Unverified Commit c9eb6920 authored by Sébastien Villemot's avatar Sébastien Villemot
Browse files

local_state_space_iteration_k MEX: fix bug in output

In its output, the MEX was returning values for all endogenous variables, but
it was used in a context where only the variables from oo_.dr.restrict_var_list
were expected (as is done with local_state_space_iteration_2 MEX).

This commit fixes this discrepancy, and also fixes the test that was checking
that both MEX are returning the same output.

Closes: #1768
parent 4c15bce4
/*
* Copyright © 2019 Dynare Team
* Copyright © 2019-2021 Dynare Team
*
* This file is part of Dynare.
*
......@@ -41,15 +41,16 @@ struct ParticleWorker : public sthread::detach_thread
const ConstGeneralMatrix &yhat, ε
const Vector &ys_reordered;
const UnfoldDecisionRule &dr;
const ConstVector &restrict_var_list;
GeneralMatrix &ynext;
ParticleWorker(int npred_both_arg, int exo_nbr_arg, std::pair<size_t, size_t> particle_range_arg,
const ConstGeneralMatrix &yhat_arg, const ConstGeneralMatrix &epsilon_arg,
const Vector &ys_reordered_arg, const UnfoldDecisionRule &dr_arg,
GeneralMatrix &ynext_arg)
const ConstVector &restrict_var_list_arg, GeneralMatrix &ynext_arg)
: npred_both{npred_both_arg}, exo_nbr{exo_nbr_arg}, particle_range{std::move(particle_range_arg)},
yhat{yhat_arg}, epsilon{epsilon_arg}, ys_reordered{ys_reordered_arg}, dr{dr_arg},
ynext{ynext_arg}
restrict_var_list{restrict_var_list_arg}, ynext{ynext_arg}
{
}
void
......@@ -58,16 +59,22 @@ struct ParticleWorker : public sthread::detach_thread
Vector dyu(npred_both+exo_nbr);
Vector dy(dyu, 0, npred_both);
Vector u(dyu, npred_both, exo_nbr);
Vector ynext_col_allvars(ys_reordered.length());
for (size_t i = particle_range.first; i < particle_range.second; i++)
{
dy = yhat.getCol(i);
u = epsilon.getCol(i);
Vector ynext_col{ynext.getCol(i)};
dr.eval(DecisionRule::emethod::horner, ynext_col, dyu);
dr.eval(DecisionRule::emethod::horner, ynext_col_allvars, dyu);
ynext_col_allvars.add(1.0, ys_reordered);
ynext_col.add(1.0, ys_reordered);
/* Select only the variables in restrict_var_list, and copy back to the
result matrix */
Vector ynext_col{ynext.getCol(i)};
for (int j = 0; j < restrict_var_list.length(); j++)
ynext_col[j] = ynext_col_allvars[restrict_var_list[j]-1];
}
}
};
......@@ -107,6 +114,9 @@ mexFunction(int nlhs, mxArray *plhs[], int nrhs, const mxArray *prhs[])
const mxArray *ys_mx = mxGetField(dr_mx, 0, "ys");
if (!ys_mx || !mxIsDouble(ys_mx) || mxGetNumberOfElements(ys_mx) != static_cast<size_t>(endo_nbr))
mexErrMsgTxt("Field dr.ys should be a double precision vector with endo_nbr elements");
const mxArray *restrict_var_list_mx = mxGetField(dr_mx, 0, "restrict_var_list");
if (!(restrict_var_list_mx && mxIsDouble(restrict_var_list_mx)))
mexErrMsgTxt("Field dr.restrict_var_list should be a double precision vector");
size_t nparticles = mxGetN(yhat_mx);
if (mxGetN(epsilon_mx) != nparticles)
......@@ -125,6 +135,7 @@ mexFunction(int nlhs, mxArray *plhs[], int nrhs, const mxArray *prhs[])
ConstGeneralMatrix epsilon{epsilon_mx};
ConstVector ys{ys_mx};
const double *order_var = mxGetPr(order_var_mx);
ConstVector restrict_var_list{restrict_var_list_mx};
try
{
......@@ -163,7 +174,7 @@ mexFunction(int nlhs, mxArray *plhs[], int nrhs, const mxArray *prhs[])
exo_nbr, ys_reordered);
// Create the result matrix
plhs[0] = mxCreateDoubleMatrix(endo_nbr, nparticles, mxREAL);
plhs[0] = mxCreateDoubleMatrix(restrict_var_list.length(), nparticles, mxREAL);
GeneralMatrix ynext{plhs[0]};
// Run the real job in parallel
......@@ -174,6 +185,7 @@ mexFunction(int nlhs, mxArray *plhs[], int nrhs, const mxArray *prhs[])
for (size_t i = 0; i < nparticles; i += part_by_thread)
group.insert(std::make_unique<ParticleWorker>(npred+nboth, exo_nbr,
std::make_pair(i, std::min(i+part_by_thread, nparticles)),
yhat, epsilon, ys_reordered, dr, ynext));
yhat, epsilon, ys_reordered, dr, restrict_var_list,
ynext));
group.run();
}
......@@ -825,6 +825,10 @@ discretionary_policy/dennis_1_estim.o.trs: discretionary_policy/dennis_1.o.trs
discretionary_policy/Gali_2015_chapter_3_nonlinear.m.trs: discretionary_policy/Gali_2015_chapter_3.m.trs
discretionary_policy/Gali_2015_chapter_3_nonlinear.o.trs: discretionary_policy/Gali_2015_chapter_3.o.trs
particle/local_state_space_iteration_k_test.m.trs: particle/first_spec.m.trs
particle/local_state_space_iteration_k_test.o.trs: particle/first_spec.o.trs
observation_trends_and_prefiltering/MCMC: m/observation_trends_and_prefiltering/MCMC o/observation_trends_and_prefiltering/MCMC
m/observation_trends_and_prefiltering/MCMC: $(patsubst %.mod, %.m.trs, $(filter observation_trends_and_prefiltering/MCMC/%.mod, $(MODFILES)))
o/observation_trends_and_prefiltering/MCMC: $(patsubst %.mod, %.o.trs, $(filter observation_trends_and_prefiltering/MCMC/%.mod, $(MODFILES)))
......
/*
Tests that local_state_space_iteration_2 and local_state_space_iteration_k
(for k=2) return the same results.
*/
var y, k, a, h, b, c;
varexo e, u;
parameters beta, rho, alpha, delta, theta, psi, tau;
This file must be run after first_spec.mod (both are based on the same model).
*/
alpha = 0.36;
rho = 0.95;
tau = 0.025;
beta = 0.99;
delta = 0.025;
psi = 0;
theta = 2.95;
@#include "first_spec_common.inc"
phi = 0.1;
varobs q ca;
model;
c*theta*h^(1+psi)=(1-alpha)*y;
k = beta*(((exp(b)*c)/(exp(b(+1))*c(+1)))
*(exp(b(+1))*alpha*y(+1)+(1-delta)*k));
y = exp(a)*(k(-1)^alpha)*(h^(1-alpha));
k = exp(b)*(y-c)+(1-delta)*k(-1);
a = rho*a(-1)+tau*b(-1) + e;
b = tau*a(-1)+rho*b(-1) + u;
shocks;
var eeps = 0.04^2;
var nnu = 0.03^2;
var q = 0.01^2;
var ca = 0.01^2;
end;
initval;
y = 1.08068253095672;
c = 0.80359242014163;
h = 0.29175631001732;
k = 11.08360443260358;
a = 0;
b = 0;
e = 0;
u = 0;
end;
// Initialize various structures
estimation(datafile='my_data.mat',order=2,mode_compute=0,mh_replic=0,filter_algorithm=sis,nonlinear_filter_initialization=2
,cova_compute=0 %tell program that no covariance matrix was computed
);
shocks;
var e; stderr 0.009;
var u; stderr 0.009;
var e, u = phi*0.009*0.009;
end;
stoch_simul(order=2, periods=200, irf=0, k_order_solver);
stoch_simul(order=2, irf=0, k_order_solver);
// Really perform the test
nparticles = 100;
......@@ -57,7 +35,16 @@ epsilon = chol(M_.Sigma_e)*randn(M_.exo_nbr, nparticles);
dr = oo_.dr;
tStart1 = tic; for i=1:10000, ynext1 = local_state_space_iteration_2(yhat, epsilon, dr.ghx, dr.ghu, dr.ys(dr.order_var)+0.5*dr.ghs2, dr.ghxx, dr.ghuu, dr.ghxu, 1); end, tElapsed1 = toc(tStart1);
// “rf” stands for “Reduced Form”
rf_ghx = dr.ghx(dr.restrict_var_list, :);
rf_ghu = dr.ghu(dr.restrict_var_list, :);
rf_constant = dr.ys(dr.order_var)+0.5*dr.ghs2;
rf_constant = rf_constant(dr.restrict_var_list, :);
rf_ghxx = dr.ghxx(dr.restrict_var_list, :);
rf_ghuu = dr.ghuu(dr.restrict_var_list, :);
rf_ghxu = dr.ghxu(dr.restrict_var_list, :);
tStart1 = tic; for i=1:10000, ynext1 = local_state_space_iteration_2(yhat, epsilon, rf_ghx, rf_ghu, rf_constant, rf_ghxx, rf_ghuu, rf_ghxu, 1); end, tElapsed1 = toc(tStart1);
tStart2 = tic; for i=1:10000, ynext2 = local_state_space_iteration_k(yhat, epsilon, dr, M_, options_); end, tElapsed2 = toc(tStart2);
......
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