48380a1370
Do not assign variables to base workspace by default
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Related to https://git.dynare.org/Dynare/preprocessor/-/issues/95
2023-12-18 11:51:27 +01:00
776c247b9b
testsuite: use silent_optimizer option to not clutter meson log-file
2023-10-01 18:04:16 +02:00
710589eb5b
Adds pruning in k_order_simul
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See issue #1643 about beyond-third-order pruning
2023-07-20 06:58:35 +01:00
23dbb2b4b9
Fixes local_state_space_iteration_3 and adds a test comparing the various pruning routines used in dynare up to order 3.
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The considered pruning routines can be found in
- `simult_.m`
- `local_state_space_iteration_2` MEX
- `local_state_space_iteration_3` MEX
- `pruned_state_space_system.m`
2023-07-04 19:15:43 +02:00
1b12d9e44b
Fixes local_state_space_iteration_3_test: sets a default value for the number of threads local_state_space_iteration_3 may use
2022-09-27 11:03:36 +02:00
c6d5c48ff7
Local state-space iteration at order 3: multi-thread 3rd-order version with and without pruning
2022-08-30 14:06:19 +02:00
Stéphane Adjemian (Ryûk)
cd76bdff9e
Fix and update unit tests for local_state_space_iteration_2.
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Add mat file with git lfs.
2022-05-13 12:13:46 +02:00
39f47dc957
local_state_space_iteration_k MEX now uses the Fortran code (instead of the C++ code)
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Closes : #1802
2022-02-04 11:49:46 +01:00
5f828e241f
Parallelizes local_state_space_iteration_fortran
2022-01-31 18:44:48 +01:00
2ab919ebf1
Testsuite: use default number of particles when comparing performance of the various state space iteration MEX
2021-10-21 16:34:22 +02:00
e66a1a63f8
local_state_space_iteration_2 MEX: enable parallelization by default
2021-10-20 15:33:04 +02:00
fbba0bf2fc
Testsuite: fix display of relative timings of local_state_space_iteration_{k,fortran}
2021-10-20 15:32:26 +02:00
cab65dabb5
Implements `local_state_space_iteration_fortran`, the Fortran replacement of `local_state_space_iteration_k` (Ref #1802 )
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- Creates the library `libkordersim` with all the relevant Fortran routines to `folded_to_unfolded_dr` and `local_state_space_iteration_fortran`
- Implements `folded_to_unfolded_dr`, which converts folded decision rule matrices to their unfolded counterparts
2021-09-22 16:28:46 +02:00
80cad32068
Particle filter: enable passing of option values and prepare for other samplers
2021-07-21 23:00:32 +02:00
Stéphane Adjemian (Ryuk)
2a5ed79be5
Do not run MCMC after online filter (integration test)
2021-06-15 22:09:35 +02:00
c9eb6920c9
local_state_space_iteration_k MEX: fix bug in output
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In its output, the MEX was returning values for all endogenous variables, but
it was used in a context where only the variables from oo_.dr.restrict_var_list
were expected (as is done with local_state_space_iteration_2 MEX).
This commit fixes this discrepancy, and also fixes the test that was checking
that both MEX are returning the same output.
Closes : #1768
2021-03-10 13:45:29 +01:00
ec69174173
Improvements to particle tests
2021-01-22 21:19:07 +01:00
Stéphane Adjemian (Charybdis)
78a4bca383
Use nonlinear filter.
2021-01-16 17:43:30 +01:00
Stéphane Adjemian (Charybdis)
0f3dd003b7
Run mod files in tests/particle.
2021-01-16 17:42:17 +01:00
ad17b8ec33
Particle filtering: provide more informative error messages in typical problematic cases
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Also adds test cases
2021-01-15 22:11:20 +01:00
Stéphane Adjemian (Charybdis)
82f642fbca
Added missing case in integration tests for particle filters.
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There was not test for the conditional particle filter (CPF).
2020-01-27 22:57:41 +01:00
Stéphane Adjemian (Charybdis)
78c36dd0b7
Fixed data files for nonlinear filter's integration test.
2019-12-20 11:31:56 +01:00
Stéphane Adjemian (Charybdis)
53c9d9de69
Use steady_state_model in tests/particles/dsge_base2.mod.
2019-12-20 11:31:56 +01:00
Stéphane Adjemian (Odysseus)
58da5e7120
Added timing for comparing the mex iterating on the nonlinear reduced form model.
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local_state_space_iteration_k is significantly slower than old local_state_space_iteration_2...
2019-12-20 11:31:56 +01:00
996bdd6c64
New local_state_space_iteration_k MEX, for nonlinear filters at k-order
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It applies the approximated policy function to a set of particles, using
Dynare++ routines.
There is support for parallelization, using Dynare++ multithreading
model (itself based on C++11 threads; we don’t use OpenMP because it is
incompatible with MKL). For the time being, default to a single thread. This
should be later refined through empirical testing.
2019-12-20 11:31:56 +01:00
1c9e186d57
Updated tests for nonlinear filters.
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(cherry picked from commit e2cf2260dbd5cceeade11f0617ab33de2f8ee72b)
2018-06-01 12:13:54 +02:00
7be8f10e0e
Use cells of strings instead of char arrays.
2018-01-09 22:30:01 +01:00
c1434118bd
Added integration test for nonlinear filters with unit roots.
2017-04-03 11:25:05 +02:00
7df352a60b
correct the name of simulated dataset files.
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(cherry picked from commit e35beb605bafbd462ec7dc79f0d67f7455a93dbd)
2016-06-01 16:40:26 +02:00
88ebafc363
Fixes typos.
2015-05-28 14:37:48 +02:00
a97cc09962
Simplification of the mod file.
2015-05-28 11:54:55 +02:00
e4f3ff664c
Use macros and data command in tests/particle/dsge_base2.mod.
2015-05-27 18:09:03 +02:00
ccd4e40b49
Merge branch 'master' into rewrite-nonlinear-filters
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Conflicts:
.gitmodules
tests/particle/dsge_base2.mod
2015-05-27 12:18:33 +02:00
2a5728dd85
last modfile
2015-05-27 12:06:50 +02:00
b7d40cc714
add three datafiles corresponding to the usual calibration exercise in the literature.
2015-05-27 12:06:50 +02:00
503356c2e3
clean the dsge_base mod file.
2015-05-27 12:06:50 +02:00
7f067311df
use filter_algorithm option in particle tests
2015-02-09 03:21:25 +01:00
b06b6a6161
Modifications for online estimation of linearly-solved models
2014-08-29 15:51:01 +02:00
788833d874
Added options.
2014-08-29 15:38:18 +02:00
25fd2917f4
Fixed datafile (data_risky_perturb3 is not versioned).
2013-06-18 22:26:27 +02:00
8820c63f5e
Bug fixes.
2013-06-18 16:15:16 +02:00
2fc7aa7b94
Reduced the number of particles in particle/dsge_base2.mod.
2012-12-21 17:21:07 +01:00
bd01669fb9
Fixed crash with particle/dsge_base2.mod in the test suite.
2012-12-21 17:21:07 +01:00
a6576debd5
details all the options for testing particle filters.
2012-11-16 12:25:44 +01:00
59247ddcfa
Added test mod file in tests/particle (not to be used in the testsuite).
2012-11-09 14:32:44 +01:00
2c674ce529
Use resampling in tests/particle/dsge_base2.mod.
2012-11-07 15:59:37 +01:00
10cd5f200a
Changed options.
2012-03-09 16:36:43 +01:00
eaee103619
Added a test mod file (non linear filters, comparison with linear filters).
2012-03-08 16:56:02 +01:00
3d682766a0
Removed test files (non linear filters).
2012-03-08 15:58:14 +01:00
bf1e6a15a5
Changed options and initial condition for tau.
2012-03-08 15:54:20 +01:00
Johannes Pfeifer
Normann Rion
Stéphane Adjemian (Ryûk)
Sébastien Villemot
Frédéric Karamé
Stéphane Adjemian (Scylla)
Houtan Bastani