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dynare_simul_ DLL: adapt for an arbitrary approximation order 

The last input argument is now a struct containing matrices g_0, g_1,…
Typically one can pass oo_.dr for this argument.

Ref #217
time-shift
Sébastien Villemot 2019-04-15 17:22:17 +02:00
parent 68aa1ace8f
commit b1ba53ce05
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GPG Key ID: 2CECE9350ECEBE4A
2 changed files with 13 additions and 25 deletions
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19
matlab/simult_.m
View File

@ -53,22 +53,9 @@ end
if options_.k_order_solver && ~options_.pruning % Call dynare++ routines. if options_.k_order_solver && ~options_.pruning % Call dynare++ routines.
ex_ = [zeros(M_.maximum_lag,M_.exo_nbr); ex_]; ex_ = [zeros(M_.maximum_lag,M_.exo_nbr); ex_];
switch options_.order [err, y_] = dynare_simul_(options_.order,M_.nstatic,M_.npred,M_.nboth,M_.nfwrd,exo_nbr, ...
case 1 y_(dr.order_var,1),ex_',M_.Sigma_e,options_.DynareRandomStreams.seed, ...
[err, y_] = dynare_simul_(1,M_.nstatic,M_.npred,M_.nboth,M_.nfwrd,exo_nbr, ... dr.ys(dr.order_var),dr);
y_(dr.order_var,1),ex_',M_.Sigma_e,options_.DynareRandomStreams.seed,dr.ys(dr.order_var),...
zeros(endo_nbr,1),dr.g_1);
case 2
[err, y_] = dynare_simul_(2,M_.nstatic,M_.npred,M_.nboth,M_.nfwrd,exo_nbr, ...
y_(dr.order_var,1),ex_',M_.Sigma_e,options_.DynareRandomStreams.seed,dr.ys(dr.order_var),dr.g_0, ...
dr.g_1,dr.g_2);
case 3
[err, y_] = dynare_simul_(3,M_.nstatic,M_.npred,M_.nboth,M_.nfwrd,exo_nbr, ...
y_(dr.order_var,1),ex_',M_.Sigma_e,options_.DynareRandomStreams.seed,dr.ys(dr.order_var),dr.g_0, ...
dr.g_1,dr.g_2,dr.g_3);
otherwise
error(['order = ' int2str(options_.order) ' isn''t supported'])
end
mexErrCheck('dynare_simul_', err); mexErrCheck('dynare_simul_', err);
y_(dr.order_var,:) = y_; y_(dr.order_var,:) = y_;
else else

19
mex/sources/dynare_simul_/dynare_simul_.cc
View File

@ -32,7 +32,7 @@
// vcov covariance matrix of shocks (nexog x nexog) // vcov covariance matrix of shocks (nexog x nexog)
// seed integer seed // seed integer seed
// ysteady full vector of decision rule's steady // ysteady full vector of decision rule's steady
// ... order+1 matrices of derivatives // dr structure containing matrices of derivatives (g_0, g_1,…)
// output: // output:
// res simulated results // res simulated results
@ -51,13 +51,10 @@ extern "C" {
mexFunction(int nlhs, mxArray *plhs[], mexFunction(int nlhs, mxArray *plhs[],
int nhrs, const mxArray *prhs[]) int nhrs, const mxArray *prhs[])
{ {
if (nhrs < 12 || nlhs != 2) if (nhrs != 12 || nlhs != 2)
DYN_MEX_FUNC_ERR_MSG_TXT("dynare_simul_ must have at least 12 input parameters and exactly 2 output arguments.\n"); DYN_MEX_FUNC_ERR_MSG_TXT("dynare_simul_ must have at exactly 12 input parameters and 2 output arguments.\n");
int order = static_cast<int>(mxGetScalar(prhs[0])); int order = static_cast<int>(mxGetScalar(prhs[0]));
if (nhrs != 12 + order)
DYN_MEX_FUNC_ERR_MSG_TXT("dynare_simul_ must have exactly 11+order input parameters.\n");
int nstat = static_cast<int>(mxGetScalar(prhs[1])); int nstat = static_cast<int>(mxGetScalar(prhs[1]));
int npred = static_cast<int>(mxGetScalar(prhs[2])); int npred = static_cast<int>(mxGetScalar(prhs[2]));
int nboth = static_cast<int>(mxGetScalar(prhs[3])); int nboth = static_cast<int>(mxGetScalar(prhs[3]));
@ -69,6 +66,7 @@ extern "C" {
const mxArray *const vcov = prhs[8]; const mxArray *const vcov = prhs[8];
int seed = static_cast<int>(mxGetScalar(prhs[9])); int seed = static_cast<int>(mxGetScalar(prhs[9]));
const mxArray *const ysteady = prhs[10]; const mxArray *const ysteady = prhs[10];
const mxArray *const dr = prhs[11];
const mwSize *const ystart_dim = mxGetDimensions(ystart); const mwSize *const ystart_dim = mxGetDimensions(ystart);
const mwSize *const shocks_dim = mxGetDimensions(shocks); const mwSize *const shocks_dim = mxGetDimensions(shocks);
const mwSize *const vcov_dim = mxGetDimensions(vcov); const mwSize *const vcov_dim = mxGetDimensions(vcov);
@ -102,7 +100,10 @@ extern "C" {
UTensorPolynomial pol(ny, npred+nboth+nexog); UTensorPolynomial pol(ny, npred+nboth+nexog);
for (int dim = 0; dim <= order; dim++) for (int dim = 0; dim <= order; dim++)
{ {
ConstTwoDMatrix gk(prhs[11+dim]); const mxArray *gk_m = mxGetField(dr, 0, ("g_" + std::to_string(dim)).c_str());
if (!gk_m)
DYN_MEX_FUNC_ERR_MSG_TXT(("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); FFSTensor ft(ny, npred+nboth+nexog, dim);
if (ft.ncols() != gk.ncols()) if (ft.ncols() != gk.ncols())
DYN_MEX_FUNC_ERR_MSG_TXT(("Wrong number of columns for folded tensor: got " + std::to_string(gk.ncols()) + " but i want " + std::to_string(ft.ncols()) + '\n').c_str()); DYN_MEX_FUNC_ERR_MSG_TXT(("Wrong number of columns for folded tensor: got " + std::to_string(gk.ncols()) + " but i want " + std::to_string(ft.ncols()) + '\n').c_str());
@ -127,11 +128,11 @@ extern "C" {
} }
catch (const KordException &e) catch (const KordException &e)
{ {
DYN_MEX_FUNC_ERR_MSG_TXT("Caugth Kord exception."); DYN_MEX_FUNC_ERR_MSG_TXT("Caught Kord exception.");
} }
catch (const TLException &e) catch (const TLException &e)
{ {
DYN_MEX_FUNC_ERR_MSG_TXT("Caugth TL exception."); DYN_MEX_FUNC_ERR_MSG_TXT("Caught TL exception.");
} }
catch (SylvException &e) catch (SylvException &e)
{ {