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  1. Mar 24, 2025
  2. Nov 28, 2023
    • Sébastien Villemot's avatar
      Fix marginal linearization in the context of... · c3d91d5c
      Sébastien Villemot authored
      Fix marginal linearization in the context of perfect_foresight_with_expectation_errors_solver with homotopy
      
      If a solution corresponding to 100% of the shock can’t be found in the first
      informational period, marginal linearization will be performed to extrapolate a
      solution.
      
      However, in subsequent informational periods, this extrapolated solution cannot
      be used for the initial conditions of endogenous variables, because the initial
      conditions are not a true solution of the nonlinear model. For those subsequent
      informational periods, the correct approach is to compute the two solutions
      needed for marginal linearization using as initial conditions the values
      obtained in the same two solutions for the previous informational
      periods (stored as oo_.deterministic_simulation.{sim1,sim2}).
      c3d91d5c
  3. Jun 21, 2023
    • Sébastien Villemot's avatar
      Various improvements to perfect foresight homotopy · d5a3a8e1
      Sébastien Villemot authored
      – new option “endval_steady” to pf_setup command to recompute terminal
        steady state in the homotopy loop
      
      – new options “homotopy_linearization_fallback” and
        “homotopy_marginal_linearization_fallback” to pf_solver and pfwee_solver
        commands, to get an approximate solution when homotopy fails to go to 100%
      
      – new options “homotopy_initial_step_size”, “homotopy_min_step_size”,
        “homotopy_step_size_increase_success_count” and “homotopy_max_completion_share”
        to pf_solver and pfwee_solver commands to fine tune the homotopy behaviour
      
      – removed option “homotopy_alt_starting_point” to pf_solver command, not really
        useful
      
      – new options “steady_solve_algo”, “steady_tolf”, “steady_tolx”,
        “steady_maxit”, “steady_markowitz” to pf_solver and pfwee_solver commands, to
        control the computation of the terminal steady state (and remove the
        equivalent options which previously had different names in pfwee_solver command)
      d5a3a8e1
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