865ab47fa9
Provide block_trust_region MEX under solve_algo 13 and 14
...
- block trust region solver now available under solve_algo=13
It is essentially the same as solve_algo=4, except that Jacobian by finite
difference is not handled. A test file is added for that case
- block trust region solver with shortcut for equations that can be evaluated
is now available under solve_algo=14 (in replacement of the pure-MATLAB solver)
Closes : Enterprise/dynare#3
2020-09-18 18:01:56 +02:00
0b41d17374
dynare_solve: fix display of number of dmperm blocks
2020-09-18 17:55:58 +02:00
Stéphane Adjemian (Odysseus)
248ad18846
Merge remote-tracking branch 'Dynare/master' into enterprise
...
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
607a273bb0
Correctly distinguish tolerance between steady and perfect foresight
...
steady uses options_.solve_tolf as a termination criterion, so subsequent checks should do the same. Similarly, solve_tolx was never used.
2020-07-06 13:11:23 +02:00
43ed7b2b69
Merge remote-tracking branch 'community/master' into enterprise
2020-03-27 16:28:41 +01:00
Stéphane Adjemian (Charybdis)
b4db697e0f
Cosmetic change.
2020-03-11 12:47:02 +01:00
Stéphane Adjemian (Charybdis)
a4519f6b86
Bug fix (solve_algo={12,14}).
...
Removed threshold for detecting the non zero elements in the rows of
the Jacobian matrix. Using tolf as a threshold parameter for identifying
the non zero elements leaded (not systematically) the algorithm to not
reevaluate the residuals of the dynamic model while necessary.
2020-03-11 12:38:59 +01:00
Stéphane Adjemian (Charybdis)
67b18710e8
Bug fix and efficiency change.
...
- Even in models where there is only one endogenous variable in the
LHS and where all the LHS are unique, it may be that because of the
preprocessor transformations an auxiliary variable appears in more
than one LHS. If diff(X) is on the LHS of an equation in the original
model, the preprocessor will create an auxiliary variable AUX_DIFF
which will appear in the the original equation, replacing diff(X),
and in a new equation defining the auxiliary variable. In this case
the, the Dulmage-Mendelsohn decomposition will associate AUX_DIFF
with the original equation and X with the equation. This was
problematic in the previous version of the algorithm, since it was
assumed that each equation determines the LHS variable (here AUX_DIFF
= X - X(-1) determines a RHS variable (X).
- Changed the expression for evaluating an LHS variable under a log.
- Improved efficiency by not evaluating the residuals of the model if
not required for solving the current univariate block.
2020-02-27 22:08:21 +01:00
Stéphane Adjemian (Charybdis)
fa95a6347d
Added new nonlinear solvers (solve_algo 12 and 14).
...
These algorithms are alternative versions of 2 and 4 specialized for
models where each equation has only one endogenous variable on the
left hand side (only allowed expression on LHS is the log of an
endogenous variable). Univariate recursive blocks are then not solved
with a non linear but by evaluating the RHS expression.
2020-02-20 13:07:54 +01:00
49dc997073
Global reindentation of MATLAB code (excluding submodules)
...
Also convert to Unix end-of-lines, and remove trailing whitespaces.
2019-12-20 16:30:27 +01:00
1b56a56e78
dynare_solve.m: return with valid solution even if Jacobian is ill-behaved
...
In pathological cases, the Jacobian at the initial but true steady state value is ill-behaved. In this case we should return with the valid steady state instead of trying random starting values
2019-12-12 19:08:43 +01:00
f3600b0de9
Added trap for complex residuals and jacobian in nonlinear solver.
2019-10-01 14:40:17 +02:00
cbb59fe6f8
Merge remote-tracking branch 'community/master' into enterprise
2019-09-26 16:54:27 +02:00
99edfc52ed
Removed unused routine.
2019-04-26 15:55:48 +02:00
89a3e94cbf
Use true/false instead of 1/0 for boolean options
...
This is more elegant, and makes it easier to distinguish them from integer
options.
Also simplify test expressions for these boolean options.
2019-03-19 15:21:16 +01:00
2d717dbd3e
Fixed returned fvec and fjac with solve_algo=3.
2017-09-29 10:29:20 +02:00
6a2736d498
Fixed returned fvec and fjac with solve_algo=3.
2017-09-29 10:23:58 +02:00
b429a23852
Added trap for complex residuals and jacobian in nonlinear solver.
2017-09-29 10:19:54 +02:00
57cab69530
Try random initial guess for dynare_solve...
...
... If for the default initial guess we obtain NaNs or Infs in the residuals
and/or the Jacobian matrix.
(cherry picked from commit d282226100
2017-06-14 00:01:10 +02:00
7d373f0d7e
Merge branch 'master' into ecb-master
2017-06-03 14:51:28 +02:00
99cb731112
Fixed indentation of matlab files.
2017-06-01 19:43:18 +02:00
5417b27ac7
Fixed indentation of matlab files.
2017-05-16 15:10:20 +02:00
a53636e24e
Fixed copyright notices.
2017-05-16 14:11:15 +02:00
88e1701289
Removed useless commas and semicolons.
2017-05-16 13:24:46 +02:00
d282226100
Try random initial guess for dynare_solve...
...
... If for the default initial guess we obtain NaNs or Infs in the residuals
and/or the Jacobian matrix.
2017-05-10 23:45:07 +02:00
fdbb44fec6
Account for Octave's dbstack providing full path, not just filename
2016-11-10 17:58:47 +01:00
29d1e80eda
Decrease verbosity of solve_algo=0
...
Shuts off display unless debugging is requested. Otherwise, estimation will clutter the screen
2016-10-09 22:15:48 +02:00
919647477e
replace isstring with ischar as isstring is not supported in Octave. Bug introduced in 80049a6d09
2016-09-13 17:34:23 +02:00
01f1abb19a
Provide dedicated maxit option for Ramsey
2016-08-24 13:32:11 +02:00
b4d958d706
dynare_solve.m: account for second mcp-solver in solution check
2016-08-23 17:28:41 +02:00
2751ab08bb
Provide interface to original PATH files and document how to obtain them
2016-08-23 17:28:41 +02:00
3fc011a1b2
Adjust unit test for stack_solve_algo=7 to actually trigger different algorithms
2016-08-23 17:28:41 +02:00
077917b1f4
dynare_solve: use correct termination criterion with stack_solve_algo=7
2016-08-23 17:28:41 +02:00
e7b8222144
Updated header of dynare_solve.m
2016-08-21 11:47:52 +02:00
335ce74acb
Remove error-display from dynare_solve.m
...
Prevents estimation crashing when invalid starting values for steady state computation arise during e.g. mode-finding
2016-08-21 11:44:18 +02:00
80049a6d09
dynare_solve.m: make sure str2func is only used on strings
...
Otherwise, code crashes
2016-08-12 11:59:57 +02:00
22f49971bc
fixing bug in mcp model setup
...
makes perfect_foresight_problem more efficient
added test case for stack_solve_algo == 7
2016-07-03 10:56:44 +02:00
76f008e4e4
PATH: remove calls to lcppath that doesn't work with perfect foresight models
2016-05-31 12:10:12 +02:00
ddb9c0657c
fixing linear complementarity problem
2016-05-31 12:10:12 +02:00
450d7b099a
fixing error status for PATH hook
2016-05-31 12:10:12 +02:00
c159dff19c
adding hook for PATH solver
2016-05-31 12:10:12 +02:00
465f55bb0e
Correct evaluation of residuals in dynare_solve.m when exitflag does not clearly indicate solution
...
Otherwise, it crashes with bytecode
2016-05-05 10:46:39 +02:00
1457666221
Only accept steady state when fsolve retuns with normal return code 1
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Otherwise, termination due to tolerance criteria will be accepted as correct steady state
2016-03-22 21:55:51 +01:00
c3c72192ac
small bug corrections
2015-07-27 16:52:36 +02:00
2207b51aaa
correcting typo
2015-07-27 15:51:48 +02:00
9b8077fc28
Merge branch 'master' into new_ep
2015-07-21 09:30:58 +02:00
27922a349c
Fixed typo.
...
The value of jacobian_flag was not passed to fsolve.
2015-07-07 17:55:41 +02:00
c97aaad62d
Fixed bug.
...
Rename options as options4fsolve, otherwise original options structure is lost.
2015-05-29 15:19:20 +02:00
d81dda5044
fixing bug in last commit
2015-05-25 18:52:46 +02:00
3ef5bc2989
Merge branch 'master' into new_ep
2015-05-25 17:20:23 +02:00
Sébastien Villemot
Stéphane Adjemian (Odysseus)
Johannes Pfeifer
Stéphane Adjemian (Scylla)
Stéphane Adjemian (Charybdis)
Houtan Bastani
Michel Juillard