Sébastien Villemot
996bdd6c64
New local_state_space_iteration_k MEX, for nonlinear filters at k-order
...
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
Sébastien Villemot
8065e9d439
Build system: by default, error out if some dependency is missing
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In particular, if either MATLAB or Octave is missing, one needs to pass either
--disable-matlab or --disable-octave.
Moreover, several new configure flags have been introduced for disabling some
components:
--disable-doc
--disable-dynare++
--disable-mex-dynare++
--disable-mex-ms-sbvar
--disable-mex-kalman-steady-state
2019-11-26 13:53:42 +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
c6f5c804d9
Gensylv MEX also needs MatIO (because Dynare++ code does)
2018-11-12 12:56:01 +01:00
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
Houtan Bastani
8d2b79a224
make install, closes #576
2014-07-16 16:18:06 +02:00
Sébastien Villemot
82930ee29a
Implementation of steady state computation in estim DLL, using the GSL
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Does not seem very robust (fails on fs2000), need to investigate why.
2013-03-06 16:58:22 +01:00
Sébastien Villemot
c07ffd8705
Merge branch 'slicot'
2012-09-13 11:11:46 +02:00
Sébastien Villemot
0332309647
Remove embedded SLICOT, rely on external binary
2012-09-13 11:08:42 +02:00
Sébastien Villemot
5f861cb0d8
Use MatIO in Dynare++ instead of the home-made engine
2012-08-23 18:31:07 +02:00
Stéphane Adjemian (Charybdis)
40329e3e29
Added routine to compute one step ahead state space iteration (mex and m). The state space
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equations are approximated at order two around the deterministic steady state.
2012-03-04 22:07:27 +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
Houtan Bastani
75f5b88f86
SWZ: integrate ms-sbvar in build system
2011-02-22 15:16:51 +01:00
Houtan Bastani
6674b5ffcf
SWZ: remove from swz from mex build system
2011-02-02 19:00:14 +01:00
Sébastien Villemot
80b5c23346
Build system for MEX files:
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- remove the dirty vpath hack
- factorize between the two estimation DLLs
- factorize within SWZ makefile
2011-01-25 17:13:00 -05:00
Houtan Bastani
e7843e349a
Modify configure script to show Kalman Steady State seperately from other mex files
2010-12-14 10:27:39 +01:00
Sébastien Villemot
e826fb8239
Build system: kalman_steady_state depends on libslicot and must be built after
2010-12-14 09:57:15 +01:00
Houtan Bastani
41bda1eb07
Mac libslicot compilation optional (because a Fortran compiler is not standard on OS X)
2010-12-13 18:15:11 +01:00
Stéphane Adjemian (Charybdis)
160922a189
Added mex file for computing the fixed point of the riccati equation in the kalman filter.
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The mex works with octave but not with matlab (lapack issue again ;-).
2010-11-19 14:39:54 +01:00
Stéphane Adjemian (Charybdis)
382ab96cde
Added the Slicot library (distributed under the GNU General Public Licence at www.slicot.org). This library provides routines
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for the design and analysis of control systems. Adapted the building system to handle fortran 77 source files.
2010-11-18 10:11:27 +01:00
Sébastien Villemot
7fd77a87dd
Added M2HTML to the build system
2010-11-08 13:08:15 +01:00
Sébastien Villemot
48096db2ff
Build system: add logMHMCMC DLL
2010-10-28 10:17:58 +02:00
Sébastien Villemot
acf5451c1f
Build system: rename 'loglikelihood' to 'logposterior'
2010-07-09 12:48:08 +02:00
Sébastien Villemot
04905660b8
Added new loglikelihood DLL (does not yet contain prior computation, only the likelihood)
2010-06-11 19:18:16 +02:00
Sébastien Villemot
9318856a4e
SWZ: finalize build system for MEX by adding a test for GSL
2010-06-01 15:33:45 +02:00
Houtan Bastani
28602be1e8
include in build system
2010-06-01 11:18:55 +02:00
sebastien
e5f31e4ed3
Build system:
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* added dynare_simul_ DLL
* factorized in a library object the Dynare++ code shared between gensylv, k_order_perturbation and dynare_simul_
git-svn-id: https://www.dynare.org/svn/dynare/trunk@3114 ac1d8469-bf42-47a9-8791-bf33cf982152
2009-11-02 12:04:07 +00:00
sebastien
9ab04f3323
Renamed kordepert to k_order_perturbation
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git-svn-id: https://www.dynare.org/svn/dynare/trunk@3070 ac1d8469-bf42-47a9-8791-bf33cf982152
2009-10-23 09:07:47 +00:00
sebastien
343e0b3c7d
Build system: refactored the build system for MEX files, using two sub-packages with their own configure scripts
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git-svn-id: https://www.dynare.org/svn/dynare/trunk@3019 ac1d8469-bf42-47a9-8791-bf33cf982152
2009-10-02 17:22:19 +00:00