Commit Graph

400 Commits (7dd2dd5e24a343fbeaf3522ea5e535c27d8b9f95)

Author SHA1 Message Date
Stéphane Adjemian (Hermes) 6d0dfc2d3f Do not use hard coded value for the finite interval replacing unbounded intervals in simpsa and simulated annealing algorithms. 2015-05-07 15:59:46 +02:00
Stéphane Adjemian de526eae57 Merge pull request #906 from JohannesPfeifer/table_display
Cosmetic fixes to the on-screen display of tables
2015-05-07 15:15:38 +02:00
Stéphane Adjemian efc5ec7002 Merge pull request #908 from JohannesPfeifer/optimizer_doc
Add documentation for new optimizers
2015-05-07 15:12:15 +02:00
Houtan Bastani 18e9521450 preprocessor: add dirname option to estimation. closes #910 2015-04-27 11:59:21 +02:00
Johannes Pfeifer 9408319e48 Cosmetic changes related to solvopt.m 2015-04-24 12:31:27 +02:00
Johannes Pfeifer 8285121f9b Allow selection of tolerance for display of decision rules 2015-04-22 15:37:35 +02:00
Stéphane Adjemian (Charybdis) 1970951d1f Merge branch 'johannes_fix_simulated_annealing_and_other_optimization_related_issues' 2015-04-16 22:31:07 +02:00
Marco Ratto fe48de4406 Re-set default of new option diffuse_kalman_tol to 1e-6:
former hardcoded value was 1e-6 in the univariate smoother (i.e. the one most often used).
Updated documentation.
2015-04-08 15:44:39 +02:00
Johannes Pfeifer a81c9da9a2 Add simulated_annealing.m to optimizers
Restores compatibility of mode_compute=102
2015-04-06 11:08:20 +02:00
Johannes Pfeifer 405b1f7368 Add solvopt.m to Dynare optimizers
Restores compatibility of mode_compute=101
2015-04-06 11:05:12 +02:00
Stéphane Adjemian (Charybdis) 090c4fedbd Added new option (diffuse_kalman_tol) and fixed tolerance paremeters in diffuse smoother routines. 2015-04-03 18:02:03 +02:00
Marco Ratto c881cfff17 Fixed issues related to newratflag.
This options relates to alternative numerical hessian computations:

optim=('Hessian',1) is the default dynare numeric Hessian
optim=('Hessian',0) is the outer product gradient
optim=('Hessian',2) is the 'mixed' outer product gradient, where diagonal elements using second order derivation formula,

Both 0 and 2 cases require univariate filters, to ensure using maximum number of individual densities.
2015-03-12 17:24:21 +01:00
Houtan Bastani 6db9f10353 preprocessor: remove use of tables completely as they were introduced in Matlab R2013b. #824 2015-03-09 17:59:05 +01:00
Houtan Bastani d77b5104d2 preprocessor: cell2table doesn’t exist in Octave 2015-03-09 17:16:59 +01:00
Houtan Bastani 30428aeb17 preprocessor: add joint prior syntax, #824 2015-03-03 15:08:33 +01:00
Johannes Pfeifer 0ef7524977 Use dynare_minimize_objective for OSR computations 2015-02-28 20:37:10 +01:00
Stéphane Adjemian (Charybdis) 0bb413e8fa Merge branch 'experimental-optimizers' 2015-02-24 20:44:39 +01:00
Stéphane Adjemian (Charybdis) 5ef340b8cf Rewrote gmhmaxlik routine (mode_compute==6). 2015-02-24 20:34:35 +01:00
Michel Juillard 21f009a531 Merge branch 'master' into new_ep 2015-02-14 11:54:57 +01:00
Houtan Bastani f72910ae33 fix preprocessor implimentation of filter_algorithm option to estimation. closes #843 2015-02-09 03:20:37 +01:00
Michel Juillard 9c6e219990 new implementation for extended path 2015-02-06 12:36:09 +01:00
Johannes Pfeifer dd6f8c182c Move call to optimizers in mode-computing to separate file to allow other function to access all integrated optimizers
- also moves several options to subfields of options structure
- allows setting options of newrat
- requires newrat to have compatible kalman_algo specified in order for it to not change options_
- explicitly disallows using analytical derivation with numerical gradient (before the numerical gradient request was overwritten)
- always outputs hessian returned by optimizer (empty matrix if not computed) and deletes subsequent overwriting if cova_compute=0
2014-12-04 19:36:12 +01:00
Johannes Pfeifer 268e8627f0 Add missing simple option to global_initialization.m 2014-11-25 09:54:41 +01:00
Marco Ratto 06572f26a4 Use the nodecomposition option which is available in th_autocovariances.m: for large models with the HP filter option, this may spare a lot of time, if only the unconditional moments are needed on output; 2014-11-14 17:28:17 +01:00
Johannes Pfeifer cc96d46911 Transfer hard-coded verbosity of simplex algorithm into an option 2014-11-10 19:54:44 +01:00
Johannes Pfeifer a9bb341b0a Increase default maxit for steady and deterministic simulations
Judging from forum reports, the default fails too often. Closes #747
2014-09-30 11:47:58 +02:00
Johannes Pfeifer 8655df67a9 Clean up use of verbosity option
- in dr_block.m and ep_residuals.m the option was hardcoded and disabled
- for csminwel1.m, no verbosity option exists anymore, thus definitions preceeding calls to it were redundant as was the options_.osr.verbose
2014-09-12 10:33:37 +02:00
Stéphane Adjemian (Scylla) 5500846280 Added option distribution_proposal (estimation, non linear filters). 2014-09-08 22:36:41 +02:00
Stéphane Adjemian (Scylla) 4c9be8a56a Removed useless option. 2014-09-08 22:36:41 +02:00
Stéphane Adjemian (Scylla) df19396acf Added option proposal_approximation (estimation, non linear filters). 2014-09-08 22:36:41 +02:00
Stéphane Adjemian (Scylla) 9bfdeb30e2 Bug fixes. 2014-09-08 22:36:41 +02:00
Stéphane Adjemian (Scylla) 5e4b7d8d42 Added filter_algorithm (estimation command, sets the particle filter algorithm). 2014-09-08 22:36:41 +02:00
Stéphane Adjemian (Scylla) bcad4f31f2 Added option resampling_method (estimation command, non linear filters). 2014-09-08 22:36:41 +02:00
Stéphane Adjemian (Scylla) 08c74b8f41 Added option resampling_threshold (estimation command, non linear filters). 2014-09-08 22:36:40 +02:00
Stéphane Adjemian (Scylla) a6009908e4 Added option resampling (estimation command, non linear filters). 2014-09-08 22:36:40 +02:00
Stéphane Adjemian (Scylla) f6a1df8549 Increased default number of particles. 2014-09-08 22:36:40 +02:00
Marco Ratto 62b4cfe631 Provisions for moment calibration.
Sensitivity analysis for irf and moment calibration, with new function /gsa/map_calibration.m
Added new tests/gsa/ls2003a.mod for testsuite of irf/moment calibration

To be done:
- extend SA of calibration to MC and posterior samples (currently uses prior sample only)
- documentaion
- partial progress to close #267
2014-09-04 16:44:14 +02:00
Stéphane Adjemian (Scylla) 0efcef8f20 Added the possibility to declare non linear prior restrictions over estimated parameters.
If a file <MOD_FILE_NAME>_prior_restrictions.m exists in current folder, the value returned by this routine is
substracted to fval (likelihood-lnprior) at the end of dsge_likelihood. The arguments of this routine are: M_,
oo_, options_, dataset_ and dataset_info. Routines for writing <MOD_FILE_NAME>_prior_restrictions.m will be
provided later.
2014-07-21 12:45:49 +02:00
Stéphane Adjemian (Scylla) 5b08223820 Changed default value of initial_period (NaN). 2014-07-17 22:05:08 +02:00
Michel Juillard 4613fb2bf4 Adding initialization for lmmcp options 2014-07-08 13:53:18 +02:00
Stéphane Adjemian (Scylla) 788c528c84 Merge branch 'master' into use-dseries 2014-06-19 18:13:35 +02:00
Stéphane Adjemian (Charybdis) 4f02e58010 Added the possibility to pass a dseries object to the data command (the user can manipulate the data in the mod file, using dseries class methods, and use them for estimation without writing the data on disk). 2014-06-17 16:03:30 +02:00
Michel Juillard 499967f9a1 adding an option to extended path to control homotopic steps and
continue in case of failed case
2014-06-16 14:25:23 +02:00
Stéphane Adjemian (Charybdis) 06d1f66242 Fix initialization of the fields in options_.dataset + Cosmetic changes. 2014-05-21 16:47:58 +02:00
Stéphane Adjemian (Scylla) 0f62d74ee4 Fixed bug. Global options_.dataset.file must be initialized as an empty array. 2014-04-30 15:35:43 +02:00
Stéphane Adjemian (Scylla) 66d08ac3bf Merge branch 'master' into use-dynSeries
Conflicts:
	matlab/dynare_estimation_init.m
	matlab/global_initialization.m
	matlab/prior_posterior_statistics.m
	matlab/read_variables.m
	matlab/set_prior.m
	matlab/utilities/dataset/initialize_dataset.m
	preprocessor/ComputingTasks.cc
2014-04-30 10:10:30 +02:00
Sébastien Villemot 85f7af9133 Perfect foresight solver now uses a homotopy technique by default.
This commit introduces a "no_homotopy" option to restore the old behavior.

Ref #220
2014-04-10 16:39:06 +02:00
Sébastien Villemot bb1fd49629 Remove nonexistent global variable ex_det0_. 2014-04-08 17:19:55 +02:00
Sébastien Villemot 210d2f24e6 Trust-region solver is now the default solver. 2014-03-10 14:08:40 +01:00
Sébastien Villemot 5862099416 Merge pull request #607 from JohannesPfeifer/unique_varlist
Unique varlist and choosing endogenous variables for estimation
2014-02-04 05:14:05 -08:00
Sébastien Villemot 5308da2cad Upgrade the minimum requirement to MATLAB 7.5 (R2007b). 2014-02-03 15:52:54 +01:00
Johannes Pfeifer 85815ca651 Adds new option to select which variables to consider for estimation
First step for ticket #336
2014-02-03 13:10:31 +01:00
Johannes Pfeifer 15f0353d02 Make sure repeated runs of stoch_simul.m with loglinear option do not crash due to logged steady state 2014-01-29 19:52:20 +01:00
Stéphane Adjemian (Charybdis) 1ea7631930 Added new option for perfect foresight simulations (sim1 routine, available only with stack_solve_algo==0).
Try to reduce the size of the nonlinear system of equations by skipping the (last) periods for wich the residuals are
already (almost) zero. The number of periods is not constant during the Newton, the effective number of periods for
each iteration of the Newton is available in oo_.deterministic_simulation.vperiods.
2013-12-27 18:35:53 +01:00
Stéphane Adjemian (Scylla) 63986a0ebf Closes #567. 2013-12-18 16:44:31 +01:00
Stéphane Adjemian (Scylla) 4a4c06b781 Fixed bug (options_.subdraws does not exist). 2013-12-18 16:44:31 +01:00
Stéphane Adjemian (Penelope) 0c00151092 Merge branch 'master' into remove-dynDate-class
Conflicts:
	preprocessor/DynareBison.yy
2013-11-14 16:41:08 +01:00
Sébastien Villemot 80a2a6b712 Merge remote-tracking branch 'jpfeifer/irf_debug_feedback' 2013-11-13 14:26:58 +01:00
Houtan Bastani 0fdc18e7fb Merge branch 'ifc'
Conflicts:
	matlab/dynare_estimation_1.m
	matlab/global_initialization.m
2013-11-06 13:58:57 +01:00
Johannes Pfeifer b03697b342 Add possibility to initialize parameters from calibrated model 2013-11-06 13:50:46 +01:00
Stéphane Adjemian (Scylla) 8429321547 Merge branch 'master' into remove-dynDate-class 2013-11-06 12:43:06 +01:00
Johannes Pfeifer 0d669a73cb Add options for providing the variances, an identity matrix , and user specified matrices as proposal densities
Deals with #507 and #112
Includes a unit test
2013-11-04 19:09:24 +01:00
Stéphane Adjemian (Charybdis) ddd95361ba Cosmetic changes. Added isoctave function to replace exist('OCTAVE_VERSION'). 2013-11-04 10:54:45 +01:00
Stéphane Adjemian (Charybdis) f30b88f50c Changed default options_.initial_period (has to be a dates object). 2013-10-15 16:18:46 +02:00
Johannes Pfeifer 65a16fd293 Allow users to determine the threshold below which IRFs are suppressed.
- Prepares moving future IRF options to a substructure
- Adds new option for determining threshold
- Harmonizes threshold values across estimation and stoch_simul
- Fixes some header typos
2013-10-12 10:38:47 +02:00
Stéphane Adjemian (Charybdis) 28740370e6 Removed general maxit from options_ (maxit_). 2013-10-09 12:32:37 +02:00
Stéphane Adjemian (Charybdis) 8997ae8a70 Merge branch 'master' into maxit 2013-10-09 12:19:17 +02:00
Stéphane Adjemian (Charybdis) 8d8407f906 Changed default options for cmaes (reduced tolfun and tolx). 2013-10-08 15:56:14 +02:00
Stéphane Adjemian (Charybdis) 334d9976d6 Add interface to the main options of the simpsa optimization algorithm. 2013-10-08 15:18:14 +02:00
Stéphane Adjemian (Charybdis) 60e1d1b75e Changed the organization of the options for the dynare's implementation of the simplex optimization algorithm. 2013-10-08 12:55:11 +02:00
Stéphane Adjemian (Charybdis) f5c9621ca9 Changed the definition of the maximum number of function evaluations in dynare'es iplementation of simplex algorithm (mode_compute=8). 2013-10-08 11:11:35 +02:00
Stéphane Adjemian (Charybdis) 51be957fb6 Changed the organization of the options for gmhmaxlik (mode_compute=6) so that options can be set using the optim option of the estimation command. Added an option (targeted acceptance rate). 2013-10-04 16:12:14 +02:00
Houtan Bastani d369b8ad0e front end for maxit: ref #293, #262 2013-09-24 15:40:13 +02:00
Johannes Pfeifer 241fd07424 Add Geweke 1992 convergence diagnostics 2013-09-16 18:47:15 +02:00
Stéphane Adjemian (Charybdis) fd284003ce Merge branch 'master' into use-dynSeries
Conflicts:
	matlab/load_xls_file_data.m
2013-09-12 11:01:06 +02:00
Houtan Bastani de590fb2f7 bug fix: include nofunctions in global_initialization.m 2013-09-11 14:09:22 -04:00
Stéphane Adjemian (Charybdis) 8be8bf1b1b Recycle options_.dataset. If not empty (default) dataset field has to be a dynSeries object. 2013-09-07 16:05:01 +02:00
Stéphane Adjemian (Charybdis) 3dc372e5bc Added (command line) nointeractive option. 2013-07-10 12:02:12 +02:00
Johannes Pfeifer c4998f93d3 Transfer hardcoded osr options to options structure
Implements #423. To be done: add preprocessor options for tolf and maxit.
2013-06-24 22:53:28 +02:00
Stéphane Adjemian (Charybdis) 340bcc2739 Added an option for setting the number of points where the posterior kernel is evaluated when using mode_check. Reorganized the options_ global structure wrt mode_check. 2013-06-20 17:19:44 +02:00
Stéphane Adjemian (Charybdis) 39ef86f118 Partially reverted commit 06237375db. 2013-06-18 22:30:49 +02:00
Frédéric Karamé 06237375db Added the possibility to set the number of points in mode_check for computing the transversal cuts. 2013-06-18 16:16:56 +02:00
Stéphane Adjemian (Charybdis) cb2228acad Merge branch 'master' into experimental-mjdgges-threshold 2013-06-12 17:27:25 +02:00
Sébastien Villemot 61485ab809 Fix copyright notices 2013-06-12 17:04:46 +02:00
Stéphane Adjemian (Charybdis) a71b770fec Added default value for the threshold level of the 0/0 generalized eigenvalue test (1e-6). 2013-06-12 09:53:18 +02:00
Sébastien Villemot 9145d3691f Merge pull request #409 from rattoma/endo_prior_restrictions
New option to set prior (sign) restrictions irfs.
2013-05-31 01:33:32 -07:00
Marco Ratto 4923ba0952 Introduced new option that allows to set prior (sign) restrictions to irf's 2013-05-30 10:57:39 +02:00
Marco Ratto 7bef23f1b3 Allow asymmetric mode check plots, using the new option
mode_check_symmetric_plots (=1 at default, i.e. current behaviour)
2013-05-23 11:37:00 +02:00
Marco Ratto 09bc0a0aaa fixed bug with seeds in hybrid matlab-octave parallel clusters 2013-04-05 17:25:34 +02:00
Johannes Pfeifer 7518072e77 Fix several bugs related to estimated measurement errors
1. The first call to set_prior overwrote the first column of
estim_params_.var_endo storing the position of the variable with
measurement error in M_.endo_names with the position in
options_.var_obs. All subsequent calls to set_prior then lead to
crashes.
2. At the same time, for correlations of ME, the first column of
estim_params_.corrn still stored the position of the variable with
measurement error in M_.endo_names. But subsequent calls to it were done
as if it stored the position in options_.var_obs

I introduced two new variables in estim_params_ storing the respective
positions in var_obs so as to not necessitate changes in the
preprocessors.

3. For cases of calibrated measurement error correlations, the
covariance matrix was not updated.

4. Fixing a lot of smaller bugs related to measurement errors, including
some copy and paste errors
-
2013-03-21 20:51:12 +01:00
Johannes Pfeifer a090a7c35e Add endogenous priors
Add option and code for endogenous priors according to
Christiano/Trabandt/Walentin 2011, JEDC. Still needs to be integrated to
manual and pre-processor.
2013-03-17 22:51:23 +01:00
Michel Juillard ebf93d672f stochastic extended path: additional changes 2013-03-12 09:36:58 +01:00
Sébastien Villemot 46a59423f2 Revert "Remove unused options_.verbosity"
This reverts commit cacb0470f8.

It was making bytecode crashing. This field will still have to be removed later
when dealing with #295.
2013-02-28 12:20:21 +01:00
Sébastien Villemot cacb0470f8 Remove unused options_.verbosity 2013-02-26 15:14:33 +01:00
Stéphane Adjemian (Charybdis) 5c0d387c4f Cosmetic change. Changed the organization of options for (stochastic) extended path 2012-11-29 12:56:01 +01:00
Frédéric Karamé b6c72f18fa -add a variable to make a difference between gaussian approximations during importance sampling and approximation of states (for gaussian and gaussian-mixture filters)
-modify the default of parameters for the gaussian approximation using the scaled unscented transformation
2012-11-16 12:18:55 +01:00
Houtan Bastani ddddb5ad0f console => nodisplay (Completes ticket #282) 2012-11-12 16:48:44 +01:00
Houtan Bastani 6c7501d906 move console setting to global_initialization.m 2012-10-30 14:10:54 +01:00
Sébastien Villemot 2f9e34c5e5 Various fixes related to data-loading
- fix support for filenames with extension (.m, .mat, .xls), since the manual
  and the bison grammar both support it
- fix support for XLS files under Octave
- add support for XLSX files
- run test for loading XLS files
2012-10-08 13:00:55 +02:00
Stéphane Adjemian (Charybdis) e81f9d48ac Improved display of mode_compute=6 optimization algorithm. Fixed bugs. Changed the options. 2012-09-29 00:08:05 +02:00
Houtan Bastani 12af7298ef ms-sbvar: remove unused field removal statements (and set options_.datafile='' in global_initialization) 2012-09-27 15:32:33 +02:00
Stéphane Adjemian (Charybdis) 894b3d69f4 Added an option to decide if dsge_likelihood should call univariate filters when the covariance matrix of
the prediction error is singular (default is yes).
2012-09-27 14:48:07 +02:00
Stéphane Adjemian (Scylla) 205b455ad7 Added the possibility, for each given size of the sample, to restart an arbitrary number of times the estimation when estimating a model with a recursive approach.
Deactivated by default (options_.recursive_estimation_restart is defined to be zero in global_initialization.m).
2012-09-06 14:13:29 +02:00
Stéphane Adjemian (Charybdis) 0508bf9a41 Added missing default options for stochastic simulation of nonlinear backward looking models.
(cherry picked from commit 4053f664ecec14ffb7269c6bbf78355ca46b6b92)
2012-08-27 12:53:11 +02:00
Michel Juillard edf826f315 added code to optionally run cycle_reduction algorithm on GPU. Added
options_.gpu (no interface yet, use options_.gpu=1). Added test
./tests/first_order/fs2000_cr.mod
2012-07-20 17:06:12 +02:00
Michel Juillard d39bbdaa85 forcing reinitialization of persistent variables of
dyn_first_order_solver.m in global_initialization.m This is necessary
if noclearall option is used.
2012-07-19 17:08:42 +02:00
Stéphane Adjemian (Charybdis) c850f03be3 Added the possibility to use the logarithmic reduction algorithm (mainly for testing purpose). 2012-07-11 18:26:22 +02:00
Marco Ratto ed4d37341c Fix problem with models where steadystate files change parameter values.
1) allow to compute derivatives starting from NUMERICAL derivatives of jacobian and steady state: this has a minor cost in accuracy and allow apply without errors identification and estimation with numerical derivatives;
2) added trap in dynare_estimation_init: if steadystate changes param values, automaticly shifts to numerical derivs of jacoban and steady state +  analytic derivatives of all the rest;
3) bug fixes for 2nd order derivatives w.r.t. model parameters;
2012-07-05 10:14:10 +02:00
Ferhat Mihoubi 4488357f59 Adds the cycle reduction algorithm to solve the polynomial equation for retrieving the coefficients
associated to the endogenous variables in the decision rule.
2012-07-01 15:19:10 +02:00
Sébastien Villemot 8fe2eb23b9 New option simul_replic in preprocessor and documentation 2012-06-11 11:53:55 +02:00
Stéphane Adjemian (Charybdis) d006bd2aaf Made replic option specific to stochastic simulations (options_.simul_replic). 2012-06-11 09:41:59 +02:00
Stéphane Adjemian (Charybdis) e12748329b Fixed bug reported by Johannes (http://www.dynare.org/pipermail/dev/2012-May/002015.html), see also trac#257. 2012-06-06 18:25:08 +02:00
Houtan Bastani 9a2e4cc6cf config file: support GlobalInitFile option 2012-06-06 16:18:09 +02:00
Michel Juillard 1316bd9555 fixed issues relative to homotopy (type I) when the user wants to
continue after homotopy fails. Option stop_on_error is removed. Option
homotopy_force_continue is added.
2012-05-17 17:27:07 +02:00
Stéphane Adjemian (Charybdis) 41def7caaa Added the possibility of a user defined configuration file (only for linux users).
At the end of global_initialization.m the existence of /home/USER/dynare_configuration.m is tested. In case of a positive answer this script is evaluated.
2012-05-09 15:39:58 +02:00
JohannesPfeifer c0624738c9 Fixed bug introduced in bda0b1b228
Created separate field options_.SpectralDensity.trigger to trigger Spectral Density
2012-04-26 08:48:31 +02:00
Sébastien Villemot 08894086b0 Revert "Move hardcoded options from UnivariateSpectralDensity.m to global_initialization."
This reverts commit bda0b1b228.
2012-04-26 08:22:15 +02:00
Johannes Pfeifer bda0b1b228 Move hardcoded options from UnivariateSpectralDensity.m to global_initialization. 2012-04-25 11:49:01 +02:00
Johannes Pfeifer 4c255cf2ae Starts implementing Ticket 216. Most plotting and figure is now controlled by the functions dyn_figure and dyn_saveas, allowing for option_.nodisplay to suppress the displaying of figures and using options_.graph_format to control the format of saved figures. 2012-04-25 11:47:40 +02:00
Sébastien Villemot 1dfba1b99f Merge remote-tracking branch 'ferhat/master' 2012-04-20 21:15:09 +02:00
Ferhat eed54fb08a - Adds new algorithms to solve Lyapunov equations: Doubling algorithm and Square root solver. Their respective names are "doubling" and "square_root_solver".
- Adds the tolerance criteria for the iterative solvers (sylvester_fixed_point_tol, lyapunov_fixed_point_tol and lyapunov_doubling_tol)
- Updates the reference manual
2012-04-20 19:23:00 +02:00
Sébastien Villemot edbf3bd175 Remove useless calls to set_default_option 2012-04-20 17:08:11 +02:00
Michel Juillard 41e027aee3 added steady option stop_on_error. stop_on_error = 0 permits to
continue (for example, when chaining homotopy steps), even if the
steady state computation was not successful.
2012-04-16 22:40:50 +02:00
Houtan Bastani 08bcf39fe7 estimation: clear subsamples substructure whenever a subsamples statement is encountered 2012-04-03 18:33:23 +02:00
Houtan Bastani 7e6bd80f17 estimation: remove s from parameters substructure 2012-04-03 18:33:23 +02:00
Houtan Bastani 31e0bc2e1e estimation: simplify global_initialization 2012-04-03 18:33:23 +02:00
Houtan Bastani 9741b3b3ec estimation: reorganize options output 2012-03-30 15:37:15 +02:00
Houtan Bastani 93db8937ab estimation: reorganize Matlab structure output 2012-03-30 15:37:14 +02:00
Stéphane Adjemian (Charybdis) 6c6b62937f Added smooth resampling. 2012-03-30 11:47:24 +02:00
Houtan Bastani 7feb27fe1c estimation: rewrite options output 2012-03-29 16:45:46 +02:00
Houtan Bastani d54e4c4b17 estimation: rewrite prior output 2012-03-29 16:07:01 +02:00
Houtan Bastani 46a655fbd5 estimation: rewrite subsamples statement as an actual statement 2012-03-28 18:51:52 +02:00
Michel Juillard a899594f3d initializing globals ys0_ ex0_ ex_det0_ 2012-03-17 20:34:58 +01:00
Michel Juillard d6f8e252e5 Merge remote-tracking branch 'origin/master' into dr1break 2012-03-15 16:18:37 +01:00
Stéphane Adjemian (Charybdis) c5fa0b82a9 Merge remote-tracking branch 'marco/master' 2012-03-14 12:49:56 +01:00
Michel Juillard 1fcf708b80 Merge remote-tracking branch 'origin/master' into dr1break 2012-03-10 18:21:14 +01:00
Stéphane Adjemian (Charybdis) 323e6fdf4f Added a second gstep option used as a parameter for the routine computing the hessian matrix.
In some cases, for instance for the non linear filters, it helps to reduce this new gstep parameter
to get a positive definite hessian matrix. options_.gstep is now a 2*1 vector. The first element is
the old gstep parameter, the second element is the new gstep parameter. The step defined for the
computation of the hessian matrix is now:

h1=max(abs(x),sqrt(gstep(1))*ones(n,1))*eps^(1/6)*gstep(2);
2012-03-09 16:36:26 +01:00
Stéphane Adjemian (Charybdis) ec9b47426a Added an option for the threshold level of neff in the generic case of the resampling routines. 2012-03-09 12:44:25 +01:00
Houtan Bastani ec2528ae9b estimation: fixes to options statement 2012-03-09 11:47:25 +01:00
Houtan Bastani dd67a81e57 estimation: place parameter priors in their own substructure 2012-03-09 11:46:09 +01:00
Stéphane Adjemian (Charybdis) 464dcb651e Changed defaults related to extended path. Removed some unused options. 2012-03-08 12:45:53 +01:00
Ferhat Mihoubi 8ac14f8c80 Adds fixed point solvers for Sylvester and Lyapunov equations 2012-03-06 12:03:23 +01:00
Stéphane Adjemian (Charybdis) a2f3a53634 Parallelization of local_state_space_iteration_2 (used in non linear filters). 2012-03-05 23:11:49 +01:00
Stéphane Adjemian (Charybdis) cf19df92ef Added an option fot the mode_check plots for defining the size of the neighbourhood around the estimated posterior mode. 2012-03-05 15:03:55 +01:00
Stéphane Adjemian (Charybdis) 83b536c618 Moved CMAES options in global_initialization, so that the options of this routine can be modified by
the user by writting in options_.cmaes.
2012-03-04 22:13:00 +01:00
Stéphane Adjemian (Charybdis) 724b99412f Added option for kitagawa/stratified approach in traditional resampling. 2012-03-04 22:12:59 +01:00
Stéphane Adjemian (Charybdis) fb4def04bd Fixed bug related to the name of the sub-structure for the non linear filters. 2012-03-04 22:12:59 +01:00
Marco Ratto c848b3337a added nodisplay and graph_format options and applied to prior plots and graphs in estimstion routine. Tex tables also splitted when more than 50 params are estimated.
nograph: no figure is done
nodisplay: plots are done behind the scenes
graph_format: default only eps figs are saved. it accepts cell vector like {'eps','pdf','fig'}
2012-02-13 11:58:28 +01:00
Stéphane Adjemian (Charybdis) 87f4dad51a Changed default value of use_bytecode option. By default, the bytecode solver is not used.
Note that, even for small models, there is a (very) substantial gain in using the use_dll option.
2012-02-04 16:56:09 +01:00
Stéphane Adjemian (Charybdis) 704b0c9659 Added an option specifying if the bytecode solver has to be used first. 2012-02-04 16:26:22 +01:00