Skip to content

Implements a Fortran update of the states variance-covariance matrix for the Kalman filter

Normann Rion requested to merge normann/dynare:riccati_equation into master

There seems to be a small gain on my machine (11th Gen Intel® Core™ i7-11850H @ 2.50GHz × 16, 32GB RAM), while the solution is exactly the same as Matlab's one.

    Elapsed time for the Matlab Riccati update is: 0.17915 (N=5000).
    Elapsed time for the Fortran Riccati update is: 0.13226 (N=5000).

    Fortran Riccati update is  1.35 times faster than its Matlab counterpart.

    After 1 update using the Riccati formula, the norm-1 discrepancy is 0.
    After 50 updates using the Riccati formula, the norm-1 discrepancy is 0.
    FAILED tests: 0

Merge request reports