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Verified Commit 50946f8b authored by Normann Rion's avatar Normann Rion Committed by Sébastien Villemot
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Fix `simult_.m` to call specialized simulation codes for order <= 3 instead of... 

Fix `simult_.m` to call specialized simulation codes for order <= 3 instead of `k_order_simul` whenever possible

(manually cherry picked from commit 03064501)
parent 07bd0442
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Stage: test
Stage: pkg
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matlab/stochastic_solver/simult_.m
+ 6
− 15
View file @ 50946f8b
......@@ -38,24 +38,15 @@ iter = size(ex_,1);
endo_nbr = M_.endo_nbr;
exo_nbr = M_.exo_nbr;
y_ = zeros(size(y0,1),iter+M_.maximum_lag);
y_(:,1) = y0;
if options_.loglinear && ~options_.logged_steady_state
k = get_all_variables_but_lagged_leaded_exogenous(M_);
dr.ys(k)=log(dr.ys(k));
end
if ~options_.k_order_solver || (options_.k_order_solver && options_.pruning) %if k_order_pert is not used or if we do not use Dynare++ with k_order_pert
if iorder==1
y_(:,1) = y_(:,1)-dr.ys;
end
end
if options_.k_order_solver
if (iorder > 3) || (iorder == 3 && ~options_.pruning)
if options_.order~=iorder
error(['The k_order_solver requires the specified approximation order to be '...
'consistent with the one used for computing the decision rules'])
error(['The k_order_simul routine requires the specified approximation order to be '...
'consistent with the one used for computing the decision rules'])
end
y_ = k_order_simul(iorder,M_.nstatic,M_.npred,M_.nboth,M_.nfwrd,exo_nbr, ...
y0(dr.order_var,:),ex_',dr.ys(dr.order_var),dr, ...
......@@ -64,10 +55,12 @@ if options_.k_order_solver
else
k2 = dr.kstate(find(dr.kstate(:,2) <= M_.maximum_lag+1),[1 2]);
k2 = k2(:,1)+(M_.maximum_lag+1-k2(:,2))*endo_nbr;
y_ = zeros(size(y0,1),iter+M_.maximum_lag);
y_(:,1) = y0;
order_var = dr.order_var;
switch iorder
case 1
y_(:,1) = y_(:,1)-dr.ys;
if isempty(dr.ghu)% For (linearized) deterministic models.
for i = 2:iter+M_.maximum_lag
yhat = y_(order_var(k2),i-1);
......@@ -164,7 +157,5 @@ else
yhat2 = yhat2(ipred);
yhat3 = yhat3(ipred);
end
otherwise
error(['k_order_solver required for pruning at order = ' int2str(iorder)])
end
end
tests/stochastic_simulations/fs2000_k_order_simul.mod
+ 28
− 16
View file @ 50946f8b
......@@ -65,13 +65,15 @@ end;
steady;
stoch_simul(order=2,nograph);
stoch_simul(order=2,k_order_solver,nograph);
ex=randn(5,M_.exo_nbr);
Y2_matlab = simult_(M_,options_,oo_.dr.ys,oo_.dr,ex,options_.order);
stoch_simul(order=2,k_order_solver);
Y2_mex = simult_(M_,options_,oo_.dr.ys,oo_.dr,ex,options_.order);
Y2_mex = k_order_simul(options_.order,M_.nstatic,M_.npred,M_.nboth,M_.nfwrd,M_.exo_nbr, ...
oo_.dr.ys(oo_.dr.order_var),ex',oo_.dr.ys(oo_.dr.order_var),oo_.dr,...
options_.pruning);
Y2_mex(oo_.dr.order_var,:) = Y2_mex;
if max(abs(Y2_matlab(:)-Y2_mex(:)))>1e-8;
error('2nd order: Matlab and mex simulation routines do not return similar results')
......@@ -80,7 +82,10 @@ end
Y2_mexiter = NaN(M_.endo_nbr,size(ex,1)+1);
Y2_mexiter(:,1) = oo_.dr.ys;
for it = 1:size(ex,1)
Y2_temp = simult_(M_,options_,Y2_mexiter(:,it),oo_.dr,ex(it,:),options_.order);
Y2_temp = k_order_simul(options_.order,M_.nstatic,M_.npred,M_.nboth,M_.nfwrd, ...
M_.exo_nbr,Y2_mexiter(oo_.dr.order_var,it),ex(it,:)', ...
oo_.dr.ys(oo_.dr.order_var),oo_.dr,options_.pruning);
Y2_temp(oo_.dr.order_var,:) = Y2_temp;
Y2_mexiter(:,it+1) = Y2_temp(:,2);
end
......@@ -88,13 +93,18 @@ if max((abs(Y2_mex(:) - Y2_mexiter(:))))>1e-8;
error('2nd order: sequential call does not return similar results')
end
stoch_simul(order=3, k_order_solver, nograph, irf=0);
Y3_mex = simult_(M_,options_,oo_.dr.ys,oo_.dr,ex,options_.order);
stoch_simul(order=3,k_order_solver,nograph,irf=0);
Y3_mex = k_order_simul(options_.order,M_.nstatic,M_.npred,M_.nboth,M_.nfwrd,M_.exo_nbr, ...
oo_.dr.ys(oo_.dr.order_var),ex',oo_.dr.ys(oo_.dr.order_var),oo_.dr,...
options_.pruning);
Y3_mex(oo_.dr.order_var,:) = Y3_mex;
Y3_mexiter = NaN(M_.endo_nbr,size(ex,1)+1);
Y3_mexiter(:,1) = oo_.dr.ys;
for it = 1:size(ex,1)
Y3_temp = simult_(M_,options_,Y3_mexiter(:,it),oo_.dr,ex(it,:),options_.order);
Y3_temp = k_order_simul(options_.order,M_.nstatic,M_.npred,M_.nboth,M_.nfwrd, ...
M_.exo_nbr,Y3_mexiter(oo_.dr.order_var,it),ex(it,:)', ...
oo_.dr.ys(oo_.dr.order_var),oo_.dr,options_.pruning);
Y3_temp(oo_.dr.order_var,:) = Y3_temp;
Y3_mexiter(:,it+1) = Y3_temp(:,2);
end
......@@ -102,23 +112,25 @@ if max((abs(Y3_mex(:) - Y3_mexiter(:))))>1e-8;
error('3rd order: sequential call does not return similar results')
end
stoch_simul(order=2, k_order_solver, pruning, nograph, irf=0);
stoch_simul(order=2,k_order_solver,pruning,nograph,irf=0);
options_.k_order_solver=false;
Y2_matlab = simult_(M_,options_,oo_.dr.ys,oo_.dr,ex,options_.order);
options_.k_order_solver=true;
Y2_mex = simult_(M_,options_,oo_.dr.ys,oo_.dr,ex,options_.order);
Y2_mex = k_order_simul(options_.order,M_.nstatic,M_.npred,M_.nboth,M_.nfwrd,M_.exo_nbr, ...
oo_.dr.ys(oo_.dr.order_var),ex',oo_.dr.ys(oo_.dr.order_var),oo_.dr,...
options_.pruning);
Y2_mex(oo_.dr.order_var,:) = Y2_mex;
if max(abs(Y2_matlab(:)-Y2_mex(:)))>1e-8;
error('2nd order with pruning: Matlab and mex simulation routines do not return similar results')
end
stoch_simul(order=3, k_order_solver, pruning, nograph, irf=0);
stoch_simul(order=3,k_order_solver,pruning,nograph,irf=0);
options_.k_order_solver=false;
Y3_matlab = simult_(M_,options_,oo_.dr.ys,oo_.dr,ex,options_.order);
options_.k_order_solver=true;
Y3_mex = simult_(M_,options_,oo_.dr.ys,oo_.dr,ex,options_.order);
Y3_mex = k_order_simul(options_.order,M_.nstatic,M_.npred,M_.nboth,M_.nfwrd,M_.exo_nbr, ...
oo_.dr.ys(oo_.dr.order_var),ex',oo_.dr.ys(oo_.dr.order_var),oo_.dr,...
options_.pruning);
Y3_mex(oo_.dr.order_var,:) = Y3_mex;
if max(abs(Y3_matlab(:)-Y3_mex(:)))>1e-8;
error('3rd order with pruning: Matlab and mex simulation routines do not return similar results')
......
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