time | Calls | line |
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| | 7 | function [result_map] = ff_az_ds_vec(varargin)
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| | 8 | %% FF_AZ_DS_VEC finds the stationary asset distributions Vectorized
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| | 9 | % Building on the Asset Dynamic Programming Problem
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| | 10 | % <https://fanwangecon.github.io/CodeDynaAsset/m_az/solve/html/ff_az_vf_vecsv.html
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| | 11 | % ff_az_vf_vecsv>, here we solve for the asset distribution using
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| | 12 | % vectorized codes.
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| | 13 | % <https://fanwangecon.github.io/CodeDynaAsset/m_az/solve/html/ff_az_ds.html
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| | 14 | % ff_az_ds> shows looped codes for finding asset distribution. The solution
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| | 15 | % is the same. Both *ff_az_ds* and *ff_az_ds_vec* using
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| | 16 | % optimized-vectorized dynamic programming code from ff_az_vf_vecsv. The
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| | 17 | % idea here is that in addition to vectornizing the dynamic programming
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| | 18 | % funcion, we can also vectorize the distribution code here.
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| | 19 | %
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| | 20 | % This function finds the distributio based on the outputs of several
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| | 21 | % dynamic programming problems, both single and multiple assets:
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| | 22 | %
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| | 23 | % # One Asset DP Savings <https://fanwangecon.github.io/CodeDynaAsset/m_az/solve/html/ff_az_vf_vecsv.html ff_az_vf_vecsv>
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| | 24 | % # One Asset DP Savings and Borrowing <https://fanwangecon.github.io/CodeDynaAsset/m_abz/solve/html/ff_abz_vf_vecsv.html ff_abz_vf_vecsv>
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| | 25 | % # Risky + Safe Asset Concurrent DP <https://fanwangecon.github.io/CodeDynaAsset/m_akz/solve/html/ff_akz_vf_vecsv.html ff_akz_vf_vecsv>
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| | 26 | % # Risky + Safe Asset Two-Stage DP <https://fanwangecon.github.io/CodeDynaAsset/m_akz/solve/html/ff_wkz_vf_vecsv.html ff_wkz_vf_vecsv>
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| | 27 | %
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| | 28 | % Similar to
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| | 29 | % <https://fanwangecon.github.io/CodeDynaAsset/m_az/solve/html/ff_az_ds.html
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| | 30 | % ff_az_ds>. The code here works when we are looking for the distribution
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| | 31 | % of f(a,z), where a'(a,z), meaning that the a next period is determined by
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| | 32 | % a last period and some shock. Given this, the a' is fixed for all z'. If
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| | 33 | % however, the outcome of interest is such that: y'(y,z,z'), meaning that
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| | 34 | % y' is different depending on realized z', the code below does not work.
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| | 35 | %
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| | 36 | % Distributions of Interest:
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| | 37 | %
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| | 38 | % * $p(a,z)$
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| | 39 | % * $p(Y=y, z) = \sum_{a} \left( 1\left\{Y(a,z)=y\right\} \cdot p(a,z) \right)$
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| | 40 | % * $p(Y=y, a) = \sum_{z} \left( 1\left\{Y(a,z)=y\right\} \cdot p(a,z) \right)$
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| | 41 | % * $p(Y=y) = \sum_{a,z} \left( 1\left\{Y(a,z)=y\right\} \cdot p(a,z) \right)$
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| | 42 | %
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| | 43 | % Statistics include:
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| | 44 | %
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| | 45 | % * $\mu_y = \sum_{y} p(Y=y) \cdot y$
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| | 46 | % * $\sigma_y = \sqrt{ \sum_{y} p(Y=y) \cdot \left( y - \mu_y \right)^2}$
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| | 47 | % * $p(y=0)$
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| | 48 | % * $p(y=\max(y))$
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| | 49 | % * percentiles: $min_{y} \left\{ P(Y \le y) - percentile \mid P(Y \le y) \ge percentile \right\}$
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| | 50 | % * fraction of outcome held by up to percentiles: $E(Y<y)/E(Y)$
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| | 51 | %
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| | 52 | % @param param_map container parameter container
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| | 53 | %
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| | 54 | % @param support_map container support container
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| | 55 | %
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| | 56 | % @param armt_map container container with states, choices and shocks
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| | 57 | % grids that are inputs for grid based solution algorithm
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| | 58 | %
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| | 59 | % @param func_map container container with function handles for
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| | 60 | % consumption cash-on-hand etc.
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| | 61 | %
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| | 62 | % @return result_map container contains policy function matrix, value
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| | 63 | % function matrix, iteration results, and policy function, value function
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| | 64 | % and iteration results tables.
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| | 65 | %
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| | 66 | % new keys included in result_map in addition to the output from
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| | 67 | % <https://fanwangecon.github.io/CodeDynaAsset/m_az/solve/html/ff_az_vf_vecsv.html
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| | 68 | % ff_az_vf_vecsv> are various distribution statistics for each model
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| | 69 | % outcome, keys include *cl_mt_pol_a*, *cl_mt_pol_c*, *cl_mt_pol_coh*, etc.
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| | 70 | %
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| | 71 | % @example
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| | 72 | %
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| | 73 | % % Get Default Parameters
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| | 74 | % it_param_set = 6;
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| | 75 | % [param_map, support_map] = ffs_az_set_default_param(it_param_set);
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| | 76 | % % Change Keys in param_map
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| | 77 | % param_map('it_a_n') = 500;
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| | 78 | % param_map('it_z_n') = 11;
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| | 79 | % param_map('fl_a_max') = 100;
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| | 80 | % param_map('fl_w') = 1.3;
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| | 81 | % % Change Keys support_map
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| | 82 | % support_map('bl_display') = false;
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| | 83 | % support_map('bl_post') = true;
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| | 84 | % support_map('bl_display_final') = false;
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| | 85 | % % Call Program with external parameters that override defaults
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| | 86 | % ff_az_ds_vec(param_map, support_map);
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| | 87 | %
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| | 88 | %
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| | 89 | % @include
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| | 90 | %
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| | 91 | % * <https://fanwangecon.github.io/CodeDynaAsset/m_az/solve/html/ff_az_vf_vecsv.html ff_az_vf_vecsv>
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| | 92 | % * <https://fanwangecon.github.io/CodeDynaAsset/m_az/solvepost/html/ff_az_ds_post_stats.html ff_az_ds_post_stats>
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| | 93 | % * <https://fanwangecon.github.io/CodeDynaAsset/tools/html/fft_disc_rand_var_stats.html fft_disc_rand_var_stats>
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| | 94 | % * <https://fanwangecon.github.io/CodeDynaAsset/tools/html/fft_disc_rand_var_mass2outcomes.html fft_disc_rand_var_mass2outcomes>
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| | 95 | %
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| | 96 | % @seealso
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| | 97 | %
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| | 98 | % * derive distribution f(y'(y,z)) one asset *loop*: <https://fanwangecon.github.io/CodeDynaAsset/m_az/solve/html/ff_az_ds.html ff_az_ds>
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| | 99 | % * derive distribution f(y'({x,y},z)) two assets *loop*: <https://fanwangecon.github.io/CodeDynaAsset/m_akz/solve/html/ff_akz_ds.html ff_akz_ds>
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| | 100 | % * derive distribution f(y'({x,y},z, *z'*)) two assets *loop*: <https://fanwangecon.github.io/CodeDynaAsset/m_akz/solve/html/ff_iwkz_ds.html ff_iwkz_ds>
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| | 101 | % * derive distribution f(y'({y},z)) or f(y'({x,y},z)) *vectorized*: <https://fanwangecon.github.io/CodeDynaAsset/m_az/solve/html/ff_az_ds_vec.html ff_az_ds_vec>
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| | 102 | % * derive distribution f(y'({y},z, *z'*)) or f(y'({x,y},z, *z'*)) *vectorized*: <https://fanwangecon.github.io/CodeDynaAsset/m_akz/solve/html/ff_iwkz_ds_vec.html ff_iwkz_ds_vec>
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| | 103 | % * derive distribution f(y'({y},z)) or f(y'({x,y},z)) *semi-analytical*: <https://fanwangecon.github.io/CodeDynaAsset/m_az/solve/html/ff_az_ds_vecsv.html ff_az_ds_vecsv>
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| | 104 | % * derive distribution f(y'({y},z, *z'*)) or f(y'({x,y},z, *z'*)) *semi-analytical*: <https://fanwangecon.github.io/CodeDynaAsset/m_akz/solve/html/ff_iwkz_ds_vecsv.html ff_iwkz_ds_vecsv>
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| | 105 | %
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| | 106 |
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| | 107 | %% Default
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| | 108 | % Program can be externally invoked with _az_, _abz_ or various other
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| | 109 | % programs. By default, program invokes using _az_ model programs:
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| | 110 | %
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| | 111 | % # it_subset = 5 is basic invoke quick test
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| | 112 | % # it_subset = 6 is invoke full test
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| | 113 | % # it_subset = 7 is profiling invoke
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| | 114 | % # it_subset = 8 is matlab publish
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| | 115 | % # it_subset = 9 is invoke operational (only final stats) and coh graph
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| | 116 | %
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| | 117 |
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< 0.001 | 1 | 118 | params_len = length(varargin);
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< 0.001 | 1 | 119 | bl_input_override = 0;
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< 0.001 | 1 | 120 | if (params_len == 6)
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< 0.001 | 1 | 121 | bl_input_override = varargin{6};
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< 0.001 | 1 | 122 | end
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| | 123 |
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< 0.001 | 1 | 124 | if (bl_input_override)
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| | 125 | % if invoked from outside override fully
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< 0.001 | 1 | 126 | [param_map, support_map, armt_map, ~, result_map, ~] = varargin{:};
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| | 127 |
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| | 128 | else
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| | 129 | % default invoke
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| | 130 | close all;
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| | 131 |
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| | 132 | it_param_set = 7;
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| | 133 | bl_input_override = true;
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| | 134 |
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| | 135 | % 1. Generate Parameters
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| | 136 | [param_map, support_map] = ffs_az_set_default_param(it_param_set);
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| | 137 |
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| | 138 | % Note: param_map and support_map can be adjusted here or outside to override defaults
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| | 139 | % param_map('it_a_n') = 750;
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| | 140 | % param_map('it_z_n') = 15;
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| | 141 |
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| | 142 | % 2. Generate function and grids
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| | 143 | [armt_map, func_map] = ffs_az_get_funcgrid(param_map, support_map, bl_input_override); % 1 for override
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| | 144 |
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| | 145 | % 3. Solve value and policy function using az_vf_vecsv, if want to solve
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| | 146 | % other models, solve outside then provide result_map as input
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| | 147 | [result_map] = ff_az_vf_vecsv(param_map, support_map, armt_map, func_map);
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| | 148 |
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< 0.001 | 1 | 149 | end
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| | 150 |
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| | 151 | %% Parse Parameters
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| | 152 |
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| | 153 | % append function name
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< 0.001 | 1 | 154 | st_func_name = 'ff_az_ds_vec';
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< 0.001 | 1 | 155 | support_map('st_profile_name_main') = [st_func_name support_map('st_profile_name_main')];
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< 0.001 | 1 | 156 | support_map('st_mat_name_main') = [st_func_name support_map('st_mat_name_main')];
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< 0.001 | 1 | 157 | support_map('st_img_name_main') = [st_func_name support_map('st_img_name_main')];
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| | 158 |
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| | 159 | % result_map
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| | 160 | % ar_st_pol_names is from section _Process Optimal Choices_ in the value
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| | 161 | % function code.
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< 0.001 | 1 | 162 | params_group = values(result_map, {'mt_pol_idx'});
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< 0.001 | 1 | 163 | [mt_pol_idx] = params_group{:};
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| | 164 |
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| | 165 | % armt_map
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< 0.001 | 1 | 166 | params_group = values(armt_map, {'mt_z_trans'});
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< 0.001 | 1 | 167 | [mt_z_trans] = params_group{:};
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| | 168 |
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| | 169 | % param_map
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< 0.001 | 1 | 170 | params_group = values(param_map, {'it_maxiter_dist', 'fl_tol_dist'});
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< 0.001 | 1 | 171 | [it_maxiter_dist, fl_tol_dist] = params_group{:};
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| | 172 |
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| | 173 | % support_map
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< 0.001 | 1 | 174 | params_group = values(support_map, {'bl_profile_dist', 'st_profile_path', ...
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| | 175 | 'st_profile_prefix', 'st_profile_name_main', 'st_profile_suffix',...
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| | 176 | 'bl_time', 'bl_display_dist', 'it_display_every'});
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< 0.001 | 1 | 177 | [bl_profile_dist, st_profile_path, ...
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| 1 | 178 | st_profile_prefix, st_profile_name_main, st_profile_suffix, ...
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| 1 | 179 | bl_time, bl_display_dist, it_display_every] = params_group{:};
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| | 180 |
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| | 181 | %% Start Profiler and Timer
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| | 182 |
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| | 183 | % Start Profile
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< 0.001 | 1 | 184 | if (bl_profile_dist)
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| | 185 | close all;
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| | 186 | profile off;
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| | 187 | profile on;
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| | 188 | end
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| | 189 |
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| | 190 | % Start Timer
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< 0.001 | 1 | 191 | if (bl_time)
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< 0.001 | 1 | 192 | tic;
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< 0.001 | 1 | 193 | end
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| | 194 |
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| | 195 | %% Get Size of Endogenous and Exogenous State
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| | 196 | % The key idea is that all information for policy function is captured by
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| | 197 | % _mt_pol_idx_ matrix, its rows are the number of endogenous states, and
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| | 198 | % its columns are the exogenous shocks.
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| | 199 |
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< 0.001 | 1 | 200 | [it_endostates_rows_n, it_exostates_cols_n] = size(mt_pol_idx);
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| | 201 |
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| | 202 | %% *f(a,z)*: Initialize Output Matrixes
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| | 203 | % Initialize the distribution to be uniform
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< 0.001 | 1 | 204 | mt_dist_az_init = ones(it_endostates_rows_n,it_exostates_cols_n)/it_endostates_rows_n/it_exostates_cols_n;
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< 0.001 | 1 | 205 | mt_dist_az_cur = mt_dist_az_init;
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< 0.001 | 1 | 206 | mt_dist_az_zeros = zeros(it_endostates_rows_n,it_exostates_cols_n);
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| | 207 |
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| | 208 | %% *f(a,z)*: Initialize Convergence Conditions
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| | 209 |
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< 0.001 | 1 | 210 | bl_histiter_continue = true;
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< 0.001 | 1 | 211 | it_iter = 0;
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< 0.001 | 1 | 212 | ar_dist_diff_norm = zeros([it_maxiter_dist, 1]);
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< 0.001 | 1 | 213 | mt_dist_perc_change = zeros([it_maxiter_dist, it_exostates_cols_n]);
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| | 214 |
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| | 215 | %% *f(a,z)*: Derive Stationary Distribution
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| | 216 | % Iterate over the discrete joint random variable variables (a,z)
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< 0.001 | 1 | 217 | while (bl_histiter_continue)
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| | 218 |
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< 0.001 | 133 | 219 | it_iter = it_iter + 1;
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| | 220 |
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| | 221 | %% *f(a,z)*: Vectorized Solution
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| | 222 | % this is the only part of the code that differs from
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| | 223 | % <https://fanwangecon.github.io/CodeDynaAsset/m_az/solve/html/ff_az_ds.html
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| | 224 | % ff_az_ds.html> the looped code.
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| | 225 |
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| | 226 | % 1. initialize empty
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< 0.001 | 133 | 227 | mt_dist_az = mt_dist_az_zeros;
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| | 228 |
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| | 229 | % 2. One loop remains
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< 0.001 | 133 | 230 | for i = 1:it_exostates_cols_n
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| | 231 |
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| | 232 | % 3. Get Unique Index (future states receive from multiple current states)
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0.317 | 1995 | 233 | [ar_idx_full, ~, ar_idx_of_unique] = unique(mt_pol_idx(:,i));
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0.127 | 1995 | 234 | mt_zi_prob = mt_dist_az_cur(:,i) * mt_z_trans(i,:);
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| | 235 |
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| | 236 | % 4. Cumulative probability received at state from zi
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0.270 | 1995 | 237 | [mt_idx_of_unique_mesh, mt_col_idx] = ndgrid(ar_idx_of_unique, 1:size(mt_zi_prob,2));
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0.574 | 1995 | 238 | mt_zi_cumu_prob = accumarray([mt_idx_of_unique_mesh(:) mt_col_idx(:)], mt_zi_prob(:));
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| | 239 |
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| | 240 | % 5. Adding up
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0.031 | 1995 | 241 | mt_dist_az(ar_idx_full, :) = mt_zi_cumu_prob + mt_dist_az(ar_idx_full,:);
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0.001 | 1995 | 242 | end
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| | 243 |
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| | 244 |
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| | 245 | %% *f(a,z)*: Check Tolerance and Continuation
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| | 246 |
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| | 247 | % Difference across iterations
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0.048 | 133 | 248 | ar_dist_diff_norm(it_iter) = norm(mt_dist_az - mt_dist_az_cur);
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0.012 | 133 | 249 | mt_dist_perc_change(it_iter, :) = sum((mt_dist_az ~= mt_dist_az))/(it_endostates_rows_n);
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| | 250 |
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| | 251 | % Update
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0.004 | 133 | 252 | mt_dist_az_cur = mt_dist_az;
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| | 253 |
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| | 254 | % Print Iteration Results
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< 0.001 | 133 | 255 | if (bl_display_dist && (rem(it_iter, it_display_every)==0))
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| | 256 | fprintf('Dist it_iter:%d, fl_dist_diff:%d\n', it_iter, ar_dist_diff_norm(it_iter));
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| | 257 | tb_hist_iter = array2table([sum(mt_dist_az_cur,1); std(mt_dist_az_cur,1); ...
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| | 258 | mt_dist_az_cur(1,:); mt_dist_az_cur(it_endostates_rows_n,:)]);
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| | 259 | tb_hist_iter.Properties.VariableNames = strcat('z', string((1:size(mt_dist_az,2))));
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| | 260 | tb_hist_iter.Properties.RowNames = {'mdist','sddist', 'Ldist', 'Hdist'};
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| | 261 | disp('mdist = sum(mt_dist_az_cur,1) = sum_{a}(p(a)|z)')
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| | 262 | disp('sddist = std(mt_pol_a_cur,1) = std_{a}(p(a)|z)')
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| | 263 | disp('Ldist = mt_dist_az_cur(1,:) = p(min(a)|z)')
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| | 264 | disp('Hdist = mt_dist_az_cur(it_a_n,:) = p(max(a)|z)')
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| | 265 | disp(tb_hist_iter);
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| | 266 | end
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| | 267 |
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| | 268 | % Continuation Conditions:
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< 0.001 | 133 | 269 | if (it_iter == (it_maxiter_dist + 1))
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< 0.001 | 1 | 270 | bl_histiter_continue = false;
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< 0.001 | 132 | 271 | elseif ((it_iter == it_maxiter_dist) || ...
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| 132 | 272 | (ar_dist_diff_norm(it_iter) < fl_tol_dist))
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< 0.001 | 1 | 273 | it_iter_last = it_iter;
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< 0.001 | 1 | 274 | it_iter = it_maxiter_dist;
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< 0.001 | 1 | 275 | end
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| | 276 |
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< 0.001 | 133 | 277 | end
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| | 278 |
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| | 279 | %% End Time and Profiler
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| | 280 |
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| | 281 | % End Timer
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< 0.001 | 1 | 282 | if (bl_time)
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< 0.001 | 1 | 283 | toc;
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< 0.001 | 1 | 284 | end
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| | 285 |
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| | 286 | % End Profile
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< 0.001 | 1 | 287 | if (bl_profile_dist)
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| | 288 | profile off
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| | 289 | profile viewer
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| | 290 | st_file_name = [st_profile_prefix st_profile_name_main st_profile_suffix];
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| | 291 | profsave(profile('info'), strcat(st_profile_path, st_file_name));
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| | 292 | end
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| | 293 |
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| | 294 | %% *f(y), f(c), f(a)*: Generate Key Distributional Statistics for Each outcome
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| | 295 | % Having derived f(a,z) the probability mass function of the joint discrete
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| | 296 | % random variables, we now obtain distributional statistics. Note that we
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| | 297 | % know f(a,z), and we also know relevant policy functions a'(a,z), c(a,z),
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| | 298 | % or other policy functions. We can simulate any choices that are a
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| | 299 | % function of the random variables (a,z), using f(a,z). We call function
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| | 300 | % <https://fanwangecon.github.io/CodeDynaAsset/m_az/solvepost/html/ff_az_ds_post_stats.html
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| | 301 | % ff_az_ds_post_stats> which uses
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| | 302 | % <https://fanwangecon.github.io/CodeDynaAsset/tools/html/fft_disc_rand_var_stats.html
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| | 303 | % fft_disc_rand_var_stats> and
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| | 304 | % <https://fanwangecon.github.io/CodeDynaAsset/tools/html/fft_disc_rand_var_mass2outcomes.html
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| | 305 | % fft_disc_rand_var_mass2outcomes> to compute various statistics of
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| | 306 | % interest.
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| | 307 |
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< 0.001 | 1 | 308 | bl_input_override = true;
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0.343 | 1 | 309 | result_map = ff_az_ds_post_stats(support_map, result_map, mt_dist_az, bl_input_override);
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| | 310 |
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< 0.001 | 1 | 311 | end
|
Other subfunctions in this file are not included in this listing.