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ODE simulation: issue with the size of arrays

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Alessandro Bellocchi
Alessandro Bellocchi le 13 Avr 2023
Hello, everyone. I am trying to simulate the evolution of the following model. However, I get an error with the size of the arrays (Unable to perform assignment because the size of the left side is 1-by-2 and the size of the right side is 1-by-330201). Can anyone help me solve it?
% Define the parameters
m = 0.25;
beta = 1.25;
rho = 0.04;
delta = 0.03;
alpha = 0.2;
pphi = 0.5;
mu = 0.2;
gamma = 1;
% Define the initial condition
phi0 = 10;
theta0 = 1;
% Define the values of sigma for the two situations
sigma_values = [0.1, 0.5];
% Define the time span for the simulation
tspan = [0 500];
% Define the Wiener process
dW = makedist('Normal', 'mu', 0, 'sigma', sqrt(diff(tspan)));
% Define the number of simulations
num_simulations = 5;
% Initialize arrays to store the phi values for each simulation
phi_values = zeros(length(sigma_values), length(tspan), num_simulations);
average_phi_values = zeros(length(sigma_values), length(tspan));
% Perform multiple simulations and store the phi values
for sim = 1:num_simulations
for i = 1:length(sigma_values)
% Define the current value of sigma
sigma = sigma_values(i);
% Define the function to be solved
finance = @(t, y) [
(1/gamma)*((m*y(2)^beta)/(rho+delta-(alpha*(beta*sigma)^2)/2)-(pphi-mu)-delta*y(1));
sigma*y(2)*dW.random()];
% Solve the differential equation numerically
[t, y] = ode45(finance, tspan, [phi0, theta0]);
% Store the phi values for the current simulation and sigma value
phi_values(i, :, sim) = y(:, 1)';
end
end
% Calculate the average phi value over all simulations for each time point and sigma value
for i = 1:length(sigma_values)
for j = 1:length(tspan)
average_phi_values(i, j) = mean(phi_values(i, j, :));
end
end
% Plot the average phi values against time for each sigma value
hold on
for i = 1:length(sigma_values)
plot(tspan, average_phi_values(i, :), 'LineWidth', 2);
end
% Add legend, labels, and title
legend(['\sigma = ', num2str(sigma_values(1))], ['\sigma = ', num2str(sigma_values(2))]);
xlabel('Time');
ylabel('Average \phi_t');
title('Evolution of Finance over Time for Different Values of \sigma and Wiener Process');
  1 commentaire
Davide Masiello
Davide Masiello le 13 Avr 2023
Unfortunately, you do not know the size of the t vector before the ODE integration itself.
Hence, you cannot initialize phi_values the way you did.
Even if you didn't initialize it, you'd probably end up with a size error, because each simulation will require a different number of steps to complete the integration.
This is due to the fact that MatLab ode solvers are adaptive solvers, with variable step size.

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Réponses (1)

Davide Masiello
Davide Masiello le 13 Avr 2023
Modifié(e) : Davide Masiello le 13 Avr 2023
In addition to my comment above, here's a solution to your problem.
It's based on the fact that you can specify tspan as a vector of points at which the solution must be reported.
This provides a homogeneous output regardless of the choice of the integration time steps.
clear,clc
% Define the parameters
m = 0.25;
beta = 1.25;
rho = 0.04;
delta = 0.03;
alpha = 0.2;
pphi = 0.5;
mu = 0.2;
gamma = 1;
% Define the initial condition
phi0 = 10;
theta0 = 1;
% Define the values of sigma for the two situations
sigma_values = [0.1, 0.5];
% Define the time span for the simulation
tspan = linspace(0,500,1000);
% Define the Wiener process
dW = makedist('Normal', 'mu', 0, 'sigma', sqrt(tspan(end)-tspan(1)));
% Define the number of simulations
num_simulations = 5;
% Initialize arrays to store the phi values for each simulation
phi_values = zeros(length(sigma_values), length(tspan), num_simulations);
average_phi_values = zeros(length(sigma_values), length(tspan));
% Perform multiple simulations and store the phi values
for sim = 1:num_simulations
for i = 1:length(sigma_values)
% Define the current value of sigma
sigma = sigma_values(i);
% Define the function to be solved
finance = @(t, y) [
(1/gamma)*((m*y(2)^beta)/(rho+delta-(alpha*(beta*sigma)^2)/2)-(pphi-mu)-delta*y(1));
sigma*y(2)*dW.random()];
% Solve the differential equation numerically
[t, y] = ode45(finance, tspan, [phi0, theta0]);
% Store the phi values for the current simulation and sigma value
phi_values(i, :, sim) = y(:, 1)';
end
end
% Calculate the average phi value over all simulations for each time point and sigma value
for i = 1:length(sigma_values)
for j = 1:length(tspan)
average_phi_values(i, j) = mean(phi_values(i, j, :));
end
end
% Plot the average phi values against time for each sigma value
plot(tspan, average_phi_values, 'LineWidth', 2);
Warning: Imaginary parts of complex X and/or Y arguments ignored.
% Add legend, labels, and title
legend(['\sigma = ', num2str(sigma_values(1))], ['\sigma = ', num2str(sigma_values(2))]);
xlabel('Time');
ylabel('Average \phi_t');
title('Evolution of Finance over Time for Different Values of \sigma and Wiener Process')

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