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tests/riccatiupdate.m deleted 100644 → 0
View file @ 369cc0e9
source_dir = getenv('source_root');
addpath([source_dir filesep 'matlab']);
dynare_config;
testFailed = 0;
skipline()
disp('*** TESTING: riccatiupdate.m ***');
t0 = clock;
% Set the number of experiments for time measurement
N = 5000;
% Set the dimension of the problem to be solved.
r = 50;
n = 100;
tol = 1e-15;
% Set the input arguments
% P, Q: use the fact that for any real matrix A, A'*A is positive semidefinite
P = rand(n,r);
P = P'*P;
Q = rand(n,r);
Q = Q'*Q;
K = rand(r,n);
Z = rand(n,r);
T = rand(r,r);
% Computing an upperbound for the norm the updated variance-covariance matrix
ub = norm(T,1)^2*norm(P,1)*(1+norm(K*Z,1))+norm(Q,1);
% Weighting the P and Q matrices to keep the norm of the variance-covariance matrix below 1
P = 0.5*P/ub;
Q = 0.5*Q/ub;
% 1. Update the state vairance-covariance matrix with Matlab
tElapsed1 = 0.;
tic;
for i=1:N
Ptmp_matlab = T*(P-K*Z*P)*transpose(T)+Q;
end
tElapsed1 = toc;
disp(['Elapsed time for the Matlab Riccati update is: ' num2str(tElapsed1) ' (N=' int2str(N) ').'])
% 2. Update the state varance-covariance matrix with the mex routine
tElapsed2 = 0.;
Ptmp_fortran = P;
try
tic;
for i=1:N
Ptmp_fortran = riccati_update(P, T, K, Z, Q);
end
tElapsed2 = toc;
disp(['Elapsed time for the Fortran Riccati update is: ' num2str(tElapsed2) ' (N=' int2str(N) ').'])
R = norm(Ptmp_fortran-Ptmp_matlab,1);
if (R > tol)
testFailed = testFailed+1;
dprintf('The Fortran Riccati update is wrong')
end
catch
testFailed = testFailed+1;
dprintf('Fortran Riccati update failed')
end
% Compare the Fortran and Matlab execution time
if tElapsed1<tElapsed2
skipline()
dprintf('Matlab Riccati update is %5.2f times faster than its Fortran counterpart.', tElapsed2/tElapsed1)
skipline()
else
skipline()
dprintf('Fortran Riccati update is %5.2f times faster than its Matlab counterpart.', tElapsed1/tElapsed2)
skipline()
end
% Compare results after multiple calls
N = 50;
disp(['After 1 update using the Riccati formula, the norm-1 discrepancy is ' num2str(norm(Ptmp_fortran-Ptmp_matlab,1)) '.']);
for i=2:N
Ptmp_matlab = T*(Ptmp_matlab-K*Z*Ptmp_matlab)*transpose(T)+Q;
Ptmp_fortran = riccati_update(Ptmp_fortran, T, K, Z, Q);
disp(['After ' int2str(i) ' updates using the Riccati formula, the norm-1 discrepancy is ' num2str(norm(Ptmp_fortran-Ptmp_matlab,1)) '.'])
end
t1 = clock;
fprintf('\n*** Elapsed time (in seconds): %.1f\n\n', etime(t1, t0));
quit(testFailed > 0)
tests/run_block_bytecode_tests.m
View file @ 00701cdd
% Copyright © 2011-2024 Dynare Team
% Copyright © 2011-2025 Dynare Team
%
% This file is part of Dynare.
%
......@@ -111,36 +111,47 @@ for blockFlag = 0:1
end
end
for i = 1:length(stack_solve_algos)
if ismember(stack_solve_algos(i), [2 3])
if storageFlag ~= 2
preconditioners = {'umfiter', 'iterstack', 'ilu'};
else % bytecode
preconditioners = {'ilu'};
end
else
preconditioners = {''};
end
for j = 1:length(preconditioners)
try
old_path = path;
clear oo_ % Ensure that oo_.endo_simul won’t be overwritten when loading wsMat
save wsMat
run_ls2003(blockFlag, storageFlag, default_solve_algo, stack_solve_algos(i))
run_ls2003(blockFlag, storageFlag, default_solve_algo, stack_solve_algos(i), preconditioners{j})
load wsMat
path(old_path);
% Test against the reference simulation path
load('test.mat','y_ref');
diff = oo_.endo_simul - y_ref;
if max(max(abs(diff))) > options_.dynatol.x
failedBlock{size(failedBlock,2)+1} = ['block_bytecode' filesep 'run_ls2003.m(' num2str(blockFlag) ',' num2str(storageFlag) ',' num2str(default_solve_algo) ',' num2str(stack_solve_algos(i)) ')'];
failedBlock{size(failedBlock,2)+1} = ['block_bytecode' filesep 'run_ls2003.m(' num2str(blockFlag) ',' num2str(storageFlag) ',' num2str(default_solve_algo) ',' num2str(stack_solve_algos(i)) ',' preconditioners{j} ')'];
if isoctave
exception.message = 'ERROR: simulation path differs from the reference path';
else
exception = MException('Dynare:simerr', 'ERROR: simulation path difers from the reference path');
end
printTestError(['block_bytecode' filesep 'run_ls2003.m(' num2str(blockFlag) ',' num2str(storageFlag) ',' num2str(default_solve_algo) ',' num2str(stack_solve_algos(i)) ')'], exception);
printTestError(['block_bytecode' filesep 'run_ls2003.m(' num2str(blockFlag) ',' num2str(storageFlag) ',' num2str(default_solve_algo) ',' num2str(stack_solve_algos(i)) ',' preconditioners{j} ')'], exception);
clear exception
end
catch exception
load wsMat
path(old_path);
failedBlock{size(failedBlock,2)+1} = ['block_bytecode' filesep 'run_ls2003.m(' num2str(blockFlag) ',' num2str(storageFlag) ',' num2str(default_solve_algo) ',' num2str(stack_solve_algos(i)) ')'];
printTestError(['block_bytecode' filesep 'run_ls2003.m(' num2str(blockFlag) ',' num2str(storageFlag) ',' num2str(default_solve_algo) ',' num2str(stack_solve_algos(i)) ')'], exception);
failedBlock{size(failedBlock,2)+1} = ['block_bytecode' filesep 'run_ls2003.m(' num2str(blockFlag) ',' num2str(storageFlag) ',' num2str(default_solve_algo) ',' num2str(stack_solve_algos(i)) ',' preconditioners{j} ')'];
printTestError(['block_bytecode' filesep 'run_ls2003.m(' num2str(blockFlag) ',' num2str(storageFlag) ',' num2str(default_solve_algo) ',' num2str(stack_solve_algos(i)) ',' preconditioners{j} ')'], exception);
clear exception
end
end
end
end
end
delete('wsMat.mat')
......
windows/README.txt
View file @ 00701cdd
......@@ -21,8 +21,8 @@ Note: Dynare comes with an automated uninstaller, which you can run from the
Using Dynare with MATLAB®
─────────────────────────
Dynare works on top of MATLAB®, any version ranging from 9.5 (R2018b) to 24.2
(R2024b). Only 64-bit versions are supported.
Dynare works on top of MATLAB®, any version ranging from 9.5 (R2018b) to 25.1
(R2025a). Only 64-bit versions are supported.
To use Dynare, you just have to add the ‘matlab’ subdirectory of your Dynare
installation to MATLAB® path. You have two options for doing that:
......@@ -52,10 +52,10 @@ Using Dynare with Octave
Dynare also works on top of GNU Octave, a free clone of MATLAB® (see
<https://www.octave.org>).
This version of Dynare is compiled for Octave 9.2.0 (MinGW, 64-bit),
This version of Dynare is compiled for Octave 10.2.0 (MinGW, 64-bit),
and may not work with other versions of Octave. The recommended version of
Octave can be downloaded at:
https://ftpmirror.gnu.org/gnu/octave/windows/octave-9.2.0-w64-installer.exe
https://ftpmirror.gnu.org/gnu/octave/windows/octave-10.2.0-w64-installer.exe
Every time you run Octave, you should type the following command (assuming that
you have installed Dynare at the standard location, and replacing ‘x.y’ by
......
windows/build.sh
View file @ 00701cdd
......@@ -5,7 +5,7 @@
# The binaries are cross compiled for Windows (64-bit), Octave and MATLAB
# (all supported versions).
# Copyright © 2017-2024 Dynare Team
# Copyright © 2017-2025 Dynare Team
#
# This file is part of Dynare.
#
......@@ -53,7 +53,7 @@ ln -s "$ROOT_DIRECTORY"/deps/mkoctfile64 /tmp/windeps/
# Go to source root directory
cd ..
common_meson_opts=(-Dbuildtype=release --cross-file windows/mingw-cross.ini)
common_meson_opts=(--buildtype=release --cross-file windows/mingw-cross.ini)
# Create Windows 64-bit DLL binaries for MATLAB ≥ R2018b
meson setup --cross-file windows/mingw-cross-matlab.ini -Dmatlab_path=/tmp/windeps/matlab64/R2018b \
......@@ -119,8 +119,8 @@ cp -p windows/README.txt "$ZIPDIR"
cp -pr windows/deps/mingw64 "$ZIPDIR"
mkdir -p "$ZIPDIR"/contrib/ms-sbvar/TZcode
cp -pr contrib/ms-sbvar/TZcode/MatlabFiles "$ZIPDIR"/contrib/ms-sbvar/TZcode
mkdir -p "$ZIPDIR"/mex/matlab/win64-9.5-24.2
cp -p build-win-matlab/*.mexw64 "$ZIPDIR"/mex/matlab/win64-9.5-24.2
mkdir -p "$ZIPDIR"/mex/matlab/win64-9.5-25.1
cp -p build-win-matlab/*.mexw64 "$ZIPDIR"/mex/matlab/win64-9.5-25.1
mkdir -p "$ZIPDIR"/mex/octave/win64
cp -p build-win-octave/*.mex "$ZIPDIR"/mex/octave/win64
mkdir "$ZIPDIR"/preprocessor
......
windows/deps/Makefile
View file @ 00701cdd
......@@ -104,7 +104,7 @@ octave64: tarballs/octave-${OCTAVE_VERSION}${OCTAVE_W64_BUILD}-w64.7z
mv octave-${OCTAVE_VERSION}-w64 $@
# Clean up MinGW stuff that interferes with our cross-compiler
cd $@/mingw64/lib && rm -f libadvapi32.a libkernel32.a libmingw32.a libmingwex.a libmoldname.a libmsvcrt.a libpthread.dll.a libshell32.a libuser32.a
cd $@/mingw64/include && rm -f $$(grep -l "This file is part of the mingw-w64 runtime package" *.h) omp.h
cd $@/mingw64/include && rm -f $$(grep -l "This file is part of the \\(mingw-w64 runtime\\|mingw-runtime\\) package" *.h) minwinbase.h omp.h swprintf.inl
touch $@
octave: octave64
......@@ -151,7 +151,7 @@ lib64-msys2: tarballs/mingw-w64-x86_64-boost-$(MINGW64_BOOST_VERSION)-any.pkg.ta
for f in $^; do tar xf $$f --directory $@ $(MSYS2_EXCLUDES); done
touch $@
mingw64: tarballs/mingw-w64-x86_64-gcc-$(MINGW64_GCC_VERSION)-any.pkg.tar.zst tarballs/mingw-w64-x86_64-gcc-libs-$(MINGW64_GCC_VERSION)-any.pkg.tar.zst tarballs/mingw-w64-x86_64-gmp-$(MINGW64_GMP_VERSION)-any.pkg.tar.zst tarballs/mingw-w64-x86_64-binutils-$(MINGW64_BINUTILS_VERSION)-any.pkg.tar.zst tarballs/mingw-w64-x86_64-headers-git-$(MINGW64_HEADERS_VERSION)-any.pkg.tar.zst tarballs/mingw-w64-x86_64-crt-git-$(MINGW64_CRT_VERSION)-any.pkg.tar.zst tarballs/mingw-w64-x86_64-winpthreads-git-$(MINGW64_WINPTHREADS_VERSION)-any.pkg.tar.zst tarballs/mingw-w64-x86_64-libwinpthread-git-$(MINGW64_WINPTHREADS_VERSION)-any.pkg.tar.zst tarballs/mingw-w64-x86_64-zlib-$(MINGW64_ZLIB_VERSION)-any.pkg.tar.zst tarballs/mingw-w64-x86_64-zstd-$(MINGW64_ZSTD_VERSION)-any.pkg.tar.zst tarballs/mingw-w64-x86_64-isl-$(MINGW64_ISL_VERSION)-any.pkg.tar.zst tarballs/mingw-w64-x86_64-mpc-$(MINGW64_MPC_VERSION)-any.pkg.tar.zst tarballs/mingw-w64-x86_64-mpfr-$(MINGW64_MPFR_VERSION)-any.pkg.tar.zst tarballs/mingw-w64-x86_64-libiconv-$(MINGW64_LIBICONV_VERSION)-any.pkg.tar.zst tarballs/mingw-w64-x86_64-windows-default-manifest-$(MINGW64_WINDOWS_DEFAULT_MANIFEST_VERSION)-any.pkg.tar.zst
mingw64: tarballs/mingw-w64-x86_64-gcc-$(MINGW64_GCC_VERSION)-any.pkg.tar.zst tarballs/mingw-w64-x86_64-gcc-libs-$(MINGW64_GCC_VERSION)-any.pkg.tar.zst tarballs/mingw-w64-x86_64-gmp-$(MINGW64_GMP_VERSION)-any.pkg.tar.zst tarballs/mingw-w64-x86_64-binutils-$(MINGW64_BINUTILS_VERSION)-any.pkg.tar.zst tarballs/mingw-w64-x86_64-headers-git-$(MINGW64_HEADERS_VERSION)-any.pkg.tar.zst tarballs/mingw-w64-x86_64-crt-git-$(MINGW64_CRT_VERSION)-any.pkg.tar.zst tarballs/mingw-w64-x86_64-winpthreads-git-$(MINGW64_WINPTHREADS_VERSION)-any.pkg.tar.zst tarballs/mingw-w64-x86_64-libwinpthread-git-$(MINGW64_WINPTHREADS_VERSION)-any.pkg.tar.zst tarballs/mingw-w64-x86_64-zlib-$(MINGW64_ZLIB_VERSION)-any.pkg.tar.zst tarballs/mingw-w64-x86_64-zstd-$(MINGW64_ZSTD_VERSION)-any.pkg.tar.zst tarballs/mingw-w64-x86_64-isl-$(MINGW64_ISL_VERSION)-any.pkg.tar.zst tarballs/mingw-w64-x86_64-mpc-$(MINGW64_MPC_VERSION)-any.pkg.tar.zst tarballs/mingw-w64-x86_64-mpfr-$(MINGW64_MPFR_VERSION)-any.pkg.tar.zst tarballs/mingw-w64-x86_64-libiconv-$(MINGW64_LIBICONV_VERSION)-any.pkg.tar.zst tarballs/mingw-w64-x86_64-windows-default-manifest-$(MINGW64_WINDOWS_DEFAULT_MANIFEST_VERSION)-any.pkg.tar.zst tarballs/mingw-w64-x86_64-gettext-runtime-$(MINGW64_GETTEXT_RUNTIME_VERSION)-any.pkg.tar.zst
rm -rf $@
for f in $^; do tar xf $$f $(MSYS2_EXCLUDES); done
touch $@
......
windows/deps/mkoctfile64
View file @ 00701cdd
......@@ -105,6 +105,8 @@ fi
: ${OCTAVE_LIBS="$LIBOCTINTERP $LIBOCTAVE $SPECIAL_MATH_LIB"}
: ${LIBOCTMEX="-loctmex"}
# Local variables.
FFTW_LIBS="$FFTW3_LDFLAGS $FFTW3_LIBS $FFTW3F_LDFLAGS $FFTW3F_LIBS"
......
windows/deps/versions.mk
View file @ 00701cdd
SLICOT_VERSION = 5.9
X13AS_VERSION = 1-1-b61
OCTAVE_VERSION = 9.2.0
OCTAVE_VERSION = 10.2.0
OCTAVE_W64_BUILD =
MATLAB64_VERSION = 20231122
......@@ -19,98 +19,105 @@ MATLAB64_VERSION = 20231122
# pacman -Ss mingw-w64-x86_64-boost
# (also used by the preprocessor CI, so it can be updated there also)
MINGW64_BOOST_VERSION = 1.85.0-2
MINGW64_BOOST_VERSION = 1.88.0-2
# pacman -Ss mingw-w64-x86_64-gsl
MINGW64_GSL_VERSION = 2.8-1
# pacman -Ss mingw-w64-x86_64-matio
MINGW64_MATIO_VERSION = 1.5.27-1
MINGW64_MATIO_VERSION = 1.5.28-1
# Dependency of matio (and of the MinGW compiler)
# Dependency of matio and libssh2 (and of the MinGW compiler)
# pacman -Ss mingw-w64-x86_64-zlib
MINGW64_ZLIB_VERSION = 1.3.1-1
# Dependency of matio
# pacman -Ss mingw-w64-x86_64-hdf5
MINGW64_HDF5_VERSION = 1.14.3-2
MINGW64_HDF5_VERSION = 1.14.6-3
# Dependency of HDF5 (provides szip library)
# pacman -Ss mingw-w64-x86_64-libaec
MINGW64_LIBAEC_VERSION = 1.1.3-2
MINGW64_LIBAEC_VERSION = 1.1.3-4
# Dependency of HDF5
# Dependency of HDF5 and libssh2
# pacman -Ss mingw-w64-x86_64-openssl
MINGW64_OPENSSL_VERSION = 3.3.1-1
MINGW64_OPENSSL_VERSION = 3.5.0-1
# Dependency of HDF5
# pacman -Ss mingw-w64-x86_64-curl
MINGW64_CURL_VERSION = 8.8.0-10
MINGW64_CURL_VERSION = 8.13.0-2
# Dependency of curl (and of the MinGW compiler)
# pacman -Ss mingw-w64-x86_64-zstd
MINGW64_ZSTD_VERSION = 1.5.6-2
MINGW64_ZSTD_VERSION = 1.5.7-1
# Dependency of curl
# pacman -Ss mingw-w64-x86_64-brotli
MINGW64_BROTLI_VERSION = 1.1.0-1
MINGW64_BROTLI_VERSION = 1.1.0-4
# Dependency of curl
# pacman -Ss mingw-w64-x86_64-libpsl
MINGW64_LIBPSL_VERSION = 0.21.5-2
MINGW64_LIBPSL_VERSION = 0.21.5-3
# Dependency of curl and of libpsl
# pacman -Ss mingw-w64-x86_64-libidn2
MINGW64_LIBIDN2_VERSION = 2.3.7-2
MINGW64_LIBIDN2_VERSION = 2.3.8-2
# Dependency of curl
# pacman -Ss mingw-w64-x86_64-libssh2
MINGW64_LIBSSH2_VERSION = 1.11.0-2
MINGW64_LIBSSH2_VERSION = 1.11.1-1
# Dependency of curl
# pacman -Ss mingw-w64-x86_64-nghttp2
MINGW64_NGHTTP2_VERSION = 1.61.0-2
MINGW64_NGHTTP2_VERSION = 1.65.0-1
# Dependency of curl
# pacman -Ss mingw-w64-x86_64-nghttp3
MINGW64_NGHTTP3_VERSION = 1.4.0-1
MINGW64_NGHTTP3_VERSION = 1.9.0-1
# Dependency of libpsl and libunistring (and of the MinGW compiler)
# pacman -Ss mingw-w64-x86_64-libiconv
MINGW64_LIBICONV_VERSION = 1.17-4
MINGW64_LIBICONV_VERSION = 1.18-1
# Dependency of libpsl and libidn2
# pacman -Ss mingw-w64-x86_64-libunistring
MINGW64_LIBUNISTRING_VERSION = 1.2-1
MINGW64_LIBUNISTRING_VERSION = 1.3-1
## MinGW packages for the embedded compiler
# pacman -Ss mingw-w64-x86_64-gcc$
MINGW64_GCC_VERSION = 14.1.0-3
MINGW64_GCC_VERSION = 15.1.0-1
# Dependency of gcc, isl, mpc and mpfr
# pacman -Ss mingw-w64-x86_64-gmp
MINGW64_GMP_VERSION = 6.3.0-2
# pacman -Ss mingw-w64-x86_64-binutils
MINGW64_BINUTILS_VERSION = 2.42-2
MINGW64_BINUTILS_VERSION = 2.44-1
# pacman -Ss mingw-w64-x86_64-headers-git
MINGW64_HEADERS_VERSION = 12.0.0.r81.g90abf784a-1
MINGW64_HEADERS_VERSION = 12.0.0.r679.g71699efcb-1
# pacman -Ss mingw-w64-x86_64-crt-git
MINGW64_CRT_VERSION = 12.0.0.r81.g90abf784a-1
MINGW64_CRT_VERSION = 12.0.0.r679.g71699efcb-1
# NB: Renamed to mingw-w64-x86_64-winpthreads recently!
# pacman -Ss mingw-w64-x86_64-winpthreads-git
MINGW64_WINPTHREADS_VERSION = 12.0.0.r81.g90abf784a-1
MINGW64_WINPTHREADS_VERSION = 12.0.0.r679.g71699efcb-1
# pacman -Ss mingw-w64-x86_64-isl
MINGW64_ISL_VERSION = 0.26-1
MINGW64_ISL_VERSION = 0.27-1
# pacman -Ss mingw-w64-x86_64-mpc
MINGW64_MPC_VERSION = 1.3.1-2
# Dependency of mpc
# pacman -Ss mingw-w64-x86_64-mpfr
MINGW64_MPFR_VERSION = 4.2.1-2
MINGW64_MPFR_VERSION = 4.2.2-1
# pacman -Ss mingw-w64-x86_64-windows-default-manifest
MINGW64_WINDOWS_DEFAULT_MANIFEST_VERSION = 6.4-4
# Dependency of binutils
# pacman -Ss mingw-w64-x86_64-gettext-runtime
MINGW64_GETTEXT_RUNTIME_VERSION = 0.24.1-1
windows/dynare.nsi
View file @ 00701cdd
......@@ -90,8 +90,8 @@ Section "Dynare core (preprocessor and M-files)"
SectionEnd
Section "MEX files for MATLAB 64-bit, version 9.5 to 24.2 (R2018b to R2024b)"
SetOutPath $INSTDIR\mex\matlab\win64-9.5-24.2
Section "MEX files for MATLAB 64-bit, version 9.5 to 25.1 (R2018b to R2025a)"
SetOutPath $INSTDIR\mex\matlab\win64-9.5-25.1
File ..\build-win-matlab\*.mexw64
SectionEnd
......@@ -100,7 +100,7 @@ Section "MinGW compiler for MATLAB 64-bit"
File /r deps\mingw64\*
SectionEnd
Section "MEX files for Octave 9.2.0 (64-bit)"
Section "MEX files for Octave 10.2.0 (64-bit)"
SetOutPath $INSTDIR\mex\octave\win64
File ..\build-win-octave\*.mex
SectionEnd
......