dynare

Commit Graph

Author	SHA1	Message	Date
Sébastien Villemot	c9eb6920c9	local_state_space_iteration_k MEX: fix bug in output 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
Stéphane Adjemian (Odysseus)	58da5e7120	Added timing for comparing the mex iterating on the nonlinear reduced form model. local_state_space_iteration_k is significantly slower than old local_state_space_iteration_2...	2019-12-20 11:31:56 +01:00
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

Author

SHA1

Message

Date

Sébastien Villemot

c9eb6920c9

local_state_space_iteration_k MEX: fix bug in output

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

Stéphane Adjemian (Odysseus)

58da5e7120

Added timing for comparing the mex iterating on the nonlinear reduced form model.

local_state_space_iteration_k is significantly slower than old local_state_space_iteration_2...

2019-12-20 11:31:56 +01:00

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

3 Commits (31f3bfa3d05af8b5e4fa97c96b1c70df2c387e2e)