Search optimal loss function


#1

Dear dynare team, now I have a question. I write the loss function:
Loss = var(inflation)+alpha*var(output)
let the parameters alpha belongs to [0, 0.2, 0.4, …,2]. I use the standard Taylor Rule, policy response parameters take grid values, that is
psi_pi = 0:0.5:5 psi_y = 0:0.25:2.5
How I search policy parameters (psi_pi, psi_y) to minimum loss function value for each given alpha ? thank you so much.

My best,
ZL


#2

Please search the forum, for example Loop over parameters to find maximized welfare


#3

Thanks so much, but in the sample code by you provided:
weight_grid=0:0.01:1;
n_grid_points=length(weight_grid);
var_y=NaN(n_grid_points,1);
var_pi=NaN(n_grid_points,1);
for grid_iter=1:n_grid_points
M_.osr.variable_weights(pi_pos,pi_pos) = weight_grid(grid_iter);
M_.osr.variable_weights(y_pos,y_pos) = (1-weight_grid(grid_iter));
oo_.osr = osr(var_list_,M_.osr.param_names,M_.osr.variable_indices,M_.osr.variable_weights);
if oo_.osr.error_indicator==0
var_y(grid_iter)=oo_.var(y_pos_var_list_,y_pos_var_list_);
var_pi(grid_iter)=oo_.var(pi_pos_var_list_,pi_pos_var_list_);
end
end
I want to ask this line:
oo_.osr = osr(var_list_,M_.osr.param_names,M_.osr.variable_indices,M_.osr.variable_weights);
what dose it means? What I confused is in reference I saw that M_.osr.param_names, M_.osr.variable_indices, M_.osr.variable_weights are output by an execution of the command osr, so it cannot write in options which specified in command osr. Please help me, thanks a lot.


#4

See


#5

Thank you for professor jpfeifer, I read this right now. Thanks!