diff --git a/matlab/+occbin/kalman_update_engine.m b/matlab/+occbin/kalman_update_engine.m
index 6a49bbcac2d153a1935fc92352fd3c225faf25b8..647be1a95f627d57b58eff2bd70c0517df537cfc 100644
--- a/matlab/+occbin/kalman_update_engine.m
+++ b/matlab/+occbin/kalman_update_engine.m
@@ -32,7 +32,6 @@ 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);
@@ -109,23 +108,79 @@ if info==0
oldstart = regimes_(1).regimestart(end);
newstart = regx(1).regimestart(end);
diffstart = newstart-oldstart;
+ regname = 'regimestart';
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);
+ [diffstart, diffregime] = max([newstart1-oldstart1,newstart2-oldstart2]);
+ switch diffregime
+ case 1
+ regname = 'regimestart1';
+ case 2
+ regname = 'regimestart2';
end
end
+end
+if options_.occbin.filter.use_relaxation && diffstart>options_.occbin.filter.use_relaxation
+ guess_regime = [base_regime base_regime];
+ options_.occbin.filter.guess_regime = true;
+ guess_regime(1) = regx(1);
+ regx2= regx;
+ while isequal(guess_regime(1),regx2(1))
+ % we reduce length until the converged regime does not change
-if options_.occbin.filter.use_relaxation && diffstart>2
- if info0==0
- % make sure we match criteria to enter further solution attempts
- info1=1;
+ guess_regime(1).(regname)(end) = regx2(1).(regname)(end)-1;
+ if guess_regime(1).(regname)(end-1)==guess_regime(1).(regname)(end)
+ guess_regime(1).(regname)(end-1) = guess_regime(1).(regname)(end-1)-1;
+ end
+ if is_multivariate
+ [ax2, a1x2, Px2, P1x2, vx2, Tx2, Rx2, Cx2, regx2, info2, M_2, likx2, etahat2, alphahat2, V2] = occbin.kalman_update_algo_1(a0,a1,P0,P1,data_index,Z,vv,Y,H,Qt,T0,R0,TT,RR,CC,guess_regime,M_,dr,endo_steady_state,exo_steady_state,exo_det_steady_state,options_,occbin_options);
+ else
+ [ax2, a1x2, Px2, P1x2, vx2, Fix2, Kix2, Tx2, Rx2, Cx2, regx2, info2, M_2, likx2, alphahat2, etahat2,TTx2,RRx2,CCx2] = occbin.kalman_update_algo_3(a0,a1,P0,P1,data_index,Z,vv,Fi,Ki,Y,H,Qt,T0,R0,TT,RR,CC,guess_regime,M_,dr,endo_steady_state,exo_steady_state,exo_det_steady_state,options_,occbin_options,kalman_tol,nk);
+ end
+ isnew=true;
+ for kr=1:length(likvec)
+ % make sure likelihood does not differ by rounding issue
+ % but due to different regimes
+ if isequal(regx2(1),regvec(kr))
+ isnew = false;
+ end
+ end
+ if isnew
+ likvec = [likvec likx2];
+ regvec = [regvec; regx2(1)];
+ end
+ if info2==0 && likx2<likx
+ ax=ax2;
+ a1x=a1x2;
+ Px=Px2;
+ P1x=P1x2;
+ vx=vx2;
+ Tx=Tx2;
+ Rx=Rx2;
+ Cx=Cx2;
+ regx=regx2;
+ info=info2;
+ likx=likx2;
+ M_= M_2;
+ etahat=etahat2;
+ alphahat=alphahat2;
+ if is_multivariate
+ V=V2;
+ else
+ Fix = Fix2;
+ Kix = Kix2;
+ TTx = TTx2;
+ RRx = RRx2;
+ CCx = CCx2;
+ end
+ end
end
- options_.occbin.likelihood.brute_force_regime_guess = true;
- options_.occbin.likelihood.loss_function_regime_guess = true;
- use_relaxation = true;
+ options_.occbin.filter.guess_regime = false;
+ options_.occbin.likelihood.brute_force_regime_guess = false;
+ options_.occbin.likelihood.loss_function_regime_guess = false;
end
if options_.occbin.likelihood.brute_force_regime_guess && (info0 || info1) %|| (info==0 && ~isequal(regx(1),base_regime))
@@ -145,9 +200,8 @@ 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)) && not(use_relaxation && likx2{1}>=likx)
- % found a solution, different from previous or
- % use_relaxation and likelihood is better
+ if not(info==0 && isequal(regx2{1},regx))
+ % found a solution, different from previous
break
end
end
@@ -161,8 +215,6 @@ 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
@@ -224,18 +276,16 @@ 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)) && not(use_relaxation && likx2{gindex}>=likx)
+ if not(info==0 && isequal(regx2{gindex},regx))
% 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)) && not(use_relaxation && likx2{gindex}>=likx)
+ if not(info==0 && isequal(regx2{gindex},regx))
% found a solution, different from previous one
- % use_relaxation and likelihood improves
break
end
end
@@ -243,9 +293,8 @@ 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)) && not(use_relaxation && likx2{gindex}>=likx)
+ if not(info==0 && isequal(regx2{gindex},regx))
% 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 b720160c5392e6bcbba83ba096921b5141cf4d5d..04e13d54df14d98f8a7b783848481936f19cddeb 100644
--- a/matlab/+occbin/set_default_options.m
+++ b/matlab/+occbin/set_default_options.m
@@ -46,6 +46,7 @@ if ismember(flag,{'filter','all'})
options_occbin_.filter.guess_regime = false;
options_occbin_.filter.periodic_solution = true;
options_occbin_.filter.use_relaxation = false;
+ options_occbin_.filter.use_relaxation_tol_period = 1;
end
if ismember(flag,{'forecast','all'})