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New oct-file for "ordschur": the diffuse filter now works under Octave

time-shift
Sébastien Villemot 2010-10-21 15:43:13 +02:00
parent 2f9a6ff9f4
commit 81823ad035
8 changed files with 132 additions and 41 deletions
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6
matlab/dynare_config.m
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@ -71,12 +71,6 @@ if exist('OCTAVE_VERSION') && octave_ver_less_than('3.2.0')
addpath([dynareroot '/missing/bicgstab'])
end
% orschur() is missing in Octave; we don't have a real replacement;
% the one we provide just exits with an error message
if exist('OCTAVE_VERSION')
addpath([dynareroot '/missing/ordschur'])
end
% bsxfun is missing in old versions of matlab (octave?)
if ~exist('OCTAVE_VERSION') && matlab_ver_less_than('7.4')
addpath([dynareroot '/missing/bsxfun'])

20
matlab/missing/ordschur/ordschur.m
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@ -1,20 +0,0 @@
## Copyright (C) 2009 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 <http://www.gnu.org/licenses/>.
function [US,TS] = ordschur(U,T,SELECT)
error("The ordschur() function is missing under Octave. For this reason, Dynare can't estimate models with unit roots with Octave.")
endfunction

2
mex/build/octave/Makefile.am
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@ -2,7 +2,7 @@ ACLOCAL_AMFLAGS = -I ../../../m4
# libdynare++ must come before gensylv, k_order_perturbation, dynare_simul_
if DO_SOMETHING
SUBDIRS = mjdgges kronecker bytecode libdynare++ gensylv k_order_perturbation dynare_simul_ logposterior qzcomplex
SUBDIRS = mjdgges kronecker bytecode libdynare++ gensylv k_order_perturbation dynare_simul_ logposterior qzcomplex ordschur
if HAVE_GSL
SUBDIRS += swz
endif

3
mex/build/octave/configure.ac
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@ -102,6 +102,7 @@ AC_CONFIG_FILES([Makefile
dynare_simul_/Makefile
swz/Makefile
logposterior/Makefile
qzcomplex/Makefile])
qzcomplex/Makefile
ordschur/Makefile])
AC_OUTPUT

8
mex/build/octave/ordschur/Makefile.am Normal file
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@ -0,0 +1,8 @@
EXEEXT = .oct
include ../mex.am
vpath %.cc $(top_srcdir)/../../sources/ordschur
noinst_PROGRAMS = ordschur
nodist_ordschur_SOURCES = ordschur.cc

3
mex/sources/Makefile.am
View File

@ -8,7 +8,8 @@ EXTRA_DIST = \
kronecker \
bytecode \
qzcomplex \
k_order_perturbation
k_order_perturbation \
ordschur
clean-local:
rm -rf `find mex/sources -name *.o`

107
mex/sources/ordschur/ordschur.cc Normal file
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@ -0,0 +1,107 @@
/*
* Oct-file for bringing MATLAB's ordschur function to Octave.
* Simple wrapper around LAPACK's dtrsen.
* Only supports real (double precision) decomposition.
* Only selection of eigenvalues with a boolean vector is supported.
*
* Written by Sebastien Villemot <sebastien.villemot@ens.fr>.
*/
/*
* Copyright (C) 2010 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 <http://www.gnu.org/licenses/>.
*/
#include <octave/oct.h>
#include <octave/f77-fcn.h>
extern "C"
{
F77_RET_T
F77_FUNC(dtrsen, DTRSEN) (F77_CONST_CHAR_ARG_DECL, F77_CONST_CHAR_ARG_DECL,
const octave_idx_type *, const octave_idx_type &,
double *, const octave_idx_type &, double *, const octave_idx_type &,
double *, double *, octave_idx_type &, double &, double &, double *,
const octave_idx_type &, octave_idx_type *,
const octave_idx_type &, octave_idx_type &);
}
DEFUN_DLD (ordschur, args, nargout, "-*- texinfo -*-\n\
@deftypefn {Loadable Function} [ @var{us}, @var{ts} ] = ordschur (@var{u}, @var{t}, @var{select})\n\
\n\
Reorders the real Schur factorization @math{X = U*T*U'} so that selected\n\
eigenvalues appear in the upper left diagonal blocks of the quasi triangular\n\
Schur matrix @math{T}. The logical vector @var{select} specifies the selected\n\
eigenvalues as they appear along @math{T}'s diagonal.\n\
@end deftypefn\n\
")
{
int nargin = args.length();
octave_value_list retval;
if (nargin != 3 || nargout != 2)
{
print_usage();
return retval;
}
Matrix U = args(0).matrix_value();
Matrix T = args(1).matrix_value();
boolNDArray S = args(2).bool_array_value();
if (error_state)
return retval;
dim_vector dimU = U.dims();
dim_vector dimT = T.dims();
octave_idx_type n = dimU(0);
if (n != dimU(1) || n != dimT(0) || n != dimT(1))
{
error("ordschur: input matrices must be square and of same size");
return retval;
}
if (S.nelem() != n)
{
error("ordschur: selection vector has wrong size");
return retval;
}
octave_idx_type lwork = n, liwork = n;
OCTAVE_LOCAL_BUFFER(double, wr, n);
OCTAVE_LOCAL_BUFFER(double, wi, n);
OCTAVE_LOCAL_BUFFER(double, work, lwork);
OCTAVE_LOCAL_BUFFER(octave_idx_type, iwork, liwork);
octave_idx_type m, info;
double cond1, cond2;
OCTAVE_LOCAL_BUFFER(octave_idx_type, S2, n);
for (int i = 0; i < n; i++)
S2[i] = S(i);
F77_XFCN (dtrsen, dtrsen, (F77_CONST_CHAR_ARG("N"), F77_CONST_CHAR_ARG("V"),
S2, n, T.fortran_vec(), n, U.fortran_vec(), n,
wr, wi, m, cond1, cond2, work, lwork,
iwork, liwork, info));
if (info != 0)
{
error("qzcomplex: zgges failed");
return retval;
}
retval(0) = octave_value(U);
retval(1) = octave_value(T);
return retval;
}

24
tests/Makefile.am
View File

@ -1,6 +1,6 @@
DYNARE_ROOT = $(abs_top_srcdir)/matlab
# Under Octave we only test a subset of MOD files, because of missing features (models with unit roots, reading Excel files)
# Under Octave we only test a subset of MOD files, because of missing features
OCTAVE_MODS = \
ramst.mod \
ramst_a.mod \
@ -41,9 +41,14 @@ OCTAVE_MODS = \
partial_information/PItest3aHc0PCLsimModPiYrVarobsCNR.mod \
arima/mod1.mod \
arima/mod1a.mod \
arima/mod1b.mod \
arima/mod1c.mod \
arima/mod2.mod \
arima/mod2a.mod \
arima/mod2b.mod \
arima/mod2c.mod \
fs2000/fs2000.mod \
fs2000/fs2000a.mod \
fs2000/fs2000c.mod \
homotopy/homotopy1_test.mod \
homotopy/homotopy2_test.mod \
@ -54,6 +59,12 @@ OCTAVE_MODS = \
AIM/fs2000x10L9_L_AIM.mod \
AIM/fs2000x10_L9_L.mod \
AIM/fs2000x10_L9_L_AIM.mod \
AIM/fs2000_b1L1L.mod \
AIM/fs2000_b1L1L_AIM.mod \
AIM/ls2003_2L0L.mod \
AIM/ls2003_2L0L_AIM.mod \
AIM/ls2003_2L2L.mod \
AIM/ls2003_2L2L_AIM.mod \
conditional_variance_decomposition/example1.mod \
dsge-var/simul_hybrid.mod \
dsge-var/dsgevar_forward_calibrated_lambda.mod \
@ -66,17 +77,6 @@ OCTAVE_MODS = \
external_function/example1_no_deriv_functions_provided_dll.mod
MODS = $(OCTAVE_MODS) \
arima/mod1b.mod \
arima/mod1c.mod \
arima/mod2a.mod \
arima/mod2b.mod \
fs2000/fs2000a.mod \
AIM/fs2000_b1L1L.mod \
AIM/fs2000_b1L1L_AIM.mod \
AIM/ls2003_2L0L.mod \
AIM/ls2003_2L0L_AIM.mod \
AIM/ls2003_2L2L.mod \
AIM/ls2003_2L2L_AIM.mod \
block_bytecode/fs2000_gmres.mod \
block_bytecode/ramst_a.mod