wed, 19 Oct 2022 18:40:43 +0200
Subject: [PATCH] add option reset_check_ahead_periods_in_new_period:
when performing stochastic simulations, check ahead periods may increase endogenously at some point for regimes very long in expectation. such longer check ahead periods may considerably slow down convergence in subsequent periods, so users may want to avoid this.
(cherry picked from commit 3765ef77cd703e9987ec94d8fcfaf63e491a0854)
---
matlab/+occbin/set_default_options.m | 1 +
matlab/+occbin/solve_one_constraint.m | 10 ++++++++--
matlab/+occbin/solve_two_constraints.m | 7 ++++++-
3 files changed, 15 insertions(+), 3 deletions(-)
diff --git a/matlab/+occbin/set_default_options.m b/matlab/+occbin/set_default_options.m
index ea02b1a1f2..bb3f01af1f 100644
--- a/matlab/+occbin/set_default_options.m
+++ b/matlab/+occbin/set_default_options.m
@@ -175,6 +175,7 @@ if ismember(flag,{'simul','all'})
options_occbin_.simul.check_ahead_periods=200;
options_occbin_.simul.periodic_solution=false;
options_occbin_.simul.piecewise_only = false;
+ options_occbin_.simul.reset_check_ahead_periods_in_new_period = 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);
diff --git a/matlab/+occbin/solve_one_constraint.m b/matlab/+occbin/solve_one_constraint.m
index 0801f8c1eb..97eec6a206 100644
--- a/matlab/+occbin/solve_one_constraint.m
+++ b/matlab/+occbin/solve_one_constraint.m
@@ -164,7 +164,13 @@ 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));
+ if opts_simul_.reset_check_ahead_periods_in_new_period
+ % I re-set check ahead periods to initial value, when in previous period it was endogenously increased
+ nperiods_0 = max(opts_simul_.check_ahead_periods,n_periods-n_shocks_periods);
+ binding_indicator = false(nperiods_0+1,1);
+ else
+ binding_indicator=false(size(binding_indicator));
+ end
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);
@@ -267,7 +273,7 @@ for shock_period = 1:n_shocks_periods
else
disp_verbose('Did not converge -- increase maxit.',opts_simul_.debug)
if opts_simul_.waitbar; dyn_waitbar_close(hh); end
- error_flag = 311;
+ error_flag = 311;
return
end
else
diff --git a/matlab/+occbin/solve_two_constraints.m b/matlab/+occbin/solve_two_constraints.m
index 234aaa78b5..59cff8ff52 100644
--- a/matlab/+occbin/solve_two_constraints.m
+++ b/matlab/+occbin/solve_two_constraints.m
@@ -178,7 +178,12 @@ for shock_period = 1:n_shocks_periods
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));
+ if opts_simul_.reset_check_ahead_periods_in_new_period
+ nperiods_0 = max(opts_simul_.check_ahead_periods,n_periods-n_shocks_periods);
+ binding_indicator = false(nperiods_0+1,2);
+ else
+ binding_indicator=false(size(binding_indicator));
+ end
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);
--
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