deb9ece36d
Fix MOD-file name in Kalman tests
2013-01-30 16:44:10 +01:00
f60acd4366
Relax criterion for decision rules test
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Otherwise it fails with on Karaba
2013-01-30 16:43:35 +01:00
b3acdc0836
Make various functions more generic, using templates
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This was necessary to make some tests work again
2013-01-30 16:43:02 +01:00
02fee79fc7
Add some sanity checks
2013-01-30 16:27:13 +01:00
5beec53458
Remove unused function prototype
2013-01-30 16:26:56 +01:00
c121aa14b1
Remove oo_.dr.{nstatic,npred,nboth,nfwrd,nspred,nsfwrd}
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Replace them by equivalents in M_ (and an extra one: M_.dynamic).
IMPORTANT POINT: oo_.dr.npred used to count both purely backward and mixed/both
variables. This was the cause of lots of confusion. The new M_.npred only
counts purely backward variables.
We now have the following indentities:
M_.npred + M_.nboth + M_.nfwrd + M_.nstatic = M_.endo_nbr
M_.nspred = M_.npred + M_.nboth
M_.nsfwrd = M_.nfwrd + M_.nboth
M_.ndynamic = M_.npred + M_.nboth + M_.nfwrd
2012-11-16 20:05:13 +01:00
31a13db66a
Remove duplicate information in M_.blocksMFS
2012-11-16 17:39:03 +01:00
bc1872625b
Fix typo in previous commit
2012-11-06 14:44:29 +01:00
50fd1a4c0d
In the two boundaries solver, gives up the symbolic solver if a stable computation solution could not be found on the first third of the simulation period
2012-11-06 14:38:51 +01:00
c031b463ff
Use my @dynare.org address
2012-10-01 16:41:18 +02:00
0332309647
Remove embedded SLICOT, rely on external binary
2012-09-13 11:08:42 +02:00
53709a3214
Ensure compatibility with matio 1.5
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Closes : #275
2012-08-07 14:44:45 +02:00
e5dd2d31ec
fix typo
2012-08-07 11:39:47 +02:00
2e65a9ab96
Provide a better implementation of linsolve for Octave
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Closes : #273
2012-08-06 18:26:16 +02:00
f5f5ca1a83
removing printing used for debugging
2012-08-01 18:38:42 +02:00
2244af9c62
adding pruning option for 3rd order
2012-07-31 21:50:59 +02:00
84164dc57e
adding possibility to pass derivative matrices to k_order_perturbation
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MEX function
2012-07-07 21:21:28 +02:00
287b134884
k_order mex: added derivatives as members of KorderpDynare
2012-07-06 13:52:17 +02:00
83623723d9
Block kalman filter: enclose OpenMP statements in conditionals
2012-06-11 14:31:33 +02:00
4a9592a50c
Fix LAPACK type error
2012-06-11 12:25:56 +02:00
2a8436aa44
Extends the block Kalman filter to the missing observations case (not called for the moment)
2012-06-11 10:39:25 +02:00
02efbd31a8
Convert files to Unix EOL
2012-06-08 19:10:19 +02:00
c079ace8c3
Remove various compiler warnings
2012-06-08 19:06:03 +02:00
1f9cea669a
Update copyright notices
2012-06-08 18:22:34 +02:00
6cb7a5f1e5
Corrects a bug in the arguments returned by bytecode
2012-06-06 16:32:01 +02:00
7dbd826d7e
Code cleaning
2012-06-06 16:30:28 +02:00
f36f76760a
Fix bug where the nth derivative of 0^n evaluated to 0 instead of n!
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(complement to commit cd0bc28e
2012-05-21 18:34:10 +02:00
e63c41184c
bytecode: removing debuging message
2012-05-20 14:37:30 +02:00
615535ad88
Fix compilation errors with GCC 4.7
2012-05-08 16:10:10 +02:00
b96c35a1a4
ms-sbvar: remove unused code
2012-04-13 15:56:25 +02:00
402363bab2
MS-SBVAR: rewrite ms_variance_decomposition
2012-03-08 17:54:35 +01:00
5f60f1bd27
MS-SBVAR: rewrite ms_forecast
2012-03-08 17:54:05 +01:00
864e0b7c7e
MS-SBVAR: rewrite ms_irf
2012-03-08 17:53:58 +01:00
3730957e9f
Considers both 'inf' and 'nan' results in functions return and improves an error message
2012-03-06 11:09:46 +01:00
3072c6e611
Displays more details in case of singular system
2012-03-06 11:03:13 +01:00
a2f3a53634
Parallelization of local_state_space_iteration_2 (used in non linear filters).
2012-03-05 23:11:49 +01:00
c49d33e6ba
Add local_state_space_iterations subdir to dist rule
2012-03-05 18:53:59 +01:00
40329e3e29
Added routine to compute one step ahead state space iteration (mex and m). The state space
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equations are approximated at order two around the deterministic steady state.
2012-03-04 22:07:27 +01:00
89ca683ab9
Fix "make dist" following changes in estimation DLL
2012-02-24 12:21:33 +01:00
da0beac147
updating calling sequence for estimation dll and introducing templates
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when necessary
2012-02-23 18:39:41 +01:00
eb567f5202
Cleaning the code: getting rid of unused variables
2012-02-17 10:59:39 +01:00
a66594caed
Add MEXEXT define to build system, adapt relevant DLL and Windows packaging
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Closes : #235
2012-01-09 12:39:09 +01:00
3e84e333b4
Changed verbosity options (fast deterministic simulations). Default is options_.verbosity==1.
2011-12-26 17:46:48 +01:00
cb9858d6a5
Minor improvements and bugfix to qmc_sequence
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* make 2nd argument optional
* fix bug related to 3rd argument
* simplify code
2011-12-26 16:09:33 +01:00
a1c466a3bb
Fix license notice of qmc_sequence MEX
2011-12-26 15:40:44 +01:00
1d4301bd97
Fix build failure on Octave/32-bit
2011-12-26 14:41:02 +01:00
6bb3a1c736
Fixed bug. Wrong calling sequence to dgemm.
2011-12-23 12:10:23 +01:00
b9d47ae42e
Fixed the inverse Gaussian Cumulative Distribution Function. Return -Inf/Inf if input is equal to
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0/1.
2011-12-23 11:16:06 +01:00
be6f82f145
Fixed bug (wrong size in memcpy for the last input argument).
2011-12-23 10:43:52 +01:00
dccc8478aa
Fixed warning message (warning: cast to pointer from integer of different size).
2011-12-22 13:08:26 +01:00
699b93b9d4
Fixed mex error message (use DYN_MEX_FUNC_ERR_MSG_TXT).
2011-12-22 12:14:39 +01:00
1aa26572f4
Fixed headers.
2011-12-22 12:11:20 +01:00
645dc7dc45
Fixed headers.
2011-12-22 11:32:53 +01:00
4869fff243
Added new mex file for computing Quasi Monte-Carlo sequences (Sobol), texinfo headers and unitary tests are available in <DYNARE_PATH>/matlab/qmc_sequence.m.
2011-12-21 18:23:15 +01:00
3ba5a645be
Make verbosity flag effective: do not print informations about perfect foresight solvers if options_.ep.verbosity=0.
2011-12-12 14:20:14 +01:00
a36cf30118
Make options_.dynatol specific to x/f by adding dynatol.x and dynatol.f. By default dynatol.x=dynatol.f= old default value of dynatol.
2011-12-12 14:20:14 +01:00
fefe425c61
mjdgges: add missing math.h header (for fabs())
2011-12-12 10:35:39 +01:00
6927a261e3
changing int* in lapack_int*
2011-11-26 10:59:22 +01:00
1f8e4a517b
Corrects the computation of the determinant of the covariance of the forecast error
2011-11-25 14:45:54 +01:00
715e528462
Corrects bugs in case of singular covariance matrix of the forecast error
2011-11-25 14:44:23 +01:00
bae787c5a1
Provides informations on errors from BLAS
2011-11-25 14:31:26 +01:00
7df4621b6b
Correct the size of covariance matrix of innovations
2011-11-25 14:27:25 +01:00
b58eaa8e2b
introducing new test for 0/0 case in mjdgges
2011-11-18 22:12:36 +01:00
d4b4060d69
Fix build failure with -Werror=format-security
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See Debian bug #646258 (http://bugs.debian.org/646258 ) and
http://wiki.debian.org/ReleaseGoals/SecurityHardeningBuildFlags for details.
2011-11-07 15:29:06 +01:00
d336bb00a0
Correction of a bug the dimension of Q matrix is equal to the number of shocks, not to the number of observable variables
2011-10-28 22:40:05 +02:00
ca10372607
* Correction of a bug appearing in a block decomposed model when an observable variable are also a state variable
2011-10-28 22:25:05 +02:00
ebcc9d8f91
Fix crash of mjdgges when options_.qz_criterium = []
2011-09-28 16:00:36 +02:00
a1ee7f1ee4
block_kalman_filter: add MEX to build system
2011-09-23 18:22:15 +02:00
324ad05ec1
block_kalman_filter: fix memory leak
2011-09-23 18:22:00 +02:00
3f2e29f7bf
Adapt block_kalman_filter to Dynare's way of handling errors in MEX files
2011-09-23 18:21:04 +02:00
b21a99d9d2
Adapt block_kalman_filter for Dynare's BLAS/LAPACK framework
2011-09-23 18:15:18 +02:00
3d1a0c2652
block-Kalman filter is now available when block option is used
2011-09-20 14:18:31 +02:00
560800bcc5
Changed the order of the output arguments in kronecker product related mex routines.
2011-09-05 18:57:42 +02:00
d7c06ead1e
ms-sbvar bugfix: replace shocks with shocks_per_parameter
2011-08-30 16:12:00 +02:00
6ef0f0c94d
ms-sbvar bugfix: remove option shocks as it is not used
2011-08-23 13:43:24 +02:00
383b12df0e
ms-sbvar bugfix: change the way options are passed to irf, forecast and variance decomposition mex functions
2011-08-23 13:43:24 +02:00
567ef44f6d
- Corrects the simulation period for a forward looking system
2011-08-11 14:15:49 +02:00
52fa569f00
Changed default value of the tolerance parameter.
2011-06-28 14:49:56 +02:00
f2450932da
Use DYN_MEX_FUNC_ERR_MSG_TXT when INFO>0.
2011-06-28 14:49:56 +02:00
10a21fdaa8
Cosmetic changes.
2011-06-28 14:49:56 +02:00
fe1b241186
Add an option in bytecode to prevent the display of error messages .
2011-06-18 17:15:47 +02:00
a07b0ae614
Bug Fix, when using parameter uncertainty on multiple regimes
2011-06-16 10:30:07 -04:00
fee32bdf25
Fix compilation problems with GCC 4.6
2011-06-13 11:38:09 +02:00
d53a1f5d04
MS-SBVAR: bug correction (replacing mxFree by free for space allocated with new)
2011-05-31 11:31:38 +02:00
a44a384146
remove extraneous code
2011-05-23 17:36:29 +02:00
561d07e89b
SWZ: bug fix
2011-05-20 14:34:21 +02:00
cd021d33f6
SWZ: make mex files return error code
2011-05-20 14:34:07 +02:00
5fa666e448
k-order perturbation: cosmetic change related to mxGetPr/mxGetData
2011-05-20 10:59:40 +02:00
f5b35df24f
k-order perturbation: fixed bug in M-file evaluation
2011-05-20 10:59:40 +02:00
da43f3d0f5
Adding Mex Functionality to work with new MS-SBVAR Code, includes Forecasting,IRF,Variance Decomposition, Plotting and new global settings
2011-05-13 15:13:02 +02:00
31b6c08347
Correct a bug when the model contains deterministic exogenous variables and bytecode option is used.
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Note that stochastic simulations do not work for the moment with block option.
2011-03-18 01:09:20 +01:00
f48aa28e39
Corrections for steady_state operator bug with bytecode. bytecode is now fixed.
2011-03-14 17:46:00 +01:00
55bb27c5f6
new correction for steady_state operator bug. Steady_state vector is passed as argument to *_dynamic model function. As a result, bytecode is currently broken.
2011-03-13 17:06:57 +01:00
b744707672
change macro defines to accord with change in submodule code
2011-03-04 11:35:38 +01:00
f6c51d4cc4
libslicot: fix typo (thanks to Thomas Weber)
2011-02-23 10:07:59 +01:00
eb0255d526
Build system: add MS-SBVAR to dist tarball
2011-02-22 16:51:23 +01:00
f2e2f68223
SWZ: centralize mex changes, remove unused functions
2011-02-22 15:06:38 +01:00
a1ade98209
SWZ: move mex files under mex/sources
2011-02-22 15:06:38 +01:00
670a40836f
add blas functions to dynblas.h
2011-02-22 15:06:38 +01:00
2ec494f1c9
kalman_steady_state: remove instances of mexErrMsgTxt
2011-02-11 12:25:14 +01:00
69375f4b93
logMHMCMCposterior: remove instances of mexErrMsgText
2011-02-11 12:25:10 +01:00
4ac3a6c5a4
replace mex.h with dynmex.h
2011-02-11 12:24:13 +01:00
7717da4316
K-order DLL: remove warning about NOMINMAX
2011-02-07 12:37:47 +01:00
3fa2339cfe
Estimation DLL: remove warning about NOMINMAX
2011-02-07 12:37:34 +01:00
0f9ec8b2dc
K-order DLL: add test for NaN/Inf in param/steady-state vectors to avoid crashes (thanks to J. Pfeifer for reporting this)
2011-02-07 11:12:57 +01:00
02652f6eb8
Updated copyright notices
2011-02-04 17:27:33 +01:00
cc2a9d90ac
Global reindentation of MEX source files
2011-02-04 16:53:12 +01:00
6f184371ef
- Correction of temporary terms when bytecode is used and solve_algo <= 4
2011-02-02 00:31:37 +01:00
66a7884a15
- Corrects the "if (~eval)" displayed with print option in bytecode
2011-01-31 17:44:22 +01:00
3393eebf71
When a model is evaluated with bytecode the residual has to be returned in the equations order (not in the variables order)
2011-01-31 12:30:16 +01:00
ce07223628
- The Temporary terms management with bytecode when the model is block decomposed and solve_algo<5 is now compatible with octave
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- Gets rid of warning message during the compilation of bytecode
2011-01-14 19:24:18 +01:00
206fff0e71
- Corrects the following problem:
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Octave BiCGStab algorithm involves a 0 division in case of a preconditioner equal to the LU decomposition of the A matrix (in a linear system of the form A.x = b).
- The solution:
Checks if the linear system is solved simply using: x_new = x_old + U \ (L \ x_old)
Ticket #11
2011-01-14 10:39:33 +01:00
ffc53ca910
Fix integer types in Kronecker DLLs
2011-01-13 19:34:49 +01:00
20f414e0d2
- Extends the error messages in bytecode
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- Implements the print option in bytecode
- Minor modifications to manage the global temporary terms
2010-12-31 16:41:50 +01:00
313f64e153
- Adds option 'print' to bytecode
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- Manages global temporary terms when the model is evaluated block by block
- Stores the result of a first order derivative only in case of numerical approximation. Do nothing if an external function is called to compute the first order derivatives (it has already been done during the function call)
- Cleans the code
2010-12-31 16:37:34 +01:00
816dbefa28
- Corrections in the debugging conditional preprocessor expressions
2010-12-31 16:29:39 +01:00
9aa79c6140
Another build system fix
2010-12-28 10:50:51 +01:00
887209208f
Estimation C++ DLL: Adding the new Proposal class with common, adjustable seed for both normal and uniform rng and the associated changes including the removal of now obsolete RandSampler class.
2010-12-24 09:49:59 +00:00
a11817cfa4
k-order: added support for m-files, added tests and modified manual
2010-12-22 09:48:05 +01:00
d0853e1658
k-order: removed unnecessary check
2010-12-22 09:48:05 +01:00
7a58637932
- Displays an error message and interrupts the execution of bytecode in case of unknown function
2010-12-17 18:54:03 +01:00
129d404eb8
- The binary operator oDerivPower is implemented in bytecode
2010-12-17 18:54:03 +01:00
d69d225b82
k-order: removed unused variable from class definition
2010-12-17 12:16:32 +01:00
aa58f7bd37
Estimation DLL, QRDecomposition: removed unused data members
2010-12-17 10:52:00 +01:00
424bd8257b
Estimation C++ DLL: Bug fixing in KalmanFilter.cc - re-setting a_init and some minor refactoring and tidying up
2010-12-17 09:02:24 +00:00
b63590712c
fixed bug in argument number check and removed unused variable
2010-12-14 18:42:29 +01:00
1329b57ff2
Estimation DLL: fix DecisionRules::compute() (was not reentrant, since GeneralizedSchurDecomposition::compute() modifies D and E)
2010-12-13 17:15:08 +01:00
915bb4c451
Estimation C++ DLL: Bug-fixing Sampler
2010-12-11 19:22:27 +00:00
d38c4de498
estimation_dll: adding test for logposterior
2010-12-10 21:34:40 +01:00
97664607b2
- external functions are compatible with block decomposition and/or bytecode
2010-12-10 12:06:50 +01:00
befa1b966b
Estimation DLL: removed illegal casts from pointer to integer
2010-12-09 10:49:44 +01:00
fa3e19fdfb
C++ Estimation DLL: Update of logMHMCMCposterior.cc with a draft octave MAT draws file save and adding a test random_walk_metropolis_hastings_core.m: Octave version crashes at start of DLL and Matlab version finishes with low acceptance due to frequent B&K and reports error within debugger too - needs more debugging!
2010-12-07 23:03:11 +00:00
2d84d8dc49
K-order DLL: code simplification
2010-12-06 17:01:06 +01:00
a9b4331a95
Bugfix at order 3 (hopefully was not affecting final results, thanks to Pablo Winant for spotting this):
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- in the 3rd derivatives matrix, among symmetric elements, the first one had
the right values but the following ones were set to zero
- moreover, the k-order DLL was trying to add all the symmetric elements in the
folded tensor, instead of only keeping one value among all the symmetric ones
- hopefully, Ondra's tensor library was (silently) refusing to add symmetric
elements after the first (and right) value had been added
- so the final result was correct
2010-12-06 17:00:46 +01:00
bdfa881a96
Reorganization of error handling in bytecode
2010-11-25 16:11:05 +01:00
010c4c0c20
Fixed bug in kalman_steady_state.cc related to long integer and (mkl) lapack calls. Changed building system by adding -fdefault-integer-8 flag to gfortran when slicot is compiled on a 64-bits platform.
2010-11-25 14:35:46 +01:00
5a9615951c
Kronecker DLL: fix minor issue (was creating a lot of warnings under Octave)
2010-11-24 19:12:03 +01:00
43f69d27e8
Kalman steady state DLL: minor fixes
2010-11-22 12:22:45 +01:00
b8aae7bbf9
Fix underscoring problems with Fortran code
2010-11-22 12:22:22 +01:00
81342073c0
Build system: added kalman_steady_state DLL sources to dist file
2010-11-22 10:39:19 +01:00
dfbbc415cd
Merge remote branch 'origin/master'
2010-11-19 14:49:26 +01:00
160922a189
Added mex file for computing the fixed point of the riccati equation in the kalman filter.
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The mex works with octave but not with matlab (lapack issue again ;-).
2010-11-19 14:39:54 +01:00
b3ee886391
Build system: added libslicot to dist file
2010-11-19 09:22:00 +01:00
d5b032c99f
Moved test files for kronecker product mex files from ./mex/sources/kronecker/tests to ./tests/kronecker.
2010-11-18 16:01:21 +01:00
382ab96cde
Added the Slicot library (distributed under the GNU General Public Licence at www.slicot.org). This library provides routines
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for the design and analysis of control systems. Adapted the building system to handle fortran 77 source files.
2010-11-18 10:11:27 +01:00
5c709e4733
Changed set_dynare_threads.m. The number of threads in parallelized mex files to be used if dynare is built with the openmp flag
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(--with-openmp) is not passed by an environment variable anymore. The function set_dynare_threads changes the default value of the
number of threads (default is 1) in the options_.threads structure. Changed calls to sparse_hessian_times_B_kronecker_C and
A_times_B_kronecker_C dlls accordingly.
2010-11-15 13:06:39 +01:00
dbe288e3ca
Make sure "min" and "max" macros are never defined under Windows, this can create conflicts with "std::min" and "std::max"
2010-10-29 12:01:47 +02:00
48096db2ff
Build system: add logMHMCMC DLL
2010-10-28 10:17:58 +02:00
036867765b
logMHMCMCposterior: minor compatibility fix for Octave (the 3rd arg of mexPutVariable() is not marked "const" under Octave)
2010-10-28 10:17:38 +02:00
8d3d004105
logMHMCMCposterior: under Octave, do load/save MAT files, because the "mat.h" interface does not exist
2010-10-28 10:15:53 +02:00
Sébastien Villemot
Ferhat
Sébastien Villemot
Houtan Bastani
Michel Juillard
Stéphane Adjemian (Charybdis)
Jacob Smith
Michel Juillard
George Perendia
Michel Juillard
Stéphane Adjemian (Charybdis)