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← Revision 6 as of 2010-11-25 13:19:50 ⇥
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| = Portfolio models = | |
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| This page describes the changes and additions that are necessary to handle portfolio allocation problems in Dynare. == Preprocessor == === To flag the portfolio equation in the modfile === * Add general labels to equations. Proposed syntax: {{{ [key=value,key=value,...]; }}} * Internal representation in the preprocessor: a vector of pairs of two lists (list of keys, list of value) * Representation in Matlab: for each keyname, a cell array of values with as many entries as number of equations === To trigger third order derivatives === Portfolios computations involve third order derivative when finding the steady state even if no simulation is to be made. Currently, the preprocessor computes third derivatives ( {{{g3}}} ) if {{{order=3}}} option is passed to {{{stoch_simul}}} and the processing in matlab fails. {{{stoch_simul}}} may eventually be modfied in order to allow for simulations with portfolios. In this case, it would not be the same as the so-called "third-order" approximation. For this reason, there should be another option somewhere triggering computations of {{{g3}}} * One proposition : add an option to steady : ({{{portfolios=true}}}) which would imply ({{{order=3}}}) * Another (cleaner) : differentiate runtime option {{{order=...}}} from preprocessing time option {{{compute_order=...}}} * Currently : there is a patch that allows instruction {{{steady(order=3)}}} even if no {{{stoch_simul}}} instruction is present. === Initialize {{{g3}}} === Currently, {{{g3}}} is computed by : * {{{g3 = sparse([],[],[],nrows,ncols,maxsize)}}} * each element is then written in {{{g3}}} It is very time consuming. Another method consists in defining a vector with non zero-content, then to expand it to a sparse matrix : * {{{v3 = zeros(n_non_zero_elements, 3)}}} * define {{{k}}}th non zero element with index {{{(i,j)}}} and value {{{v}}} by : {{{v3(k,i,j) = v;}}} * {{{g3 = sparse(v3(1,:),v3(2,:),v3(3,:),nrows,ncols)}}} There is a patch and a test for it waiting for review. |
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