959349d30f
Put rgwmh options in a substructure.
2015-05-28 18:03:53 +02:00
194bdb57c3
Merge branch 'rewrite-nonlinear-filters'
2015-05-28 15:40:39 +02:00
fe8750c1bc
preprocessor: add minimal_workspace option to dynare statement, #946
2015-05-28 11:50:39 +02:00
0c2483278c
Add three variables for RWGMH.
2015-05-28 11:45:16 +02:00
38a276fb08
restore the default value for distribution_approximation
2015-05-27 14:57:01 +02:00
e5df26a6e8
preprocessor: add use_tarb option to estimation. #940
2015-05-13 15:32:24 +02:00
f960e7bb68
Merged branch simpsa-inf-fix.
2015-05-07 16:01:43 +02:00
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
de526eae57
Merge pull request #906 from JohannesPfeifer/table_display
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Cosmetic fixes to the on-screen display of tables
2015-05-07 15:15:38 +02:00
efc5ec7002
Merge pull request #908 from JohannesPfeifer/optimizer_doc
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Add documentation for new optimizers
2015-05-07 15:12:15 +02:00
18e9521450
preprocessor: add dirname option to estimation. closes #910
2015-04-27 11:59:21 +02:00
9408319e48
Cosmetic changes related to solvopt.m
2015-04-24 12:31:27 +02:00
8285121f9b
Allow selection of tolerance for display of decision rules
2015-04-22 15:37:35 +02:00
1970951d1f
Merge branch 'johannes_fix_simulated_annealing_and_other_optimization_related_issues'
2015-04-16 22:31:07 +02:00
fe48de4406
Re-set default of new option diffuse_kalman_tol to 1e-6:
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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
a81c9da9a2
Add simulated_annealing.m to optimizers
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Restores compatibility of mode_compute=102
2015-04-06 11:08:20 +02:00
405b1f7368
Add solvopt.m to Dynare optimizers
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Restores compatibility of mode_compute=101
2015-04-06 11:05:12 +02:00
090c4fedbd
Added new option (diffuse_kalman_tol) and fixed tolerance paremeters in diffuse smoother routines.
2015-04-03 18:02:03 +02:00
c881cfff17
Fixed issues related to newratflag.
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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
6db9f10353
preprocessor: remove use of tables completely as they were introduced in Matlab R2013b. #824
2015-03-09 17:59:05 +01:00
d77b5104d2
preprocessor: cell2table doesn’t exist in Octave
2015-03-09 17:16:59 +01:00
30428aeb17
preprocessor: add joint prior syntax, #824
2015-03-03 15:08:33 +01:00
0ef7524977
Use dynare_minimize_objective for OSR computations
2015-02-28 20:37:10 +01:00
0bb413e8fa
Merge branch 'experimental-optimizers'
2015-02-24 20:44:39 +01:00
5ef340b8cf
Rewrote gmhmaxlik routine (mode_compute==6).
2015-02-24 20:34:35 +01:00
f72910ae33
fix preprocessor implimentation of filter_algorithm option to estimation. closes #843
2015-02-09 03:20:37 +01:00
dd6f8c182c
Move call to optimizers in mode-computing to separate file to allow other function to access all integrated optimizers
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- 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
268e8627f0
Add missing simple option to global_initialization.m
2014-11-25 09:54:41 +01:00
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
cc96d46911
Transfer hard-coded verbosity of simplex algorithm into an option
2014-11-10 19:54:44 +01:00
a9bb341b0a
Increase default maxit for steady and deterministic simulations
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Judging from forum reports, the default fails too often. Closes #747
2014-09-30 11:47:58 +02:00
8655df67a9
Clean up use of verbosity option
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- 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
5500846280
Added option distribution_proposal (estimation, non linear filters).
2014-09-08 22:36:41 +02:00
4c9be8a56a
Removed useless option.
2014-09-08 22:36:41 +02:00
df19396acf
Added option proposal_approximation (estimation, non linear filters).
2014-09-08 22:36:41 +02:00
9bfdeb30e2
Bug fixes.
2014-09-08 22:36:41 +02:00
5e4b7d8d42
Added filter_algorithm (estimation command, sets the particle filter algorithm).
2014-09-08 22:36:41 +02:00
bcad4f31f2
Added option resampling_method (estimation command, non linear filters).
2014-09-08 22:36:41 +02:00
08c74b8f41
Added option resampling_threshold (estimation command, non linear filters).
2014-09-08 22:36:40 +02:00
a6009908e4
Added option resampling (estimation command, non linear filters).
2014-09-08 22:36:40 +02:00
f6a1df8549
Increased default number of particles.
2014-09-08 22:36:40 +02:00
62b4cfe631
Provisions for moment calibration.
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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
0efcef8f20
Added the possibility to declare non linear prior restrictions over estimated parameters.
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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
5b08223820
Changed default value of initial_period (NaN).
2014-07-17 22:05:08 +02:00
4613fb2bf4
Adding initialization for lmmcp options
2014-07-08 13:53:18 +02:00
788c528c84
Merge branch 'master' into use-dseries
2014-06-19 18:13:35 +02:00
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
499967f9a1
adding an option to extended path to control homotopic steps and
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continue in case of failed case
2014-06-16 14:25:23 +02:00
06d1f66242
Fix initialization of the fields in options_.dataset + Cosmetic changes.
2014-05-21 16:47:58 +02:00
0f62d74ee4
Fixed bug. Global options_.dataset.file must be initialized as an empty array.
2014-04-30 15:35:43 +02:00
Stéphane Adjemian (Hermes)
Houtan Bastani
Frédéric Karamé
Johannes Pfeifer
Marco Ratto
Johannes Pfeifer
Michel Juillard