- Creates the library `libkordersim` with all the relevant Fortran routines to `folded_to_unfolded_dr` and `local_state_space_iteration_fortran`
- Implements `folded_to_unfolded_dr`, which converts folded decision rule matrices to their unfolded counterparts
Partially addresses issue #1680:
- unconditional welfare resorts to dynare++ simulation tools, which shall be updated very soon
TO DO:
- implement a function computing kth-order approximation of simulated moments of y
— allow the user to override compilation flags for MATLAB MEX (it was already
working for the preprocessor, the MEX for Octave and Dynare++)
— increase the symmetry of MEX build infrastructure between MATLAB and Octave
— when linking MEX for Octave, do not add the output of “mkoctfile -p FLIBS”.
It is unneeded, and it can create a conflict between the system compiler and
a user-supplied compiler
By the way:
— restore optimization on macOS for C/C++ MEX (it had been removed in
5df2392a09)
— remove -fno-omit-frame-pointer on MATLAB/Linux, since it would be cancelled
by subsequent -O2 and should not be needed anyways
— remove FFLAGS under Octave, unused
The current Octave support is utterly broken (both in stable and unstable), it
crashes Octave. It relies on an unofficial Octave app for
macOS (https://octave-app.org), which is infrequently updated.
This commits drop support for Octave in the macOS package. We will now tell our
macOS+octave users to use the Homebrew Dynare package (which is maintained by
the Homebrew team, and is in reasonably good shape).
— FCFLAGS needs to contain the compilation flags used when compiling Octave,
otherwise it fails at configure stage when looking for gfortran
— Explicitly add -L$OCTLIBDIR, because with Octave 5 it is no longer there, and
on Fedora the Octave libraries are no in the default linker search path
It applies the approximated policy function to a set of particles, using
Dynare++ routines.
There is support for parallelization, using Dynare++ multithreading
model (itself based on C++11 threads; we don’t use OpenMP because it is
incompatible with MKL). For the time being, default to a single thread. This
should be later refined through empirical testing.
This MEX solves nonlinear systems of equations using a trust region algorithm.
The problem is subdivided in smaller problems by doing a block
triangularisation of the Jacobian at the guess value, using the
Dulmage-Mendelsohn algorithm.
The interface of the MEX is simply:
[x, info] = block_trust_region(f, guess_value);
Where f is either a function handle or a string designating a function.
f must take one argument (the evaluation point), and return either one or two
arguments (the residuals and, optionally, the Jacobian).
On success, info=0; on failure, info=1.
The changes in 8065e9d439 were not working as
intended, because AC_CHECK_PROG expect values and not actions. Hence
AC_MSG_ERROR was not properly executed.
By the way, simplify some test conditions using && instead of if/then/fi
blocks.
In particular, if either MATLAB or Octave is missing, one needs to pass either
--disable-matlab or --disable-octave.
Moreover, several new configure flags have been introduced for disabling some
components:
--disable-doc
--disable-dynare++
--disable-mex-dynare++
--disable-mex-ms-sbvar
--disable-mex-kalman-steady-state
The MEX files are built out-of-tree (because we want to do them in parallel).
This would create a potential race condition if several builds want to create
the symlinks under mex/matlab/ or mex/octave/.
The solution is to disable those symlinks for out-of-tree builds.
The scripts are based the former “dynare-build” project. They have been
overhauled and simplified.
Building a Windows package (both installer and zip archive) is as easy as
running “make -C windows” (provided the right Debian packages are installed,
use the “windows/install-packages.sh” script for that purpose).
The layout of MEX files for Octave in the package has been
changed (mex/octave/win32/ and mex/octave/win64/ instead of mex/octave32/ and
mex/octave/), for consistency with MATLAB MEX.
Sébastien Villemot
Normann Rion
Stéphane Adjemian (Odysseus)
Houtan Bastani