Sébastien Villemot
dbe288e3ca
Make sure "min" and "max" macros are never defined under Windows, this can create conflicts with "std::min" and "std::max"
2010-10-29 12:01:47 +02:00
Sébastien Villemot
48096db2ff
Build system: add logMHMCMC DLL
2010-10-28 10:17:58 +02:00
Sébastien Villemot
036867765b
logMHMCMCposterior: minor compatibility fix for Octave (the 3rd arg of mexPutVariable() is not marked "const" under Octave)
2010-10-28 10:17:38 +02:00
Sébastien Villemot
8d3d004105
logMHMCMCposterior: under Octave, do load/save MAT files, because the "mat.h" interface does not exist
2010-10-28 10:15:53 +02:00
George Perendia
f8815c8896
C++ Estimation DLL: Update to logMHMCMCposterior.cc mexFunction DLL driver: its call to close waitbar seems to cause crashes and it is for now left commented out and the waitbar neeeds to be closed manually or,
...
alternativelly, call dll with options_.console_mode=1
2010-10-26 18:31:32 +01:00
George Perendia
9123e4e70c
C++ Estimation DLL: Update of logMHMCMCposterior and auxiliary files: added progress bar and recovery from file and tied up few loose ends - still unstable !
2010-10-14 23:31:25 +01:00
Sébastien Villemot
dbbe177ed6
Estimation DLL: fix bug related to number of rows of matrix of endogenous (nb_row_x was incorrectly initialized in dynamic C file)
2010-10-05 16:30:21 +02:00
George Perendia
d7e8870c18
C++ Estimation DLL: Adding draft logMHMCMCposterior.cc mexFile driver for the modified RandomWalkMetropolisHastings.cc and other related files inc. draft test random_walk_metropolis_hastings_core.m
...
Still missing functionality: Sliding progress bar, seed change and loading old, incomplete (failed) run files
2010-10-04 13:58:25 +01:00
Houtan Bastani
1eaee02729
logposterior: remove instances of mexErrMsgTxt
2010-09-23 10:44:22 +02:00
Sébastien Villemot
fbbc21d577
Estimation DLL: make it compatible with changes introduced in 648c3cd177
+ code simplification
2010-09-20 19:25:31 +02:00
George Perendia
99a884e09c
C++ Estimation DLL: Adding 1st cut draft RandomWalkMetropolisHastings.cc and related untested files for review
2010-09-14 12:21:45 +01:00
George Perendia
73fb122e1e
Estimation C++ DLL: Enhancing KalmanFilter performance using symmetric matrix and vector BLAS routines calls added or enhanced in BlasBindings.hh and dynblas.h + some minor fixes to Matrix.hh and LogPriorDensity.cc
2010-09-03 11:17:50 +01:00
George Perendia
61da05b5e4
C++ Estimation DLL: KalmanFilter, dynlapack and LapackBindings with Cholesky decomp. based matrix inverter
2010-08-04 15:57:52 +01:00
George Perendia
1ac71f3d0c
Estimation C++ DLL: 4 fixes and some additional files used in testing: sweuromodel_dll.mod, data and DsgeLikelihood.m modified for testing under octave
2010-08-04 14:52:56 +01:00
Sébastien Villemot
9642683b7d
Build system: fix for building source tarball
2010-07-12 14:30:57 +02:00
Sébastien Villemot
acf5451c1f
Build system: rename 'loglikelihood' to 'logposterior'
2010-07-09 12:48:08 +02:00
George Perendia
50c1e0a8ec
C++ Estimation DLL: update of core files and logposterior.cc removed, keeping loglikelihood.cc
2010-07-08 09:56:19 +01:00
George Perendia
5c01144793
C++ Estimation DLL: update of testInitKalman.cc and testKalamn.cc
2010-07-08 09:56:18 +01:00
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
7410094588
Estimation DLL: various minor changes
2010-06-11 19:16:03 +02:00
Sébastien Villemot
e5d093c6ad
Estimation DLL: refactor detrending stuff to avoid allocating the matrix for detrended data at every iteration
2010-06-11 19:11:27 +02:00
Sébastien Villemot
85f855d759
Estimation DLL: fixed bug in EstimatedParametersDescription::getNumberOfPeriods()
2010-06-11 18:03:14 +02:00
Sébastien Villemot
32e41b7b01
Estimation DLL, LogLikelihoodMain: fixed bug (likelihood was not initialized to zero)
2010-06-11 16:51:08 +02:00
Sébastien Villemot
e1b274f2dc
Estimation DLL, ModelSolution class: make llxSteadyState a data member
2010-06-11 14:54:10 +02:00
Sébastien Villemot
1e41458826
Estimation DLL: bugfixes in LogLikelihoodMain
2010-06-10 19:13:20 +02:00
Sébastien Villemot
974e9ac0ad
Estimation DLL: remove 'const' qualifiers in order to be able to put these classes in std::vector (the STL want an assignment operator)
2010-06-10 19:13:20 +02:00
Sébastien Villemot
8a7ed1ec48
Estimation DLL, VDVEigDecomposition: remove useless test in destructor
2010-06-10 19:13:20 +02:00
Sébastien Villemot
2c0b3469be
Estimation DLL, Vector class: fixed bug in the copy constructor
2010-06-10 19:13:20 +02:00
Sébastien Villemot
110a33a0c8
Estimation DLL, QRDecomposition: fix memory leak
2010-06-10 19:13:20 +02:00
Sébastien Villemot
a1df331c58
Estimation DLL: fixed test for Prior PDF following the removal of "mode" in the Prior class
2010-06-10 19:13:20 +02:00
Sébastien Villemot
fe61608ede
Estimation DLL: bugfix in LogLikelihoodMain
2010-06-09 11:42:23 +02:00
Sébastien Villemot
bedc69beb8
Estimation DLL: pass the name of the dynamic MEX file through the whole hierarchy of constructors (instead of the basename of the MOD file)
2010-06-09 11:42:22 +02:00
Sébastien Villemot
35ad5b1aba
Estimation DLL: removed useless "mode" information in Prior class
2010-06-09 11:42:22 +02:00
Sébastien Villemot
90e9506d93
Estimation DLL: added test MOD file
2010-06-09 11:39:03 +02:00
Sébastien Villemot
ab0d4a143e
Build system: added new test for C++ prior classes
2010-06-09 11:37:42 +02:00
George Perendia
69abb07f05
C++ Estimation DLL: Adding basic Uniform and Gaussian random number generators to Priors.hh and a basic test routine
2010-06-08 16:38:49 +01:00
George Perendia
4f98b560ad
Estimation C++DLL: First draft for LogPosteriorDensity, LogPriorDensity and associated changes: random number generation still missing
2010-06-02 13:38:27 +01:00
George Perendia
508422307e
Estimation C++DLL: adding Standard dev. to Prior.cc & .hh
2010-05-25 17:53:58 +01:00
Sébastien Villemot
399d66d81c
Estimation DLL, generalized Schur decomposition: fix bug with complex part of infinite generalized eigenvalue (was NaN instead of zero)
2010-05-14 19:26:52 +02:00
Sébastien Villemot
6f11442c7b
Estimation DLL: fix to testModelSolution
2010-05-07 18:18:24 +02:00
George Perendia
775a1f6471
Estimation DLL: updating test function
2010-05-07 17:09:51 +01:00
George Perendia
1c5c7f3fbf
Estimation DLL: adding LapackBindings.hh
2010-05-07 17:00:56 +01:00
Sébastien Villemot
b903776e0c
Estimation DLL: fixed type errors in VDVEigDecomposition class
2010-05-07 17:17:30 +02:00
Sébastien Villemot
3688a6ef5a
Estimation DLL: bugfix in constructors for vector views
2010-05-07 17:17:30 +02:00
George Perendia
55fc3feea4
Estimation: Update of main files
2010-05-07 16:08:58 +01:00
Sébastien Villemot
b101dbd483
Estimation DLL: give the possibility to construct Vector/Matrix views out of other views
2010-05-07 12:18:45 +02:00
Sébastien Villemot
3292ee68c2
Build system: updates for estimation DLL
2010-05-07 10:40:03 +02:00
Sébastien Villemot
ec5fd63063
Estimation DLL: removed obsolete file
2010-05-07 10:39:54 +02:00
Sébastien Villemot
e4f640f201
Estimation DLL: simplification of the handling of indices in T and R matrices
2010-05-06 18:57:15 +02:00
Sébastien Villemot
5aa17370e8
Estimation DLL: minor type fix
2010-05-06 16:45:50 +02:00
Sébastien Villemot
2b5a907bb0
Estimation DLL: optimization in Kalman filter
2010-05-06 16:30:13 +02:00
Sébastien Villemot
ba0503628e
Estimation DLL: no longer pass lead/lag incidence matrix as argument, this is redundant with the zeta indices
2010-05-06 15:32:11 +02:00
Sébastien Villemot
6bdfc2958b
Estimation DLL: removed obsolete files
2010-05-06 15:31:06 +02:00
George Perendia
31d9dd2481
estimation: extending LogLikelihoodSubSample.hh
2010-05-06 12:45:40 +01:00
George Perendia
c729b8984d
Estimation Adding more Headers
2010-05-06 12:37:06 +01:00
George Perendia
1819272d51
Estimation: Fix to VDVEigDecomposition.hh
2010-05-05 18:01:59 +01:00
George Perendia
ba31b9bcbf
Estimation libmat VDV Eigen decomposition class
2010-05-05 16:47:47 +01:00
Sébastien Villemot
208210c6fd
Merge remote branch 'george/master'
2010-04-23 18:31:38 +02:00
George Perendia
43b2aae64e
C++ Estimation Minor changes to KalmanFilter initialisation and testing routines to improve handling structural changes parameters and test accuracy
2010-04-23 15:28:42 +01:00
Sébastien Villemot
18c36c3dd5
Merge remote branch 'george/master'
2010-04-16 18:34:57 +02:00
George Perendia
e9846ae65f
C++ Estimaion: Minor change KalmanFilter.* to use gain matrix KFinv for conversion check and cosmetic changes to ModelSolution.cc, testInitKalman.cc and testkalman.cc
2010-04-16 17:00:51 +01:00
Sébastien Villemot
0281c5138a
Build system: added new testKalman for Estimation DLL
2010-04-13 18:41:15 +02:00
George Perendia
a489c8810d
C++ Estimation: Adding test and fixing a bug for KalmanFilter.cc and making some cosmetic changes to InitializeKalmanFilter.cc and ModelSolution.cc
2010-04-13 12:38:13 +01:00
George Perendia
f0fc974b9e
!st draft Kalman Filter main, auxiliary an test routines for C++ estimation
2010-04-01 13:36:58 +01:00
George Perendia
127e5ca05a
Minor data initiation bug fix in testInitKalman.cc
2010-03-16 16:54:28 +00:00
Sébastien Villemot
b1e90e59af
Estimation DLL: added testInitKalman to the build system, and modify it to accept the dynamic DLL as argument
2010-03-16 15:57:10 +01:00
Sébastien Villemot
d93a5af70b
Estimation DLL, DynamicDLL class: removed dependency on MEX header, unnecessary and makes the compilation of test files more complicated
2010-03-16 15:55:37 +01:00
Sébastien Villemot
35377ff303
Estimation DLL, InitializeKalmanFilter: removed unknown header
2010-03-16 15:55:08 +01:00
George Perendia
f62dce714e
Minor modification of types
2010-03-16 13:52:00 +00:00
George Perendia
c738941044
Merge branch 'master' of ssh://kirikou.dynare.org/srv/d_kirikou/git/dynare
2010-03-16 13:27:29 +00:00
George Perendia
881b1168fe
Adding InitializeKalmanFilter.cc/hh, its supporting files: DetrendData.cc/hh (a basic one), libmat/DiscLyapFast.cc, a test driver routine and a minor amendment to ModelSolution.hh.
2010-03-16 13:26:05 +00:00
Sébastien Villemot
fd3c35937b
Estimation DLL, dynamic DLL loading: minor changes to testModelSolution (now takes the full name of the dynamic DLL in argument)
2010-03-16 10:27:58 +01:00
Sébastien Villemot
3c8bfc5ef0
Estimation DLL, dynamic DLL loading: fixed memory leaks
2010-03-16 10:27:58 +01:00
George Perendia
882ea0ed75
Amending assertions in BlasBindings.hh
2010-03-15 12:12:43 +00:00
Sébastien Villemot
1bc6da864c
Estimation DLL, matrix library: adding test-repmat to build system
2010-03-08 13:50:02 +01:00
Sébastien Villemot
2aab5b47f2
Estimation DLL, matrix library: minor fixes for removing compiler warnings
2010-03-08 13:49:47 +01:00
George Perendia
a78ca35807
Adding test-repmat.cc - a test for new Matrix.hh repmat utilities
2010-03-08 12:39:25 +00:00
George Perendia
fa54eb55ca
Adding 8 new template functions to Matrix.hh mat namespace, few of which emulate Matlab repmat and assign / reorder by vector.
2010-03-08 12:22:23 +00:00
George Perendia
5d0e93adfe
Declare libmat destructors virtual
2010-03-08 10:09:45 +00:00
Sébastien Villemot
263725aa1f
Estimation DLL, ModelSolution class:
...
* fixed initialization of matrices
* removed useless ModelSolutionException, rather forward upwards the exception thrown below
* DynamicModelDLL is now a full member instead of a pointer
2010-02-22 15:58:44 +01:00
Sébastien Villemot
3cacb48c81
Estimation DLL, MEX utils: fix compilation issues
2010-02-22 15:56:00 +01:00
Sébastien Villemot
a17207fb56
Estimation DLL: fixed remaining EOL problems
2010-02-22 15:09:48 +01:00
George Peredia
f430e53e01
Fixing of the testModelSolution.cc
2010-02-22 13:26:47 +00:00
Sébastien Villemot
30d9feb146
Estimation DLL:
...
* finished test for DecisionRules
* added new test for LUSolver
* improved test for QRDecomposition
2010-02-19 18:42:02 +01:00
Sébastien Villemot
dcf10eba56
Estimation DLL: added decision rules w.r. to exogenous shocks
2010-02-19 18:41:12 +01:00
Sébastien Villemot
5ee45cfb60
Estimation DLL: fixed decision rules with respect to state variables (ghx)
2010-02-19 18:00:34 +01:00
Sébastien Villemot
547a912d5e
Estimation DLL, matrix library:
...
* fixed various bugs
* added utility for computing the infinite norm
* changed the direction of mat::transpose(A, B) for consistency with GSL
2010-02-19 17:04:45 +01:00
Sébastien Villemot
0ef2f8c4bd
Estimation DLL: optimization of DecisionRules
2010-02-19 14:24:29 +01:00
Sébastien Villemot
229d0e1ea4
Merge remote branch 'george/master'
2010-02-18 19:19:14 +01:00
Sébastien Villemot
a78bdab6d3
Estimation DLL: test file for DecisionRules based on example1.mod (only checks the eigenvalues for the moment)
2010-02-18 19:18:25 +01:00
Sébastien Villemot
1280000ee4
Estimation DLL: fixed various bugs in DecisionRules
2010-02-18 19:17:55 +01:00
Sébastien Villemot
cd9f9ff1b9
Estimation DLL, matrix library: fixed bug in mat::row_copy()
2010-02-18 19:11:09 +01:00
unknown
9a77efe440
Amend Estimation C++ ModelSolution, some utils (new Matrix version of dynamic_dll) and a test routine
2010-02-18 17:45:28 +00:00
Sébastien Villemot
07091a6b63
Estimation DLL, matrix library: removed useless end-of-lines
2010-02-18 18:11:21 +01:00
Sébastien Villemot
9ac6553776
Estimation DLL, matrix library: fixed bug in MatrixView::setAll()
2010-02-18 18:10:59 +01:00
Sébastien Villemot
4f7ef5f49d
Estimation DLL, matrix library: added utility for computing A=B'
2010-02-18 18:10:45 +01:00
Sébastien Villemot
b737535955
Estimation DLL, matrix library: fixed problem in QRDecomposition (two workspaces are needed of different sizes) by imposing in the constructor the size of the matrix to be left-multiplied by Q
2010-02-18 18:10:16 +01:00
Sébastien Villemot
30ee44f8b4
Estimation DLL, matrix library: fixed bug in mat::negate(),;mat::add(), mat::sub()
2010-02-18 18:09:04 +01:00
Sébastien Villemot
daf97deb04
Estimation DLL, matrix library: fixed incorrect assertion in col_copy()
2010-02-17 12:22:02 +01:00
Sébastien Villemot
440db94603
Estimation DLL, DecisionRules: fixed incorrect matrix dimensions
2010-02-17 12:21:39 +01:00