Ferhat Mihoubi
97664607b2
- external functions are compatible with block decomposition and/or bytecode
2010-12-10 12:06:50 +01:00
Sébastien Villemot
befa1b966b
Estimation DLL: removed illegal casts from pointer to integer
2010-12-09 10:49:44 +01:00
Sébastien Villemot
965ea7280a
Build system: add detection and linking of MatIO library for Estimation DLL under Octave
2010-12-08 10:22:44 +01:00
George Perendia
fa3e19fdfb
C++ Estimation DLL: Update of logMHMCMCposterior.cc with a draft octave MAT draws file save and adding a test random_walk_metropolis_hastings_core.m: Octave version crashes at start of DLL and Matlab version finishes with low acceptance due to frequent B&K and reports error within debugger too - needs more debugging!
2010-12-07 23:03:11 +00:00
Sébastien Villemot
2d84d8dc49
K-order DLL: code simplification
2010-12-06 17:01:06 +01:00
Sébastien Villemot
a9b4331a95
Bugfix at order 3 (hopefully was not affecting final results, thanks to Pablo Winant for spotting this):
...
- in the 3rd derivatives matrix, among symmetric elements, the first one had
the right values but the following ones were set to zero
- moreover, the k-order DLL was trying to add all the symmetric elements in the
folded tensor, instead of only keeping one value among all the symmetric ones
- hopefully, Ondra's tensor library was (silently) refusing to add symmetric
elements after the first (and right) value had been added
- so the final result was correct
2010-12-06 17:00:46 +01:00
Ferhat Mihoubi
bdfa881a96
Reorganization of error handling in bytecode
2010-11-25 16:11:05 +01:00
Stéphane Adjemian (Charybdis)
010c4c0c20
Fixed bug in kalman_steady_state.cc related to long integer and (mkl) lapack calls. Changed building system by adding -fdefault-integer-8 flag to gfortran when slicot is compiled on a 64-bits platform.
2010-11-25 14:35:46 +01:00
Sébastien Villemot
5a9615951c
Kronecker DLL: fix minor issue (was creating a lot of warnings under Octave)
2010-11-24 19:12:03 +01:00
Sébastien Villemot
43f69d27e8
Kalman steady state DLL: minor fixes
2010-11-22 12:22:45 +01:00
Sébastien Villemot
b8aae7bbf9
Fix underscoring problems with Fortran code
2010-11-22 12:22:22 +01:00
Sébastien Villemot
81342073c0
Build system: added kalman_steady_state DLL sources to dist file
2010-11-22 10:39:19 +01:00
Stéphane Adjemian (Charybdis)
dfbbc415cd
Merge remote branch 'origin/master'
2010-11-19 14:49:26 +01:00
Stéphane Adjemian (Charybdis)
160922a189
Added mex file for computing the fixed point of the riccati equation in the kalman filter.
...
The mex works with octave but not with matlab (lapack issue again ;-).
2010-11-19 14:39:54 +01:00
Sébastien Villemot
b3ee886391
Build system: added libslicot to dist file
2010-11-19 09:22:00 +01:00
Stéphane Adjemian (Charybdis)
d5b032c99f
Moved test files for kronecker product mex files from ./mex/sources/kronecker/tests to ./tests/kronecker.
2010-11-18 16:01:21 +01:00
Sébastien Villemot
479b2be602
Build system: added missing PIC flag for Fortran code in Octave DLLs
2010-11-18 11:10:49 +01:00
Stéphane Adjemian (Charybdis)
382ab96cde
Added the Slicot library (distributed under the GNU General Public Licence at www.slicot.org). This library provides routines
...
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
Stéphane Adjemian (Charybdis)
5c709e4733
Changed set_dynare_threads.m. The number of threads in parallelized mex files to be used if dynare is built with the openmp flag
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(--with-openmp) is not passed by an environment variable anymore. The function set_dynare_threads changes the default value of the
number of threads (default is 1) in the options_.threads structure. Changed calls to sparse_hessian_times_B_kronecker_C and
A_times_B_kronecker_C dlls accordingly.
2010-11-15 13:06:39 +01:00
Sébastien Villemot
7fd77a87dd
Added M2HTML to the build system
2010-11-08 13:08:15 +01:00
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
Ferhat Mihoubi
1aceb504fd
Check command is now compatible with block and bytecode options
2010-10-27 15:34:48 +02:00
Ferhat Mihoubi
36941dd704
- During an evaluation of the model with bytecode stores all Jacobian matrix (w.r. to endogenous of the current block, exogenous and endogenous from previous blocks) in M_block_structure.block(j)
2010-10-27 15:30:01 +02:00
Ferhat Mihoubi
7ea9d28afd
- updates the third output argument when it is M_.block_structure.block
2010-10-27 15:30:01 +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
Ferhat Mihoubi
39718c8645
- extends steady algorithms to solve_algo=5, 6, 7 and 8 for a block decomposed model without bytcode
...
- solve_algo is reordered =
* 0: fsolve
* 1: solve1
* 2, 4: solve1 + block decomposition
* 3: csolve
* 5: bytecode own solver (use Gaussian elimination + sparse matrix)
* 6: LU decomposition with UMFPack (method handling sparse matrix in Matlab)
* 7: GMRES
* 8: BiCGStab
2010-10-22 16:49:47 +02:00
Sébastien Villemot
a2367e9ecb
Build system: fixed typo introduced in 69fc0e320b
2010-10-22 11:50:16 +02:00
Ferhat Mihoubi
1a09426706
- Correction of several bugs with Octave
...
- Add wrapper needed to compute the steady-state using bytecode and solve_algo = 0, ..., 4
2010-10-22 10:09:07 +02:00
Sébastien Villemot
cab8941c29
qzcomplex and ordschur oct-files:
...
- added embedded tests
- minor cosmetic changes
2010-10-21 15:58:24 +02:00
Sébastien Villemot
81823ad035
New oct-file for "ordschur": the diffuse filter now works under Octave
2010-10-21 15:43:13 +02:00
Sébastien Villemot
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
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
Ferhat Mihoubi
8f36437662
- Extends the algorithms compatible with bytecode to compute the steady-state (ticket #11 ). The new values for solve_algo are:
...
* 0: fsolve
* 1: solve1
* 2, 4: solve1 + block decomposition
* 3: csolve
* 5: LU decomposition with UMFPack (method handling sparse matrix in Matlab)
* 6: GMRES
* 7: BiCGStab
* 8: bytecode own solver (use Gaussian elimination + sparse matrix)
- Bytecode can now evaluate a specific block instead of the overall blocks (new bytecode's option 'Block = block_number')
2010-10-11 19:21:32 +02:00
Ferhat Mihoubi
4b824ad8ed
- extends the error messages in mex_interface (necessary to emulate the mex functions in a standalone mode for debugging purposes)
2010-10-11 18:09:31 +02:00
Ferhat Mihoubi
f6835d1d61
- adds bytecode_debug.m m-file to save the global variables. Necessary to run bytecode in a standalone mode for debugging purposes.
2010-10-11 18:01:44 +02:00
Ferhat Mihoubi
9a0201b26a
Minor corrections on ErrorHandling
2010-10-11 17:56:23 +02:00
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
Sébastien Villemot
eea1bcc27c
k-order DLL: fix bug related to number of rows of matrix of endogenous
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(nb_row_x was incorrectly initialized in dynamic C file)
2010-10-05 15:28:15 +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
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Still missing functionality: Sliding progress bar, seed change and loading old, incomplete (failed) run files
2010-10-04 13:58:25 +01:00
Sébastien Villemot
1a27ed9f38
OpenMP support:
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- removed build_matlab_multithread.m and isopenmp MEX file
- introduced a new option "--enable-openmp" in configure script
- when openmp support is compiled in, the default is still one thread; the user can set the number of threads with "set_dynare_threads(n)"
- closes #68
2010-09-27 15:56:19 +02:00
Sébastien Villemot
477652c6e9
Build system: removed obsolete build_matlab script
2010-09-27 15:51:32 +02:00
Sébastien Villemot
5a1caff861
Build system: fix for bug introduced in 5504811b1a
2010-09-27 14:18:39 +02:00
Sébastien Villemot
5504811b1a
Removed obsolete Kalman filter code
2010-09-24 13:01:52 +02:00
Sébastien Villemot
da1c031195
Build system: add new header for bytecode (see previous commit)
2010-09-24 12:59:46 +02:00
Ferhat Mihoubi
df1b1e4ed0
- In bytecode, the MATLAB function "mexErrMsgTxt" has been replaced by an exception handling see ticket #137
2010-09-24 12:52:58 +02:00
Houtan Bastani
e57056ad14
sparse_hessian_times_B_kronecker_C: remove instances of mexErrMsgTxt
2010-09-23 10:45:18 +02:00
Houtan Bastani
ca24c92ed7
A_times_B_kronecker_C: remove instances of mexErrMsgTxt
2010-09-23 10:45:08 +02:00
Houtan Bastani
7b0d6da920
mjdgges: remove instances of mexErrMsgTxt
2010-09-23 10:44:59 +02:00
Houtan Bastani
e32c8b1b76
k_order_perturbation: remove instances of mexErrMsgTxt and mexErrMsgIdAndTxt
2010-09-23 10:44:39 +02:00
Houtan Bastani
1eaee02729
logposterior: remove instances of mexErrMsgTxt
2010-09-23 10:44:22 +02:00
Houtan Bastani
b512a43848
fix file mode
2010-09-23 10:44:10 +02:00
Houtan Bastani
1b05a5f276
SWZ: remove instances of mexErrMsgTxt
2010-09-23 10:43:58 +02:00
Houtan Bastani
6631f2d1d0
Macro used to clean up after encountering an error in a mex file (previously handled by mexErrMsgTxt) and helper m file
2010-09-23 10:43:16 +02:00
Sébastien Villemot
a3640239ab
Removed all MSVC workarounds, since we can now definitely drop this compiler on
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Windows/64-bit platform
2010-09-21 15:06:14 +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
Sébastien Villemot
aa8963c1db
K-order DLL: code simplification
2010-09-20 19:24:23 +02:00
Sébastien Villemot
d7754ca288
K-order DLL: make it compatible with changes introduced in
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648c3cd177
2010-09-20 18:30:00 +02:00
Sébastien Villemot
6c66e3d2af
Bytecode DLL: include dynmex.h instead of mex.h (for compatibility with older
...
MATLAB)
2010-09-20 10:23:05 +02:00
Ferhat Mihoubi
0ecfc5eed9
- Incorrect type for variable map_idx_res (the variable with highest error)
2010-09-17 12:26:54 +02:00
Ferhat Mihoubi
45137f1367
- bug correction in error printout (elimination of an unused variable : nb_endo in SparseMatrix)
2010-09-17 12:26:44 +02:00
Ferhat Mihoubi
c7eff4ba60
- Adding the relaxation method for block and/or bytecode options
...
- Changing the the stack_solve_algo option :
Previous version New version
1 : Sparse LU 0 : Sparse LU
2 : GMRES 1 : Relaxation
3 : BiCGStab 2 : GMRES
4 : Sparse LU & Optimal Path 3 : BiCGStab
5 : bytecode own solver 4 : Sparse LU & Optimal Path
5 : bytecode own solver
2010-09-17 12:18:25 +02:00
Ferhat Mihoubi
77b6096962
- extends the mex_interface: bytecode's debuging purpose
...
- correction of memory leaks in bytecode
2010-09-17 12:17:14 +02:00
Ferhat Mihoubi
0a3c8a4b0c
- compute the jacobian matrix for exogenous, det_exogenous and previous blocks endogenous
...
- preprocessor provides informations about the dynamic structure of each block
- extends the algorithms available with bytecode: stack_solve_algo = 1, 2, 3 and 4 is compatible the bytecode. Speed and memory requirement are improved with stack_solve_algo = 1 or 4 for large scale models.
- bytecode can be used to evaluate a model
2010-09-17 12:16:47 +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
Houtan Bastani
18c9479176
SWZ: include in build system
2010-09-01 11:15:42 +02:00
Sébastien Villemot
8589be3d4b
K-order DLL: cosmetic changes
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- remove unused argument of the DLL
- fix documentation inside source file
2010-08-30 17:11:58 +02:00
Sébastien Villemot
a4769fc80d
K-order DLL: no longer create an extra MAT file (useless and undocumented)
2010-08-30 17:11:26 +02:00
Sébastien Villemot
ad127052d8
Build system: display a warning when compiling for the Cygwin target
2010-08-24 16:24:03 +02:00
Sébastien Villemot
0893e963cb
Build system: change the way we detect the GSL, to make it work when cross-compiling
2010-08-24 16:24:03 +02:00
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
Michel Juillard
89bdc81ada
suppressed computation of steady state inside k_order_perturbation
2010-07-17 10:18:25 +02:00
Michel Juillard
96bdf8c371
make sure that 2nd and 3rd order derivatives that haven't been computed are not taken to be zero.
2010-07-17 10:14:22 +02:00
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
Houtan Bastani
ad28c2054d
Add boost/math and boost/random to configure script for mex build system
2010-07-01 14:15:08 +02:00
Sébastien Villemot
f34c31307b
K-order: minor fix for order of initialization of data members
2010-06-25 15:40:36 +02:00
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
e347f2ae7a
Build system: adding -Wall when building MEX files
2010-06-11 18:40:58 +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
81f0cf1bc3
Bytecode DLL: provisions for Microsoft Visual C++
2010-06-09 18:35:35 +02:00
Sébastien Villemot
045e2e21ef
Bytecode DLL: bugfix for erf()
2010-06-09 18:31:39 +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