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- extends steady algorithms to solve_algo=5, 6, 7 and 8 for a block decomposed model without bytcode 

-  solve_algo is reordered =
   * 0: fsolve
   * 1: solve1
   * 2, 4: solve1 + block decomposition
   * 3: csolve
   * 5: bytecode own solver (use Gaussian elimination + sparse matrix)
   * 6: LU decomposition with UMFPack (method handling sparse matrix in Matlab)
   * 7: GMRES
   * 8: BiCGStab
time-shift
Ferhat Mihoubi 2010-10-22 16:49:47 +02:00
parent fc31afb356
commit 39718c8645
3 changed files with 54 additions and 24 deletions
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33
matlab/solve_one_boundary.m
View File

@ -97,7 +97,7 @@ for it_=start:incr:finish
if(is_dynamic)
[r, y, g1, g2, g3] = feval(fname, y, x, params, it_, 0);
else
[r, y, g1, g2, g3] = feval(fname, y, x, params, 0);
[r, y, g1] = feval(fname, y, x, params);
end;
if(~isreal(r))
max_res=(-(max(max(abs(r))))^2)^0.5;
@ -219,6 +219,9 @@ for it_=start:incr:finish
ya_save=ya;
g1a=g1;
if(~is_dynamic & options_.solve_algo == 0)
if (verbose == 1)
disp("steady: fsolve");
end
if exist('OCTAVE_VERSION') || isempty(ver('optim'))
% Note that fsolve() exists under Octave, but has a different syntax
% So we fail for the moment under Octave, until we add the corresponding code
@ -238,6 +241,9 @@ for it_=start:incr:finish
info = -Block_Num*10;
end
elseif((~is_dynamic & options_.solve_algo==2) || (is_dynamic & stack_solve_algo==4))
if (verbose == 1 & ~is_dynamic)
disp("steady: LU + lnsrch1");
end
lambda=1;
stpmx = 100 ;
if (is_dynamic)
@ -261,10 +267,16 @@ for it_=start:incr:finish
y = ya';
end;
elseif(~is_dynamic & options_.solve_algo==3)
if (verbose == 1)
disp("steady: csolve");
end
[yn,info] = csolve(@local_fname, y(y_index_eq),@local_fname,1e-6,500, x, params, y, y_index_eq, fname, 1);
dx = ya - yn;
y(y_index_eq) = yn;
elseif((stack_solve_algo==1 & is_dynamic) | (stack_solve_algo==0 & is_dynamic) | (~is_dynamic & options_.solve_algo==1)),
elseif((stack_solve_algo==1 & is_dynamic) | (stack_solve_algo==0 & is_dynamic) | (~is_dynamic & (options_.solve_algo==1 | options_.solve_algo==6))),
if (verbose == 1 & ~is_dynamic)
disp("steady: Sparse LU ");
end
dx = g1\r;
ya = ya - lambda*dx;
if(is_dynamic)
@ -272,8 +284,14 @@ for it_=start:incr:finish
else
y(y_index_eq) = ya;
end;
elseif(stack_solve_algo==2 & is_dynamic),
elseif((stack_solve_algo==2 & is_dynamic) | (options_.solve_algo==7 & ~is_dynamic)),
flag1=1;
if exist('OCTAVE_VERSION')
error('SOLVE_ONE_BOUNDARY: you can''t use solve_algo=7 since GMRES is not implemented in Octave')
end
if (verbose == 1 & ~is_dynamic)
disp("steady: GMRES ");
end
while(flag1>0)
[L1, U1]=luinc(g1,luinc_tol);
[dx,flag1] = gmres(g1,-r,Blck_size,1e-6,Blck_size,L1,U1);
@ -296,8 +314,11 @@ for it_=start:incr:finish
end;
end;
end;
elseif(stack_solve_algo==3 & is_dynamic),
elseif((stack_solve_algo==3 & is_dynamic) | (options_.solve_algo==8 & ~is_dynamic)),
flag1=1;
if (verbose == 1 & ~is_dynamic)
disp("steady: BiCGStab");
end
while(flag1>0)
[L1, U1]=luinc(g1,luinc_tol);
[dx,flag1] = bicgstab(g1,-r,1e-7,Blck_size,L1,U1);
@ -352,14 +373,16 @@ for it_=start:incr:finish
return;
end
end
info = 1;
if(is_dynamic)
info = 1;
oo_.deterministic_simulation.status = 1;
oo_.deterministic_simulation.error = max_res;
oo_.deterministic_simulation.iterations = iter;
oo_.deterministic_simulation.block(Block_Num).status = 1;
oo_.deterministic_simulation.block(Block_Num).error = max_res;
oo_.deterministic_simulation.block(Block_Num).iterations = iter;
else
info = 0;
end;
return;

19
matlab/steady_.m
View File

@ -115,13 +115,20 @@ elseif options_.block && ~options_.bytecode
n = size(M_.blocksMFS{b}, 1);
ss = oo_.steady_state;
if n ~= 0
[y, check] = dynare_solve('block_mfs_steadystate', ...
ss(M_.blocksMFS{b}), ...
options_.jacobian_flag, b);
if check ~= 0
error(['STEADY: convergence problems in block ' int2str(b)])
if options_.solve_algo <= 4
[y, check] = dynare_solve('block_mfs_steadystate', ...
ss(M_.blocksMFS{b}), ...
options_.jacobian_flag, b);
if check ~= 0
error(['STEADY: convergence problems in block ' int2str(b)])
end
ss(M_.blocksMFS{b}) = y;
else
[ss, check] = solve_one_boundary([M_.fname '_static_' int2str(b)], ss, [oo_.exo_steady_state; ...
oo_.exo_det_steady_state], M_.params, M_.blocksMFS{b}, n, 1, 0, b, 0, options_.maxit_, ...
options_.solve_tolf, options_.slowc, 0, options_.solve_algo, 1, 0, 0);
end
ss(M_.blocksMFS{b}) = y;
end
[r, g1, oo_.steady_state] = feval([M_.fname '_static'], b, ss, ...
[oo_.exo_steady_state; ...

26
mex/sources/bytecode/SparseMatrix.cc
View File

@ -329,7 +329,7 @@ SparseMatrix::Read_SparseMatrix(string file_name, const int Size, int periods, i
}
else
{
if ((stack_solve_algo == 5 && !steady_state) || (solve_algo == 8 && steady_state))
if ((stack_solve_algo == 5 && !steady_state) || (solve_algo == 5 && steady_state))
{
for (i = 0; i < u_count_init; i++)
{
@ -340,7 +340,7 @@ SparseMatrix::Read_SparseMatrix(string file_name, const int Size, int periods, i
IM_i[make_pair(make_pair(eq, var), lag)] = j;
}
}
else if ( ((stack_solve_algo >= 0 || stack_solve_algo <= 4) && !steady_state) || ((solve_algo >= 5 || solve_algo <= 7) && steady_state) )
else if ( ((stack_solve_algo >= 0 || stack_solve_algo <= 4) && !steady_state) || ((solve_algo >= 6 || solve_algo <= 8) && steady_state) )
{
for (i = 0; i < u_count_init; i++)
{
@ -1949,7 +1949,7 @@ SparseMatrix::Solve_Matlab_GMRES(mxArray* A_m, mxArray* b_m, int Size, double sl
#ifdef OCTAVE_MEX_FILE
ostringstream tmp;
if (steady_state)
tmp << " GMRES method is not implemented in Octave. You cannot use solve_algo=6, change solve_algo.\n";
tmp << " GMRES method is not implemented in Octave. You cannot use solve_algo=7, change solve_algo.\n";
else
tmp << " GMRES method is not implemented in Octave. You cannot use stack_solve_algo=2, change stack_solve_algo.\n";
throw FatalExceptionHandling(tmp.str());
@ -2956,19 +2956,19 @@ SparseMatrix::Simulate_Newton_One_Boundary(int blck, int y_size, int it_, int y_
mexPrintf("MODEL STEADY STATE: MATLAB csolve\n");
break;
case 5:
mexPrintf("MODEL STEADY STATE: Sparse LU\n");
mexPrintf("MODEL STEADY STATE: (method=ByteCode own solver)\n");
break;
case 6:
mexPrintf("MODEL SIMULATION: (method=GMRES)\n");
mexPrintf("MODEL STEADY STATE: Sparse LU\n");
break;
case 7:
mexPrintf("MODEL SIMULATION: (method=BiCGStab)\n");
mexPrintf("MODEL STEADY STATE: (method=GMRES)\n");
break;
case 8:
mexPrintf("MODEL SIMULATION: (method=ByteCode own solver)\n");
mexPrintf("MODEL STEADY STATE: (method=BiCGStab)\n");
break;
default:
mexPrintf("MODEL SIMULATION: (method=Unknown - %d - )\n", stack_solve_algo);
mexPrintf("MODEL STEADY STATE: (method=Unknown - %d - )\n", stack_solve_algo);
}
}
@ -2980,7 +2980,7 @@ SparseMatrix::Simulate_Newton_One_Boundary(int blck, int y_size, int it_, int y_
mexPrintf("-----------------------------------\n");
}
bool zero_solution;
if ((solve_algo == 8 && steady_state) || (stack_solve_algo == 5 && !steady_state))
if ((solve_algo == 5 && steady_state) || (stack_solve_algo == 5 && !steady_state))
Simple_Init(it_, y_kmin, y_kmax, Size, IM_i, zero_solution);
else
{
@ -3012,13 +3012,13 @@ SparseMatrix::Simulate_Newton_One_Boundary(int blck, int y_size, int it_, int y_
}
else
{
if ((solve_algo == 8 && steady_state) || (stack_solve_algo == 5 && !steady_state))
if ((solve_algo == 5 && steady_state) || (stack_solve_algo == 5 && !steady_state))
Solve_ByteCode_Sparse_GaussianElimination(Size, blck, steady_state, it_);
else if ((solve_algo == 6 && steady_state) || (stack_solve_algo == 2 && !steady_state))
else if ((solve_algo == 7 && steady_state) || (stack_solve_algo == 2 && !steady_state))
Solve_Matlab_GMRES(A_m, b_m, Size, slowc, blck, false, it_, steady_state);
else if ((solve_algo == 7 && steady_state) || (stack_solve_algo == 3 && !steady_state))
else if ((solve_algo == 8 && steady_state) || (stack_solve_algo == 3 && !steady_state))
Solve_Matlab_BiCGStab(A_m, b_m, Size, slowc, blck, false, it_);
else if ((solve_algo == 5 && steady_state) || ((stack_solve_algo == 0 || stack_solve_algo == 1) && !steady_state))
else if ((solve_algo == 6 && steady_state) || ((stack_solve_algo == 0 || stack_solve_algo == 1) && !steady_state))
Solve_Matlab_LU_UMFPack(A_m, b_m, Size, slowc, false, it_);
}
return;