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Drop the dynare_simul_ MEX in favour of the new Fortran k_order_simul MEX

pac-components
Sébastien Villemot 2021-11-26 16:39:38 +01:00
parent 74d070c216
commit 06fd42c19b
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GPG Key ID: 2CECE9350ECEBE4A
11 changed files with 9 additions and 223 deletions
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3
license.txt
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@ -319,8 +319,7 @@ Copyright: 2010 Yannick Kalantzis
2019 Dynare Team
License: GPL-3+
Files: mex/sources/dynare_simul_/dynare_simul_.cc
mex/sources/gensylv/gensylv.cc
Files: mex/sources/gensylv/gensylv.cc
Copyright: 2005-2011 Ondra Kamenik
2019 Dynare Team
License: GPL-3+

7
matlab/simult_.m
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@ -17,7 +17,7 @@ function y_=simult_(M_,options_,y0,dr,ex_,iorder)
% SPECIAL REQUIREMENTS
% none
% Copyright (C) 2001-2020 Dynare Team
% Copyright (C) 2001-2021 Dynare Team
%
% This file is part of Dynare.
%
@ -58,9 +58,8 @@ if options_.k_order_solver && ~options_.pruning % Call dynare++ routines.
'consistent with the one used for computing the decision rules'])
end
y_start=y_(:,1); %store first period required for output
y_ = dynare_simul_(iorder,M_.nstatic,M_.npred,M_.nboth,M_.nfwrd,exo_nbr, ...
y_start(dr.order_var,:),ex_',M_.Sigma_e,options_.DynareRandomStreams.seed, ...
dr.ys(dr.order_var),dr);
y_ = k_order_simul(iorder,M_.nstatic,M_.npred,M_.nboth,M_.nfwrd,exo_nbr, ...
y_start(dr.order_var,:),ex_',dr.ys(dr.order_var),dr);
y_(dr.order_var,:) = y_;
y_=[y_start y_];
else

16
mex/build/dynare_simul_.am
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@ -1,16 +0,0 @@
mex_PROGRAMS = dynare_simul_
dynare_simul__CPPFLAGS = $(AM_CPPFLAGS) -I$(top_srcdir)/../../../dynare++/sylv/cc -I$(top_srcdir)/../../../dynare++/tl/cc -I$(top_srcdir)/../../../dynare++/kord -I$(top_srcdir)/../../../dynare++/utils/cc $(CPPFLAGS_MATIO)
dynare_simul__CXXFLAGS = $(AM_CXXFLAGS) $(THREAD_CXXFLAGS)
dynare_simul__LDFLAGS = $(AM_LDFLAGS) $(LDFLAGS_MATIO)
dynare_simul__LDADD = ../libdynare++/libdynare++.a $(LIBADD_MATIO)
nodist_dynare_simul__SOURCES = dynare_simul_.cc
BUILT_SOURCES = $(nodist_dynare_simul__SOURCES)
CLEANFILES = $(nodist_dynare_simul__SOURCES)
%.cc: $(top_srcdir)/../../sources/dynare_simul_/%.cc
$(LN_S) -f $< $@

4
mex/build/matlab/Makefile.am
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@ -2,9 +2,9 @@ ACLOCAL_AMFLAGS = -I ../../../m4
SUBDIRS = mjdgges kronecker bytecode block_kalman_filter sobol perfect_foresight_problem num_procs block_trust_region disclyap_fast
# libdynare++ must come before gensylv, k_order_perturbation, dynare_simul_
# libdynare++ must come before gensylv and k_order_perturbation
if ENABLE_MEX_DYNAREPLUSPLUS
SUBDIRS += libdynare++ gensylv libkorder dynare_simul_ k_order_perturbation k_order_welfare local_state_space_iterations libkordersim folded_to_unfolded_dr local_state_space_iteration_fortran k_order_simul k_order_mean
SUBDIRS += libdynare++ gensylv libkorder k_order_perturbation k_order_welfare local_state_space_iterations libkordersim folded_to_unfolded_dr local_state_space_iteration_fortran k_order_simul k_order_mean
endif
if ENABLE_MEX_MS_SBVAR

1
mex/build/matlab/configure.ac
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@ -155,7 +155,6 @@ AC_CONFIG_FILES([Makefile
libkorder/Makefile
k_order_perturbation/Makefile
k_order_welfare/Makefile
dynare_simul_/Makefile
kalman_steady_state/Makefile
ms_sbvar/Makefile
block_kalman_filter/Makefile

2
mex/build/matlab/dynare_simul_/Makefile.am
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@ -1,2 +0,0 @@
include ../mex.am
include ../../dynare_simul_.am

4
mex/build/octave/Makefile.am
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@ -2,9 +2,9 @@ ACLOCAL_AMFLAGS = -I ../../../m4
SUBDIRS = mjdgges kronecker bytecode block_kalman_filter sobol perfect_foresight_problem num_procs block_trust_region disclyap_fast
# libdynare++ must come before gensylv, k_order_perturbation, dynare_simul_
# libdynare++ must come before gensylv and k_order_perturbation
if ENABLE_MEX_DYNAREPLUSPLUS
SUBDIRS += libdynare++ gensylv libkorder dynare_simul_ k_order_perturbation k_order_welfare local_state_space_iterations libkordersim folded_to_unfolded_dr local_state_space_iteration_fortran k_order_simul
SUBDIRS += libdynare++ gensylv libkorder k_order_perturbation k_order_welfare local_state_space_iterations libkordersim folded_to_unfolded_dr local_state_space_iteration_fortran k_order_simul
endif
if ENABLE_MEX_MS_SBVAR

1
mex/build/octave/configure.ac
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@ -156,7 +156,6 @@ AC_CONFIG_FILES([Makefile
libkorder/Makefile
k_order_perturbation/Makefile
k_order_welfare/Makefile
dynare_simul_/Makefile
kalman_steady_state/Makefile
ms_sbvar/Makefile
block_kalman_filter/Makefile

3
mex/build/octave/dynare_simul_/Makefile.am
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@ -1,3 +0,0 @@
EXEEXT = .mex
include ../mex.am
include ../../dynare_simul_.am

142
mex/sources/dynare_simul_/dynare_simul_.cc
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@ -1,142 +0,0 @@
/*
* Copyright © 2005-2011 Ondra Kamenik
* Copyright © 2019-2020 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 <https://www.gnu.org/licenses/>.
*/
// This is the mexFunction providing interface to
// DecisionRule<>::simulate(). It takes the following input
// parameters:
// order the order of approximation, needs order+1 derivatives
// nstat
// npred
// nboth
// nforw
// nexog
// ystart starting value (full vector of endogenous)
// shocks matrix of shocks (nexog x number of period)
// vcov covariance matrix of shocks (nexog x nexog)
// seed integer seed
// ysteady full vector of decision rule's steady
// dr structure containing matrices of derivatives (g_0, g_1,…)
// output:
// res simulated results
#include "dynmex.h"
#include "mex.h"
#include "decision_rule.hh"
#include "fs_tensor.hh"
#include "SylvException.hh"
#include <string>
extern "C" {
void
mexFunction(int nlhs, mxArray *plhs[],
int nhrs, const mxArray *prhs[])
{
if (nhrs != 12 || nlhs != 1)
mexErrMsgTxt("dynare_simul_ must have at exactly 12 input parameters and 1 output argument.");
int order = static_cast<int>(mxGetScalar(prhs[0]));
int nstat = static_cast<int>(mxGetScalar(prhs[1]));
int npred = static_cast<int>(mxGetScalar(prhs[2]));
int nboth = static_cast<int>(mxGetScalar(prhs[3]));
int nforw = static_cast<int>(mxGetScalar(prhs[4]));
int nexog = static_cast<int>(mxGetScalar(prhs[5]));
const mxArray *const ystart = prhs[6];
const mxArray *const shocks = prhs[7];
const mxArray *const vcov = prhs[8];
int seed = static_cast<int>(mxGetScalar(prhs[9]));
const mxArray *const ysteady = prhs[10];
const mxArray *const dr = prhs[11];
const mwSize *const ystart_dim = mxGetDimensions(ystart);
const mwSize *const shocks_dim = mxGetDimensions(shocks);
const mwSize *const vcov_dim = mxGetDimensions(vcov);
const mwSize *const ysteady_dim = mxGetDimensions(ysteady);
int ny = nstat + npred + nboth + nforw;
if (ny != static_cast<int>(ystart_dim[0]))
mexErrMsgTxt("ystart has wrong number of rows.\n");
if (1 != ystart_dim[1])
mexErrMsgTxt("ystart has wrong number of cols.\n");
int nper = shocks_dim[1];
if (nexog != static_cast<int>(shocks_dim[0]))
mexErrMsgTxt("shocks has a wrong number of rows.\n");
if (nexog != static_cast<int>(vcov_dim[0]))
mexErrMsgTxt("vcov has a wrong number of rows.\n");
if (nexog != static_cast<int>(vcov_dim[1]))
mexErrMsgTxt("vcov has a wrong number of cols.\n");
if (ny != static_cast<int>(ysteady_dim[0]))
mexErrMsgTxt("ysteady has wrong number of rows.\n");
if (1 != ysteady_dim[1])
mexErrMsgTxt("ysteady has wrong number of cols.\n");
plhs[0] = mxCreateDoubleMatrix(ny, nper, mxREAL);
try
{
// initialize tensor library
TLStatic::init(order, npred+nboth+nexog);
// form the polynomial
UTensorPolynomial pol(ny, npred+nboth+nexog);
for (int dim = 0; dim <= order; dim++)
{
const mxArray *gk_m = mxGetField(dr, 0, ("g_" + std::to_string(dim)).c_str());
if (!gk_m)
mexErrMsgTxt(("Can't find field `g_" + std::to_string(dim) + "' in structured passed as last argument").c_str());
ConstTwoDMatrix gk(gk_m);
FFSTensor ft(ny, npred+nboth+nexog, dim);
if (ft.ncols() != gk.ncols())
mexErrMsgTxt(("Wrong number of columns for folded tensor: got " + std::to_string(gk.ncols()) + " but i want " + std::to_string(ft.ncols()) + '\n').c_str());
if (ft.nrows() != gk.nrows())
mexErrMsgTxt(("Wrong number of rows for folded tensor: got " + std::to_string(gk.nrows()) + " but i want " + std::to_string(ft.nrows()) + '\n').c_str());
ft.zeros();
ft.add(1.0, gk);
pol.insert(std::make_unique<UFSTensor>(ft));
}
// form the decision rule
UnfoldDecisionRule dr(pol, PartitionY(nstat, npred, nboth, nforw),
nexog, ConstVector{ysteady});
// form the shock realization
ConstTwoDMatrix shocks_mat(nexog, nper, ConstVector{shocks});
ConstTwoDMatrix vcov_mat(nexog, nexog, ConstVector{vcov});
GenShockRealization sr(vcov_mat, shocks_mat, seed);
// simulate and copy the results
TwoDMatrix res_mat{dr.simulate(DecisionRule::emethod::horner, nper,
ConstVector{ystart}, sr)};
TwoDMatrix res_tmp_mat{plhs[0]};
res_tmp_mat = const_cast<const TwoDMatrix &>(res_mat);
}
catch (const KordException &e)
{
mexErrMsgTxt("Caught Kord exception.");
}
catch (const TLException &e)
{
mexErrMsgTxt("Caught TL exception.");
}
catch (SylvException &e)
{
mexErrMsgTxt("Caught Sylv exception.");
}
}
};

49
tests/k_order_perturbation/burnside_k_order.mod
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@ -119,54 +119,7 @@ for T = 1:size(oo_.endo_simul,2)
end
end
if abs(y_-oo_.endo_simul(1,T)) > 1e-14
error(['Error in dynare_simul_ DLL'])
error(['Error in k_order_simul DLL'])
end
xlag = oo_.endo_simul(2,T);
end
% Verify that the simulated time series is correct with the Fortran routine k_order_simul
order = options_.order;
nstat = M_.nstatic;
npred = M_.npred;
nboth = M_.nboth;
nfwrd = M_.nfwrd;
nexog = M_.exo_nbr;
ystart = oo_.dr.ys(oo_.dr.order_var,1);
ex_ = oo_.exo_simul';
ysteady = oo_.dr.ys(oo_.dr.order_var);
dr = oo_.dr;
vcov = M_.Sigma_e;
seed = options_.DynareRandomStreams;
%do 1 call to get k_order_simul into memory (dynare_simul_ was already called within stoch_simul)
fortran_endo_simul = k_order_simul(order, nstat, npred, nboth, nfwrd, nexog, ystart, ex_, ysteady, dr);
tElapsed=NaN(2,1000);
for ii=1:1000
tStart1 = tic; fortran_endo_simul = k_order_simul(order, nstat, npred, nboth, nfwrd, nexog, ystart, ex_, ysteady, dr); tElapsed(1,ii) = toc(tStart1);
tStart2 = tic; dynare_endo_simul = dynare_simul_(order, nstat, npred, nboth, nfwrd, nexog, ystart,ex_,vcov,seed, ysteady, dr); tElapsed(2,ii) = toc(tStart2);
end
if max(max(abs(oo_.endo_simul-fortran_endo_simul(oo_.dr.order_var,:)))) > 1e-10
error('Error in k_order_simul: inaccurate simulation');
end;
if max(max(abs(dynare_endo_simul-fortran_endo_simul))) > 1e-10
error('Error in k_order_simul: inaccurate simulation');
end;
tElapsed1=mean(tElapsed(1,:))
tElapsed2=mean(tElapsed(2,:))
if tElapsed1<tElapsed2
skipline()
dprintf('k_order_simul is %5.2f times faster than dynare_simul_', tElapsed2/tElapsed1)
skipline()
else
skipline()
dprintf('k_order_simul is %5.2f times slower than dynare_simul_', tElapsed1/tElapsed2)
skipline()
end