Article From: Department of Economics
Subject: INCONDD.PRC (Ogaki)

Posted by: Information Provider
Phone Number: (202) 885-3770
E-Mail Address: econ@american.edu

Post Date: 28 Sep 1994
Expiration Date: 28 Oct 2004


               INCONDD.PRC

/* This procedure INCONDD.PRC solves the following equation for omega:

       omega=phi*omega*phi'+vare

   using a doubling algorithm.
   This procedure is called as follows:

       omega=INCONDD(phi,vare);  */

proc INCONDD(phi,vare);
local zero,ome0,a,j,differ,omega,absdf,yesno,rll;
zero=1.0E-12;
ome0=vare;
a=phi;
j=0;
differ=10.0;
do until differ<zero;
 omega=a*ome0*(a')+ome0;
 a=a*a;
@ differ=omega-phi*omega*(phi')-vare; @
 differ=maxc(maxc(abs(omega-ome0)));
 ome0=omega;
 j=j+1;
 if j==300;goto inc10;
 elseif j==400;
 inc10:absdf=maxc(maxc(abs(differ)));
 save phi;
 save vare;
 ? "omega does not converge in INCONDD. j=" j;
 ? "max(|differ|)=" absdf;
 endif;
 if j==500;goto inc20;
 elseif j>600;
 inc20:absdf=maxc(maxc(abs(differ)));
 ? "omega does not converge in INCONDD. j=" j;
 ? "max(|differ|)=" absdf;
 ? "Do you want to change zero? Now zero=" zero;
 ? "YES=1,NO=0";
 yesno=con(1,1);if yesno>0.5;
 zero=con(1,1);endif;
 endif;
endo;
/*differ=omega-ome0;
differ=maxc(maxc(abs(differ)));
if differ>50.0*zero;
? "In INCONDD not small max(|omega-ome0|)=" differ;
endif; */
retp(omega);
endp;

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