dynare issueshttps://git.dynare.org/Dynare/dynare/-/issues2019-11-21T08:36:46Zhttps://git.dynare.org/Dynare/dynare/-/issues/6Possible optimization of decision rules at first order2019-11-21T08:36:46ZSébastien VillemotPossible optimization of decision rules at first orderIn dr.pdf, at the end of section 4.1, we have:
g^-_y = Z'_11 T^{-1}_11 S_{11} (Z'_{11})^{-1}
But dr1.m used to contain the following formula:
g^-_y = (T^{-1}_11 X)^{-1} S_{11} X
which is probably more efficient given that X=Z_{11}+Z_{12}g⁺_y (see equation 10), because it saves an inversion
We should make benchmarks between the 2 formulas, because Ondra thinks that for performance reasons, the first method is better, even though this is not obvious.
In dr.pdf, at the end of section 4.1, we have:
g^-_y = Z'_11 T^{-1}_11 S_{11} (Z'_{11})^{-1}
But dr1.m used to contain the following formula:
g^-_y = (T^{-1}_11 X)^{-1} S_{11} X
which is probably more efficient given that X=Z_{11}+Z_{12}g⁺_y (see equation 10), because it saves an inversion
We should make benchmarks between the 2 formulas, because Ondra thinks that for performance reasons, the first method is better, even though this is not obvious.
Sébastien VillemotSébastien Villemothttps://git.dynare.org/Dynare/dynare/-/issues/7In dr.tex, add a concrete example on a model (by expliciting the matrices)2019-11-21T08:36:42ZSébastien VillemotIn dr.tex, add a concrete example on a model (by expliciting the matrices)