From 17ebcf4363b701f641eefe33146d07009e2a3dfb Mon Sep 17 00:00:00 2001
From: Marco Ratto <marco.ratto@ec.europa.eu>
Date: Sat, 16 Dec 2023 12:06:38 +0100
Subject: [PATCH] re introduce use_relaxation, it was not fully implicitly
embedded in the new kalman update engine. now use_relaxation is embedded in
the new update engine and is extended to work with 2 constraints.
---
matlab/+occbin/kalman_update_engine.m | 43 ++++++++++++++++---
matlab/+occbin/set_default_options.m | 1 +
matlab/+occbin/setup.m | 1 +
.../dynrbc_common.inc | 3 ++
4 files changed, 43 insertions(+), 5 deletions(-)
diff --git a/matlab/+occbin/kalman_update_engine.m b/matlab/+occbin/kalman_update_engine.m
index 2f117977d5..7dac3dfb51 100644
--- a/matlab/+occbin/kalman_update_engine.m
+++ b/matlab/+occbin/kalman_update_engine.m
@@ -12,6 +12,8 @@ if nargin>26
is_multivariate = false;
end
+use_relaxation = false;
+
if is_multivariate
[ax, a1x, Px, P1x, vx, Tx, Rx, Cx, regx, info, M_, likx, etahat, alphahat, V] = occbin.kalman_update_algo_1(a0,a1,P0,P1,data_index,Z,vv,Y,H,Qt,T0,R0,TT,RR,CC,struct(),M_,dr,endo_steady_state,exo_steady_state,exo_det_steady_state,options_,occbin_options);
else
@@ -73,6 +75,31 @@ else
end
end
+diffstart=0;
+if info==0
+if M_.occbin.constraint_nbr==1
+ oldstart = regimes_(1).regimestart(end);
+ newstart = regx(1).regimestart(end);
+ diffstart = newstart-oldstart;
+else
+ newstart1 = regx(1).regimestart1(end);
+ newstart2 = regx(1).regimestart2(end);
+ oldstart1 = regimes_(1).regimestart1(end);
+ oldstart2 = regimes_(1).regimestart2(end);
+ diffstart = max(newstart1-oldstart1,newstart2-oldstart2);
+end
+end
+
+if options_.occbin.filter.use_relaxation && diffstart>2
+ if info0==0
+ % make sure we match criteria to enter further solution attempts
+ info1=1;
+ end
+ options_.occbin.likelihood.brute_force_regime_guess = true;
+ options_.occbin.likelihood.loss_function_regime_guess = true;
+ use_relaxation = true;
+end
+
if options_.occbin.likelihood.brute_force_regime_guess && (info0 || info1) %|| (info==0 && ~isequal(regx(1),base_regime))
guess_regime = [base_regime base_regime];
@@ -90,8 +117,9 @@ if options_.occbin.likelihood.brute_force_regime_guess && (info0 || info1) %|| (
end
if info2==0
use_index= 1;
- if not(info==0 && isequal(regx2{1},regx))
- % found a solution, different from previous one
+ if not(info==0 && isequal(regx2{1},regx)) && not(use_relaxation && likx2{1}>=likx)
+ % found a solution, different from previous or
+ % use_relaxation and likelihood is better
break
end
end
@@ -105,6 +133,8 @@ if options_.occbin.likelihood.brute_force_regime_guess && (info0 || info1) %|| (
end
if info2==0
use_index = 2;
+ % if use_relaxation and we are here, previous guess did not
+ % improve solution, so we test for this one
end
if use_index
@@ -166,16 +196,18 @@ if options_.occbin.likelihood.brute_force_regime_guess && (info0 || info1) %|| (
end
if info2==0
use_index= gindex;
- if not(info==0 && isequal(regx2{gindex},regx))
+ if not(info==0 && isequal(regx2{gindex},regx)) && not(use_relaxation && likx2{gindex}>=likx)
% found a solution, different from previous one
+ % use_relaxation and likelihood improves
break
end
end
end % loop over other regime slack, binding in expectation or binding in current period
if info2==0
- if not(info==0 && isequal(regx2{gindex},regx))
+ if not(info==0 && isequal(regx2{gindex},regx)) && not(use_relaxation && likx2{gindex}>=likx)
% found a solution, different from previous one
+ % use_relaxation and likelihood improves
break
end
end
@@ -183,8 +215,9 @@ if options_.occbin.likelihood.brute_force_regime_guess && (info0 || info1) %|| (
end % loop over current regime binding in expectation vs binding in current period
if info2==0
- if not(info==0 && isequal(regx2{gindex},regx))
+ if not(info==0 && isequal(regx2{gindex},regx)) && not(use_relaxation && likx2{gindex}>=likx)
% found a solution, different from previous one
+ % use_relaxation and likelihood improves
break
end
end
diff --git a/matlab/+occbin/set_default_options.m b/matlab/+occbin/set_default_options.m
index 7f6c299353..d3dda39f3c 100644
--- a/matlab/+occbin/set_default_options.m
+++ b/matlab/+occbin/set_default_options.m
@@ -44,6 +44,7 @@ end
if ismember(flag,{'filter','all'})
options_occbin_.filter.state_covariance = false;
options_occbin_.filter.guess_regime = false;
+ options_occbin_.filter.use_relaxation = false;
end
if ismember(flag,{'forecast','all'})
diff --git a/matlab/+occbin/setup.m b/matlab/+occbin/setup.m
index 4c239102d4..a050ee787b 100644
--- a/matlab/+occbin/setup.m
+++ b/matlab/+occbin/setup.m
@@ -47,6 +47,7 @@ options_ = occbin.set_option(options_,options_occbin_,'likelihood.maxit');
options_ = occbin.set_option(options_,options_occbin_,'likelihood.check_ahead_periods');
options_ = occbin.set_option(options_,options_occbin_,'likelihood.periodic_solution');
options_ = occbin.set_option(options_,options_occbin_,'likelihood.max_number_of_iterations');
+options_ = occbin.set_option(options_,options_occbin_,'filter.use_relaxation');
options_ = occbin.set_option(options_,options_occbin_,'likelihood.inversion_filter');
if isfield(M_,'surprise_shocks') && ~isempty(M_.surprise_shocks)
diff --git a/tests/occbin/model_irrcap_twoconstraints/dynrbc_common.inc b/tests/occbin/model_irrcap_twoconstraints/dynrbc_common.inc
index 9f504605ef..51e22ec23e 100644
--- a/tests/occbin/model_irrcap_twoconstraints/dynrbc_common.inc
+++ b/tests/occbin/model_irrcap_twoconstraints/dynrbc_common.inc
@@ -89,6 +89,9 @@ occbin_graph(noconstant) c erra lambdak k i a k;
occbin_solver(simul_periods=200,simul_maxit=200,simul_curb_retrench,simul_check_ahead_periods=200);
occbin_setup(smoother_periods=200,smoother_maxit=200,smoother_curb_retrench,smoother_check_ahead_periods=200);
calib_smoother(datafile=datasim);
+ oo0=oo_;
+ occbin_setup(filter_use_relaxation);
+ calib_smoother(datafile=datasim);
oo_= occbin.unpack_simulations(M_,oo_,options_);
titlelist = char('c','lambdak','k','i','a','erra');
--
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