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function planner_objective_value = evaluate_planner_objective(M,options,oo)
%function oo1 = evaluate_planner_objective(dr,M,oo,options)
% computes value of planner objective function
%
% INPUTS
% M: (structure) model description
% options: (structure) options
% oo: (structure) output results
%
% SPECIAL REQUIREMENTS
% none
% Copyright (C) 2007-2012 Dynare Team
%
% This file is part of Dynare.
%
% Dynare is free software: you can redistribute it and/or modify
% it under the terms of the GNU General Public License as published by
% the Free Software Foundation, either version 3 of the License, or
% (at your option) any later version.
%
% Dynare is distributed in the hope that it will be useful,
% but WITHOUT ANY WARRANTY; without even the implied warranty of
% MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the
% GNU General Public License for more details.
%
% You should have received a copy of the GNU General Public License
% along with Dynare. If not, see <http://www.gnu.org/licenses/>.
dr = oo.dr;
endo_nbr = M.endo_nbr;
exo_nbr = M.exo_nbr;
nstatic = M.nstatic;
nspred = M.nspred;
lead_lag_incidence = M.lead_lag_incidence;
beta = get_optimal_policy_discount_factor(M.params,M.param_names);
if options.ramsey_policy
i_org = (1:M.orig_endo_nbr)';
else
i_org = (1:M.endo_nbr)';
end
ipred = find(lead_lag_incidence(M.maximum_lag,:))';
order_var = dr.order_var;
Gy = dr.ghx(nstatic+(1:nspred),:);
Gu = dr.ghu(nstatic+(1:nspred),:);
gy(dr.order_var,:) = dr.ghx;
gu(dr.order_var,:) = dr.ghu;
ys = oo.dr.ys;
u = oo.exo_simul(1,:)';
[U,Uy,Uyy] = feval([M.fname '_objective_static'],ys,zeros(1,exo_nbr), ...
M.params);
Uyy = full(Uyy);
[Uyygygy, err] = A_times_B_kronecker_C(Uyy,gy,gy,options.threads.kronecker.A_times_B_kronecker_C);
mexErrCheck('A_times_B_kronecker_C', err);
[Uyygugu, err] = A_times_B_kronecker_C(Uyy,gu,gu,options.threads.kronecker.A_times_B_kronecker_C);
mexErrCheck('A_times_B_kronecker_C', err);
[Uyygygu, err] = A_times_B_kronecker_C(Uyy,gy,gu,options.threads.kronecker.A_times_B_kronecker_C);
mexErrCheck('A_times_B_kronecker_C', err);
Wbar =U/(1-beta);
Wy = Uy*gy/(eye(nspred)-beta*Gy);
Wu = Uy*gu+beta*Wy*Gu;
Wyy = Uyygygy/(eye(nspred*nspred)-beta*kron(Gy,Gy));
[Wyygugu, err] = A_times_B_kronecker_C(Wyy,Gu,Gu,options.threads.kronecker.A_times_B_kronecker_C);
mexErrCheck('A_times_B_kronecker_C', err);
[Wyygygu,err] = A_times_B_kronecker_C(Wyy,Gy,Gu,options.threads.kronecker.A_times_B_kronecker_C);
mexErrCheck('A_times_B_kronecker_C', err);
Wuu = Uyygugu+beta*Wyygugu;
Wyu = Uyygygu+beta*Wyygygu;
Wss = beta*Wuu*M.Sigma_e(:)/(1-beta);
% initialize yhat1 at the steady state
yhat1 = oo.steady_state;
if options.ramsey_policy
% initialize le Lagrange multipliers to 0 in yhat2
yhat2 = zeros(M.endo_nbr,1);
yhat2(1:M.orig_endo_nbr) = oo.steady_state(1:M.orig_endo_nbr);
end
if ~isempty(M.endo_histval)
% initialize endogenous state variable to histval if necessary
yhat1(1:M.orig_endo_nbr) = M.endo_histval(1:M.orig_endo_nbr);
if options.ramsey_policy
yhat2(1:M.orig_endo_nbr) = M.endo_histval(1:M.orig_endo_nbr);
end
end
yhat1 = yhat1(dr.order_var(nstatic+(1:nspred)),1)-dr.ys(dr.order_var(nstatic+(1:nspred)));
yhat2 = yhat2(dr.order_var(nstatic+(1:nspred)),1)-dr.ys(dr.order_var(nstatic+(1:nspred)));
u = oo.exo_simul(1,:)';
[Wyyyhatyhat1, err] = A_times_B_kronecker_C(Wyy,yhat1,yhat1,options.threads.kronecker.A_times_B_kronecker_C);
mexErrCheck('A_times_B_kronecker_C', err);
[Wuuuu, err] = A_times_B_kronecker_C(Wuu,u,u,options.threads.kronecker.A_times_B_kronecker_C);
mexErrCheck('A_times_B_kronecker_C', err);
[Wyuyhatu1, err] = A_times_B_kronecker_C(Wyu,yhat1,u,options.threads.kronecker.A_times_B_kronecker_C);
mexErrCheck('A_times_B_kronecker_C', err);
planner_objective_value(1) = Wbar+Wy*yhat1+Wu*u+Wyuyhatu1 ...
+ 0.5*(Wyyyhatyhat1 + Wuuuu+Wss);
if options.ramsey_policy
[Wyyyhatyhat2, err] = A_times_B_kronecker_C(Wyy,yhat2,yhat2,options.threads.kronecker.A_times_B_kronecker_C);
mexErrCheck('A_times_B_kronecker_C', err);
[Wyuyhatu2, err] = A_times_B_kronecker_C(Wyu,yhat2,u,options.threads.kronecker.A_times_B_kronecker_C);
mexErrCheck('A_times_B_kronecker_C', err);
planner_objective_value(2) = Wbar+Wy*yhat2+Wu*u+Wyuyhatu2 ...
+ 0.5*(Wyyyhatyhat2 + Wuuuu+Wss);
end
if ~options.noprint
skipline()
disp('Approximated value of planner objective function')
disp([' - with initial Lagrange multipliers set to 0: ' ...
num2str(planner_objective_value(2)) ])
disp([' - with initial Lagrange multipliers set to steady state: ' ...
num2str(planner_objective_value(1)) ])
skipline()
end
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