ca83397d95
update copyright dates for files changed in 2015
2015-02-16 09:08:02 +01:00
5ff129e52d
simplified extended_path.m.
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homotopy and variable sample length should be handled in the solvers.
2015-01-11 21:12:32 +01:00
da8f702429
removed parfor used for building the Jacobian
2015-01-11 21:12:32 +01:00
823477519c
Corrects the extended path when bytecode option is used
2014-12-19 14:53:23 +01:00
6d42861e19
extended-path: fixing bug when options_.initial_period is NaN
2014-08-12 18:59:56 +02:00
812a8c7637
extended_path: fixed bugs when model doesn't converge
2014-08-12 12:12:15 +02:00
21d40f6123
fixed minor bug in stochastic extended path
2014-06-21 10:06:01 +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
6f9720ff84
removing debug code
2014-06-16 14:24:05 +02:00
a7ec5c7258
extended_path: adding missing files
2014-05-18 21:49:52 +02:00
a39d94409f
adding lmmcp as solver for extended path
2014-05-18 21:49:52 +02:00
23134353e3
extended_path: update tests models; correct bugs introduced in
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previous commit
2014-05-12 14:17:19 +02:00
26f2b301b0
make extended path algorithm 1 as a self contained problem usable by dynare_solve
2014-05-12 10:18:43 +02:00
add594ab7e
updating extended_path
2014-05-12 09:40:12 +02:00
f5ae90bcc8
extended-path: changed homotopy so that integration nodes change
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too (only for for case 1)
2014-03-16 18:54:52 +01:00
8f06a3134d
added unscented nodes generator
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put nodes generators in setup_integration_nodes.m
added stochastic_solvers to homotopic_steps
2014-03-16 18:54:52 +01:00
e1308a8192
Fixed homotopy for stochastic extended path.
2014-02-21 12:12:40 +01:00
6efe62a3b2
Transposed the definition of the innovations in (stochastic) extended path routine, so that, for a given state of the random number generator, stochastic simulations obtained with extended_path and stoch_simul commands consider the same innovations (when the number of shocks is greater than one). Otherwise the stochastic simulations cannot be compared.
2013-12-17 22:49:37 +01:00
6cb18b34fb
Added the possibilty to set the initial condition of the (stochastic) extended path simulations with the histval block.
2013-12-11 16:43:15 +01:00
a51db32145
Copy the generated time series in a dseries object (called Simulated_time_series) in the Base workspace (extended_path).
2013-12-11 10:01:22 +01:00
1b57cb4a07
Copy the generated time series in Base workspace (extended_path).
2013-12-09 11:08:08 +01:00
cc0d9b42f0
Changed name of options_.maxit as options_.simul.maxit.
2013-10-09 13:06:06 +02:00
61485ab809
Fix copyright notices
2013-06-12 17:04:46 +02:00
ebf93d672f
stochastic extended path: additional changes
2013-03-12 09:36:58 +01:00
dd75baa9b4
stochastic extended path: new algorithm with leaner tree, new hybrid
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option using second order perturbation correction,
solve_stochastic_perfect_foresight_model.m moves to matlab/ep directory
2013-03-11 16:09:08 +01:00
f42446033c
Compute tensorial grid (based on a univariate gauss hermite quadrature) for future shocks by default.
2012-11-29 12:56:01 +01:00
5c0d387c4f
Cosmetic change. Changed the organization of options for (stochastic) extended path
2012-11-29 12:56:01 +01:00
63157949ca
Removed useless routine.
2012-11-29 12:56:00 +01:00
e9c552c436
Initialize pfm structure in a new routine (setup_stochastic_perfect_foresight_model_solver).
2012-11-29 12:56:00 +01:00
1f9cea669a
Update copyright notices
2012-06-08 18:22:34 +02:00
08b9d1c8b3
fix function name
2012-06-08 16:25:22 +02:00
75675d3677
Code simplification, do not pass endo_simul and exo_simul to bytecode through the global structure oo_.
2012-03-12 10:34:28 +01:00
d995234003
Fixed bugs.
2012-03-08 12:49:17 +01:00
d64817437e
now extended_path with order = 0 calls solve_perfect_foresight_model()
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and order ~= 0 solve_stochastic_perfect_foresight_model().
checking only first period of simulation for convergence when checking horizon
2012-03-05 12:35:55 +01:00
859335b34f
Fixed bug in extended path routine (appearing when some innovations have zero variance).
2012-03-04 22:12:58 +01:00
192b5c7113
Fixed bugs in routines related to the extended path algorithm.
2012-03-04 22:09:18 +01:00
bad8746e77
corrected bugs in extended path. The code works now with
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./tests/ep/linear.mod
2012-03-04 20:59:57 +01:00
3564eca525
new version of solve_stochastic_perfect_foresight_model; doesn't work yet
2012-02-11 14:59:51 +01:00
6c9eeec7e5
Removed codes related to stochastic extended path.
2012-02-10 19:05:50 +01:00
44b03e5f19
modifying extended-path for parallel toolbox
2012-02-07 16:31:57 +01:00
9dfc0d5c08
Added calls to matlab implementation of the perfect foresight solver in homotopic routine (extended path approach).
2012-02-04 18:52:03 +01:00
704b0c9659
Added an option specifying if the bytecode solver has to be used first.
2012-02-04 16:26:22 +01:00
8a35ee7363
Added an option to skip the test on the number of periods over which the perfect foresight models are solved.
2012-02-04 16:19:15 +01:00
43f46f2886
Removed stability test over the last periods of the perfect foresight solution.
2012-02-03 14:06:35 +01:00
7978070814
Fixed bug.
2012-02-03 12:52:37 +01:00
fed2e229e5
Try first Ferhat's code and if it fails try the matlab's implementation of the the perfect foresight model solver.
2012-02-03 12:39:48 +01:00
ac54f7f528
Added comments and the possibility to use a matlab implementation of the perfect foresight model solver.
2012-02-03 11:25:03 +01:00
6328a44f33
Streamlined extended paths routines.
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* Removed the necessity (for the user) to run stoch_simul bebore
executing the exetended path routine (when options_.init>0).
* The value of options_.ep.init defines the mix (used for the
initialization of the perfect foresight solver) between the previous
perfect foresight solution and the path obtained with an order one
perturbation approach.
* Removed timing related statements.
* Changed homotopy set-up for stochastic extended path: add future
multivariate innovations one by one.
* Endogeneously increase step_length in the homotopy routine.
* Removed homotopy_2 related code.
2012-01-27 18:27:42 +01:00
5e87dfcd0f
Prevent homotopy routine to enter in the second loop (doi not (re)start the homotopy from weight=0).
2012-01-23 13:59:25 +01:00
9abb2e9ff8
Adapted homotopy routine to SEP.
2012-01-23 13:57:30 +01:00
Houtan Bastani
Michel Juillard
ferhat
Stéphane Adjemian (Scylla)
Sébastien Villemot
Sébastien Villemot
Houtan Bastani