From 39f47dc95792ba6ab68d81eceecf439714bc715c Mon Sep 17 00:00:00 2001
From: =?UTF-8?q?S=C3=A9bastien=20Villemot?= <sebastien@dynare.org>
Date: Fri, 4 Feb 2022 11:31:09 +0100
Subject: [PATCH] local_state_space_iteration_k MEX now uses the Fortran code
(instead of the C++ code)
Closes: #1802
---
matlab/non_linear_dsge_likelihood.m | 3 +-
matlab/particles | 2 +-
.../local_state_space_iteration_fortran.am | 14 --
mex/build/local_state_space_iterations.am | 10 +-
mex/build/matlab/Makefile.am | 4 +-
mex/build/matlab/configure.ac | 3 +-
.../Makefile.am | 2 -
mex/build/octave/Makefile.am | 4 +-
mex/build/octave/configure.ac | 3 +-
.../Makefile.am | 3 -
mex/sources/Makefile.am | 1 -
mex/sources/libkordersim/pparticle.f08 | 6 +-
.../local_state_space_iteration_k.cc | 191 ------------------
.../local_state_space_iteration_k.f08} | 4 +-
tests/Makefile.am | 3 +-
tests/particle/local_it_k_test_parallel.mod | 58 ------
.../local_state_space_iteration_k_test.mod | 45 +----
17 files changed, 23 insertions(+), 333 deletions(-)
delete mode 100644 mex/build/local_state_space_iteration_fortran.am
delete mode 100644 mex/build/matlab/local_state_space_iteration_fortran/Makefile.am
delete mode 100644 mex/build/octave/local_state_space_iteration_fortran/Makefile.am
delete mode 100644 mex/sources/local_state_space_iterations/local_state_space_iteration_k.cc
rename mex/sources/{local_state_space_iteration_fortran/mexFunction.f08 => local_state_space_iterations/local_state_space_iteration_k.f08} (99%)
delete mode 100644 tests/particle/local_it_k_test_parallel.mod
diff --git a/matlab/non_linear_dsge_likelihood.m b/matlab/non_linear_dsge_likelihood.m
index 965f09f6b8..aca12b111c 100644
--- a/matlab/non_linear_dsge_likelihood.m
+++ b/matlab/non_linear_dsge_likelihood.m
@@ -26,7 +26,7 @@ function [fval,info,exit_flag,DLIK,Hess,ys,trend_coeff,Model,DynareOptions,Bayes
% - BayesInfo [struct] See INPUTS section.
% - DynareResults [struct] Updated DynareResults structure described in INPUTS section.
-% Copyright (C) 2010-2021 Dynare Team
+% Copyright (C) 2010-2022 Dynare Team
%
% This file is part of Dynare.
%
@@ -127,6 +127,7 @@ ReducedForm.mf1 = mf1;
if DynareOptions.k_order_solver && ~(DynareOptions.particle.pruning && DynareOptions.order==2)
ReducedForm.use_k_order_solver = true;
ReducedForm.dr = dr;
+ ReducedForm.udr = folded_to_unfolded_dr(dr, Model, DynareOptions);
else
ReducedForm.use_k_order_solver = false;
ReducedForm.ghx = dr.ghx(restrict_variables_idx,:);
diff --git a/matlab/particles b/matlab/particles
index 2e18ca8ff5..d20be2c271 160000
--- a/matlab/particles
+++ b/matlab/particles
@@ -1 +1 @@
-Subproject commit 2e18ca8ff584d1ab47658f329ab73ab1c27cdf6f
+Subproject commit d20be2c271b442d91bd36aea300e4837a066ae2d
diff --git a/mex/build/local_state_space_iteration_fortran.am b/mex/build/local_state_space_iteration_fortran.am
deleted file mode 100644
index 3950f09fbd..0000000000
--- a/mex/build/local_state_space_iteration_fortran.am
+++ /dev/null
@@ -1,14 +0,0 @@
-mex_PROGRAMS = local_state_space_iteration_fortran
-
-local_state_space_iteration_fortran_FCFLAGS = $(AM_FCFLAGS) -I../libkordersim -pthread
-
-nodist_local_state_space_iteration_fortran_SOURCES = \
- mexFunction.f08
-
-local_state_space_iteration_fortran_LDADD = ../libkordersim/libkordersim.a
-
-BUILT_SOURCES = $(nodist_local_state_space_iteration_fortran_SOURCES)
-CLEANFILES = $(nodist_local_state_space_iteration_fortran_SOURCES)
-
-%.f08: $(top_srcdir)/../../sources/local_state_space_iteration_fortran/%.f08
- $(LN_S) -f $< $@
diff --git a/mex/build/local_state_space_iterations.am b/mex/build/local_state_space_iterations.am
index 645e24b077..07e709284b 100644
--- a/mex/build/local_state_space_iterations.am
+++ b/mex/build/local_state_space_iterations.am
@@ -1,14 +1,13 @@
mex_PROGRAMS = local_state_space_iteration_2 local_state_space_iteration_k
nodist_local_state_space_iteration_2_SOURCES = local_state_space_iteration_2.cc
-nodist_local_state_space_iteration_k_SOURCES = local_state_space_iteration_k.cc
+nodist_local_state_space_iteration_k_SOURCES = local_state_space_iteration_k.f08
local_state_space_iteration_2_CXXFLAGS = $(AM_CXXFLAGS) -fopenmp
local_state_space_iteration_2_LDFLAGS = $(AM_LDFLAGS) $(OPENMP_LDFLAGS)
-local_state_space_iteration_k_CPPFLAGS = $(AM_CPPFLAGS) -I$(top_srcdir)/../../../dynare++/sylv/cc -I$(top_srcdir)/../../../dynare++/tl/cc -I$(top_srcdir)/../../../dynare++/kord -I$(top_srcdir)/../../../dynare++/utils/cc $(CPPFLAGS_MATIO)
-local_state_space_iteration_k_LDFLAGS = $(AM_LDFLAGS) $(LDFLAGS_MATIO)
-local_state_space_iteration_k_LDADD = ../libdynare++/libdynare++.a $(LIBADD_MATIO)
+local_state_space_iteration_k_FCFLAGS = $(AM_FCFLAGS) -I../libkordersim -pthread
+local_state_space_iteration_k_LDADD = ../libkordersim/libkordersim.a
BUILT_SOURCES = $(nodist_local_state_space_iteration_2_SOURCES) \
$(nodist_local_state_space_iteration_k_SOURCES)
@@ -17,3 +16,6 @@ CLEANFILES = $(nodist_local_state_space_iteration_2_SOURCES) \
%.cc: $(top_srcdir)/../../sources/local_state_space_iterations/%.cc
$(LN_S) -f $< $@
+
+%.f08: $(top_srcdir)/../../sources/local_state_space_iterations/%.f08
+ $(LN_S) -f $< $@
diff --git a/mex/build/matlab/Makefile.am b/mex/build/matlab/Makefile.am
index ef90175072..091eec8a1b 100644
--- a/mex/build/matlab/Makefile.am
+++ b/mex/build/matlab/Makefile.am
@@ -1,10 +1,10 @@
ACLOCAL_AMFLAGS = -I ../../../m4
-SUBDIRS = mjdgges kronecker bytecode block_kalman_filter sobol perfect_foresight_problem num_procs block_trust_region disclyap_fast
+SUBDIRS = mjdgges kronecker bytecode block_kalman_filter sobol perfect_foresight_problem num_procs block_trust_region disclyap_fast libkordersim local_state_space_iterations folded_to_unfolded_dr k_order_simul k_order_mean
# libdynare++ must come before gensylv and k_order_perturbation
if ENABLE_MEX_DYNAREPLUSPLUS
-SUBDIRS += libdynare++ gensylv libkorder k_order_perturbation k_order_welfare local_state_space_iterations libkordersim folded_to_unfolded_dr local_state_space_iteration_fortran k_order_simul k_order_mean
+SUBDIRS += libdynare++ gensylv libkorder k_order_perturbation k_order_welfare
endif
if ENABLE_MEX_MS_SBVAR
diff --git a/mex/build/matlab/configure.ac b/mex/build/matlab/configure.ac
index a35cc2b383..8da4222afe 100644
--- a/mex/build/matlab/configure.ac
+++ b/mex/build/matlab/configure.ac
@@ -1,6 +1,6 @@
dnl Process this file with autoconf to produce a configure script.
-dnl Copyright © 2009-2021 Dynare Team
+dnl Copyright © 2009-2022 Dynare Team
dnl
dnl This file is part of Dynare.
dnl
@@ -165,7 +165,6 @@ AC_CONFIG_FILES([Makefile
local_state_space_iterations/Makefile
libkordersim/Makefile
folded_to_unfolded_dr/Makefile
- local_state_space_iteration_fortran/Makefile
k_order_simul/Makefile
k_order_mean/Makefile
perfect_foresight_problem/Makefile
diff --git a/mex/build/matlab/local_state_space_iteration_fortran/Makefile.am b/mex/build/matlab/local_state_space_iteration_fortran/Makefile.am
deleted file mode 100644
index 448c76eb28..0000000000
--- a/mex/build/matlab/local_state_space_iteration_fortran/Makefile.am
+++ /dev/null
@@ -1,2 +0,0 @@
-include ../mex.am
-include ../../local_state_space_iteration_fortran.am
\ No newline at end of file
diff --git a/mex/build/octave/Makefile.am b/mex/build/octave/Makefile.am
index 9747e4c9e0..495d73e727 100644
--- a/mex/build/octave/Makefile.am
+++ b/mex/build/octave/Makefile.am
@@ -1,10 +1,10 @@
ACLOCAL_AMFLAGS = -I ../../../m4
-SUBDIRS = mjdgges kronecker bytecode block_kalman_filter sobol perfect_foresight_problem num_procs block_trust_region disclyap_fast
+SUBDIRS = mjdgges kronecker bytecode block_kalman_filter sobol perfect_foresight_problem num_procs block_trust_region disclyap_fast libkordersim local_state_space_iterations folded_to_unfolded_dr k_order_simul k_order_mean
# libdynare++ must come before gensylv and k_order_perturbation
if ENABLE_MEX_DYNAREPLUSPLUS
-SUBDIRS += libdynare++ gensylv libkorder k_order_perturbation k_order_welfare local_state_space_iterations libkordersim folded_to_unfolded_dr local_state_space_iteration_fortran k_order_simul k_order_mean
+SUBDIRS += libdynare++ gensylv libkorder k_order_perturbation k_order_welfare
endif
if ENABLE_MEX_MS_SBVAR
diff --git a/mex/build/octave/configure.ac b/mex/build/octave/configure.ac
index f7b83fa585..956d09a9e3 100644
--- a/mex/build/octave/configure.ac
+++ b/mex/build/octave/configure.ac
@@ -1,6 +1,6 @@
dnl Process this file with autoconf to produce a configure script.
-dnl Copyright © 2009-2021 Dynare Team
+dnl Copyright © 2009-2022 Dynare Team
dnl
dnl This file is part of Dynare.
dnl
@@ -166,7 +166,6 @@ AC_CONFIG_FILES([Makefile
local_state_space_iterations/Makefile
libkordersim/Makefile
folded_to_unfolded_dr/Makefile
- local_state_space_iteration_fortran/Makefile
k_order_simul/Makefile
k_order_mean/Makefile
perfect_foresight_problem/Makefile
diff --git a/mex/build/octave/local_state_space_iteration_fortran/Makefile.am b/mex/build/octave/local_state_space_iteration_fortran/Makefile.am
deleted file mode 100644
index 8dcce8dc6a..0000000000
--- a/mex/build/octave/local_state_space_iteration_fortran/Makefile.am
+++ /dev/null
@@ -1,3 +0,0 @@
-EXEEXT = .mex
-include ../mex.am
-include ../../local_state_space_iteration_fortran.am
diff --git a/mex/sources/Makefile.am b/mex/sources/Makefile.am
index 51d5f60fbd..9ef0e4336c 100644
--- a/mex/sources/Makefile.am
+++ b/mex/sources/Makefile.am
@@ -18,7 +18,6 @@ EXTRA_DIST = \
local_state_space_iterations \
libkordersim \
folded_to_unfolded_dr \
- local_state_space_iteration_fortran \
k_order_simul \
k_order_mean \
gensylv \
diff --git a/mex/sources/libkordersim/pparticle.f08 b/mex/sources/libkordersim/pparticle.f08
index e94bd93c34..a74d421680 100644
--- a/mex/sources/libkordersim/pparticle.f08
+++ b/mex/sources/libkordersim/pparticle.f08
@@ -1,4 +1,4 @@
-! Copyright © 2021 Dynare Team
+! Copyright © 2021-2022 Dynare Team
!
! This file is part of Dynare.
!
@@ -15,7 +15,7 @@
! You should have received a copy of the GNU General Public License
! along with Dynare. If not, see <https://www.gnu.org/licenses/>.
-! Routines and data structures for multithreading over particles in local_state_space_iteration_fortran
+! Routines and data structures for multithreading over particles in local_state_space_iteration_k
module pparticle
use iso_c_binding
use simulation
@@ -75,4 +75,4 @@ contains
end subroutine thread_eval
-end module pparticle
\ No newline at end of file
+end module pparticle
diff --git a/mex/sources/local_state_space_iterations/local_state_space_iteration_k.cc b/mex/sources/local_state_space_iterations/local_state_space_iteration_k.cc
deleted file mode 100644
index 6eb1c5fb4b..0000000000
--- a/mex/sources/local_state_space_iterations/local_state_space_iteration_k.cc
+++ /dev/null
@@ -1,191 +0,0 @@
-/*
- * Copyright © 2019-2021 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 <https://www.gnu.org/licenses/>.
- */
-
-#include <memory>
-#include <string>
-#include <utility>
-
-#include <dynmex.h>
-
-#include "tl_static.hh"
-#include "decision_rule.hh"
-#include "sthread.hh"
-
-/* The class that does the real job. It computes the next iteration for a given
- range of particles. There will be as many instances as there are parallel
- threads.
-
- Note that we can’t use OpenMP since it is incompatible with MKL, which is
- used internally by Dynare++ routines under MATLAB. Hence we fall back to
- the Dynare++ multithreading abstraction. */
-struct ParticleWorker : public sthread::detach_thread
-{
- const int npred_both, exo_nbr;
- const std::pair<size_t, size_t> particle_range;
- const ConstGeneralMatrix &yhat, ε
- const Vector &ys_reordered;
- const UnfoldDecisionRule &dr;
- const ConstVector &restrict_var_list;
- GeneralMatrix &ynext;
-
- ParticleWorker(int npred_both_arg, int exo_nbr_arg, std::pair<size_t, size_t> particle_range_arg,
- const ConstGeneralMatrix &yhat_arg, const ConstGeneralMatrix &epsilon_arg,
- const Vector &ys_reordered_arg, const UnfoldDecisionRule &dr_arg,
- const ConstVector &restrict_var_list_arg, GeneralMatrix &ynext_arg)
- : npred_both{npred_both_arg}, exo_nbr{exo_nbr_arg}, particle_range{std::move(particle_range_arg)},
- yhat{yhat_arg}, epsilon{epsilon_arg}, ys_reordered{ys_reordered_arg}, dr{dr_arg},
- restrict_var_list{restrict_var_list_arg}, ynext{ynext_arg}
- {
- }
- void
- operator()(std::mutex &mut) override
- {
- Vector dyu(npred_both+exo_nbr);
- Vector dy(dyu, 0, npred_both);
- Vector u(dyu, npred_both, exo_nbr);
- Vector ynext_col_allvars(ys_reordered.length());
-
- for (size_t i = particle_range.first; i < particle_range.second; i++)
- {
- dy = yhat.getCol(i);
- u = epsilon.getCol(i);
-
- dr.eval(DecisionRule::emethod::horner, ynext_col_allvars, dyu);
-
- ynext_col_allvars.add(1.0, ys_reordered);
-
- /* Select only the variables in restrict_var_list, and copy back to the
- result matrix */
- Vector ynext_col{ynext.getCol(i)};
- for (int j = 0; j < restrict_var_list.length(); j++)
- ynext_col[j] = ynext_col_allvars[restrict_var_list[j]-1];
- }
- }
-};
-
-void
-mexFunction(int nlhs, mxArray *plhs[], int nrhs, const mxArray *prhs[])
-{
- if (nrhs != 5 || nlhs != 1)
- mexErrMsgTxt("Must have 5 input arguments and 1 output argument");
-
- // Give explicit names to input arguments
- const mxArray *yhat_mx = prhs[0];
- const mxArray *epsilon_mx = prhs[1];
- const mxArray *dr_mx = prhs[2];
- const mxArray *M_mx = prhs[3];
- const mxArray *options_mx = prhs[4];
-
- auto get_int_field = [](const mxArray *struct_mx, const std::string &fieldname)
- {
- mxArray *field_mx = mxGetField(struct_mx, 0, fieldname.c_str());
- if (!(field_mx && mxIsScalar(field_mx) && mxIsNumeric(field_mx)))
- mexErrMsgTxt(("Field `" + fieldname + "' should be a numeric scalar").c_str());
- return static_cast<int>(mxGetScalar(field_mx));
- };
-
- int nstatic = get_int_field(M_mx, "nstatic");
- int npred = get_int_field(M_mx, "npred");
- int nboth = get_int_field(M_mx, "nboth");
- int nfwrd = get_int_field(M_mx, "nfwrd");
- int endo_nbr = nstatic + npred + nboth + nfwrd;
- int exo_nbr = get_int_field(M_mx, "exo_nbr");
- int order = get_int_field(options_mx, "order");
-
- const mxArray *order_var_mx = mxGetField(dr_mx, 0, "order_var");
- if (!(order_var_mx && mxIsDouble(order_var_mx) && mxGetNumberOfElements(order_var_mx) == static_cast<size_t>(endo_nbr)))
- mexErrMsgTxt("Field dr.order_var should be a double precision vector with endo_nbr elements");
- const mxArray *ys_mx = mxGetField(dr_mx, 0, "ys");
- if (!ys_mx || !mxIsDouble(ys_mx) || mxGetNumberOfElements(ys_mx) != static_cast<size_t>(endo_nbr))
- mexErrMsgTxt("Field dr.ys should be a double precision vector with endo_nbr elements");
- const mxArray *restrict_var_list_mx = mxGetField(dr_mx, 0, "restrict_var_list");
- if (!(restrict_var_list_mx && mxIsDouble(restrict_var_list_mx)))
- mexErrMsgTxt("Field dr.restrict_var_list should be a double precision vector");
-
- size_t nparticles = mxGetN(yhat_mx);
- if (mxGetN(epsilon_mx) != nparticles)
- mexErrMsgTxt("epsilon and yhat don't have the same number of columns");
- if (!(mxIsDouble(yhat_mx) && mxGetM(yhat_mx) == static_cast<size_t>(npred + nboth)))
- mexErrMsgTxt("yhat should be a double precision matrix with npred+nboth rows");
- if (!(mxIsDouble(epsilon_mx) && mxGetM(epsilon_mx) == static_cast<size_t>(exo_nbr)))
- mexErrMsgTxt("epsilon should be a double precision matrix with exo_nbr rows");
-
- const mxArray *threads_mx = mxGetField(options_mx, 0, "threads");
- if (!threads_mx)
- mexErrMsgTxt("Can't find field `threads' in options_");
- int num_threads = get_int_field(threads_mx, "local_state_space_iteration_k");
-
- ConstGeneralMatrix yhat{yhat_mx};
- ConstGeneralMatrix epsilon{epsilon_mx};
- ConstVector ys{ys_mx};
- const double *order_var = mxGetPr(order_var_mx);
- ConstVector restrict_var_list{restrict_var_list_mx};
-
- try
- {
- TLStatic::init(order, npred+nboth+exo_nbr);
- }
- catch (TLException &e)
- {
- mexErrMsgTxt(("Dynare++ error: " + e.message).c_str());
- }
-
- // Form the polynomial (copied from dynare_simul_.cc)
- UTensorPolynomial pol(endo_nbr, npred+nboth+exo_nbr);
- for (int dim = 0; dim <= order; dim++)
- {
- const mxArray *gk_m = mxGetField(dr_mx, 0, ("g_" + std::to_string(dim)).c_str());
- if (!gk_m)
- mexErrMsgTxt(("Can't find field `g_" + std::to_string(dim) + "' in dr structure").c_str());
- ConstTwoDMatrix gk{gk_m};
- FFSTensor ft{endo_nbr, npred+nboth+exo_nbr, dim};
- if (ft.ncols() != gk.ncols())
- mexErrMsgTxt(("Wrong number of columns for folded tensor: got " + std::to_string(gk.ncols()) + " but i want " + std::to_string(ft.ncols()) + '\n').c_str());
- if (ft.nrows() != gk.nrows())
- mexErrMsgTxt(("Wrong number of rows for folded tensor: got " + std::to_string(gk.nrows()) + " but i want " + std::to_string(ft.nrows()) + '\n').c_str());
- ft.zeros();
- ft.add(1.0, gk);
- pol.insert(std::make_unique<UFSTensor>(ft));
- }
-
- // Construct the reordered steady state (dr.ys(dr.order_var))
- Vector ys_reordered(endo_nbr);
- for (int i = 0; i < endo_nbr; i++)
- ys_reordered[i] = ys[static_cast<int>(order_var[i])-1];
-
- // Form the decision rule
- UnfoldDecisionRule dr(pol, PartitionY(nstatic, npred, nboth, nfwrd),
- exo_nbr, ys_reordered);
-
- // Create the result matrix
- plhs[0] = mxCreateDoubleMatrix(restrict_var_list.length(), nparticles, mxREAL);
- GeneralMatrix ynext{plhs[0]};
-
- // Run the real job in parallel
- sthread::detach_thread_group::max_parallel_threads = num_threads;
- sthread::detach_thread_group group;
- // The following is equivalent to ceil(nparticles/num_threads), but with integer arithmetic
- int part_by_thread = nparticles / num_threads + (nparticles % num_threads > 0);
- for (size_t i = 0; i < nparticles; i += part_by_thread)
- group.insert(std::make_unique<ParticleWorker>(npred+nboth, exo_nbr,
- std::make_pair(i, std::min(i+part_by_thread, nparticles)),
- yhat, epsilon, ys_reordered, dr, restrict_var_list,
- ynext));
- group.run();
-}
diff --git a/mex/sources/local_state_space_iteration_fortran/mexFunction.f08 b/mex/sources/local_state_space_iterations/local_state_space_iteration_k.f08
similarity index 99%
rename from mex/sources/local_state_space_iteration_fortran/mexFunction.f08
rename to mex/sources/local_state_space_iterations/local_state_space_iteration_k.f08
index cd861fcdca..5bda26936e 100644
--- a/mex/sources/local_state_space_iteration_fortran/mexFunction.f08
+++ b/mex/sources/local_state_space_iterations/local_state_space_iteration_k.f08
@@ -1,4 +1,4 @@
-! Copyright © 2021 Dynare Team
+! Copyright © 2021-2022 Dynare Team
!
! This file is part of Dynare.
!
@@ -118,7 +118,7 @@ subroutine mexFunction(nlhs, plhs, nrhs, prhs) bind(c, name='mexFunction')
if (.not. c_associated(thread_mx)) then
call mexErrMsgTxt("Cannot find `threads' in options_")
end if
- nm = get_int_field(thread_mx, "local_state_space_iteration_fortran")
+ nm = get_int_field(thread_mx, "local_state_space_iteration_k")
end associate
nparticles = int(mxGetN(yhat_mx));
diff --git a/tests/Makefile.am b/tests/Makefile.am
index 2a0c63c097..0fd3af7d3f 100644
--- a/tests/Makefile.am
+++ b/tests/Makefile.am
@@ -618,8 +618,7 @@ PARTICLEFILES = \
particle/dsge_base2.mod \
particle/first_spec.mod \
particle/first_spec_MCMC.mod \
- particle/local_state_space_iteration_k_test.mod \
- particle/local_it_k_test_parallel.mod
+ particle/local_state_space_iteration_k_test.mod
XFAIL_MODFILES = ramst_xfail.mod \
diff --git a/tests/particle/local_it_k_test_parallel.mod b/tests/particle/local_it_k_test_parallel.mod
deleted file mode 100644
index 5967e07cf4..0000000000
--- a/tests/particle/local_it_k_test_parallel.mod
+++ /dev/null
@@ -1,58 +0,0 @@
-/*
- 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
diff --git a/tests/particle/local_state_space_iteration_k_test.mod b/tests/particle/local_state_space_iteration_k_test.mod
index 50a78af0dd..1478931ad1 100644
--- a/tests/particle/local_state_space_iteration_k_test.mod
+++ b/tests/particle/local_state_space_iteration_k_test.mod
@@ -1,8 +1,5 @@
/*
- Tests that :
- (i) local_state_space_iteration_2, local_state_space_iteration_k and local_state_space_iteration_fortran
- (for k=2) return the same results
- (ii) local_state_space_iteration_k and local_state_space_iteration_fortran return the same results for k=3 without parallelization.
+ Tests that local_state_space_iteration_2 and local_state_space_iteration_k (for k=2) return the same results
This file must be run after first_spec.mod (both are based on the same model).
*/
@@ -37,8 +34,6 @@ yhat = chol(oo_.var(state_idx,state_idx))*randn(M_.npred+M_.nboth, nparticles);
epsilon = chol(M_.Sigma_e)*randn(M_.exo_nbr, nparticles);
dr = oo_.dr;
-options_.threads.local_state_space_iteration_fortran = 1;
-options_.threads.local_state_space_iteration_k = 1;
// “rf” stands for “Reduced Form”
@@ -52,17 +47,11 @@ rf_ghxu = dr.ghxu(dr.restrict_var_list, :);
tStart1 = tic; for i=1:nsims, ynext1 = local_state_space_iteration_2(yhat, epsilon, rf_ghx, rf_ghu, rf_constant, rf_ghxx, rf_ghuu, rf_ghxu, options_.threads.local_state_space_iteration_2); end, tElapsed1 = toc(tStart1);
-tStart2 = tic; for i=1:nsims, ynext2 = local_state_space_iteration_k(yhat, epsilon, dr, M_, options_); end, tElapsed2 = toc(tStart2);
-
-
-tStart3 = tic; [udr] = folded_to_unfolded_dr(dr, M_, options_); for i=1:nsims, ynext3 = local_state_space_iteration_fortran(yhat, epsilon, dr, M_, options_, udr); end, tElapsed3 = toc(tStart3);
+tStart2 = tic; [udr] = folded_to_unfolded_dr(dr, M_, options_); for i=1:nsims, ynext2 = local_state_space_iteration_k(yhat, epsilon, dr, M_, options_, udr); end, tElapsed2 = toc(tStart2);
if max(max(abs(ynext1-ynext2))) > 1e-14
error('Inconsistency between local_state_space_iteration_2 and local_state_space_iteration_k')
end
-if max(max(abs(ynext1-ynext3))) > 1e-14
- error('Inconsistency between local_state_space_iteration_2 and local_state_space_iteration_fortran')
-end
if tElapsed1<tElapsed2
skipline()
@@ -73,33 +62,3 @@ else
dprintf('local_state_space_iteration_2 is %5.2f times slower than local_state_space_iteration_k', tElapsed1/tElapsed2)
skipline()
end
-
-if tElapsed1<tElapsed3
- skipline()
- dprintf('local_state_space_iteration_2 is %5.2f times faster than local_state_space_iteration_fortran', tElapsed3/tElapsed1)
- skipline()
-else
- skipline()
- dprintf('local_state_space_iteration_2 is %5.2f times slower than local_state_space_iteration_fortran', tElapsed1/tElapsed3)
- skipline()
-end
-
-stoch_simul(order=3, periods=200, irf=0, k_order_solver);
-
-tStart31 = tic; for i=1:nsims, ynext31 = local_state_space_iteration_k(yhat, epsilon, oo_.dr, M_, options_); end, tElapsed31 = toc(tStart31);
-
-tStart32 = tic; [udr] = folded_to_unfolded_dr(oo_.dr, M_, options_); for i=1:nsims, ynext32 = local_state_space_iteration_fortran(yhat, epsilon, oo_.dr, M_, options_, udr); end, tElapsed32 = toc(tStart32);
-
-if max(max(abs(ynext31-ynext32))) > 1e-14
- error('Inconsistency between local_state_space_iteration_k and local_state_space_iteration_fortran')
-end
-
-if tElapsed32<tElapsed31
- skipline()
- dprintf('local_state_space_iteration_fortran is %5.2f times faster than local_state_space_iteration_k', tElapsed31/tElapsed32)
- skipline()
-else
- skipline()
- dprintf('local_state_space_iteration_fortran is %5.2f times slower than local_state_space_iteration_k', tElapsed32/tElapsed31)
- skipline()
-end
--
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