Commit ba1f5eed authored by MichelJuillard's avatar MichelJuillard
Browse files

first order solver:

-pass along errors returned by cycle reduction algorithms;
-logarithmic reduction fails on error
-replace expensive and random condest() by call to linsolve()
-uses linsolve() to compute hx
parent 2c450c79
......@@ -175,15 +175,14 @@ B(:,cols_b) = aa(:,index_c); % Jacobian matrix for contemporaneous endogeneous
C = aa(:,index_p); % Jacobain matrix for led endogeneous variables
info = 0;
info1 = 1;
if task ~= 1 && (DynareOptions.dr_cycle_reduction || DynareOptions.dr_logarithmic_reduction)
if n_current < DynareModel.endo_nbr
if DynareOptions.dr_cycle_reduction
error(['The cycle reduction algorithme can''t be used when the ' ...
'coefficient matrix for current variables is singular'])
'coefficient matrix for current variables isn''t invertible'])
elseif DynareOptions.dr_logarithmic_reduction
error(['The logarithmic reduction algorithme can''t be used when the ' ...
'coefficient matrix for current variables is singular'])
'coefficient matrix for current variables isn''t invertible'])
end
end
if DynareOptions.gpu
......@@ -195,16 +194,18 @@ if task ~= 1 && (DynareOptions.dr_cycle_reduction || DynareOptions.dr_logarithmi
B1 = [aa(row_indx,index_0m) aa(row_indx,index_0p) ];
C1 = [zeros(ndynamic,npred) aa(row_indx,index_p)];
if DynareOptions.dr_cycle_reduction == 1
[ghx, info1] = cycle_reduction(A1, B1, C1, DynareOptions.dr_cycle_reduction_tol);
[ghx, info] = cycle_reduction(A1, B1, C1, DynareOptions.dr_cycle_reduction_tol);
else
[ghx, info1] = logarithmic_reduction(C1, B1, A1, DynareOptions.dr_logarithmic_reduction_tol, DynareOptions.dr_logarithmic_reduction_maxiter);
[ghx, info] = logarithmic_reduction(C1, B1, A1, DynareOptions.dr_logarithmic_reduction_tol, DynareOptions.dr_logarithmic_reduction_maxiter);
end
if info
% cycle_reduction or logarithmic redution failed and set info
return
end
ghx = ghx(:,index_m);
hx = ghx(1:npred+nboth,:);
gx = ghx(1+npred:end,:);
end
if info1 == 1
else
D = zeros(ndynamic+nboth);
E = zeros(ndynamic+nboth);
D(row_indx_de_1,index_d1) = aa(row_indx,index_d);
......@@ -214,11 +215,11 @@ if info1 == 1
E = [-aa(row_indx,[index_m index_0p]) ; [zeros(nboth,nboth+npred) eye(nboth,nboth+nfwrd) ] ];
[err, ss, tt, w, sdim, dr.eigval, info2] = mjdgges(E,D,DynareOptions.qz_criterium);
[err, ss, tt, w, sdim, dr.eigval, info1] = mjdgges(E,D,DynareOptions.qz_criterium);
mexErrCheck('mjdgges', err);
if info2
if info2 == -30
if info1
if info1 == -30
% one eigenvalue is close to 0/0
info(1) = 7;
else
......@@ -260,20 +261,25 @@ if info1 == 1
% derivatives with respect to dynamic state variables
% forward variables
Z = w';
Z11t = Z(indx_stable_root, indx_stable_root)';
Z11 = Z(indx_stable_root, indx_stable_root);
Z21 = Z(indx_explosive_root, indx_stable_root);
Z22 = Z(indx_explosive_root, indx_explosive_root);
if ~isscalar(Z22) && (condest(Z22) > 1e9)
[minus_gx,rc] = linsolve(Z22,Z21);
if rc < 1e-9
% Z22 is near singular
info(1) = 5;
info(2) = condest(Z22);
info(2) = -log(rc);
return;
else
gx = - Z22 \ Z21;
end
gx = -minus_gx;
% predetermined variables
hx = Z11t * inv(tt(indx_stable_root, indx_stable_root)) * ss(indx_stable_root, indx_stable_root) * inv(Z11t);
opts.UT = true;
opts.TRANSA = true;
hx1 = linsolve(tt(indx_stable_root, indx_stable_root),Z11,opts)';
opts.UT = false;
hx2 = linsolve(Z11,ss(indx_stable_root, indx_stable_root)',opts)';
hx = hx1*hx2;
ghx = [hx(k1,:); gx(k2(nboth+1:end),:)];
end
dr.gx = gx;
......
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