/*
* Copyright (C) 2007-2009 Dynare Team
*
* This file is part of Dynare.
*
* Dynare is free software: you can redistribute it and/or modify
* it under the terms of the GNU General Public License as published by
* the Free Software Foundation, either version 3 of the License, or
* (at your option) any later version.
*
* Dynare is distributed in the hope that it will be useful,
* but WITHOUT ANY WARRANTY; without even the implied warranty of
* MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the
* GNU General Public License for more details.
*
* You should have received a copy of the GNU General Public License
* along with Dynare. If not, see .
*/
/*
* This mex file computes A*kron(B,C) or A*kron(B,B) without explicitly building kron(B,C) or kron(B,B), so that
* one can consider large matrices A, B and/or C, and assuming that A is a the hessian of a dsge model
* (dynare format). This mex file should not be used outside dr1.m.
*/
#include
#include "mex.h"
#ifdef NO_OPENMP
#define USE_OMP 0
#define DEBUG_OMP 0
#else
#define USE_OMP 1
#define DEBUG_OMP 0
#include
#endif
#ifdef MWTYPES_NOT_DEFINED
typedef int mwIndex;
typedef int mwSize;
#endif
void sparse_hessian_times_B_kronecker_B(mwIndex *isparseA, mwIndex *jsparseA, double *vsparseA,
double *B, double *D, mwSize mA, mwSize nA, mwSize mB, mwSize nB)
{
/*
** Loop over the columns of kron(B,B) (or of the result matrix D).
** This loop is splitted into two nested loops because we use the
** symmetric pattern of the hessian matrix.
*/
#if USE_OMP
#pragma omp parallel for num_threads(atoi(getenv("DYNARE_NUM_THREADS")))
#endif
for(int j1B=0; j1B0)
{
memcpy(&D[(j2B*nB+j1B)*mA],&D[jj*mA],mA*sizeof(double));
}
}
}
}
void sparse_hessian_times_B_kronecker_C(mwIndex *isparseA, mwIndex *jsparseA, double *vsparseA,
double *B, double *C, double *D,
mwSize mA, mwSize nA, mwSize mB, mwSize nB, mwSize mC, mwSize nC)
{
/*
** Loop over the columns of kron(B,B) (or of the result matrix D).
*/
#if USE_OMP
#pragma omp parallel for num_threads(atoi(getenv("DYNARE_NUM_THREADS")))
#endif
for(long int jj=0; jj 3) || (nrhs <2) )
{
mexErrMsgTxt("Two or Three input arguments required.");
}
if (nlhs>1)
{
mexErrMsgTxt("Too many output arguments.");
}
if (!mxIsSparse(prhs[0]))
{
mexErrMsgTxt("First input must be a sparse (dynare) hessian matrix.");
}
// Get & Check dimensions (columns and rows):
mwSize mA, nA, mB, nB, mC, nC;
mA = mxGetM(prhs[0]);
nA = mxGetN(prhs[0]);
mB = mxGetM(prhs[1]);
nB = mxGetN(prhs[1]);
if (nrhs == 3)// A*kron(B,C) is to be computed.
{
mC = mxGetM(prhs[2]);
nC = mxGetN(prhs[2]);
if (mB*mC != nA)
{
mexErrMsgTxt("Input dimension error!");
}
}
else// A*kron(B,B) is to be computed.
{
if (mB*mB != nA)
{
mexErrMsgTxt("Input dimension error!");
}
}
// Get input matrices:
double *B, *C;
B = mxGetPr(prhs[1]);
if (nrhs == 3)
{
C = mxGetPr(prhs[2]);
}
// Sparse (dynare) hessian matrix.
mwIndex *isparseA = (mwIndex*)mxGetIr(prhs[0]);
mwIndex *jsparseA = (mwIndex*)mxGetJc(prhs[0]);
double *vsparseA = mxGetPr(prhs[0]);
// Initialization of the ouput:
double *D;
if (nrhs == 3)
{
plhs[0] = mxCreateDoubleMatrix(mA,nB*nC,mxREAL);
}
else
{
plhs[0] = mxCreateDoubleMatrix(mA,nB*nB,mxREAL);
}
D = mxGetPr(plhs[0]);
// Computational part:
if (nrhs == 2)
{
sparse_hessian_times_B_kronecker_B(isparseA, jsparseA, vsparseA, B, D, mA, nA, mB, nB);
}
else
{
sparse_hessian_times_B_kronecker_C(isparseA, jsparseA, vsparseA, B, C, D, mA, nA, mB, nB, mC, nC);
}
}