59 lines
2.0 KiB
Modula-2
59 lines
2.0 KiB
Modula-2
/*
|
|
Tests that the parallelized version of local_state_space_iteration_k and local_state_space_iteration_fortran
|
|
(for k=3) return the same results.
|
|
|
|
This file must be run after first_spec.mod (both are based on the same model).
|
|
*/
|
|
|
|
@#include "first_spec_common.inc"
|
|
|
|
varobs q ca;
|
|
|
|
shocks;
|
|
var eeps = 0.04^2;
|
|
var nnu = 0.03^2;
|
|
var q = 0.01^2;
|
|
var ca = 0.01^2;
|
|
end;
|
|
|
|
// Initialize various structures
|
|
estimation(datafile='my_data.mat',order=2,mode_compute=0,mh_replic=0,filter_algorithm=sis,nonlinear_filter_initialization=2
|
|
,cova_compute=0 %tell program that no covariance matrix was computed
|
|
);
|
|
|
|
stoch_simul(order=2, periods=200, irf=0, k_order_solver);
|
|
|
|
// Really perform the test
|
|
|
|
nparticles = options_.particle.number_of_particles;
|
|
nsims = 1e6/nparticles;
|
|
|
|
/* We generate particles using realistic distributions (though this is not
|
|
strictly needed) */
|
|
state_idx = oo_.dr.order_var((M_.nstatic+1):(M_.nstatic+M_.npred+M_.nboth));
|
|
yhat = chol(oo_.var(state_idx,state_idx))*randn(M_.npred+M_.nboth, nparticles);
|
|
epsilon = chol(M_.Sigma_e)*randn(M_.exo_nbr, nparticles);
|
|
|
|
stoch_simul(order=3, periods=200, irf=0, k_order_solver);
|
|
|
|
options_.threads.local_state_space_iteration_k = 2;
|
|
options_.threads.local_state_space_iteration_fortran = 2;
|
|
|
|
tStart1 = tic; for i=1:nsims, ynext1 = local_state_space_iteration_k(yhat, epsilon, oo_.dr, M_, options_); end, tElapsed1 = toc(tStart1);
|
|
|
|
tStart2 = tic; [udr] = folded_to_unfolded_dr(oo_.dr, M_, options_); for i=1:nsims, ynext2 = local_state_space_iteration_fortran(yhat, epsilon, oo_.dr, M_, options_, udr); end, tElapsed2 = toc(tStart2);
|
|
|
|
if max(max(abs(ynext1-ynext2))) > 1e-14
|
|
error('Inconsistency between local_state_space_iteration_k and local_state_space_iteration_fortran')
|
|
end
|
|
|
|
if tElapsed2<tElapsed1
|
|
skipline()
|
|
dprintf('local_state_space_iteration_fortran is %5.2f times faster than local_state_space_iteration_k', tElapsed1/tElapsed2)
|
|
skipline()
|
|
else
|
|
skipline()
|
|
dprintf('local_state_space_iteration_fortran is %5.2f times slower than local_state_space_iteration_k', tElapsed2/tElapsed1)
|
|
skipline()
|
|
end
|