diff --git a/license.txt b/license.txt index 979419e10..6d29a2c77 100644 --- a/license.txt +++ b/license.txt @@ -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+ diff --git a/matlab/simult_.m b/matlab/simult_.m index bf35c745b..128bfee9a 100644 --- a/matlab/simult_.m +++ b/matlab/simult_.m @@ -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 diff --git a/mex/build/dynare_simul_.am b/mex/build/dynare_simul_.am deleted file mode 100644 index 550bd7436..000000000 --- a/mex/build/dynare_simul_.am +++ /dev/null @@ -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 $< $@ diff --git a/mex/build/matlab/Makefile.am b/mex/build/matlab/Makefile.am index 7b565fb3a..ef9017507 100644 --- a/mex/build/matlab/Makefile.am +++ b/mex/build/matlab/Makefile.am @@ -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 diff --git a/mex/build/matlab/configure.ac b/mex/build/matlab/configure.ac index f377afc14..5a877ae47 100644 --- a/mex/build/matlab/configure.ac +++ b/mex/build/matlab/configure.ac @@ -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 diff --git a/mex/build/matlab/dynare_simul_/Makefile.am b/mex/build/matlab/dynare_simul_/Makefile.am deleted file mode 100644 index b7301c554..000000000 --- a/mex/build/matlab/dynare_simul_/Makefile.am +++ /dev/null @@ -1,2 +0,0 @@ -include ../mex.am -include ../../dynare_simul_.am diff --git a/mex/build/octave/Makefile.am b/mex/build/octave/Makefile.am index 53155961c..ae7899d6c 100644 --- a/mex/build/octave/Makefile.am +++ b/mex/build/octave/Makefile.am @@ -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 diff --git a/mex/build/octave/configure.ac b/mex/build/octave/configure.ac index 22e6e8797..cf9a0adcb 100644 --- a/mex/build/octave/configure.ac +++ b/mex/build/octave/configure.ac @@ -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 diff --git a/mex/build/octave/dynare_simul_/Makefile.am b/mex/build/octave/dynare_simul_/Makefile.am deleted file mode 100644 index 3bf23bd7c..000000000 --- a/mex/build/octave/dynare_simul_/Makefile.am +++ /dev/null @@ -1,3 +0,0 @@ -EXEEXT = .mex -include ../mex.am -include ../../dynare_simul_.am diff --git a/mex/sources/dynare_simul_/dynare_simul_.cc b/mex/sources/dynare_simul_/dynare_simul_.cc deleted file mode 100644 index 99c8a8e41..000000000 --- a/mex/sources/dynare_simul_/dynare_simul_.cc +++ /dev/null @@ -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 . - */ - -// 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 - -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(mxGetScalar(prhs[0])); - int nstat = static_cast(mxGetScalar(prhs[1])); - int npred = static_cast(mxGetScalar(prhs[2])); - int nboth = static_cast(mxGetScalar(prhs[3])); - int nforw = static_cast(mxGetScalar(prhs[4])); - int nexog = static_cast(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(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(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(shocks_dim[0])) - mexErrMsgTxt("shocks has a wrong number of rows.\n"); - if (nexog != static_cast(vcov_dim[0])) - mexErrMsgTxt("vcov has a wrong number of rows.\n"); - if (nexog != static_cast(vcov_dim[1])) - mexErrMsgTxt("vcov has a wrong number of cols.\n"); - if (ny != static_cast(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(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(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."); - } - } -}; diff --git a/tests/k_order_perturbation/burnside_k_order.mod b/tests/k_order_perturbation/burnside_k_order.mod index 7f7072f91..a42a81078 100644 --- a/tests/k_order_perturbation/burnside_k_order.mod +++ b/tests/k_order_perturbation/burnside_k_order.mod @@ -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