From 62f1bcebd4c35b5a9d859ffdcae7be1d59b1eb2a Mon Sep 17 00:00:00 2001
From: Michel Juillard <michel.juillard@mjui.fr>
Date: Wed, 13 Jun 2012 20:58:59 +0200
Subject: [PATCH] fixed welfare evaluation for arbirtrary value of the state
variables. The preprocessor still needs to be modified to allow arbitrary
initial value of the Lagrange multipliers (cherry picked from commit
9eb5b283b1da78b6d3f76739b91802268268b564)
---
matlab/evaluate_planner_objective.m | 50 ++++++++++++++++++-----------
matlab/ramsey_policy.m | 2 +-
2 files changed, 33 insertions(+), 19 deletions(-)
diff --git a/matlab/evaluate_planner_objective.m b/matlab/evaluate_planner_objective.m
index 8d837767a..0f16bb7a5 100644
--- a/matlab/evaluate_planner_objective.m
+++ b/matlab/evaluate_planner_objective.m
@@ -1,17 +1,13 @@
-function planner_objective_value = evaluate_planner_objective(M,oo,options)
+function planner_objective_value = evaluate_planner_objective(M,options,oo)
%function oo1 = evaluate_planner_objective(dr,M,oo,options)
% computes value of planner objective function
%
% INPUTS
-% dr: (structure) decision rule
% M: (structure) model description
-% oo: (structure) output results
% options: (structure) options
+% oo: (structure) output results
%
-% OUTPUTS
-% oo1: (structure) updated output results
-%
% SPECIAL REQUIREMENTS
% none
@@ -105,30 +101,48 @@ else
Wyu = Uy*gyu+Uyygygu+beta*(Wy*Gyu+Wyygygu);
Wss = (Uy*gss+beta*(Wuu*M.Sigma_e(:)+Wy*Gss))/(1-beta);
end
+% initialize yhat1 at the steady state
+yhat1 = oo.steady_state;
if options.ramsey_policy
- yhat = zeros(M.endo_nbr,1);
- yhat(1:M.orig_endo_nbr) = oo.steady_state(1:M.orig_endo_nbr);
-else
- yhat = oo.endo_simul;
+ % initialize le Lagrange multipliers to 0 in yhat2
+ yhat2 = zeros(M.endo_nbr,1);
+ yhat2(1:M.orig_endo_nbr) = oo.steady_state(1:M.orig_endo_nbr);
end
-yhat = yhat(dr.order_var(nstatic+(1:npred)),1)-dr.ys(dr.order_var(nstatic+(1:npred)));
+if ~isempty(M.endo_histval)
+ % initialize endogenous state variable to histval if necessary
+ yhat1(1:M.orig_endo_nbr) = M.endo_histval(1:M.orig_endo_nbr);
+ if options.ramsey_policy
+ yhat12(1:M.orig_endo_nbr) = M.endo_histval(1:M.orig_endo_nbr);
+ end
+
+end
+yhat1 = yhat1(dr.order_var(nstatic+(1:npred)),1)-dr.ys(dr.order_var(nstatic+(1:npred)));
+yhat2 = yhat2(dr.order_var(nstatic+(1:npred)),1)-dr.ys(dr.order_var(nstatic+(1:npred)));
u = oo.exo_simul(1,:)';
-[Wyyyhatyhat, err] = A_times_B_kronecker_C(Wyy,yhat,yhat,options.threads.kronecker.A_times_B_kronecker_C);
+[Wyyyhatyhat1, err] = A_times_B_kronecker_C(Wyy,yhat1,yhat1,options.threads.kronecker.A_times_B_kronecker_C);
mexErrCheck('A_times_B_kronecker_C', err);
[Wuuuu, err] = A_times_B_kronecker_C(Wuu,u,u,options.threads.kronecker.A_times_B_kronecker_C);
mexErrCheck('A_times_B_kronecker_C', err);
-[Wyuyhatu, err] = A_times_B_kronecker_C(Wyu,yhat,u,options.threads.kronecker.A_times_B_kronecker_C);
+[Wyuyhatu1, err] = A_times_B_kronecker_C(Wyu,yhat1,u,options.threads.kronecker.A_times_B_kronecker_C);
mexErrCheck('A_times_B_kronecker_C', err);
-planner_objective_value(1) = Wbar+Wy*yhat+Wu*u+Wyuyhatu ...
- + 0.5*(Wyyyhatyhat + Wuuuu+Wss);
-planner_objective_value(2) = Wbar + 0.5*Wss;
+planner_objective_value(1) = Wbar+Wy*yhat1+Wu*u+Wyuyhatu1 ...
+ + 0.5*(Wyyyhatyhat1 + Wuuuu+Wss);
+if options.ramsey_policy
+ [Wyyyhatyhat2, err] = A_times_B_kronecker_C(Wyy,yhat2,yhat2,options.threads.kronecker.A_times_B_kronecker_C);
+ mexErrCheck('A_times_B_kronecker_C', err);
+ [Wyuyhatu2, err] = A_times_B_kronecker_C(Wyu,yhat2,u,options.threads.kronecker.A_times_B_kronecker_C);
+ mexErrCheck('A_times_B_kronecker_C', err);
+ planner_objective_value(2) = Wbar+Wy*yhat2+Wu*u+Wyuyhatu2 ...
+ + 0.5*(Wyyyhatyhat2 + Wuuuu+Wss);
+end
+
if ~options.noprint
disp(' ')
disp('Approximated value of planner objective function')
disp([' - with initial Lagrange multipliers set to 0: ' ...
- num2str(planner_objective_value(1)) ])
- disp([' - with initial Lagrange multipliers set to steady state: ' ...
num2str(planner_objective_value(2)) ])
+ disp([' - with initial Lagrange multipliers set to steady state: ' ...
+ num2str(planner_objective_value(1)) ])
disp(' ')
end
\ No newline at end of file
diff --git a/matlab/ramsey_policy.m b/matlab/ramsey_policy.m
index 7ea09943e..9e6523f6d 100644
--- a/matlab/ramsey_policy.m
+++ b/matlab/ramsey_policy.m
@@ -37,6 +37,6 @@ if options_.noprint == 0
end
-oo_.planner_objective_value = evaluate_planner_objective(M_,oo_,options_);
+oo_.planner_objective_value = evaluate_planner_objective(M_,options_,oo_);
options_ = oldoptions;
\ No newline at end of file
--
GitLab