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Adds fixed point solvers for Sylvester and Lyapunov equations

issue#70
Ferhat Mihoubi 2012-03-06 12:03:23 +01:00
parent 6e75fc31ca
commit ffb5119807
2 changed files with 16 additions and 4 deletions
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16
DynareBison.yy
View File

@ -100,6 +100,7 @@ class ParsingDriver;
%token END ENDVAL EQUAL ESTIMATION ESTIMATED_PARAMS ESTIMATED_PARAMS_BOUNDS ESTIMATED_PARAMS_INIT
%token FILENAME FILTER_STEP_AHEAD FILTERED_VARS FIRST_OBS LAST_OBS SET_TIME
%token <string_val> FLOAT_NUMBER
%token DEFAULT FIXED_POINT
%token FORECAST K_ORDER_SOLVER INSTRUMENTS PRIOR SHIFT MEAN STDEV VARIANCE MODE INTERVAL SHAPE DOMAINN
%token GAMMA_PDF GRAPH CONDITIONAL_VARIANCE_DECOMPOSITION NOCHECK STD
%token HISTVAL HOMOTOPY_SETUP HOMOTOPY_MODE HOMOTOPY_STEPS HP_FILTER HP_NGRID
@ -108,7 +109,7 @@ class ParsingDriver;
%token <string_val> DATE_NUMBER
%token INV_GAMMA_PDF INV_GAMMA1_PDF INV_GAMMA2_PDF IRF IRF_SHOCKS
%token KALMAN_ALGO KALMAN_TOL SUBSAMPLES OPTIONS
%token LABELS LAPLACE LIK_ALGO LIK_INIT LINEAR LOAD_IDENT_FILES LOAD_MH_FILE LOAD_PARAMS_AND_STEADY_STATE LOGLINEAR
%token LABELS LAPLACE LIK_ALGO LIK_INIT LINEAR LOAD_IDENT_FILES LOAD_MH_FILE LOAD_PARAMS_AND_STEADY_STATE LOGLINEAR LYAPUNOV
%token MARKOWITZ MARGINAL_DENSITY MAX MAXIT
%token MFS MH_DROP MH_INIT_SCALE MH_JSCALE MH_MODE MH_NBLOCKS MH_REPLIC MH_RECOVER MIN MINIMAL_SOLVING_PERIODS
%token MODE_CHECK MODE_COMPUTE MODE_FILE MODEL MODEL_COMPARISON MODEL_INFO MSHOCKS ABS SIGN
@ -123,7 +124,7 @@ class ParsingDriver;
%token QZ_CRITERIUM FULL DSGE_VAR DSGE_VARLAG DSGE_PRIOR_WEIGHT
%token RELATIVE_IRF REPLIC RPLOT SAVE_PARAMS_AND_STEADY_STATE
%token SHOCKS SHOCK_DECOMPOSITION SIGMA_E SIMUL SIMUL_ALGO SIMUL_SEED SMOOTHER STACK_SOLVE_ALGO STEADY_STATE_MODEL SOLVE_ALGO
%token STDERR STEADY STOCH_SIMUL
%token STDERR STEADY STOCH_SIMUL SYLVESTER
%token TEX RAMSEY_POLICY PLANNER_DISCOUNT DISCRETIONARY_POLICY
%token <string_val> TEX_NAME
%token UNIFORM_PDF UNIT_ROOT_VARS USE_DLL USEAUTOCORR GSA_SAMPLE_FILE
@ -694,8 +695,8 @@ svar_identification_elem : EXCLUSION LAG INT_NUMBER ';' svar_equation_list
{ driver.add_constants_exclusion(); }
| RESTRICTION EQUATION INT_NUMBER COMMA
{ driver.add_restriction_equation_nbr($3);}
restriction_expression EQUAL
{driver.add_restriction_equal();}
restriction_expression EQUAL
{driver.add_restriction_equal();}
restriction_expression ';'
| UPPER_CHOLESKY ';'
{ driver.add_upper_cholesky(); }
@ -925,6 +926,7 @@ stoch_simul_options : o_dr_algo
| o_conditional_variance_decomposition
| o_k_order_solver
| o_pruning
| o_sylvester
;
symbol_list : symbol_list symbol
@ -1339,6 +1341,8 @@ estimation_options : o_datafile
| o_cova_compute
| o_irf_shocks
| o_sub_draws
| o_sylvester
| o_lyapunov
;
list_optim_option : QUOTED_STRING COMMA QUOTED_STRING
@ -2072,6 +2076,10 @@ o_aim_solver: AIM_SOLVER {driver.option_num("aim_solver", "1"); };
o_partial_information : PARTIAL_INFORMATION {driver.option_num("partial_information", "1"); };
o_sub_draws: SUB_DRAWS EQUAL INT_NUMBER {driver.option_num("sub_draws",$3);};
o_planner_discount : PLANNER_DISCOUNT EQUAL expression { driver.declare_optimal_policy_discount_factor_parameter($3); };
o_sylvester : SYLVESTER EQUAL FIXED_POINT {driver.option_num("sylvester_fp", "1"); }
| SYLVESTER EQUAL DEFAULT {driver.option_num("sylvester_fp", "0"); };
o_lyapunov : LYAPUNOV EQUAL FIXED_POINT {driver.option_num("lyapunov_fp", "1"); }
| LYAPUNOV EQUAL DEFAULT {driver.option_num("lyapunov_fp", "0"); };
o_bvar_prior_tau : BVAR_PRIOR_TAU EQUAL signed_number { driver.option_num("bvar_prior_tau", $3); };
o_bvar_prior_decay : BVAR_PRIOR_DECAY EQUAL non_negative_number { driver.option_num("bvar_prior_decay", $3); };

4
DynareFlex.ll
View File

@ -290,6 +290,8 @@ string eofbuff;
<DYNARE_STATEMENT>dummy_obs {return token::DUMMY_OBS;}
<DYNARE_STATEMENT>nstates {return token::NSTATES;}
<DYNARE_STATEMENT>indxscalesstates {return token::INDXSCALESSTATES;}
<DYNARE_STATEMENT>fixed_point {return token::FIXED_POINT;}
<DYNARE_STATEMENT>default {return token::DEFAULT;}
<DYNARE_STATEMENT>alpha {
yylval->string_val = new string(yytext);
return token::ALPHA;
@ -481,6 +483,8 @@ string eofbuff;
<DYNARE_STATEMENT>stack_solve_algo {return token::STACK_SOLVE_ALGO;}
<DYNARE_STATEMENT>drop {return token::DROP;}
<DYNARE_STATEMENT>order {return token::ORDER;}
<DYNARE_STATEMENT>sylvester {return token::SYLVESTER;}
<DYNARE_STATEMENT>lyapunov {return token::LYAPUNOV;}
<DYNARE_STATEMENT>replic {return token::REPLIC;}
<DYNARE_STATEMENT>ar {return token::AR;}
<DYNARE_STATEMENT>nofunctions {return token::NOFUNCTIONS;}