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Commit 8a35ee73 authored by Stéphane Adjemian's avatar Stéphane Adjemian
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Added an option to skip the test on the number of periods over which the... 

Added an option to skip the test on the number of periods over which the perfect foresight models are solved.
parent 3f2d2b34
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matlab/ep/extended_path.m
+ 83
− 73
View file @ 8a35ee73
......@@ -81,6 +81,10 @@ pfm.i_upd = pfm.ny+(1:pfm.periods*pfm.ny);
% Set the algorithm for the perfect foresight solver
options_.stack_solve_algo = options_.ep.stack_solve_algo;
% Set check_stability flag
do_not_check_stability_flag = ~options_.ep.check_stability;
% Compute the first order reduced form if needed.
%
% REMARK. It is assumed that the user did run the same mod file with stoch_simul(order=1) and save
......@@ -248,84 +252,90 @@ while (t<sample_size)
end
end
end
% Test if periods is big enough.
% Increase the number of periods.
options_.periods = options_.periods + options_.ep.step;
pfm.periods = options_.periods;
pfm.i_upd = pfm.ny+(1:pfm.periods*pfm.ny);
% Increment the counter.
increase_periods = increase_periods + 1;
if verbosity
if t<10
disp(['Time: ' int2str(t) '. I increase the number of periods to ' int2str(options_.periods) '.'])
elseif t<100
disp(['Time: ' int2str(t) '. I increase the number of periods to ' int2str(options_.periods) '.'])
elseif t<1000
disp(['Time: ' int2str(t) '. I increase the number of periods to ' int2str(options_.periods) '.'])
if do_not_check_stability_flag
% Exit from the while loop.
oo_.endo_simul = tmp;
break
else
% Test if periods is big enough.
% Increase the number of periods.
options_.periods = options_.periods + options_.ep.step;
pfm.periods = options_.periods;
pfm.i_upd = pfm.ny+(1:pfm.periods*pfm.ny);
% Increment the counter.
increase_periods = increase_periods + 1;
if verbosity
if t<10
disp(['Time: ' int2str(t) '. I increase the number of periods to ' int2str(options_.periods) '.'])
elseif t<100
disp(['Time: ' int2str(t) '. I increase the number of periods to ' int2str(options_.periods) '.'])
elseif t<1000
disp(['Time: ' int2str(t) '. I increase the number of periods to ' int2str(options_.periods) '.'])
else
disp(['Time: ' int2str(t) '. I increase the number of periods to ' int2str(options_.periods) '.'])
end
end
if info.convergence
% If the previous call to the perfect foresight model solver exited
% announcing that the routine converged, adapt the size of oo_.endo_simul
% and oo_.exo_simul.
oo_.endo_simul = [ tmp , repmat(oo_.steady_state,1,options_.ep.step) ];
oo_.exo_simul = [ oo_.exo_simul ; zeros(options_.ep.step,size(shocks,2)) ];
tmp_old = tmp;
else
disp(['Time: ' int2str(t) '. I increase the number of periods to ' int2str(options_.periods) '.'])
% If the previous call to the perfect foresight model solver exited
% announcing that the routine did not converge, then tmp=1... Maybe
% should change that, because in some circonstances it may usefull
% to know where the routine did stop, even if convergence was not
% achieved.
oo_.endo_simul = [ oo_.endo_simul , repmat(oo_.steady_state,1,options_.ep.step) ];
oo_.exo_simul = [ oo_.exo_simul ; zeros(options_.ep.step,size(shocks,2)) ];
end
end
if info.convergence
% If the previous call to the perfect foresight model solver exited
% announcing that the routine converged, adapt the size of oo_.endo_simul
% and oo_.exo_simul.
oo_.endo_simul = [ tmp , repmat(oo_.steady_state,1,options_.ep.step) ];
oo_.exo_simul = [ oo_.exo_simul ; zeros(options_.ep.step,size(shocks,2)) ];
tmp_old = tmp;
else
% If the previous call to the perfect foresight model solver exited
% announcing that the routine did not converge, then tmp=1... Maybe
% should change that, because in some circonstances it may usefull
% to know where the routine did stop, even if convergence was not
% achieved.
oo_.endo_simul = [ oo_.endo_simul , repmat(oo_.steady_state,1,options_.ep.step) ];
oo_.exo_simul = [ oo_.exo_simul ; zeros(options_.ep.step,size(shocks,2)) ];
end
% Solve the perfect foresight model with an increased number of periods.
[flag,tmp] = bytecode('dynamic');
if flag
[flag,tmp] = solve_perfect_foresight_model(oo_.endo_simul,oo_.exo_simul,pfm);
end
info.convergence = ~flag;
if info.convergence
% If the solver achieved convergence, check that simulated paths did not
% change during the first periods.
% Compute the maximum deviation between old path and new path over the
% first periods
delta = max(max(abs(tmp(:,2:options_.ep.fp)-tmp_old(:,2:options_.ep.fp))));
if delta<options_.dynatol.x
% If the maximum deviation is close enough to zero, reset the number
% of periods to ep.periods
options_.periods = options_.ep.periods;
pfm.periods = options_.periods;
pfm.i_upd = pfm.ny+(1:pfm.periods*pfm.ny);
% Cut oo_.exo_simul and oo_.endo_simul consistently with the resetted
% number of periods and exit from the while loop.
oo_.exo_simul = oo_.exo_simul(1:(options_.periods+2),:);
oo_.endo_simul = oo_.endo_simul(:,1:(options_.periods+2));
break
% Solve the perfect foresight model with an increased number of periods.
[flag,tmp] = bytecode('dynamic');
if flag
[flag,tmp] = solve_perfect_foresight_model(oo_.endo_simul,oo_.exo_simul,pfm);
end
else
% The solver did not converge... Try to solve the model again with a bigger
% number of periods, except if the number of periods has been increased more
% than 10 times.
if increase_periods==10;
if verbosity
if t<10
disp(['Time: ' int2str(t) '. Even with ' int2str(options_.periods) ', I am not able to solve the perfect foresight model. Use homotopy instead...'])
elseif t<100
disp(['Time: ' int2str(t) '. Even with ' int2str(options_.periods) ', I am not able to solve the perfect foresight model. Use homotopy instead...'])
elseif t<1000
disp(['Time: ' int2str(t) '. Even with ' int2str(options_.periods) ', I am not able to solve the perfect foresight model. Use homotopy instead...'])
else
disp(['Time: ' int2str(t) '. Even with ' int2str(options_.periods) ', I am not able to solve the perfect foresight model. Use homotopy instead...'])
info.convergence = ~flag;
if info.convergence
% If the solver achieved convergence, check that simulated paths did not
% change during the first periods.
% Compute the maximum deviation between old path and new path over the
% first periods
delta = max(max(abs(tmp(:,2:options_.ep.fp)-tmp_old(:,2:options_.ep.fp))));
if delta<options_.dynatol.x
% If the maximum deviation is close enough to zero, reset the number
% of periods to ep.periods
options_.periods = options_.ep.periods;
pfm.periods = options_.periods;
pfm.i_upd = pfm.ny+(1:pfm.periods*pfm.ny);
% Cut oo_.exo_simul and oo_.endo_simul consistently with the resetted
% number of periods and exit from the while loop.
oo_.exo_simul = oo_.exo_simul(1:(options_.periods+2),:);
oo_.endo_simul = oo_.endo_simul(:,1:(options_.periods+2));
break
end
else
% The solver did not converge... Try to solve the model again with a bigger
% number of periods, except if the number of periods has been increased more
% than 10 times.
if increase_periods==10;
if verbosity
if t<10
disp(['Time: ' int2str(t) '. Even with ' int2str(options_.periods) ', I am not able to solve the perfect foresight model. Use homotopy instead...'])
elseif t<100
disp(['Time: ' int2str(t) '. Even with ' int2str(options_.periods) ', I am not able to solve the perfect foresight model. Use homotopy instead...'])
elseif t<1000
disp(['Time: ' int2str(t) '. Even with ' int2str(options_.periods) ', I am not able to solve the perfect foresight model. Use homotopy instead...'])
else
disp(['Time: ' int2str(t) '. Even with ' int2str(options_.periods) ', I am not able to solve the perfect foresight model. Use homotopy instead...'])
end
end
% Exit from the while loop.
break
end
% Exit from the while loop.
break
end
end% if info.convergence
end% if info.convergence
end
end% while
if ~info.convergence% If exited from the while loop without achieving convergence, use an homotopic approach
[INFO,tmp] = homotopic_steps(.5,.01);
......
matlab/global_initialization.m
+ 2
− 0
View file @ 8a35ee73
......@@ -126,6 +126,8 @@ ep.maxit = 500;
ep.periods = 200;
% Default step for increasing the number of periods if needed
ep.step = 50;
% Set check_stability flag
ep.check_stability = 1;
% Define last periods used to test if the solution is stable with respect to an increase in the number of periods.
ep.lp = 5;
% Define first periods used to test if the solution is stable with respect to an increase in the number of periods.
......
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