Commit e14e9641 authored by Johannes Pfeifer 's avatar Johannes Pfeifer

Factorize checking of positive definiteness

parent 3615962a
......@@ -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')
......
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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