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v4.1: Ondra's changes to make smoothing faster in large models. Still needs to be ported to other smoother routines 

git-svn-id: https://www.dynare.org/svn/dynare/trunk@2466 ac1d8469-bf42-47a9-8791-bf33cf982152
time-shift
michel 2009-03-14 11:06:34 +00:00
parent 1941302652
commit 48d00e3a93
1 changed files with 20 additions and 17 deletions
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37
matlab/missing_DiffuseKalmanSmoother3_Z.m
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@ -86,9 +86,9 @@ Fstar = zeros(pp,smpl_diff);
Finf = zeros(pp,smpl_diff);
Fi = zeros(pp,smpl);
Ki = zeros(mm,pp,smpl);
Li = zeros(mm,mm,pp,smpl);
Linf = zeros(mm,mm,pp,smpl_diff);
L0 = zeros(mm,mm,pp,smpl_diff);
%Li = zeros(mm,mm,pp,smpl);
%Linf = zeros(mm,mm,pp,smpl_diff);
%L0 = zeros(mm,mm,pp,smpl_diff);
Kstar = zeros(mm,pp,smpl_diff);
P = zeros(mm,mm,smpl+1);
P1 = P;
@ -128,8 +128,8 @@ while newRank & t < smpl
if Finf(i,t) > crit & newRank
icc=icc+1;
Kinf(:,i,t) = Pinf(:,:,t)*Zi';
Linf(:,:,i,t) = eye(mm) - Kinf(:,i,t)*Z(i,:)/Finf(i,t);
L0(:,:,i,t) = (Kinf(:,i,t)*Fstar(i,t)/Finf(i,t) - Kstar(:,i,t))*Zi/Finf(i,t);
% Linf(:,:,i,t) = eye(mm) - Kinf(:,i,t)*Z(i,:)/Finf(i,t);
% L0(:,:,i,t) = (Kinf(:,i,t)*Fstar(i,t)/Finf(i,t) - Kstar(:,i,t))*Zi/Finf(i,t);
a(:,t) = a(:,t) + Kinf(:,i,t)*v(i,t)/Finf(i,t);
Pstar(:,:,t) = Pstar(:,:,t) + ...
Kinf(:,i,t)*Kinf(:,i,t)'*Fstar(i,t)/(Finf(i,t)*Finf(i,t)) - ...
@ -158,7 +158,7 @@ while newRank & t < smpl
%% Note that : (1) rank(Pinf)=0 implies that Finf = 0, (2) outside this loop (when for some i and t the condition
%% rank(Pinf)=0 is satisfied we have P = Pstar and F = Fstar and (3) Finf = 0 does not imply that
%% rank(Pinf)=0. [stéphane,11-03-2004].
Li(:,:,i,t) = eye(mm)-Kstar(:,i,t)*Z(i,:)/Fstar(i,t); % we need to store Li for DKF smoother
%Li(:,:,i,t) = eye(mm)-Kstar(:,i,t)*Z(i,:)/Fstar(i,t); % we need to store Li for DKF smoother
a(:,t) = a(:,t) + Kstar(:,i,t)*v(i,t)/Fstar(i,t);
Pstar(:,:,t) = Pstar(:,:,t) - Kstar(:,i,t)*Kstar(:,i,t)'/Fstar(i,t);
Pstar(:,:,t)=tril(Pstar(:,:,t))+tril(Pstar(:,:,t),-1)';
@ -179,8 +179,8 @@ end
d = t;
P(:,:,d+1) = Pstar(:,:,d+1);
Linf = Linf(:,:,:,1:d);
L0 = L0(:,:,:,1:d);
%Linf = Linf(:,:,:,1:d);
%L0 = L0(:,:,:,1:d);
Fstar = Fstar(:,1:d);
Finf = Finf(:,1:d);
Kstar = Kstar(:,:,1:d);
@ -201,7 +201,7 @@ while notsteady & t<smpl
Fi(i,t) = Zi*P(:,:,t)*Zi';
Ki(:,i,t) = P(:,:,t)*Zi';
if Fi(i,t) > crit
Li(:,:,i,t) = eye(mm)-Ki(:,i,t)*Z(i,:)/Fi(i,t);
%Li(:,:,i,t) = eye(mm)-Ki(:,i,t)*Z(i,:)/Fi(i,t);
a(:,t) = a(:,t) + Ki(:,i,t)*v(i,t)/Fi(i,t);
P(:,:,t) = P(:,:,t) - Ki(:,i,t)*Ki(:,i,t)'/Fi(i,t);
P(:,:,t)=tril(P(:,:,t))+tril(P(:,:,t),-1)';
@ -255,7 +255,7 @@ while t > d+1
di = flipud(data_index{t})';
for i = di
if Fi(i,t) > crit
ri = Z(i,:)'/Fi(i,t)*v(i,t)+Li(:,:,i,t)'*ri;
ri = Z(i,:)'/Fi(i,t)*v(i,t)+ri-Ki(:,i,t)'*ri/Fi(i,t)*Z(i,:)';
end
end
r(:,t) = ri;
@ -273,10 +273,11 @@ if d
% if Finf(i,t) > crit & ~(t==d & i>options_.diffuse_d), % use of options_.diffuse_d to be sure of DKF termination
if Finf(i,t) > crit
r1(:,t) = Z(i,:)'*v(i,t)/Finf(i,t) + ...
L0(:,:,i,t)'*r0(:,t) + Linf(:,:,i,t)'*r1(:,t);
r0(:,t) = Linf(:,:,i,t)'*r0(:,t);
(Kinf(:,i,t)'*Fstar(i,t)/Finf(i,t)-Kstar(:,i,t)')*r0(:,t)/Finf(i,t)*Z(i,:)' + ...
r1(:,t)-Kinf(:,i,t)'*r1(:,t)/Finf(i,t)*Z(i,:)';
r0(:,t) = r0(:,t)-Kinf(:,i,t)'*r0(:,t)/Finf(i,t)*Z(i,:)';
elseif Fstar(i,t) > crit % step needed whe Finf == 0
r0(:,t) = Z(i,:)'/Fstar(i,t)*v(i,t)+Li(:,:,i,t)'*r0(:,t);
r0(:,t) = Z(i,:)'/Fstar(i,t)*v(i,t)+r0(:,t)-(Kstar(:,i,t)'*r0(:,t))/Fstar(i,t)*Z(i,:)';
end
end
alphahat(:,t) = a1(:,t) + Pstar1(:,:,t)*r0(:,t) + Pinf1(:,:,t)*r1(:,t);
@ -289,6 +290,8 @@ if d
end
end
disp('smoother done');
if nargout > 7
decomp = zeros(nk,mm,rr,smpl+nk);
ZRQinv = inv(Z*QQ*Z');
@ -297,7 +300,7 @@ if nargout > 7
di = flipud(data_index{t})';
for i = di
if Fi(i,t) > crit
ri_d = Z(i,:)'/Fi(i,t)*v(i,t)+Li(:,:,i,t)'*ri_d;
ri_d = Z(i,:)'/Fi(i,t)*v(i,t)+ri_d-Ki(:,i,t)'*ri_d/Fi(i,t)*Z(i,:)';
end
end
@ -305,11 +308,11 @@ if nargout > 7
eta_tm1t = QRt*ri_d;
% calculate decomposition
Ttok = eye(mm,mm);
AAA = P1(:,:,t)*Z'*ZRQinv*Z*R;
for h = 1:nk
BBB = Ttok*AAA;
for j=1:rr
eta=zeros(rr,1);
eta(j) = eta_tm1t(j);
decomp(h,:,j,t+h) = Ttok*P1(:,:,t)*Z'*ZRQinv*Z*R*eta;
decomp(h,:,j,t+h) = eta_tm1t(j)*BBB(:,j);
end
Ttok = T*Ttok;
end