NormannR
a245fbb390
Implements a Fortran update of the states variance-covariance matrix for the Kalman filter
2022-11-14 16:24:46 +00:00
NormannR
855887b249
Implements a logarithmic reduction Fortran routine and the associated test
2022-10-11 12:11:06 +02:00
Normann Rion
d17204cc84
Implements a cycle reduction Fortran routine and the associated test.
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The Fortran routine replaces the former Matlab code in matlab/cycle_reduction.m
2022-10-03 14:38:12 +02:00
NormannR
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
Sébastien Villemot
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
Sébastien Villemot
10698ba896
Fix building of source package
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Bug introduced in 06fd42c19b
.
2021-11-26 19:15:27 +01:00
NormannR
45aad05670
Implements a Fortran routine `k_order_moment` to compute the k-order unconditional moment of the vector of endogenous variables using simulation
2021-11-24 17:09:12 +01:00
Normann Rion
6475c52b3d
Implements k-order simulation routine in Fortran (Ref: #1802 )
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`k_order_simul` may replace `dynare_simul_` in the long run
2021-09-24 09:11:15 +02:00
NormannR
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
Normann Rion
3d27672c58
kth-order approximation of conditional welfare
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Partially addresses issue #1680 :
- unconditional welfare resorts to dynare++ simulation tools, which shall be updated very soon
TO DO:
- implement a function computing kth-order approximation of simulated moments of y
2021-06-15 15:04:31 +02:00
Stéphane Adjemian (Odysseus)
248ad18846
Merge remote-tracking branch 'Dynare/master' into enterprise
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Fixed conflicts in:
- .gitlab-ci.yml
- matlab/dynare_config.m
- matlab/dynare_solve.m
- matlab/initvalf.m
- matlab/perfect-foresight-models/make_ex_.m
- matlab/perfect-foresight-models/perfect_foresight_setup.m
- mex/build/matlab/Makefile.am
- mex/build/matlab/configure.ac
- mex/build/octave/Makefile.am
- mex/build/octave/configure.ac
- mex/sources/Makefile.am
- preprocessor
- tests/Makefile.am
2020-09-17 14:53:32 +02:00
Sébastien Villemot
f6c2471eef
New MEX for solving discrete Lyapunov equations with doubling algorithm
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This is a Fortran 2008 rewrite of disclyap_fast.m.
Closes : #1737
2020-07-30 16:34:35 +02:00
Sébastien Villemot
43ed7b2b69
Merge remote-tracking branch 'community/master' into enterprise
2020-03-27 16:28:41 +01:00
Sébastien Villemot
5f9b9db31e
Build system: add missing Fortran 2008 files to source tarball
2020-01-16 16:54:47 +01:00
Sébastien Villemot
6a26926892
Add new block_trust_region MEX
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This MEX solves nonlinear systems of equations using a trust region algorithm.
The problem is subdivided in smaller problems by doing a block
triangularisation of the Jacobian at the guess value, using the
Dulmage-Mendelsohn algorithm.
The interface of the MEX is simply:
[x, info] = block_trust_region(f, guess_value);
Where f is either a function handle or a string designating a function.
f must take one argument (the evaluation point), and return either one or two
arguments (the residuals and, optionally, the Jacobian).
On success, info=0; on failure, info=1.
2019-12-03 16:17:16 +01:00
Sébastien Villemot
9557061fa3
Add new num_procs MEX file for getting number of available processing units
2019-06-27 14:34:09 +02:00
Sébastien Villemot
5b591fac42
New perfect_foresight_problem MEX file
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It constructs the stacked residuals and jacobian of the perfect foresight
problem.
It is an almost perfect replacement for the perfect_foresight_problem.m
routine, while being much more efficient.
Note however that the DLL never return complex numbers (it instead puts NaNs at
the place where there would have been complex). This may create problems for
some MOD files; the algorithms will need to be adapted to use a more
line-search method.
2019-06-24 17:53:59 +02:00
Sébastien Villemot
2169341639
Move source code of gensylv and dynare_simul_ MEX to the same place as other MEX
2019-04-15 17:34:01 +02:00
Sébastien Villemot
02084ce310
Remove qzcomplex Oct-file
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It's actually not needed. The QZ complex decomposition can be obtained in
Octave on real matrices by casting them to the complex type.
2018-05-17 12:11:15 +02:00
Sébastien Villemot
e2c2f2d966
Remove fallbacks for ilu, linsolve and ordschur under Octave
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These functions are all included in Octave 4.2.
2018-05-16 10:48:44 +02:00
Houtan Bastani
fb6a11f544
move estimation-dll to its own repository: https://github.com/DynareTeam/estimation-dll.git
2017-09-22 15:31:23 +02:00
Sébastien Villemot
37592309fb
Distribute dynumfpack.h in tarball
2013-03-24 09:42:45 +01:00
Sébastien Villemot
0332309647
Remove embedded SLICOT, rely on external binary
2012-09-13 11:08:42 +02:00
Sébastien Villemot
2e65a9ab96
Provide a better implementation of linsolve for Octave
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Closes : #273
2012-08-06 18:26:16 +02:00
Sébastien Villemot
c49d33e6ba
Add local_state_space_iterations subdir to dist rule
2012-03-05 18:53:59 +01:00
Stéphane Adjemian (Charybdis)
4869fff243
Added new mex file for computing Quasi Monte-Carlo sequences (Sobol), texinfo headers and unitary tests are available in <DYNARE_PATH>/matlab/qmc_sequence.m.
2011-12-21 18:23:15 +01:00
Sébastien Villemot
a1ee7f1ee4
block_kalman_filter: add MEX to build system
2011-09-23 18:22:15 +02:00
Sébastien Villemot
eb0255d526
Build system: add MS-SBVAR to dist tarball
2011-02-22 16:51:23 +01:00
Sébastien Villemot
81342073c0
Build system: added kalman_steady_state DLL sources to dist file
2010-11-22 10:39:19 +01:00
Sébastien Villemot
b3ee886391
Build system: added libslicot to dist file
2010-11-19 09:22:00 +01:00
Sébastien Villemot
81823ad035
New oct-file for "ordschur": the diffuse filter now works under Octave
2010-10-21 15:43:13 +02:00
Sébastien Villemot
69fc0e320b
New oct-file "qzcomplex" for bringing the complex QZ decomposition to Octave. Fixes issues with partial information under Octave.
2010-10-21 12:33:18 +02:00
Sébastien Villemot
1a27ed9f38
OpenMP support:
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- removed build_matlab_multithread.m and isopenmp MEX file
- introduced a new option "--enable-openmp" in configure script
- when openmp support is compiled in, the default is still one thread; the user can set the number of threads with "set_dynare_threads(n)"
- closes #68
2010-09-27 15:56:19 +02:00
Sébastien Villemot
477652c6e9
Build system: removed obsolete build_matlab script
2010-09-27 15:51:32 +02:00
Sébastien Villemot
5a1caff861
Build system: fix for bug introduced in 5504811b1a
2010-09-27 14:18:39 +02:00
Sébastien Villemot
8fa10d61cc
Build system: fix the creation of tarball
2010-02-13 09:52:43 +01:00