diff --git a/matlab/+occbin/kalman_update_algo_1.m b/matlab/+occbin/kalman_update_algo_1.m
index bf25201a09ae97e3f0a3576240a1e2bf89c6691b..42705e12d5fe93776b80a5473b867822e4e05e5a 100644
--- a/matlab/+occbin/kalman_update_algo_1.m
+++ b/matlab/+occbin/kalman_update_algo_1.m
@@ -105,17 +105,17 @@ PZI = P1(:,:,t)*ZZ'*iF(di,di,t);
% L(:,:,t) = T-K(:,di,t)*ZZ;
L(:,:,t) = eye(mm)-PZI*ZZ;
-if ~options_.occbin.filter.use_relaxation && ~isempty(fieldnames(regimes0))
+if ~isempty(fieldnames(regimes0))
if options_.occbin.filter.guess_regime
[~,~,~,~,~,~, TTx, RRx, CCx] ...
= occbin.dynare_resolve(M_,options_,dr, endo_steady_state, exo_steady_state, exo_det_steady_state, regimes0(1),'reduced_state_space',T0,R0);
- if M_.occbin.constraint_nbr==1
- bindx = occbin.backward_map_regime(regimes0(1).regime, regimes0(1).regimestart);
- bindx = bindx(2:end);
- [regimes0(2).regime, regimes0(2).regimestart, error_flag]=occbin.map_regime(bindx);
- bindx = bindx(2:end);
- [regimes0(3).regime, regimes0(3).regimestart, error_flag]=occbin.map_regime(bindx);
- else
+ if M_.occbin.constraint_nbr==1
+ bindx = occbin.backward_map_regime(regimes0(1).regime, regimes0(1).regimestart);
+ bindx = bindx(2:end);
+ [regimes0(2).regime, regimes0(2).regimestart, error_flag]=occbin.map_regime(bindx);
+ bindx = bindx(2:end);
+ [regimes0(3).regime, regimes0(3).regimestart, error_flag]=occbin.map_regime(bindx);
+ else
bindx1 = occbin.backward_map_regime(regimes0(1).regime1, regimes0(1).regimestart1);
bindx2 = occbin.backward_map_regime(regimes0(1).regime2, regimes0(1).regimestart2);
bindx1 = bindx1(2:end);
@@ -126,7 +126,7 @@ if ~options_.occbin.filter.use_relaxation && ~isempty(fieldnames(regimes0))
bindx2 = bindx2(2:end);
[regimes0(3).regime1, regimes0(3).regimestart1, error_flag]=occbin.map_regime(bindx1);
[regimes0(3).regime2, regimes0(3).regimestart2, error_flag]=occbin.map_regime(bindx2);
- end
+ end
% regimes0=[regimes0 base_regime base_regime];
TT(:,:,2) = TTx(:,:,end);
RR(:,:,2) = RRx(:,:,end);
@@ -200,48 +200,13 @@ end
lik_hist=lik;
niter=1;
is_periodic=0;
-if options_.occbin.filter.use_relaxation || isequal(regimes0(1),base_regime)
- nguess=1;
-else
- nguess=0;
-end
-newguess=0;
if any(myregime) || ~isequal(regimes_(1),regimes0(1))
while ~isequal(regimes_(1),regimes0(1)) && ~is_periodic && ~out.error_flag && niter<=options_.occbin.likelihood.max_number_of_iterations
niter=niter+1;
- oldstart=1;
- if M_.occbin.constraint_nbr==1 && length(regimes0(1).regimestart)>1
- oldstart = regimes0(1).regimestart(end);
- end
- newstart=1;
- if M_.occbin.constraint_nbr==1 && length(regimes_(1).regimestart)>1
- newstart = regimes_(1).regimestart(end);
- end
- if M_.occbin.constraint_nbr==1 && (newstart-oldstart)>2 && options_.occbin.filter.use_relaxation
- regimestart = max(oldstart+2,round(0.5*(newstart+oldstart)));
- regimestart = min(regimestart,oldstart+4);
- if regimestart<=regimes_(1).regimestart(end-1)
- if length(regimes_(1).regimestart)<=3
- regimestart = max(regimestart, min(regimes_(1).regimestart(end-1)+2,newstart));
- else
- regimes_(1).regime = regimes_(1).regime(1:end-2);
- regimes_(1).regimestart = regimes_(1).regimestart(1:end-2);
- regimestart = max(regimestart, regimes_(1).regimestart(end-1)+1);
- end
- end
- regimes_(1).regimestart(end)=regimestart;
- [~,~,~,~,~,~, TTx, RRx, CCx] ...
- = occbin.dynare_resolve(M_,options_,dr, endo_steady_state, exo_steady_state, exo_det_steady_state, [base_regime regimes_(1)],'reduced_state_space', T0, R0);
- TT(:,:,2) = TTx(:,:,end);
- RR(:,:,2) = RRx(:,:,end);
- CC(:,2) = CCx(:,end);
- elseif newguess==0
- TT(:,:,2)=ss.T(my_order_var,my_order_var,1);
- RR(:,:,2)=ss.R(my_order_var,:,1);
- CC(:,2)=ss.C(my_order_var,1);
- end
- newguess=0;
+ TT(:,:,2)=ss.T(my_order_var,my_order_var,1);
+ RR(:,:,2)=ss.R(my_order_var,:,1);
+ CC(:,2)=ss.C(my_order_var,1);
regime_hist(niter) = {regimes_(1)};
if M_.occbin.constraint_nbr==1
regime_end(niter) = regimes_(1).regimestart(end);
@@ -257,9 +222,7 @@ if any(myregime) || ~isequal(regimes_(1),regimes0(1))
else
opts_simul.endo_init = alphahat(dr.inv_order_var,1);
end
- if not(options_.occbin.filter.use_relaxation)
- opts_simul.init_regime=regimes_(1);
- end
+ opts_simul.init_regime=regimes_(1);
if M_.occbin.constraint_nbr==1
myregimestart = [regimes_.regimestart];
else
@@ -287,11 +250,11 @@ if any(myregime) || ~isequal(regimes_(1),regimes0(1))
is_periodic_iter = find(is_periodic);
is_periodic = any(is_periodic);
if is_periodic
- % re-set to previous regime
- if options_.occbin.filter.periodic_solution
- % force projection conditional on most likely regime
- [m, im]=min(lik_hist(is_periodic_iter:end));
- opts_simul.init_regime=regime_hist{is_periodic_iter+im-1};
+ % re-set to previous regime
+ if options_.occbin.filter.periodic_solution
+ % force projection conditional on most likely regime
+ [m, im]=min(lik_hist(is_periodic_iter:end));
+ opts_simul.init_regime=regime_hist{is_periodic_iter+im-1};
if M_.occbin.constraint_nbr==1
myregimestart = [regimes0.regimestart];
else
@@ -303,23 +266,22 @@ if any(myregime) || ~isequal(regimes_(1),regimes0(1))
[~, out, ss] = occbin.solver(M_,options_,dr,endo_steady_state,exo_steady_state,exo_det_steady_state);
if out.error_flag
error_flag = out.error_flag;
- etahat=etahat(:,2);
- lik=inf;
- return;
- else
- regimes_ = out.regime_history;
- TT(:,:,2)=ss.T(my_order_var,my_order_var,1);
- RR(:,:,2)=ss.R(my_order_var,:,1);
- CC(:,2)=ss.C(my_order_var,1);
- [a, a1, P, P1, v, alphahat, etahat, lik, V] = occbin_kalman_update0(a,a1,P,P1,data_index,Z,v,Y,H,QQQ,TT,RR,CC,iF,L,mm, options_.rescale_prediction_error_covariance, options_.occbin.likelihood.IF_likelihood, options_.occbin.filter.state_covariance);
- end
- else
- error_flag = 330;
etahat=etahat(:,2);
lik=inf;
return;
+ else
+ regimes_ = out.regime_history;
+ TT(:,:,2)=ss.T(my_order_var,my_order_var,1);
+ RR(:,:,2)=ss.R(my_order_var,:,1);
+ CC(:,2)=ss.C(my_order_var,1);
+ [a, a1, P, P1, v, alphahat, etahat, lik, V] = occbin_kalman_update0(a,a1,P,P1,data_index,Z,v,Y,H,QQQ,TT,RR,CC,iF,L,mm, options_.rescale_prediction_error_covariance, options_.occbin.likelihood.IF_likelihood, options_.occbin.filter.state_covariance);
end
-% end
+ else
+ error_flag = 330;
+ etahat=etahat(:,2);
+ lik=inf;
+ return;
+ end
end
end
end
diff --git a/matlab/+occbin/kalman_update_algo_3.m b/matlab/+occbin/kalman_update_algo_3.m
index 797bd62ac5f781a47b472ca3760866d47309997c..77c4a8cfc1e6594d5c474ab7a2b6888ed2a31d91 100644
--- a/matlab/+occbin/kalman_update_algo_3.m
+++ b/matlab/+occbin/kalman_update_algo_3.m
@@ -105,7 +105,7 @@ if options_.smoother_redux
end
mm=size(a,1);
-if ~options_.occbin.filter.use_relaxation && ~isempty(fieldnames(regimes0))
+if ~isempty(fieldnames(regimes0))
if options_.occbin.filter.guess_regime
[~,~,~,~,~,~, TTx, RRx, CCx] ...
= occbin.dynare_resolve(M_,options_,dr,endo_steady_state,exo_steady_state,exo_det_steady_state, regimes0(1),myrestrict,T0,R0);
@@ -198,52 +198,13 @@ end
lik_hist=lik;
niter=1;
is_periodic=0;
-if options_.occbin.filter.use_relaxation || isequal(regimes0(1),base_regime)
- nguess=1;
-else
- nguess=0;
-end
-newguess=0;
if any(myregime) || ~isequal(regimes_(1),regimes0(1))
while ~isequal(regimes_(1),regimes0(1)) && ~is_periodic && ~out.error_flag && niter<=options_.occbin.likelihood.max_number_of_iterations
niter=niter+1;
- newstart=1;
- if M_.occbin.constraint_nbr==1 && length(regimes_(1).regimestart)>1
- newstart = regimes_(1).regimestart(end);
- end
- oldstart=1;
- if M_.occbin.constraint_nbr==1 && length(regimes0(1).regimestart)>1
- oldstart = regimes0(1).regimestart(end);
- end
- if M_.occbin.constraint_nbr==1 && (newstart-oldstart)>2 && options_.occbin.filter.use_relaxation
- regimestart = max(oldstart+2,round(0.5*(newstart+oldstart)));
- regimestart = min(regimestart,oldstart+4);
- if regimestart<=regimes_(1).regimestart(end-1)
- if length(regimes_(1).regimestart)<=3
- regimestart = max(regimestart, min(regimes_(1).regimestart(end-1)+2,newstart));
- else
- regimes_(1).regime = regimes_(1).regime(1:end-2);
- regimes_(1).regimestart = regimes_(1).regimestart(1:end-2);
- regimestart = max(regimestart, regimes_(1).regimestart(end-1)+1);
- end
- end
-
- % % if (newstart-oldstart)>3
- % % regimestart = regimes_(1).regimestart(end-1)+oldstart+2;
- % % % regimestart = regimes_(1).regimestart(end-1)+round(0.5*(newstart+oldstart))-1;
- regimes_(1).regimestart(end)=regimestart;
- [~,~,~,~,~,~, TTx, RRx, CCx] ...
- = occbin.dynare_resolve(M_,options_,dr,endo_steady_state,exo_steady_state,exo_det_steady_state, [base_regime regimes_(1)],myrestrict,T0,R0);
- TT(:,:,2) = TTx(:,:,end);
- RR(:,:,2) = RRx(:,:,end);
- CC(:,2) = CCx(:,end);
- elseif newguess==0
- TT(:,:,2)=ss.T(my_order_var,my_order_var,1);
- RR(:,:,2)=ss.R(my_order_var,:,1);
- CC(:,2)=ss.C(my_order_var,1);
- end
- newguess=0;
+ TT(:,:,2)=ss.T(my_order_var,my_order_var,1);
+ RR(:,:,2)=ss.R(my_order_var,:,1);
+ CC(:,2)=ss.C(my_order_var,1);
regime_hist(niter) = {regimes_(1)};
if M_.occbin.constraint_nbr==1
regime_end(niter) = regimes_(1).regimestart(end);
@@ -251,11 +212,6 @@ if any(myregime) || ~isequal(regimes_(1),regimes0(1))
[a, a1, P, P1, v, Fi, Ki, alphahat, etahat, lik] = occbin_kalman_update(a,a1,P,P1,data_index,Z,v,Y,H,QQQ,TT,RR,CC,Ki,Fi,mm,kalman_tol);
lik_hist(niter) = lik;
opts_simul.SHOCKS(1,:) = etahat(:,2)';
- % if opts_simul.restrict_state_space
- % tmp=zeros(M_.endo_nbr,1);
- % tmp(dr.restrict_var_list,1)=alphahat(:,1);
- % opts_simul.endo_init = tmp(dr.inv_order_var,1);
- % else
if opts_simul.restrict_state_space
tmp=zeros(M_.endo_nbr,1);
tmp(dr.restrict_var_list,1)=alphahat(:,1);
@@ -263,10 +219,7 @@ if any(myregime) || ~isequal(regimes_(1),regimes0(1))
else
opts_simul.endo_init = alphahat(dr.inv_order_var,1);
end
- % end
- if not(options_.occbin.filter.use_relaxation)
- opts_simul.init_regime=regimes_(1);
- end
+ opts_simul.init_regime=regimes_(1);
if M_.occbin.constraint_nbr==1
myregimestart = [regimes_.regimestart];
else
@@ -293,7 +246,6 @@ if any(myregime) || ~isequal(regimes_(1),regimes0(1))
% re-set to previous regime
if options_.occbin.filter.periodic_solution
% force projection conditional on most likely regime
-% [m, im]=max(lik_hist(is_periodic_iter:end));
[m, im]=min(lik_hist(is_periodic_iter:end));
opts_simul.init_regime=regime_hist{is_periodic_iter+im-1};
if M_.occbin.constraint_nbr==1
diff --git a/matlab/+occbin/kalman_update_engine.m b/matlab/+occbin/kalman_update_engine.m
index dfc7350cc1337230a90ee2600e78de727cdc5639..fe2346436ad94fa82febe265bb9bbd70ac83fcad 100644
--- a/matlab/+occbin/kalman_update_engine.m
+++ b/matlab/+occbin/kalman_update_engine.m
@@ -32,6 +32,8 @@ 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
@@ -93,6 +95,31 @@ 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];
@@ -110,8 +137,9 @@ 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
@@ -125,6 +153,8 @@ 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
@@ -186,16 +216,18 @@ 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
@@ -203,8 +235,9 @@ 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/tests/occbin/model_irrcap_twoconstraints/dynrbc_common.inc b/tests/occbin/model_irrcap_twoconstraints/dynrbc_common.inc
index d006a785dae7b13550f38c753bb944d661c3972c..cb08e0773257df0dc18cf389a8f7c075fdb77f0c 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');