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Oeer
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Problems with integral in fsolve

Asked by Oeer
on 9 Apr 2019
Latest activity Commented on by Walter Roberson
on 9 Apr 2019
Hey
I have three functions with three unknown variables, but I can't find a solution for them. the features look like this:
functions.PNG
I've tried to do the following code:
m = 0.31;
r = 0.05;
delta = 0.02;
y_bar = 2;
w_1 = 5;
w_2_bar = 5;
sigma = 1;
b_bar = 3;
z_0=[0.5,3,4];
sol=fsolve(@(z)([
w_1*(1-z(1))-z(2)-((1+delta)/((1-m)*(1+r)))*int((b_bar+(1-z(1))*(1-m)*x+(1-m)*(1+r)*z(2))*(1/(2*pi*sigma^2))*exp(-((x-w_2_bar)^2)/(2*sigma^2)),x,0,z(3))
+((1+delta)/(1+r))*int(((1-z(1))*k+(1+r)*z(2))*(1/(2*pi*sigma^2))*exp(-((k-w_2_bar)^2)/(2*sigma^2)),k,z(3),inf);
z(1)*w_1+int(z(1)*h*(1/(2*pi*sigma^2))*exp(-((h-w_2_bar)^2)/(2*sigma^2)),h,0,z(3))
-int((b_bar-m*((1-z(1))*y+(1+r)*z(2)))*(1/(2*pi*sigma^2))*exp(-((y-w_2_bar)^2)/(2*sigma^2)),y,0,z(3));
z(3)-(1/(1-z(1))*y_bar+((1+r)/(1-z(1)))*z(2))]),z_0);
Hope there is one who can correct my code so it works, thank you very much if it is you. :)

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2 Answers

Walter Roberson 님의 답변 9 Apr 2019
 채택된 답변

Code attached.
It is not fast code. You could improve the performance by changing the symbolic integrations into numeric integrations.
Or, since you are using symbolic integration, you could process your function once with symbolic z variables, and simplify. vpasolve() does a good job on what is left, or you can matlabFunction() and fsolve()

  1 Comment

Having the int() inside the fsolve() is slow, and the int() have closed form representations if you use symbolic z. The performance gains from executing once symbolically and using the result with vpasolve() or fsolve() is substantial.

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Answer by Torsten
on 9 Apr 2019
Edited by Torsten
on 9 Apr 2019

function main
z_0 = [0.5,3,4];
options = optimset('TolFun',1e-8,'TolX',1e-8);
sol = fminsearch(@fun,z_0,options)
end
function res = fun(z)
m = 0.31;
r = 0.05;
delta = 0.02;
y_bar = 2;
w_1 = 5;
w_2_bar = 5;
sigma = 1;
b_bar = 3;
re(1) = w_1*(1-z(1))-z(2)-((1+delta)/((1-m)*(1+r)))*integral(@(x)(b_bar+(1-z(1))*(1-m)*x+(1-m)*(1+r)*z(2))*(1/(2*pi*sigma^2))*exp(-((x-w_2_bar).^2)/(2*sigma^2)),0,z(3),'ArrayValued',1)...
+((1+delta)/(1+r))*integral(@(k)((1-z(1))*k+(1+r)*z(2))*(1/(2*pi*sigma^2)).*exp(-((k-w_2_bar).^2)/(2*sigma^2)),z(3),inf,'ArrayValued',1);
re(2) = z(1)*w_1+integral(@(h)z(1)*h*(1/(2*pi*sigma^2)).*exp(-((h-w_2_bar).^2)/(2*sigma^2)),0,z(3),'ArrayValued',1)...
-integral(@(y)(b_bar-m*((1-z(1))*y+(1+r)*z(2)))*(1/(2*pi*sigma^2)).*exp(-((y-w_2_bar).^2)/(2*sigma^2)),0,z(3),'ArrayValued',1);
re(3) = z(3)-(1/(1-z(1))*y_bar+((1+r)/(1-z(1)))*z(2));
res = norm(re)
end

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