From 9f65299d8a7e63de8432a73bffdc8899eb27e936 Mon Sep 17 00:00:00 2001
From: =?UTF-8?q?S=C3=A9bastien=20Villemot?= <sebastien@dynare.org>
Date: Fri, 1 Mar 2024 17:29:29 +0100
Subject: [PATCH] =?UTF-8?q?New=20=E2=80=9Chomotopy=5Fexclude=5Fvarexo?=
=?UTF-8?q?=E2=80=9D=20option=20to=20=E2=80=9Cperfect=5Fforesight=5Fsolver?=
=?UTF-8?q?=E2=80=9D=20command?=
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---
doc/manual/source/the-model-file.rst | 6 +++
matlab/default_option_values.m | 1 +
.../perfect_foresight_solver.m | 7 +++
meson.build | 1 +
preprocessor | 2 +-
.../homotopy_exclude_varexo.mod | 49 +++++++++++++++++++
6 files changed, 65 insertions(+), 1 deletion(-)
create mode 100644 tests/deterministic_simulations/homotopy_exclude_varexo.mod
diff --git a/doc/manual/source/the-model-file.rst b/doc/manual/source/the-model-file.rst
index cfbca027d8..99ec3998d4 100644
--- a/doc/manual/source/the-model-file.rst
+++ b/doc/manual/source/the-model-file.rst
@@ -3834,6 +3834,12 @@ speed-up on large models.
beyond a certain point, so as to save computing time, while at the same
time getting an approximate solution.
+ .. option:: homotopy_exclude_varexo = (VARIABLE_NAME...)
+
+ A list of exogenous variables which are to be excluded from the homotopy
+ procedure, *i.e.* which must be kept at their value corresponding to
+ 100% of the shock during all homotopy iterations.
+
.. option:: markowitz = DOUBLE
Value of the Markowitz criterion, used to select the
diff --git a/matlab/default_option_values.m b/matlab/default_option_values.m
index baeb79deed..13c4275fda 100644
--- a/matlab/default_option_values.m
+++ b/matlab/default_option_values.m
@@ -335,6 +335,7 @@ options_.simul.homotopy_step_size_increase_success_count = 3;
options_.simul.homotopy_initial_step_size = 1;
options_.simul.homotopy_linearization_fallback = false;
options_.simul.homotopy_marginal_linearization_fallback = 0; % Size of the step used for the marginal linearization; 0 means disabled
+options_.simul.homotopy_exclude_varexo = [];
% Options used by perfect_foresight_* commands when they compute the steady
% state corresponding to a terminal condition
diff --git a/matlab/perfect-foresight-models/perfect_foresight_solver.m b/matlab/perfect-foresight-models/perfect_foresight_solver.m
index c7a4f12127..d09de3787b 100644
--- a/matlab/perfect-foresight-models/perfect_foresight_solver.m
+++ b/matlab/perfect-foresight-models/perfect_foresight_solver.m
@@ -461,6 +461,13 @@ function [steady_success, endo_simul, exo_simul, steady_state, exo_steady_state]
% Compute convex combination for the path of exogenous
exo_simul = exoorig*share/shareorig + exobase*(1-share/shareorig);
+if ~isempty(options_.simul.homotopy_exclude_varexo)
+ [is_exo, excluded_exo_ids] = ismember(options_.simul.homotopy_exclude_varexo, M_.exo_names);
+ if ~all(is_exo)
+ error('Option homotopy_exclude_varexo must be given exogenous variable names')
+ end
+ exo_simul(:, excluded_exo_ids) = exoorig(:, excluded_exo_ids);
+end
% Compute convex combination for the initial condition
% In most cases, the initial condition is a steady state and this does nothing
diff --git a/meson.build b/meson.build
index 7594ad0d31..ca8c3fce87 100644
--- a/meson.build
+++ b/meson.build
@@ -1367,6 +1367,7 @@ mod_and_m_tests = [
{ 'test' : [ 'deterministic_simulations/homotopy_histval.mod' ] },
{ 'test' : [ 'deterministic_simulations/homotopy_endval_steady_linearization.mod' ] },
{ 'test' : [ 'deterministic_simulations/homotopy_marginal_linearization.mod' ] },
+ { 'test' : [ 'deterministic_simulations/homotopy_exclude_varexo.mod' ] },
{ 'test' : [ 'deterministic_simulations/rbc_det_exo_lag_2a.mod',
'deterministic_simulations/rbc_det_exo_lag_2b.mod',
'deterministic_simulations/rbc_det_exo_lag_2c.mod' ] },
diff --git a/preprocessor b/preprocessor
index 3a9a7924bf..585dc63680 160000
--- a/preprocessor
+++ b/preprocessor
@@ -1 +1 @@
-Subproject commit 3a9a7924bfbddc7f45404bc2da2c7e049a06f320
+Subproject commit 585dc63680bfdb5dcdc02ba1418648e7a0420b2c
diff --git a/tests/deterministic_simulations/homotopy_exclude_varexo.mod b/tests/deterministic_simulations/homotopy_exclude_varexo.mod
new file mode 100644
index 0000000000..ee3ae5dcc1
--- /dev/null
+++ b/tests/deterministic_simulations/homotopy_exclude_varexo.mod
@@ -0,0 +1,49 @@
+// Example that triggers homotopy in perfect foresight simulation.
+// Tests the homotopy_exclude_varexo option
+
+var Consumption, Capital, LoggedProductivity;
+
+varexo LoggedProductivityInnovation dummy;
+
+parameters beta, alpha, delta, rho;
+
+beta = .985;
+alpha = 1/3;
+delta = alpha/10;
+rho = .9;
+
+model;
+ 1/Consumption = beta/Consumption(1)*(alpha*exp(LoggedProductivity(1))*Capital^(alpha-1)+1-delta)*dummy;
+ Capital = exp(LoggedProductivity)*Capital(-1)^alpha+(1-delta)*Capital(-1)-Consumption;
+ LoggedProductivity = rho*LoggedProductivity(-1)+LoggedProductivityInnovation;
+end;
+
+initval;
+ LoggedProductivityInnovation = 0;
+ dummy = 1;
+end;
+
+steady;
+
+endval;
+ LoggedProductivityInnovation = 1;
+ dummy = 1;
+ Consumption = 0.1;
+ Capital = 1;
+end;
+
+perfect_foresight_setup(periods=200, endval_steady);
+
+perfect_foresight_solver(homotopy_exclude_varexo = (dummy),
+ homotopy_max_completion_share = 0.7,
+ homotopy_linearization_fallback,
+ steady_solve_algo = 13);
+
+if ~oo_.deterministic_simulation.status
+ error('Perfect foresight simulation failed')
+end
+
+if oo_.deterministic_simulation.sim1.exo_simul(end, 1) ~= 0.7 ... % productivity must be rescaled
+ || oo_.deterministic_simulation.sim1.exo_simul(end, 2) ~= 1 % but not dummy
+ error('Option homotopy_exclude_varexo not working properly')
+end
--
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