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16676 Commits (8710ce0898608c356cbc9a337cd167bfff2be4b4)

Author SHA1 Message Date
Johannes Pfeifer 8710ce0898 newrat: trigger new option in testsuite 2023-12-14 22:25:37 +01:00
Johannes Pfeifer 74ac072549 newrat: document new options 2023-12-14 22:16:57 +01:00
Marco Ratto 8ddd35ddd8 newrat: properly initialize penalty 2023-12-14 22:09:42 +01:00
Marco Ratto 3ee963c908 newrat: distinguish between TolFun (optimizer termination criterion) and TolGstep/TolGstepRel, used for tuning gradient step 
Allows using e.g. TolFun=1.e-5 with coarser values for TolGstep; helpful whenmaximizing non smooth surfaces (e.g. PKF or very large models), where numerical noise may count. By default TolGstep=TolFun as in usual historical behavior.
 2023-12-14 22:08:34 +01:00
Johannes Pfeifer d25d95b3b5 newrat.m: add robust option that uses quadratic approximation to better adapt line search to noisy likelihood shapes 
Triggered when line search hits and error code
 2023-12-14 21:57:49 +01:00
Marco Ratto 2898407764 newrat: enforce last parameter vector to be inside bounds 2023-12-14 21:48:58 +01:00
Marco Ratto 3931451250 mr_hessian.m: refined algorithm that calibrates gradient step according to target variation in objective function 2023-12-14 21:45:55 +01:00
Marco Ratto e1e79d3177 mr_gstep.m: increase buffer for check of hitting upper/lower bound of parameters 2023-12-14 21:43:53 +01:00
Sébastien Villemot 66bc9fd9c2
Rename “dynare_sensitivity” command to “sensitivity” 
The old name is still accepted, but will trigger a deprecation warning.
 2023-12-14 18:38:23 +01:00
Sébastien Villemot 19dcd4a0f2
Merge branch 'dynare-globals_and_namespace' 
Ref. !2219
 2023-12-14 18:29:28 +01:00
Johannes Pfeifer f05a2de89e
get_perturbation_params_derivs.m: replace try-catch by proper check of file existence 
Let's other errors though with explicit message
 2023-12-14 18:29:04 +01:00
Johannes Pfeifer c3268c0279
Move various functions from main matlab folder to subfolders 2023-12-14 18:29:04 +01:00
Johannes Pfeifer 2e73856f5a
GSA and identification: move files to namespace 2023-12-14 18:29:01 +01:00
Sébastien Villemot 565667c6b7
Merge branch 'dynare-cond_forecast' 
Ref. !2228
 2023-12-14 17:47:05 +01:00
Johannes Pfeifer 75cd1042c8
conditional_forecast: remove globals and move to namespace 2023-12-14 17:46:27 +01:00
Sébastien Villemot fd0d93ba13
Merge branch 'steady_evalin' of git.dynare.org:JohannesPfeifer/dynare 
Ref. !2227
 2023-12-14 17:31:36 +01:00
Sébastien Villemot 668f6de5df
Bytecode MEX: adapt for refactorings in the preprocessor 2023-12-14 17:31:26 +01:00
Stéphane Adjemian (Guts) 1983dc13a3
Make examples/fs2000.mod closer to the original code. 
- Use (old default) mode_compute=4 which is closer to the algorithm
   used by Frank Schorfheide and ensures that the hessian matrix is well
   behaved (contrary to the new default, because of the asymptote at 0
   in the beta prior for autoregressive parameter ρ).

 - Change parameterization for mst. A normal prior on mst is not
   equivalent to a normal prior on log(mst) (which is done the
   parameterization in the JAE paper).

Closes #2177.
 2023-12-14 14:05:37 +01:00
Johannes Pfeifer 162813225d
fs2000.mod: provide actual replication 
Closes https://git.dynare.org/Dynare/dynare/-/issues/1905
 2023-12-14 14:05:37 +01:00
Johannes Pfeifer 1b2e1d2856 evaluate_steady_state_file.m: remove useless assignin and evalin statement 2023-12-14 11:40:38 +01:00
Sébastien Villemot 81cd0f1cb5 Merge branch 'plus_folders' into 'master' 
Start cleaning up main Matlab folder by moving various functions to subfolders and removing unused ones

See merge request Dynare/dynare!2216
 2023-12-14 10:29:07 +00:00
Sébastien Villemot 441ef7e102 Merge branch 'fixes_6.x' into 'master' 
collection of small individual bug fixes

See merge request Dynare/dynare!2223
 2023-12-14 09:12:42 +00:00
Johannes Pfeifer 2df08f88c7 Move estimation files to separate folder 2023-12-13 22:57:06 +01:00
Marco Ratto f102a992aa fixed for the case when mcmc is incomplete WITHIN a block file (useful for expensive models and expensive methods like slice or TaRB) 2023-12-13 21:01:21 +01:00
Marco Ratto 53b57da8ba fix computation of initial prc0 under mh_recover (to avoid 0% being always displayed when recovery starts) 2023-12-13 21:01:15 +01:00
Marco Ratto aad5c36081 bug fix: with option mh_initialize_from_previous_mcmc, we need also to check if some prior changed, which may lead last draw in previous mcmc falling outside new prior bounds. 2023-12-13 21:01:09 +01:00
Marco Ratto de152a3de3 bug fix: indexing must also contain smpl+1 (needed for 1 step ahead forecast in last period when filtering). 2023-12-13 21:01:02 +01:00
Marco Ratto 8f73564634 bug fix with non-zero lb bound of invgamma distribution 2023-12-13 21:00:56 +01:00
Sébastien Villemot 858b534c22 Merge branch 'sim1' into 'master' 
sim1.m: add debugging information to diagnose singular Jacobians

See merge request Dynare/dynare!2222
 2023-12-13 18:33:06 +00:00
Johannes Pfeifer e17bf15042 sim1.m: add debugging information to diagnose singular Jacobians 2023-12-13 17:40:39 +01:00
Sébastien Villemot ea28fcb4b4
Merge branch 'model_diag' of git.dynare.org:JohannesPfeifer/dynare 
Ref. !2221
 2023-12-13 17:37:33 +01:00
Sébastien Villemot a7f5fd571d
Merge branch 'steady_check' of git.dynare.org:JohannesPfeifer/dynare 
Ref. !2220
 2023-12-13 17:37:09 +01:00
Sébastien Villemot 05cb10f8f7
Enable performance-* checks in clang-tidy 2023-12-13 17:33:55 +01:00
Sébastien Villemot 594facdb03
MEX files: homogeneize include guards 
Also ensure that guards are not reserved identifiers (i.e. starting with an
underscore).
 2023-12-13 17:33:55 +01:00
Sébastien Villemot 7ba1fc1c63
Preprocessor: various refactorings recommended by clang-tidy 2023-12-13 17:33:55 +01:00
Sébastien Villemot 63d5569cf4
libkorder MEX: remove useless parameter copies and std::move calls in constructors 
Automatically detected by clang-tidy using performance-unnecessary-value-param
and performance-move-const-arg checks.
 2023-12-13 17:33:55 +01:00
Sébastien Villemot 00434c595d
libkorder MEX: mark Vector move constructor as noexcept 
Automatically detected by clang-tidy with performance-noexcept-move-constructor
check.
 2023-12-13 17:33:55 +01:00
Stéphane Adjemian (Ryûk) 60c0ed0180
Add Sequential Monte Carlo sampler. 2023-12-13 15:30:38 +01:00
Johannes Pfeifer 42fc1ec40a model_diagnostics.m: fix typos 
[skip CI]
 2023-12-12 19:38:57 +01:00
Johannes Pfeifer 1b4fb46c75 Consistently use nocheck flag for steady state 
Fixes a bug in model_diagnostics.m
 2023-12-12 18:30:30 +01:00
Stéphane Adjemian (Ryûk) 2fbbe66c0a
Add member to dprior class. 
Name of the parameter.
 2023-12-12 18:18:38 +01:00
Stéphane Adjemian (Ryûk) 61498e644a
One file per method. 2023-12-12 18:18:38 +01:00
Stéphane Adjemian (Ryûk) 3606b10f05
Add methods for computing moments. 
- prior mean
 - prior mode
 - prior median
 - prior variance
 2023-12-12 18:18:38 +01:00
Stéphane Adjemian (Ryûk) 5077969aad
Add members to @dprior class. 2023-12-12 18:18:38 +01:00
Stéphane Adjemian (Ryûk) 3d50844ae4
Make last input argument optional. 2023-12-12 18:18:38 +01:00
Stéphane Adjemian (Ryûk) 3c3353b7ed
Add methods to dprior (density and densities). 
Will be used as a replacement for priordens.
 2023-12-12 18:18:38 +01:00
Stéphane Adjemian (Ryûk) 03a68ddb89
Cosmetic changes. 2023-12-12 18:18:38 +01:00
Sébastien Villemot b1aa88e8da
Add clang-tidy configuration file 
[skip ci]
 2023-12-12 17:32:43 +01:00
Sébastien Villemot d3aac5e2d7
Fix typo 
[skip ci]
 2023-12-12 17:28:52 +01:00
Sébastien Villemot 62b31aa279
Merge branch 'cosmetics' of git.dynare.org:JohannesPfeifer/dynare 
Ref. !2218
 2023-12-12 17:15:38 +01:00