From e14e9641e846a3a27c778fdf2be4f8130d83311d Mon Sep 17 00:00:00 2001
From: Johannes Pfeifer <jpfeifer@gmx.de>
Date: Mon, 22 Jun 2020 14:03:56 +0200
Subject: [PATCH] Factorize checking of positive definiteness
---
matlab/dynare_estimation_init.m | 23 +---------
matlab/get_matrix_entries_for_psd_check.m | 55 +++++++++++++++++++++++
2 files changed, 56 insertions(+), 22 deletions(-)
create mode 100644 matlab/get_matrix_entries_for_psd_check.m
diff --git a/matlab/dynare_estimation_init.m b/matlab/dynare_estimation_init.m
index c893be9c63..27cc95b34d 100644
--- a/matlab/dynare_estimation_init.m
+++ b/matlab/dynare_estimation_init.m
@@ -626,28 +626,7 @@ end
%% get the non-zero rows and columns of Sigma_e and H
-H_non_zero_rows=find(~all(M_.H==0,1));
-H_non_zero_columns=find(~all(M_.H==0,2));
-if ~isequal(H_non_zero_rows,H_non_zero_columns')
- error('Measurement error matrix not symmetric')
-end
-if isfield(estim_params_,'nvn_observable_correspondence')
- estim_params_.H_entries_to_check_for_positive_definiteness=union(H_non_zero_rows,estim_params_.nvn_observable_correspondence(:,1));
-else
- estim_params_.H_entries_to_check_for_positive_definiteness=H_non_zero_rows;
-end
-
-Sigma_e_non_zero_rows=find(~all(M_.Sigma_e==0,1));
-Sigma_e_non_zero_columns=find(~all(M_.Sigma_e==0,2));
-if ~isequal(Sigma_e_non_zero_rows,Sigma_e_non_zero_columns')
- error('Structual error matrix not symmetric')
-end
-if isfield(estim_params_,'var_exo') && ~isempty(estim_params_.var_exo)
- estim_params_.Sigma_e_entries_to_check_for_positive_definiteness=union(Sigma_e_non_zero_rows,estim_params_.var_exo(:,1));
-else
- estim_params_.Sigma_e_entries_to_check_for_positive_definiteness=Sigma_e_non_zero_rows;
-end
-
+estim_params_= get_matrix_entries_for_psd_check(M_,estim_params_);
if options_.load_results_after_load_mh
if ~exist([M_.fname '_results.mat'],'file')
diff --git a/matlab/get_matrix_entries_for_psd_check.m b/matlab/get_matrix_entries_for_psd_check.m
new file mode 100644
index 0000000000..1ddd80d3c5
--- /dev/null
+++ b/matlab/get_matrix_entries_for_psd_check.m
@@ -0,0 +1,55 @@
+function estim_params_= get_matrix_entries_for_psd_check(M_,estim_params_)
+% function estim_params_= get_matrix_entries_for_psd_check(M_)
+% Get entries of Sigma_e and H to check for positive definiteness
+%
+% INPUTS
+% M_: structure storing the model information
+% estim_params_: structure storing information about estimated
+% parameters
+% OUTPUTS
+% estim_params_: structure storing information about estimated
+% parameters
+%
+% SPECIAL REQUIREMENTS
+% none
+
+% Copyright (C) 2020 Dynare Team
+%
+% This file is part of Dynare.
+%
+% Dynare is free software: you can redistribute it and/or modify
+% it under the terms of the GNU General Public License as published by
+% the Free Software Foundation, either version 3 of the License, or
+% (at your option) any later version.
+%
+% Dynare is distributed in the hope that it will be useful,
+% but WITHOUT ANY WARRANTY; without even the implied warranty of
+% MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the
+% GNU General Public License for more details.
+%
+% You should have received a copy of the GNU General Public License
+% along with Dynare. If not, see <http://www.gnu.org/licenses/>.
+
+%% get the non-zero rows and columns of Sigma_e and H
+
+H_non_zero_rows=find(~all(M_.H==0,1));
+H_non_zero_columns=find(~all(M_.H==0,2));
+if ~isequal(H_non_zero_rows,H_non_zero_columns') || (any(any(M_.H-M_.H'>1e-10)))
+ error('Measurement error matrix not symmetric')
+end
+if isfield(estim_params_,'nvn_observable_correspondence')
+ estim_params_.H_entries_to_check_for_positive_definiteness=union(H_non_zero_rows,estim_params_.nvn_observable_correspondence(:,1));
+else
+ estim_params_.H_entries_to_check_for_positive_definiteness=H_non_zero_rows;
+end
+
+Sigma_e_non_zero_rows=find(~all(M_.Sigma_e==0,1));
+Sigma_e_non_zero_columns=find(~all(M_.Sigma_e==0,2));
+if ~isequal(Sigma_e_non_zero_rows,Sigma_e_non_zero_columns') || (any(any(M_.Sigma_e-M_.Sigma_e'>1e-10)))
+ error('Structual error matrix not symmetric')
+end
+if isfield(estim_params_,'var_exo') && ~isempty(estim_params_.var_exo)
+ estim_params_.Sigma_e_entries_to_check_for_positive_definiteness=union(Sigma_e_non_zero_rows,estim_params_.var_exo(:,1));
+else
+ estim_params_.Sigma_e_entries_to_check_for_positive_definiteness=Sigma_e_non_zero_rows;
+end
\ No newline at end of file
--
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