Move source code of gensylv and dynare_simul_ MEX to the same place as other MEX
Sébastien Villemot
parent
95584aa4f8
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2169341639
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%
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% SYNOPSIS
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%
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% r = dynare_simul(name, shocks)
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% r = dynare_simul(name, prefix, shocks)
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% r = dynare_simul(name, shocks, start)
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% r = dynare_simul(name, prefix, shocks, start)
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%
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% name name of MAT-file produced by dynare++
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% prefix prefix of variables in the MAT-file
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% shocks matrix of shocks
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% start zero period value
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%
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% Note that this file requires the dynare_simul_ DLL to be in the path.
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% This DLL is distributed with Dynare, under the mex/matlab or mex/octave
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% subdirectory.
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%
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% SEMANTICS
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%
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% The command reads a decision rule from the MAT-file having the given
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% prefix. Then it starts simulating the decision rule with zero time value
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% equal to the given start. It uses the given shocks for the simulation. If
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% the start is not given, the state about which the decision rule is
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% centralized is taken (called fix point, or stochastic steady state, take
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% your pick).
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%
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% prefix Use the prefix with which you called dynare++, the default
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% prefix in dynare++ is 'dyn'.
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% shocks Number of rows must be a number of exogenous shocks,
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% number of columns gives the number of simulated
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% periods. NaNs and Infs in the matrix are substitued by
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% draws from the normal distribution using the covariance
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% matrix given in the model file.
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% start Vector of endogenous variables in the ordering given by
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% <prefix>_vars.
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%
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% Seed for random generator is derived from calling rand(1,1). Therefore,
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% seeding can be controlled with rand('state') and rand('state',some_seed).
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%
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% EXAMPLES
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%
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% All examples suppose that the prefix is 'dyn' and that your_model.mat
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% has been loaded into Matlab.
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%
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% 1. response to permanent negative shock to the third exo var EPS3 for
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% 100 periods
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%
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% shocks = zeros(4,100); % 4 exogenous variables in the model
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% shocks(dyn_i_EPS3,:) = -0.1; % the permanent shock to EPS3
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% r = dynare_simul('your_model.mat',shocks);
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%
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% 2. one stochastic simulation for 100 periods
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%
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% shocks = zeros(4,100)./0; % put NaNs everywhere
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% r = dynare_simul('your_model.mat',shocks);
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%
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% 3. one stochastic simulation starting at 75% undercapitalized economy
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%
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% shocks = zeros(4,100)./0; % put NaNs everywhere
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% ystart = dyn_ss; % get copy of DR fix point
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% ystart(dyn_i_K) = 0.75*dyn_ss(dyn_i_K); % scale down the capital
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% r = dynare_simul('your_model.mat',shocks,ystart);
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%
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%
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% SEE ALSO
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%
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% "DSGE Models with Dynare++. A Tutorial.", Ondra Kamenik, 2005
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% Copyright (C) 2005-2011, Ondra Kamenik
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function r = dynare_simul(varargin)
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if exist('dynare_simul_') ~= 3
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error('Can''t find dynare_simul_ DLL in the path. The simplest way to add it is to run Dynare once in this session.')
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end
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% get the file name and load data
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fname = varargin{1};
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eval(['load ' fname]);
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% set prefix, shocks, ystart
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if ischar(varargin{2})
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prefix = varargin{2};
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if length(varargin) == 3
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shocks = varargin{3};
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ystart = NaN;
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elseif length(varargin) == 4
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shocks = varargin{3};
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ystart = varargin{4};
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else
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error('Wrong number of parameters.');
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end
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else
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prefix = 'dyn';
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if length(varargin) == 2
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shocks = varargin{2};
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ystart = NaN;
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elseif length(varargin) == 3
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shocks = varargin{2};
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ystart = varargin{3};
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else
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error('Wrong number of parameters.');
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end
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end
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% load all needed variables but prefix_g_*
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if (exist([prefix '_nstat']))
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nstat = eval([prefix '_nstat']);
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else
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error(['Could not find variable ' prefix '_nstat in workspace']);
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end
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if (exist([prefix '_npred']))
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npred = eval([prefix '_npred']);
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else
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error(['Could not find variable ' prefix '_npred in workspace']);
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end
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if (exist([prefix '_nboth']))
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nboth = eval([prefix '_nboth']);
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else
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error(['Could not find variable ' prefix '_nboth in workspace']);
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end
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if (exist([prefix '_nforw']))
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nforw = eval([prefix '_nforw']);
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else
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error(['Could not find variable ' prefix '_nforw in workspace']);
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end
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if (exist([prefix '_ss']))
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ss = eval([prefix '_ss']);
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else
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error(['Could not find variable ' prefix '_ss in workspace']);
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end
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if (exist([prefix '_vcov_exo']))
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vcov_exo = eval([prefix '_vcov_exo']);
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else
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error(['Could not find variable ' prefix '_vcov_exo in workspace']);
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end
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nexog = size(vcov_exo,1);
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if isnan(ystart)
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ystart = ss;
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end
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% newer version of dynare++ doesn't return prefix_g_0, we make it here if
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% it does not exist in workspace
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g_zero = [prefix '_g_0'];
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if (~ exist(g_zero))
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eval([ g_zero '= zeros(nstat+npred+nboth+nforw,1);']);
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end
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% make derstr a string of comma seperated existing prefix_g_*
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derstr = [',' g_zero];
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order = 1;
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cont = 1;
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while cont == 1
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g_ord = [prefix '_g_' num2str(order)];
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if (exist(g_ord))
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derstr = [derstr ',' g_ord];
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order = order + 1;
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else
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cont = 0;
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end
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end
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% set seed
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seed = ceil(10000*rand(1,1));
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% call dynare_simul_
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command = ['[err,r]=dynare_simul_(' num2str(order-1) ',nstat,npred,nboth,nforw,' ...
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'nexog,ystart,shocks,vcov_exo,seed,ss' derstr ');'];
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eval(command);
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if err
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error('Simulation failed')
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end
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@ -1,6 +1,6 @@
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SUBDIRS = cc testing
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EXTRA_DIST = sylvester.tex change_log.html matlab
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EXTRA_DIST = sylvester.tex change_log.html
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if HAVE_PDFLATEX
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pdf-local: sylvester.pdf
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@ -1,76 +0,0 @@
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%
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% GENSYLV solves the following matrix equation:
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% A*X + [0 B]*X*kron(C,..,C) = D,
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% where
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% A ...... regular (n,n) matrix,
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% [0 B] .. (n,n) matrix with a few first
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% columns equal to zeros
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% B ...... rectangular (n, nz) matrix with nz<=n
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% C ...... regular (m,m) matrix, whose spectrum is
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% within (-1, 1)
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% kron(C,..,C)
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% ...... Kronecker power of C of order 'order'
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% D ..... rectangular (n, m^order) matrix.
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%
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% [err, X] = gensylv(order, A, B, C, D)
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% returns err a scalar where 1 indicates failure, 0 indicates success
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% and X as the solution, doesn't perform any checks
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%
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% [err, X, par] = gensylv(order, A, B, C, D)
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% solves the system, and performs checks. 'par' is struct
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% containing information about solution and error norms
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% returned by the check. This is a list of the struct
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% members, some of them may be missing in actual returned
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% value:
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% method = method used for solution recursive/iterative
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% convergence_tol = convergence tolerance for iter. method
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% max_num_iter = max number of steps for iter. method
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% bs_norm = Bavely Stewart log10 norm for diagonalization
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% converged = convergence status for iterative method
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% iter_last_norm = residual norm of the last step of iterations
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% num_iter = number of iterations performed
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% f_err1 = norm 1 of abs. error C-V*F*inv(V)
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% f_errI = norm Inf of abs. error C-V*F*inv(V)
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% viv_err1 = norm 1 of abs. error I-V*inv(V)
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% viv_errI = norm Inf of abs. error I-V*inv(V)
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% ivv_err1 = norm 1 of abs. error I-inv(V)*V
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% ivv_errI = norm Inf of abs. error I-inv(V)*V
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% f_blocks = number of diagonal blocks of F
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% f_largest = size of largest diagonal block in F
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% f_zeros = number of off diagonal zeros in F
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% f_offdiag = number of all offdiagonal elements in F
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% rcondA1 = reciprocal cond 1 number of A
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% rcondAI = reciprocal cond Inf number of A
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% eig_min = minimum eigenvalue of vectorized system
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% mat_err1 = rel. matrix 1 norm of A*X-[0 B]*X*kron(C,..,C)-D
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% mat_errI = rel. matrix Inf norm of --"--
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% mat_errF = rel. matrix Frobenius norm of --"--
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% vec_err1 = rel. vector 1 norm of --"--
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% vec_errI = rel. vector Inf norm of --"--
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% cpu_time = CPU time needed for solution in CPU seconds
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%
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% $Header: /var/lib/cvs/dynare_cpp/sylv/matlab/gensylv.m,v 1.1.1.1 2004/06/04 13:01:13 kamenik Exp $
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% Tag $Name: $
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function [err, X, varargout] = gensylv(order, A, B, C, D)
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% in Windows, ensure that aa_gensylv.dll is loaded, this prevents
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% clearing the function and a successive Matlab crash
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if strcmp('PCWIN', computer)
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if ~ libisloaded('aa_gensylv')
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loadlibrary('aa_gensylv', 'dummy');
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end
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end
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% launch aa_gensylv
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if nargout == 2
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X = aa_gensylv(order, A, B, C, D);
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elseif nargout == 3
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[X, par] = aa_gensylv(order, A, B, C, D);
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varargout(1) = {par};
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else
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error('Must have 2 or 3 output arguments.');
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end
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err = 0;
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@ -268,6 +268,12 @@ Copyright: 2010 Yannick Kalantzis
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2019 Dynare Team
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License: GPL-3+
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Files: mex/sources/dynare_simul_/dynare_simul_.cc
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mex/sources/gensylv/gensylv.cc
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Copyright: 2005-2011 Ondra Kamenik
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2019 Dynare Team
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License: GPL-3+
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Files: mex/sources/sobol/sobol.hh mex/sources/sobol/initialize_v_array.hh
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mex/sources/sobol/initialize_v_array.inc
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Copyright: 2009 John Burkardt
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@ -7,10 +7,10 @@ dynare_simul__CXXFLAGS = $(AM_CXXFLAGS) $(THREAD_CXXFLAGS)
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dynare_simul__LDFLAGS = $(AM_LDFLAGS) $(LDFLAGS_MATIO)
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dynare_simul__LDADD = ../libdynare++/libdynare++.a $(LIBADD_MATIO)
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nodist_dynare_simul__SOURCES = dynare_simul.cc
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nodist_dynare_simul__SOURCES = dynare_simul_.cc
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BUILT_SOURCES = $(nodist_dynare_simul__SOURCES)
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CLEANFILES = $(nodist_dynare_simul__SOURCES)
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%.cc: $(top_srcdir)/../../../dynare++/extern/matlab/%.cc
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%.cc: $(top_srcdir)/../../sources/dynare_simul_/%.cc
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$(LN_S) -f $< $@
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@ -9,5 +9,5 @@ nodist_gensylv_SOURCES = gensylv.cc
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BUILT_SOURCES = $(nodist_gensylv_SOURCES)
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CLEANFILES = $(nodist_gensylv_SOURCES)
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%.cc: $(top_srcdir)/../../../dynare++/sylv/matlab/%.cc
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%.cc: $(top_srcdir)/../../sources/gensylv/%.cc
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$(LN_S) -f $< $@
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@ -11,7 +11,9 @@ EXTRA_DIST = \
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ms-sbvar \
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block_kalman_filter \
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sobol \
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local_state_space_iterations
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local_state_space_iterations \
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gensylv \
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dynare_simul_
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clean-local:
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rm -rf `find mex/sources -name *.o`
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@ -1,4 +1,22 @@
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// Copyright (C) 2005-2011, Ondra Kamenik
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/*
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* Copyright (C) 2005-2011 Ondra Kamenik
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* Copyright (C) 2019 Dynare Team
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*
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* This file is part of Dynare.
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*
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* Dynare is free software: you can redistribute it and/or modify
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* it under the terms of the GNU General Public License as published by
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* the Free Software Foundation, either version 3 of the License, or
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* (at your option) any later version.
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*
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* Dynare is distributed in the hope that it will be useful,
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* but WITHOUT ANY WARRANTY; without even the implied warranty of
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* MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the
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* GNU General Public License for more details.
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*
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* You should have received a copy of the GNU General Public License
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* along with Dynare. If not, see <http://www.gnu.org/licenses/>.
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*/
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// This is the mexFunction providing interface to
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// DecisionRule<>::simulate(). It takes the following input
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@ -1,4 +1,22 @@
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// Copyright (C) 2005-2011, Ondra Kamenik
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/*
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* Copyright (C) 2005-2011 Ondra Kamenik
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* Copyright (C) 2019 Dynare Team
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*
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* This file is part of Dynare.
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*
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* Dynare is free software: you can redistribute it and/or modify
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* it under the terms of the GNU General Public License as published by
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* the Free Software Foundation, either version 3 of the License, or
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* (at your option) any later version.
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*
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* Dynare is distributed in the hope that it will be useful,
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* but WITHOUT ANY WARRANTY; without even the implied warranty of
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* MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the
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* GNU General Public License for more details.
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*
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* You should have received a copy of the GNU General Public License
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* along with Dynare. If not, see <http://www.gnu.org/licenses/>.
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*/
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#include "dynmex.h"
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#include "mex.h"
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