Draft: several enhancements to solver, filtering/smoothing (!2226) · Merge requests · Dynare / dynare

Closed Marco Ratto requested to merge rattoma/dynare:occbin_enhance into master 1 year ago

Dec 16, 2023

trap the case where the indicator is empty · 34928bcc
Marco Ratto authored 1 year ago

34928bcc
re introduce use_relaxation, it was not fully implicitly embedded in the new kalman update engine. · 17ebcf43
Marco Ratto authored 1 year ago
```
now use_relaxation is embedded in the new update engine and is extended to work with 2 constraints.
```
17ebcf43

Marco Ratto authored 1 year ago

- make name of opts_simul subfield homogeneous for likelihood computation and smoother;
- fill the new field opts_regime with init_binding_indicator init_regime_history, to avoid possible conflics with simulations done in realtime filtering steps
- in smoother, use init_binding_indicator init_regime_history options set in options_.occbin.smoother
- fix bug in guess regime for 2 constraints in kalman_update_algo_1 kalman_update_algo_3

66fd88c5

Dec 15, 2023
- simplify logic and force multiple guesses if regime is uncertain in periods 1 and 2 · 68e49a3b
  Marco Ratto authored 1 year ago
  
  68e49a3b
- at least print something about the error occurred · b5c21eda
  Marco Ratto authored 1 year ago
  
  b5c21eda
- make sure simulation options are set in the first instance (to avoid issues with waitbar) · fc94136b
  Marco Ratto authored 1 year ago
  
  fc94136b
- fixed bug with missing input argument · 1f275a68
  Marco Ratto authored 1 year ago
  
  1f275a68
Dec 14, 2023
- replace length(find()) instances with sum() · c99514b3
  Marco Ratto authored 1 year ago
  
  c99514b3
- added missing utility · 7e4dbe75
  Marco Ratto authored 1 year ago
  
  7e4dbe75
- remove superseded use_relaxation option · 6954b3bd
  Marco Ratto authored 1 year ago
  
  6954b3bd
- don't check for the existence of initialized option · fa4f598d
  Marco Ratto authored 1 year ago
  
  fa4f598d
- check for additional solution when guess was slack, exit is binding in first 2... · 5d430471
  Marco Ratto authored 1 year ago
  
  check for additional solution when guess was slack, exit is binding in first 2 periods (where state uncertainty is largest). don't check existence of initialized option
  5d430471
Dec 13, 2023
- enhance search of filtered regime, using new kalman_update_engine that also... · 7baf4501
  Marco Ratto authored 1 year ago
  
  enhance search of filtered regime, using new kalman_update_engine that also factorizes codes. options brute_force_regime_guess (default) and loss_function_regime_guess (optional, more time consuming) may be used to serch for better solution (i.e. a solution providing better data density)
  7baf4501
- trap the case where the occbin realtime smoother returns with an error, so we... · 60c9eb5c
  Marco Ratto authored 1 year ago
  
  trap the case where the occbin realtime smoother returns with an error, so we need to rely on inear smoother for first guess
  60c9eb5c
- make convergence criteria for periodic solution more precise. also allow... · d31d9bbd
  Marco Ratto authored 1 year ago
  
  make convergence criteria for periodic solution more precise. also allow periodic loops to be a solution (periodic_solution_strict=false) provided a regime is found that does not violate constraint in expectation AND the number of periods in violation is smaller than max allowed (periodic_solution_threshold= INTEGER)
  d31d9bbd
- also store simul.piecewise and simul.linear in oo_.occbin.smoother, for easier... · 10d6fb26
  Marco Ratto authored 1 year ago
  
  also store simul.piecewise and simul.linear in oo_.occbin.smoother, for easier post-processing of results
  10d6fb26
- check for non zero smoothed shocks, to ensure all shocks are plotted with heteroskedastic option · 983d0b82
  Marco Ratto authored 1 year ago
  
  983d0b82
- try using smoothed shocks from linear smoother as last resort initialize... · 9bb6340b
  Marco Ratto authored 1 year ago
  
  try using smoothed shocks from linear smoother as last resort initialize guess sequence of regimes in smoother
  9bb6340b
- bug fix: set periods to the smpl size, since default periods may be too short! · 9104a19e
  Marco Ratto authored 1 year ago
  
  9104a19e
- initialize ss to avoid crashes when call to resol fails · 4d675655
  Marco Ratto authored 1 year ago
  
  4d675655

Draft: several enhancements to solver, filtering/smoothing

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