Return nearly singular x0 if perturbation fails

HighDimensionalEconLab · Aug 16, 2022 · 6b60ff5 · 6b60ff5 · jlperla · Aug 16, 2022
1 parent 3c07b98
commit 6b60ff5
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Showing 2 changed files with 5 additions and 3 deletions.
diff --git a/Project.toml b/Project.toml
@@ -1,7 +1,7 @@
 name = "DifferentiableStateSpaceModels"
 uuid = "beacd9db-9e5e-4956-9b09-459a4b2028df"
 authors = ["Jesse Perla <jesseperla@gmail.com> and contributors"]
-version = "0.5.0"
+version = "0.5.1"
 
 [deps]
 ChainRulesCore = "d360d2e6-b24c-11e9-a2a3-2a2ae2dbcce4"

diff --git a/src/types.jl b/src/types.jl
@@ -449,7 +449,8 @@ function FirstOrderPerturbationSolution(retcode, m::PerturbationModel, c::Solver
                                           make_covariance_matrix(c.Ω),
                                           c.Q,
                                           c.η,
-                                          (settings.calculate_ergodic_distribution == true) ?
+                                          (settings.calculate_ergodic_distribution ==
+                                           true && retcode == :Success) ?
                                           c.V :
                                           diagm(settings.singular_covariance_value *
                                                 ones(m.n_x)),
@@ -520,7 +521,8 @@ function SecondOrderPerturbationSolution(retcode, m::PerturbationModel, c::Solve
                                            make_covariance_matrix(c.Ω),
                                            c.Q,
                                            c.η,
-                                           (settings.calculate_ergodic_distribution == true) ?
+                                           (settings.calculate_ergodic_distribution ==
+                                            true && retcode == :Success) ?
                                            c.V :
                                            diagm(settings.singular_covariance_value *
                                                  ones(m.n_x)),