73e4ced39a
Remove more unused Dynare++ code
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In particular, the libkorder library no longer depends on MatIO.
2023-04-17 18:10:36 +02:00
99cd06c9fd
Move relevant Dynare++ files to mex/sources/libkorder/. Delete the others.
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Also move some useful documentation to doc/.
2023-04-17 18:10:35 +02:00
8f1a4cb363
Drop block-decomposed first-order perturbation solution and kalman filter
2023-01-13 16:57:49 +01:00
a245fbb390
Implements a Fortran update of the states variance-covariance matrix for the Kalman filter
2022-11-14 16:24:46 +00:00
855887b249
Implements a logarithmic reduction Fortran routine and the associated test
2022-10-11 12:11:06 +02:00
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
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
ae5be8d717
Build system: add provisions for k_order_mean MEX under Octave
2021-12-16 10:42:37 +01:00
06fd42c19b
Drop the dynare_simul_ MEX in favour of the new Fortran k_order_simul MEX
2021-11-26 17:37:53 +01:00
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
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
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
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
43ed7b2b69
Merge remote-tracking branch 'community/master' into enterprise
2020-03-27 16:28:41 +01:00
996bdd6c64
New local_state_space_iteration_k MEX, for nonlinear filters at k-order
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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
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
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
9557061fa3
Add new num_procs MEX file for getting number of available processing units
2019-06-27 14:34:09 +02:00
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
c6f5c804d9
Gensylv MEX also needs MatIO (because Dynare++ code does)
2018-11-12 12:56:01 +01:00
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
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
fb6a11f544
move estimation-dll to its own repository: https://github.com/DynareTeam/estimation-dll.git
2017-09-22 15:31:23 +02:00
d0628af1f2
No longer compile ordschur.oct for Octave >= 4.0.
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The function is now an Octave builtin.
2015-03-17 17:53:11 +01:00
8d2b79a224
make install, closes #576
2014-07-16 16:18:06 +02:00
66d48f5917
Compatibility fixes for Octave 3.8.
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- no longer use OCTAVE_QUIT in MEX files; this seems now only possible in
oct-files. (Ref #304 )
- do not build linsolve.oct on Octave >= 3.8, it is available natively.
- do not add strjoin.m to the patch on Octave >= 3.8, it is available natively.
- default_save_options has been renamed save_default_options.
2014-01-03 11:05:39 +01:00
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
c07ffd8705
Merge branch 'slicot'
2012-09-13 11:11:46 +02:00
0332309647
Remove embedded SLICOT, rely on external binary
2012-09-13 11:08:42 +02:00
5f861cb0d8
Use MatIO in Dynare++ instead of the home-made engine
2012-08-23 18:31:07 +02:00
2e65a9ab96
Provide a better implementation of linsolve for Octave
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Closes : #273
2012-08-06 18:26:16 +02:00
ff4285d6fb
matio is a requirement for ms-sbvar under Octave
2012-04-20 11:50:03 +02:00
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
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
a1ee7f1ee4
block_kalman_filter: add MEX to build system
2011-09-23 18:22:15 +02:00
75f5b88f86
SWZ: integrate ms-sbvar in build system
2011-02-22 15:16:51 +01:00
6674b5ffcf
SWZ: remove from swz from mex build system
2011-02-02 19:00:14 +01:00
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
e7843e349a
Modify configure script to show Kalman Steady State seperately from other mex files
2010-12-14 10:27:39 +01:00
e826fb8239
Build system: kalman_steady_state depends on libslicot and must be built after
2010-12-14 09:57:15 +01:00
41bda1eb07
Mac libslicot compilation optional (because a Fortran compiler is not standard on OS X)
2010-12-13 18:15:11 +01:00
965ea7280a
Build system: add detection and linking of MatIO library for Estimation DLL under Octave
2010-12-08 10:22:44 +01:00
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
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
48096db2ff
Build system: add logMHMCMC DLL
2010-10-28 10:17:58 +02:00
81823ad035
New oct-file for "ordschur": the diffuse filter now works under Octave
2010-10-21 15:43:13 +02:00
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
acf5451c1f
Build system: rename 'loglikelihood' to 'logposterior'
2010-07-09 12:48:08 +02:00
04905660b8
Added new loglikelihood DLL (does not yet contain prior computation, only the likelihood)
2010-06-11 19:18:16 +02:00
Sébastien Villemot
NormannR
Stéphane Adjemian (Odysseus)
Houtan Bastani
Sébastien Villemot
Stéphane Adjemian (Charybdis)
Houtan Bastani
Stéphane Adjemian (Charybdis)