time | Calls | line |
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| | 7 | function result_map = ff_akz_vf_vec(varargin)
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| | 8 | %% FF_AKZ_VF_VEC solve infinite horizon exo shock + endo asset problem
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| | 9 | % This program solves the infinite horizon dynamic savings and risky
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| | 10 | % capital asset problem with some ar1 shock. This is the vectorized version
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| | 11 | % of
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| | 12 | % <https://fanwangecon.github.io/CodeDynaAsset/m_akz/solve/html/ff_akz_vf.html
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| | 13 | % ff_akz_vf>. See that file for more descriptions.
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| | 14 | %
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| | 15 | % @param param_map container parameter container
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| | 16 | %
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| | 17 | % @param support_map container support container
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| | 18 | %
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| | 19 | % @param armt_map container container with states, choices and shocks
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| | 20 | % grids that are inputs for grid based solution algorithm
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| | 21 | %
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| | 22 | % @param func_map container container with function handles for
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| | 23 | % consumption cash-on-hand etc.
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| | 24 | %
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| | 25 | % @return result_map container contains policy function matrix, value
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| | 26 | % function matrix, iteration results, and policy function, value function
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| | 27 | % and iteration results tables.
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| | 28 | %
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| | 29 | % keys included in result_map:
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| | 30 | %
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| | 31 | % * mt_val matrix states_n by shock_n matrix of converged value function grid
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| | 32 | % * mt_pol_a matrix states_n by shock_n matrix of converged policy function
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| | 33 | % grid safe asset
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| | 34 | % * mt_pol_k matrix states_n by shock_n matrix of converged policy function
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| | 35 | % grid risky asset
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| | 36 | % * ar_val_diff_norm array if bl_post = true it_iter_last by 1 val function
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| | 37 | % difference between iteration
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| | 38 | % * ar_pol_diff_norm array if bl_post = true it_iter_last by 1 policy
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| | 39 | % function difference between iterations
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| | 40 | % * mt_pol_perc_change matrix if bl_post = true it_iter_last by shock_n the
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| | 41 | % proportion of grid points at which policy function changed between
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| | 42 | % current and last iteration for each element of shock
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| | 43 | %
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| | 44 | % @example
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| | 45 | %
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| | 46 | % it_param_set = 2;
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| | 47 | % [param_map, support_map] = ffs_akz_set_default_param(it_param_set);
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| | 48 | % % Simulation Accuracy
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| | 49 | % param_map('it_w_n') = 750;
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| | 50 | % param_map('it_ak_n') = param_map('it_w_n');
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| | 51 | % param_map('it_z_n') = 11;
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| | 52 | % % Display Parameters
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| | 53 | % support_map('bl_display') = false;
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| | 54 | % support_map('bl_display_final') = false;
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| | 55 | % support_map('bl_time') = true;
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| | 56 | % support_map('bl_profile') = false;
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| | 57 | % % Call Program with external parameters that override defaults
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| | 58 | % ff_akz_vf_vec(param_map, support_map);
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| | 59 | %
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| | 60 | % @include
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| | 61 | %
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| | 62 | % * <https://fanwangecon.github.io/CodeDynaAsset/m_akz/paramfunc/html/ffs_akz_set_default_param.html ffs_akz_set_default_param>
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| | 63 | % * <https://fanwangecon.github.io/CodeDynaAsset/m_akz/paramfunc/html/ffs_akz_get_funcgrid.html ffs_akz_get_funcgrid>
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| | 64 | % * <https://fanwangecon.github.io/CodeDynaAsset/m_akz/solvepost/html/ff_akz_vf_post.html ff_akz_vf_post>
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| | 65 | %
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| | 66 | % @seealso
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| | 67 | %
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| | 68 | % * concurrent (safe + risky) loop: <https://fanwangecon.github.io/CodeDynaAsset/m_akz/solve/html/ff_akz_vf.html ff_akz_vf>
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| | 69 | % * concurrent (safe + risky) vectorized: <https://fanwangecon.github.io/CodeDynaAsset/m_akz/solve/html/ff_akz_vf_vec.html ff_akz_vf_vec>
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| | 70 | % * concurrent (safe + risky) optimized-vectorized: <https://fanwangecon.github.io/CodeDynaAsset/m_akz/solve/html/ff_akz_vf_vecsv.html ff_akz_vf_vecsv>
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| | 71 | % * two-stage (safe + risky) loop: <https://fanwangecon.github.io/CodeDynaAsset/m_akz/solve/html/ff_wkz_vf.html ff_wkz_vf>
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| | 72 | % * two-stage (safe + risky) vectorized: <https://fanwangecon.github.io/CodeDynaAsset/m_akz/solve/html/ff_wkz_vf_vec.html ff_wkz_vf_vec>
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| | 73 | % * two-stage (safe + risky) optimized-vectorized: <https://fanwangecon.github.io/CodeDynaAsset/m_akz/solve/html/ff_wkz_vf_vecsv.html ff_wkz_vf_vecsv>
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| | 74 | % * two-stage + interpolate (safe + risky) loop: <https://fanwangecon.github.io/CodeDynaAsset/m_akz/solve/html/ff_iwkz_vf.html ff_iwkz_vf>
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| | 75 | % * two-stage + interpolate (safe + risky) vectorized: <https://fanwangecon.github.io/CodeDynaAsset/m_akz/solve/html/ff_iwkz_vf_vec.html ff_iwkz_vf_vec>
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| | 76 | % * two-stage + interpolate (safe + risky) optimized-vectorized: <https://fanwangecon.github.io/CodeDynaAsset/m_akz/solve/html/ff_iwkz_vf_vecsv.html ff_iwkz_vf_vecsv>
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| | 77 | %
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| | 78 |
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| | 79 | %% Default
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| | 80 | % * it_param_set = 1: quick test
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| | 81 | % * it_param_set = 2: benchmark run
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| | 82 | % * it_param_set = 3: benchmark profile
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| | 83 | % * it_param_set = 4: press publish button
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| | 84 |
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| | 85 | it_param_set = 3;
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| | 86 | bl_input_override = true;
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| | 87 | [param_map, support_map] = ffs_akz_set_default_param(it_param_set);
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| | 88 |
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| | 89 | % Note: param_map and support_map can be adjusted here or outside to override defaults
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| | 90 | % param_map('it_w_n') = 50;
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| | 91 | % param_map('it_z_n') = 15;
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| | 92 |
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| | 93 | % get armt and func map
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| | 94 | [armt_map, func_map] = ffs_akz_get_funcgrid(param_map, support_map, bl_input_override); % 1 for override
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| | 95 | default_params = {param_map support_map armt_map func_map};
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| | 96 |
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| | 97 | %% Parse Parameters 1
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| | 98 |
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| | 99 | % if varargin only has param_map and support_map,
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| | 100 | params_len = length(varargin);
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| | 101 | [default_params{1:params_len}] = varargin{:};
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| | 102 | param_map = [param_map; default_params{1}];
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| | 103 | support_map = [support_map; default_params{2}];
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| | 104 | if params_len >= 1 && params_len <= 2
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| | 105 | % If override param_map, re-generate armt and func if they are not
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| | 106 | % provided
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| | 107 | bl_input_override = true;
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| | 108 | [armt_map, func_map] = ffs_akz_get_funcgrid(param_map, support_map, bl_input_override);
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| | 109 | else
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| | 110 | % Override all
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| | 111 | armt_map = [armt_map; default_params{3}];
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| | 112 | func_map = [func_map; default_params{4}];
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| | 113 | end
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| | 114 |
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| | 115 | % append function name
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| | 116 | st_func_name = 'ff_akz_vf_vec';
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| | 117 | support_map('st_profile_name_main') = [st_func_name support_map('st_profile_name_main')];
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| | 118 | support_map('st_mat_name_main') = [st_func_name support_map('st_mat_name_main')];
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| | 119 | support_map('st_img_name_main') = [st_func_name support_map('st_img_name_main')];
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| | 120 |
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| | 121 | %% Parse Parameters 2
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| | 122 |
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| | 123 | % armt_map
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| | 124 | params_group = values(armt_map, {'mt_z_trans', 'ar_z'});
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| | 125 | [ mt_z_trans, ar_z] = params_group{:};
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| | 126 | params_group = values(armt_map, {'ar_a_meshk', 'ar_k_mesha', 'mt_coh_wkb', 'it_ameshk_n'});
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| | 127 | [ar_a_meshk, ar_k_mesha, mt_coh_wkb, it_ameshk_n] = params_group{:};
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| | 128 | % func_map
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| | 129 | params_group = values(func_map, {'f_util_log', 'f_util_crra', 'f_cons', 'f_coh'});
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| | 130 | [f_util_log, f_util_crra, f_cons, f_coh] = params_group{:};
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| | 131 | % param_map
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| | 132 | params_group = values(param_map, {'it_z_n', 'fl_crra', 'fl_beta', 'fl_c_min'});
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| | 133 | [it_z_n, fl_crra, fl_beta, fl_c_min] = params_group{:};
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| | 134 | params_group = values(param_map, {'it_maxiter_val', 'fl_tol_val', 'fl_tol_pol', 'it_tol_pol_nochange'});
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| | 135 | [it_maxiter_val, fl_tol_val, fl_tol_pol, it_tol_pol_nochange] = params_group{:};
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| | 136 | % support_map
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| | 137 | params_group = values(support_map, {'bl_profile', 'st_profile_path', ...
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| | 138 | 'st_profile_prefix', 'st_profile_name_main', 'st_profile_suffix',...
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| | 139 | 'bl_time', 'bl_display', 'it_display_every', 'bl_post'});
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| | 140 | [bl_profile, st_profile_path, ...
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| | 141 | st_profile_prefix, st_profile_name_main, st_profile_suffix, ...
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| | 142 | bl_time, bl_display, it_display_every, bl_post] = params_group{:};
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| | 143 |
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| | 144 | %% Initialize Output Matrixes
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| | 145 |
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| | 146 | mt_val_cur = zeros(length(ar_a_meshk),length(ar_z));
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| | 147 | mt_val = mt_val_cur - 1;
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| | 148 | mt_pol_a = zeros(length(ar_a_meshk),length(ar_z));
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| | 149 | mt_pol_a_cur = mt_pol_a - 1;
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| | 150 | mt_pol_k = zeros(length(ar_a_meshk),length(ar_z));
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| | 151 | mt_pol_k_cur = mt_pol_k - 1;
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| | 152 | mt_pol_idx = zeros(length(ar_a_meshk),length(ar_z));
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| | 153 |
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| | 154 | %% Initialize Convergence Conditions
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| | 155 |
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| | 156 | bl_vfi_continue = true;
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| | 157 | it_iter = 0;
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| | 158 | ar_val_diff_norm = zeros([it_maxiter_val, 1]);
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| | 159 | ar_pol_diff_norm = zeros([it_maxiter_val, 1]);
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| | 160 | mt_pol_perc_change = zeros([it_maxiter_val, it_z_n]);
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| | 161 |
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| | 162 | %% Iterate Value Function
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| | 163 | % Loop solution with 4 nested loops
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| | 164 | %
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| | 165 | % # loop 1: over exogenous states
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| | 166 | % # loop 2: over endogenous states
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| | 167 | % # loop 3: over choices
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| | 168 | % # loop 4: add future utility, integration--loop over future shocks
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| | 169 | %
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| | 170 |
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| | 171 | % Start Profile
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| | 172 | if (bl_profile)
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| | 173 | close all;
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| | 174 | profile off;
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| | 175 | profile on;
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< 0.001 | 1 | 176 | end
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| | 177 |
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| | 178 | % Start Timer
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< 0.001 | 1 | 179 | if (bl_time)
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< 0.001 | 1 | 180 | tic;
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< 0.001 | 1 | 181 | end
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| | 182 |
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| | 183 | % Value Function Iteration
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< 0.001 | 1 | 184 | while bl_vfi_continue
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< 0.001 | 101 | 185 | it_iter = it_iter + 1;
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| | 186 |
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| | 187 | %% Solve Optimization Problem Current Iteration
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| | 188 |
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| | 189 | % loop 1: over exogenous states
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< 0.001 | 101 | 190 | for it_z_i = 1:length(ar_z)
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| | 191 |
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| | 192 | % Consumption
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12.617 | 1515 | 193 | mt_c = f_cons(mt_coh_wkb(:, it_z_i)', ar_a_meshk, ar_k_mesha);
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| | 194 |
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| | 195 | % EVAL current utility: N by N, f_util defined earlier
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0.001 | 1515 | 196 | if (fl_crra == 1)
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| | 197 | mt_utility = f_util_log(mt_c);
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| | 198 | fl_u_neg_c = f_util_log(fl_c_min);
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< 0.001 | 1515 | 199 | else
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56.989 | 1515 | 200 | mt_utility = f_util_crra(mt_c);
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0.048 | 1515 | 201 | fl_u_neg_c = f_util_crra(fl_c_min);
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< 0.001 | 1515 | 202 | end
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| | 203 |
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| | 204 | % f(z'|z)
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0.004 | 1515 | 205 | ar_z_trans_condi = mt_z_trans(it_z_i,:);
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| | 206 |
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| | 207 | % EVAL EV((A',K'),Z'|Z) = V((A',K'),Z') x p(z'|z)', (N by Z) x (Z by 1) = N by 1
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0.040 | 1515 | 208 | mt_evzp_condi_z = mt_val_cur * ar_z_trans_condi';
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| | 209 |
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| | 210 | % EVAL add on future utility, N by N + N by 1
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0.859 | 1515 | 211 | mt_utility = mt_utility + fl_beta*mt_evzp_condi_z;
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20.165 | 1515 | 212 | mt_utility(mt_c <= fl_c_min) = fl_u_neg_c;
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| | 213 |
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| | 214 | % Optimization: remember matlab is column major, rows must be
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| | 215 | % choices, columns must be states
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| | 216 | % <https://en.wikipedia.org/wiki/Row-_and_column-major_order COLUMN-MAJOR>
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0.633 | 1515 | 217 | [ar_opti_val1_z, ar_opti_idx_z] = max(mt_utility);
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0.049 | 1515 | 218 | mt_val(:,it_z_i) = ar_opti_val1_z;
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0.038 | 1515 | 219 | mt_pol_a(:,it_z_i) = ar_a_meshk(ar_opti_idx_z);
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0.024 | 1515 | 220 | mt_pol_k(:,it_z_i) = ar_k_mesha(ar_opti_idx_z);
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0.001 | 1515 | 221 | if (it_iter == (it_maxiter_val + 1))
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< 0.001 | 15 | 222 | mt_pol_idx(:,it_z_i) = ar_opti_idx_z;
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< 0.001 | 15 | 223 | end
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| | 224 |
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0.002 | 1515 | 225 | end
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| | 226 |
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| | 227 | %% Check Tolerance and Continuation
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| | 228 |
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| | 229 | % Difference across iterations
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0.083 | 101 | 230 | ar_val_diff_norm(it_iter) = norm(mt_val - mt_val_cur);
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0.101 | 101 | 231 | ar_pol_diff_norm(it_iter) = norm(mt_pol_a - mt_pol_a_cur) + norm(mt_pol_k - mt_pol_k_cur);
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0.010 | 101 | 232 | ar_pol_a_perc_change = sum((mt_pol_a ~= mt_pol_a_cur))/(it_ameshk_n);
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0.008 | 101 | 233 | ar_pol_k_perc_change = sum((mt_pol_k ~= mt_pol_k_cur))/(it_ameshk_n);
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0.015 | 101 | 234 | mt_pol_perc_change(it_iter, :) = mean([ar_pol_a_perc_change;ar_pol_k_perc_change]);
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| | 235 |
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| | 236 | % Update
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0.008 | 101 | 237 | mt_val_cur = mt_val;
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0.004 | 101 | 238 | mt_pol_a_cur = mt_pol_a;
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0.004 | 101 | 239 | mt_pol_k_cur = mt_pol_k;
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| | 240 |
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| | 241 | % Print Iteration Results
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< 0.001 | 101 | 242 | if (bl_display && (rem(it_iter, it_display_every)==0))
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| | 243 | fprintf('VAL it_iter:%d, fl_diff:%d, fl_diff_pol:%d\n', ...
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| | 244 | it_iter, ar_val_diff_norm(it_iter), ar_pol_diff_norm(it_iter));
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| | 245 | tb_valpol_iter = array2table([mean(mt_val_cur,1);...
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| | 246 | mean(mt_pol_a_cur,1); ...
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| | 247 | mean(mt_pol_k_cur,1); ...
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| | 248 | mt_val_cur(it_ameshk_n,:); ...
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| | 249 | mt_pol_a_cur(it_ameshk_n,:); ...
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| | 250 | mt_pol_k_cur(it_ameshk_n,:)]);
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| | 251 | tb_valpol_iter.Properties.VariableNames = strcat('z', string((1:size(mt_val_cur,2))));
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| | 252 | tb_valpol_iter.Properties.RowNames = {'mval', 'map', 'mak', 'Hval', 'Hap', 'Hak'};
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| | 253 | disp('mval = mean(mt_val_cur,1), average value over a')
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| | 254 | disp('map = mean(mt_pol_a_cur,1), average choice over a')
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| | 255 | disp('mkp = mean(mt_pol_k_cur,1), average choice over k')
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| | 256 | disp('Hval = mt_val_cur(it_ameshk_n,:), highest a state val')
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| | 257 | disp('Hap = mt_pol_a_cur(it_ameshk_n,:), highest a state choice')
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| | 258 | disp('mak = mt_pol_k_cur(it_ameshk_n,:), highest k state choice')
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| | 259 | disp(tb_valpol_iter);
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| | 260 | end
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| | 261 |
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| | 262 | % Continuation Conditions:
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| | 263 | % 1. if value function convergence criteria reached
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| | 264 | % 2. if policy function variation over iterations is less than
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| | 265 | % threshold
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< 0.001 | 101 | 266 | if (it_iter == (it_maxiter_val + 1))
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< 0.001 | 1 | 267 | bl_vfi_continue = false;
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0.001 | 100 | 268 | elseif ((it_iter == it_maxiter_val) || ...
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| 100 | 269 | (ar_val_diff_norm(it_iter) < fl_tol_val) || ...
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| 100 | 270 | (sum(ar_pol_diff_norm(max(1, it_iter-it_tol_pol_nochange):it_iter)) < fl_tol_pol))
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| | 271 | % Fix to max, run again to save results if needed
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< 0.001 | 1 | 272 | it_iter_last = it_iter;
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< 0.001 | 1 | 273 | it_iter = it_maxiter_val;
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< 0.001 | 1 | 274 | end
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| | 275 |
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< 0.001 | 101 | 276 | end
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| | 277 |
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| | 278 | % End Timer
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< 0.001 | 1 | 279 | if (bl_time)
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< 0.001 | 1 | 280 | toc;
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< 0.001 | 1 | 281 | end
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| | 282 |
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| | 283 | % End Profile
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< 0.001 | 1 | 284 | if (bl_profile)
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0.004 | 1 | 285 | profile off
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| | 286 | profile viewer
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| | 287 | st_file_name = [st_profile_prefix st_profile_name_main st_profile_suffix];
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| | 288 | profsave(profile('info'), strcat(st_profile_path, st_file_name));
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| | 289 | end
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| | 290 |
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| | 291 | %% Process Optimal Choices
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| | 292 |
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| | 293 | result_map = containers.Map('KeyType','char', 'ValueType','any');
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| | 294 | result_map('mt_val') = mt_val;
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| | 295 |
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| | 296 | mt_coh = f_coh(ar_z, ar_a_meshk, ar_k_mesha);
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| | 297 | result_map('cl_mt_pol_coh') = {mt_coh, zeros(1)};
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| | 298 | result_map('cl_mt_pol_a') = {mt_pol_a, zeros(1)};
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| | 299 | result_map('cl_mt_pol_k') = {mt_pol_k, zeros(1)};
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| | 300 | result_map('cl_mt_pol_c') = {f_cons(mt_coh, mt_pol_a, mt_pol_k), zeros(1)};
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| | 301 | result_map('ar_st_pol_names') = ["cl_mt_pol_coh", "cl_mt_pol_a", "cl_mt_pol_k", "cl_mt_pol_c"];
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| | 302 |
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| | 303 | if (bl_post)
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| | 304 | bl_input_override = true;
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| | 305 | result_map('ar_val_diff_norm') = ar_val_diff_norm(1:it_iter_last);
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| | 306 | result_map('ar_pol_diff_norm') = ar_pol_diff_norm(1:it_iter_last);
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| | 307 | result_map('mt_pol_perc_change') = mt_pol_perc_change(1:it_iter_last, :);
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| | 308 | result_map = ff_akz_vf_post(param_map, support_map, armt_map, func_map, result_map, bl_input_override);
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| | 309 | end
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| | 310 |
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| | 311 | end
|
Other subfunctions in this file are not included in this listing.