stepan
/
dynare
1
0
Fork 0
Code Issues Pull Requests Packages Projects Releases Wiki Activity
2,640 Commits
56 Branches
0 Tags
117 MiB
Commit Graph

33 Commits (356fe7b248c808da195f037a52c0e9a66218822f)

Author SHA1 Message Date
george 91df747554 Minor updates 
git-svn-id: https://www.dynare.org/svn/dynare/trunk@3124 ac1d8469-bf42-47a9-8791-bf33cf982152
 2009-11-04 17:20:35 +00:00
george 3fb3430e91 New Matlab functions emulation routines: Assign by vector indices (a(k,l)=b(m,n)) , repmat, multiply elements (.*) 
git-svn-id: https://www.dynare.org/svn/dynare/trunk@3068 ac1d8469-bf42-47a9-8791-bf33cf982152
 2009-10-23 08:08:53 +00:00
george 0ed63ac01a New C++ disklyap_fast Lyapunov doublig solver based on previous work of J. Pearlman. 
git-svn-id: https://www.dynare.org/svn/dynare/trunk@2856 ac1d8469-bf42-47a9-8791-bf33cf982152
 2009-07-29 15:01:56 +00:00
george bee8aa8d5d minor adjustments to riccati/kalman P conversion tolerance and control 
git-svn-id: https://www.dynare.org/svn/dynare/trunk@2854 ac1d8469-bf42-47a9-8791-bf33cf982152
 2009-07-23 11:24:05 +00:00
george 486b0d333d More Linux compatible syntax adjustments 
git-svn-id: https://www.dynare.org/svn/dynare/trunk@2849 ac1d8469-bf42-47a9-8791-bf33cf982152
 2009-07-17 15:47:06 +00:00
george 426a6c2fcc More Linux compatible Makefiles and syntax adjustments 
git-svn-id: https://www.dynare.org/svn/dynare/trunk@2848 ac1d8469-bf42-47a9-8791-bf33cf982152
 2009-07-17 15:41:19 +00:00
george 20747649ea Linux Makefiles and some linux syntax adjustments 
git-svn-id: https://www.dynare.org/svn/dynare/trunk@2846 ac1d8469-bf42-47a9-8791-bf33cf982152
 2009-07-16 09:59:28 +00:00
george 056d5487da - Extending basic C++ KF with performance boosting algorithm for checking if P is steady within tolerance and performing reduced operations if so; 
- added new functions to GeneralMatrix::isDiff* to check if matrices are different within tolerance level
- adjusting test and dll drivers accordingly


git-svn-id: https://www.dynare.org/svn/dynare/trunk@2843 ac1d8469-bf42-47a9-8791-bf33cf982152
 2009-07-14 17:05:48 +00:00
george b7f96a4748 - adding overloaded multInvRight to PLUFact, 
- inlining log likelihood and 
- refactoring class constructors from kalman loop


git-svn-id: https://www.dynare.org/svn/dynare/trunk@2842 ac1d8469-bf42-47a9-8791-bf33cf982152
 2009-07-13 18:41:40 +00:00
george d448eb4e71 - adding assignment operator to PLUFact, 
- refactoring class constructors from kalman loop and
- tidying up multInvRight in GeneralMatrix


git-svn-id: https://www.dynare.org/svn/dynare/trunk@2831 ac1d8469-bf42-47a9-8791-bf33cf982152
 2009-07-10 11:38:57 +00:00
george 631c4f8794 Added multInvRight function and temporary matrix space for reducing constructor calls to GeneralMatrix 
git-svn-id: https://www.dynare.org/svn/dynare/trunk@2830 ac1d8469-bf42-47a9-8791-bf33cf982152
 2009-07-09 17:16:12 +00:00
george cbefd7ab41 Next stage refactoring of kalman.cpp to use dgemm and dgemv directly and bypass some of re-casting matrix constructors. 
git-svn-id: https://www.dynare.org/svn/dynare/trunk@2819 ac1d8469-bf42-47a9-8791-bf33cf982152
 2009-07-07 15:42:12 +00:00
george 80921e4042 Adding kalmanlib.def to avoid some spurious linking errors 
git-svn-id: https://www.dynare.org/svn/dynare/trunk@2809 ac1d8469-bf42-47a9-8791-bf33cf982152
 2009-07-03 12:51:30 +00:00
george 9277cb44ff Refactoring kalman.cpp to use dgemm more directly and bypass some of re-casting matrix constructors. 
git-svn-id: https://www.dynare.org/svn/dynare/trunk@2808 ac1d8469-bf42-47a9-8791-bf33cf982152
 2009-07-03 12:45:55 +00:00
george 84cb23d172 TPT' QTSQTt.f90 performance test standalone routines 
git-svn-id: https://www.dynare.org/svn/dynare/trunk@2799 ac1d8469-bf42-47a9-8791-bf33cf982152
 2009-06-30 19:48:40 +00:00
george 10994498ea Adding 2nd version of QTV - QTV_1.f90 and the associated test cpp file 
git-svn-id: https://www.dynare.org/svn/dynare/trunk@2784 ac1d8469-bf42-47a9-8791-bf33cf982152
 2009-06-24 15:36:55 +00:00
george 66c571d67a Update and new test routines for testing QT performance. The lapse execution time is measured as difference between the unix date after and before the run. For correct results, supply a tab-delimited file containing the transpose of the QT 
git-svn-id: https://www.dynare.org/svn/dynare/trunk@2782 ac1d8469-bf42-47a9-8791-bf33cf982152
 2009-06-24 12:50:08 +00:00
george 6a6d24e5b3 Updates to Kalman filter QT library standalone exe test 
git-svn-id: https://www.dynare.org/svn/dynare/trunk@2781 ac1d8469-bf42-47a9-8791-bf33cf982152
 2009-06-23 19:19:03 +00:00
george bc28cfc8c7 Updates to Kalman filter sylv library 
git-svn-id: https://www.dynare.org/svn/dynare/trunk@2780 ac1d8469-bf42-47a9-8791-bf33cf982152
 2009-06-23 19:09:07 +00:00
george b47b9f5ed7 Updates to Kalman filter library and dll and dll tests 
git-svn-id: https://www.dynare.org/svn/dynare/trunk@2779 ac1d8469-bf42-47a9-8791-bf33cf982152
 2009-06-23 19:06:08 +00:00
george 061207a88e Andrea Pagano's f90 QT library and associated C++ integration and test routines 
git-svn-id: https://www.dynare.org/svn/dynare/trunk@2778 ac1d8469-bf42-47a9-8791-bf33cf982152
 2009-06-23 18:41:16 +00:00
george 6687ebb992 Adding separate and modified sylv utilities needed by KF 
git-svn-id: https://www.dynare.org/svn/dynare/trunk@2763 ac1d8469-bf42-47a9-8791-bf33cf982152
 2009-06-11 16:13:38 +00:00
george 1245d60326 1st cut of KF refactoring and simplification 
git-svn-id: https://www.dynare.org/svn/dynare/trunk@2750 ac1d8469-bf42-47a9-8791-bf33cf982152
 2009-06-10 06:40:07 +00:00
george 4b9e7ca251 minor update to the test exe .cpp 
git-svn-id: https://www.dynare.org/svn/dynare/trunk@2732 ac1d8469-bf42-47a9-8791-bf33cf982152
 2009-06-07 19:49:54 +00:00
george 7bd6cb0f08 git-svn-id: https://www.dynare.org/svn/dynare/trunk@2731 ac1d8469-bf42-47a9-8791-bf33cf982152 2009-06-07 16:33:39 +00:00
george c0e2ee809c Adding inner loop for performance tests 
git-svn-id: https://www.dynare.org/svn/dynare/trunk@2716 ac1d8469-bf42-47a9-8791-bf33cf982152
 2009-06-01 16:57:52 +00:00
george 298aa37a6b Makefile for new Kalman_filters.DLL (combined of difuse and non-diffuse, univariate and the main one - the multivariate 
git-svn-id: https://www.dynare.org/svn/dynare/trunk@2714 ac1d8469-bf42-47a9-8791-bf33cf982152
 2009-05-28 17:07:00 +00:00
george 061cd9269d Adding new Kalman_filters.cpp for a KF DLL combined of difuse and non-diffuse, univariate and the main one - the multivariate and its .m driver. Also, (unfinished) base kalmn_filter.cpp renamed to kalman_filter_Z.cpp 
% NOTE: presampling>0 (start>1) does not yet work properly for the univariate mode!!


git-svn-id: https://www.dynare.org/svn/dynare/trunk@2713 ac1d8469-bf42-47a9-8791-bf33cf982152
 2009-05-28 17:00:08 +00:00
george 3b91eb8649 prepares matrices for C++ kalman_filter dll 
git-svn-id: https://www.dynare.org/svn/dynare/trunk@2703 ac1d8469-bf42-47a9-8791-bf33cf982152
 2009-05-27 15:50:26 +00:00
george 58819397e6 Updated prototype together with some comments merged 
git-svn-id: https://www.dynare.org/svn/dynare/trunk@2694 ac1d8469-bf42-47a9-8791-bf33cf982152
 2009-05-27 09:21:39 +00:00
george 2ff545e6c7 update makefiles 
git-svn-id: https://www.dynare.org/svn/dynare/trunk@2688 ac1d8469-bf42-47a9-8791-bf33cf982152
 2009-05-23 21:43:39 +00:00
george 7d0c11a05a update makefiles 
git-svn-id: https://www.dynare.org/svn/dynare/trunk@2687 ac1d8469-bf42-47a9-8791-bf33cf982152
 2009-05-23 21:42:39 +00:00
george b69eebfa5e Adding kalman filter files 
git-svn-id: https://www.dynare.org/svn/dynare/trunk@2686 ac1d8469-bf42-47a9-8791-bf33cf982152
 2009-05-23 21:36:49 +00:00