a51db32145
Copy the generated time series in a dseries object (called Simulated_time_series) in the Base workspace (extended_path).
2013-12-11 10:01:22 +01:00
1b57cb4a07
Copy the generated time series in Base workspace (extended_path).
2013-12-09 11:08:08 +01:00
cc0d9b42f0
Changed name of options_.maxit as options_.simul.maxit.
2013-10-09 13:06:06 +02:00
61485ab809
Fix copyright notices
2013-06-12 17:04:46 +02:00
ebf93d672f
stochastic extended path: additional changes
2013-03-12 09:36:58 +01:00
dd75baa9b4
stochastic extended path: new algorithm with leaner tree, new hybrid
...
option using second order perturbation correction,
solve_stochastic_perfect_foresight_model.m moves to matlab/ep directory
2013-03-11 16:09:08 +01:00
f42446033c
Compute tensorial grid (based on a univariate gauss hermite quadrature) for future shocks by default.
2012-11-29 12:56:01 +01:00
5c0d387c4f
Cosmetic change. Changed the organization of options for (stochastic) extended path
2012-11-29 12:56:01 +01:00
63157949ca
Removed useless routine.
2012-11-29 12:56:00 +01:00
e9c552c436
Initialize pfm structure in a new routine (setup_stochastic_perfect_foresight_model_solver).
2012-11-29 12:56:00 +01:00
1f9cea669a
Update copyright notices
2012-06-08 18:22:34 +02:00
08b9d1c8b3
fix function name
2012-06-08 16:25:22 +02:00
75675d3677
Code simplification, do not pass endo_simul and exo_simul to bytecode through the global structure oo_.
2012-03-12 10:34:28 +01:00
d995234003
Fixed bugs.
2012-03-08 12:49:17 +01:00
d64817437e
now extended_path with order = 0 calls solve_perfect_foresight_model()
...
and order ~= 0 solve_stochastic_perfect_foresight_model().
checking only first period of simulation for convergence when checking horizon
2012-03-05 12:35:55 +01:00
859335b34f
Fixed bug in extended path routine (appearing when some innovations have zero variance).
2012-03-04 22:12:58 +01:00
192b5c7113
Fixed bugs in routines related to the extended path algorithm.
2012-03-04 22:09:18 +01:00
bad8746e77
corrected bugs in extended path. The code works now with
...
./tests/ep/linear.mod
2012-03-04 20:59:57 +01:00
3564eca525
new version of solve_stochastic_perfect_foresight_model; doesn't work yet
2012-02-11 14:59:51 +01:00
6c9eeec7e5
Removed codes related to stochastic extended path.
2012-02-10 19:05:50 +01:00
44b03e5f19
modifying extended-path for parallel toolbox
2012-02-07 16:31:57 +01:00
9dfc0d5c08
Added calls to matlab implementation of the perfect foresight solver in homotopic routine (extended path approach).
2012-02-04 18:52:03 +01:00
704b0c9659
Added an option specifying if the bytecode solver has to be used first.
2012-02-04 16:26:22 +01:00
8a35ee7363
Added an option to skip the test on the number of periods over which the perfect foresight models are solved.
2012-02-04 16:19:15 +01:00
43f46f2886
Removed stability test over the last periods of the perfect foresight solution.
2012-02-03 14:06:35 +01:00
7978070814
Fixed bug.
2012-02-03 12:52:37 +01:00
fed2e229e5
Try first Ferhat's code and if it fails try the matlab's implementation of the the perfect foresight model solver.
2012-02-03 12:39:48 +01:00
ac54f7f528
Added comments and the possibility to use a matlab implementation of the perfect foresight model solver.
2012-02-03 11:25:03 +01:00
6328a44f33
Streamlined extended paths routines.
...
* Removed the necessity (for the user) to run stoch_simul bebore
executing the exetended path routine (when options_.init>0).
* The value of options_.ep.init defines the mix (used for the
initialization of the perfect foresight solver) between the previous
perfect foresight solution and the path obtained with an order one
perturbation approach.
* Removed timing related statements.
* Changed homotopy set-up for stochastic extended path: add future
multivariate innovations one by one.
* Endogeneously increase step_length in the homotopy routine.
* Removed homotopy_2 related code.
2012-01-27 18:27:42 +01:00
5e87dfcd0f
Prevent homotopy routine to enter in the second loop (doi not (re)start the homotopy from weight=0).
2012-01-23 13:59:25 +01:00
9abb2e9ff8
Adapted homotopy routine to SEP.
2012-01-23 13:57:30 +01:00
02d6987685
Fixed bug in EP algorithm.
2012-01-23 13:56:46 +01:00
62b1ed7923
correcting bug in extended path and added a test
2012-01-21 17:50:11 +01:00
692708859e
Fixed bug.
2012-01-21 14:40:27 +01:00
f63ce01859
Put debug and memory modes in options_.ep.
2012-01-21 14:13:31 +01:00
651c5e7fba
Fixed bug (wrong index variable).
2012-01-21 14:12:05 +01:00
0d8371c299
Added an option to track the expectation in the (S)EP approach.
2012-01-20 18:43:34 +01:00
58f4feb6ad
Cosmetic change + Added scramble mode (possibility to add noise in the future).
2012-01-20 16:40:17 +01:00
1ba89be300
Undo last commit#3dc015592c9da527f7d2ad218bc53422ac7edc83.
2012-01-11 17:10:24 +01:00
3dc015592c
Cosmetic change. Removed useless input argument to dyn_waitbar.
2012-01-11 16:08:24 +01:00
f074679f14
Code factorization. Use dyn_waitbar in extended_path routine.
2012-01-11 16:01:24 +01:00
29cf9c4113
Removed the display of the first lines of oo_.exo_simul (extended path simulations).
2011-12-26 17:46:48 +01:00
3e84e333b4
Changed verbosity options (fast deterministic simulations). Default is options_.verbosity==1.
2011-12-26 17:46:48 +01:00
ecfc5bbbc9
Removed nonsensic options (for the evaluation of the expectations).
2011-12-26 11:53:08 +01:00
e2f69ab4fc
Added arbitrary order of approximation for the Stochastic Extended Path approach.
...
Default is that we only consider shocks in t+1 to approximate the expectations. If
options_.ep.stochastic.order is set to s>1, shocks in t+1, t+2, ..., t+s are
considered. Obviously the (tensorial) tree of future shocks is growing
exponentially.
Other numerical rules of integration have to be added...
2011-12-23 17:57:41 +01:00
744f3fd41b
Added Stochastic Extended Path method (SEP).
2011-12-19 18:04:54 +01:00
857eb7438f
Added provisions for future shocks (using Gaussian quadratures).
2011-12-16 11:42:03 +01:00
8fa4bfc160
Cosmetic change.
2011-12-16 11:42:03 +01:00
230e787b27
Fixed bug. The seed has to be set before the sampling of the structural innovations.
2011-12-16 11:42:03 +01:00
95fb57b4e9
Added waitbar for EP simulations.
2011-12-12 14:20:14 +01:00
3ba5a645be
Make verbosity flag effective: do not print informations about perfect foresight solvers if options_.ep.verbosity=0.
2011-12-12 14:20:14 +01:00
a36cf30118
Make options_.dynatol specific to x/f by adding dynatol.x and dynatol.f. By default dynatol.x=dynatol.f= old default value of dynatol.
2011-12-12 14:20:14 +01:00
6d9983df0c
New version of the extended path routines.
2011-12-09 18:03:30 +01:00
3318542895
Removed old verison of extended path routine. Added new version in dynare/matlab/ep. Added field (ep) in option_ for the extended path routines.
2011-12-05 10:58:39 +01:00
Stéphane Adjemian (Scylla)
Sébastien Villemot
Michel Juillard
Sébastien Villemot
Houtan Bastani