From 030645016505e32344dcb9a2fdfef4887d0bd1a7 Mon Sep 17 00:00:00 2001
From: Normann Rion <normann@dynare.org>
Date: Thu, 11 Apr 2024 15:56:01 +0200
Subject: [PATCH] Fix `simult_.m` to call specialized simulation codes for
order <= 3 instead of `k_order_simul` whenever possible
---
matlab/stochastic_solver/simult_.m | 21 +++------
.../fs2000_k_order_simul.mod | 44 ++++++++++++-------
2 files changed, 34 insertions(+), 31 deletions(-)
diff --git a/matlab/stochastic_solver/simult_.m b/matlab/stochastic_solver/simult_.m
index 94466df254..15756e3009 100644
--- a/matlab/stochastic_solver/simult_.m
+++ b/matlab/stochastic_solver/simult_.m
@@ -38,35 +38,28 @@ iter = size(ex_,1);
endo_nbr = M_.endo_nbr;
exo_nbr = M_.exo_nbr;
-y_ = zeros(size(y0,1),iter+M_.maximum_lag);
-y_(:,1) = y0;
-
if options_.loglinear && ~options_.logged_steady_state
k = get_all_variables_but_lagged_leaded_exogenous(M_);
dr.ys(k)=log(dr.ys(k));
end
-if ~options_.k_order_solver || (options_.k_order_solver && options_.pruning) %if k_order_pert is not used or if we do not use Dynare++ with k_order_pert
- if iorder==1
- y_(:,1) = y_(:,1)-dr.ys;
- end
-end
-
-if options_.k_order_solver
+if (iorder > 3) || (iorder == 3 && ~options_.pruning)
if options_.order~=iorder
- error(['The k_order_solver requires the specified approximation order to be '...
- 'consistent with the one used for computing the decision rules'])
+ error(['The k_order_simul routine requires the specified approximation order to be '...
+ 'consistent with the one used for computing the decision rules'])
end
y_ = k_order_simul(iorder,M_.nstatic,M_.npred,M_.nboth,M_.nfwrd,exo_nbr, ...
y0(dr.order_var,:),ex_',dr.ys(dr.order_var),dr, ...
options_.pruning);
y_(dr.order_var,:) = y_;
else
+ y_ = zeros(size(y0,1),iter+M_.maximum_lag);
+ y_(:,1) = y0;
k2 = M_.nstatic+(1:M_.nspred);
order_var = dr.order_var;
-
switch iorder
case 1
+ y_(:,1) = y_(:,1)-dr.ys;
if isempty(dr.ghu)% For (linearized) deterministic models.
for i = 2:iter+M_.maximum_lag
yhat = y_(order_var(k2),i-1);
@@ -163,7 +156,5 @@ else
yhat2 = yhat2(ipred);
yhat3 = yhat3(ipred);
end
- otherwise
- error(['k_order_solver required for pruning at order = ' int2str(iorder)])
end
end
diff --git a/tests/stochastic_simulations/fs2000_k_order_simul.mod b/tests/stochastic_simulations/fs2000_k_order_simul.mod
index 7c71fd4da5..753669ea40 100644
--- a/tests/stochastic_simulations/fs2000_k_order_simul.mod
+++ b/tests/stochastic_simulations/fs2000_k_order_simul.mod
@@ -65,13 +65,15 @@ end;
steady;
-stoch_simul(order=2,nograph);
+stoch_simul(order=2,k_order_solver,nograph);
ex=randn(5,M_.exo_nbr);
Y2_matlab = simult_(M_,options_,oo_.dr.ys,oo_.dr,ex,options_.order);
-stoch_simul(order=2,k_order_solver);
-Y2_mex = simult_(M_,options_,oo_.dr.ys,oo_.dr,ex,options_.order);
+Y2_mex = k_order_simul(options_.order,M_.nstatic,M_.npred,M_.nboth,M_.nfwrd,M_.exo_nbr, ...
+ oo_.dr.ys(oo_.dr.order_var),ex',oo_.dr.ys(oo_.dr.order_var),oo_.dr,...
+ options_.pruning);
+Y2_mex(oo_.dr.order_var,:) = Y2_mex;
if max(abs(Y2_matlab(:)-Y2_mex(:)))>1e-8;
error('2nd order: Matlab and mex simulation routines do not return similar results')
@@ -80,7 +82,10 @@ end
Y2_mexiter = NaN(M_.endo_nbr,size(ex,1)+1);
Y2_mexiter(:,1) = oo_.dr.ys;
for it = 1:size(ex,1)
- Y2_temp = simult_(M_,options_,Y2_mexiter(:,it),oo_.dr,ex(it,:),options_.order);
+ Y2_temp = k_order_simul(options_.order,M_.nstatic,M_.npred,M_.nboth,M_.nfwrd, ...
+ M_.exo_nbr,Y2_mexiter(oo_.dr.order_var,it),ex(it,:)', ...
+ oo_.dr.ys(oo_.dr.order_var),oo_.dr,options_.pruning);
+ Y2_temp(oo_.dr.order_var,:) = Y2_temp;
Y2_mexiter(:,it+1) = Y2_temp(:,2);
end
@@ -88,13 +93,18 @@ if max((abs(Y2_mex(:) - Y2_mexiter(:))))>1e-8;
error('2nd order: sequential call does not return similar results')
end
-stoch_simul(order=3, k_order_solver, nograph, irf=0);
-Y3_mex = simult_(M_,options_,oo_.dr.ys,oo_.dr,ex,options_.order);
-
+stoch_simul(order=3,k_order_solver,nograph,irf=0);
+Y3_mex = k_order_simul(options_.order,M_.nstatic,M_.npred,M_.nboth,M_.nfwrd,M_.exo_nbr, ...
+ oo_.dr.ys(oo_.dr.order_var),ex',oo_.dr.ys(oo_.dr.order_var),oo_.dr,...
+ options_.pruning);
+Y3_mex(oo_.dr.order_var,:) = Y3_mex;
Y3_mexiter = NaN(M_.endo_nbr,size(ex,1)+1);
Y3_mexiter(:,1) = oo_.dr.ys;
for it = 1:size(ex,1)
- Y3_temp = simult_(M_,options_,Y3_mexiter(:,it),oo_.dr,ex(it,:),options_.order);
+ Y3_temp = k_order_simul(options_.order,M_.nstatic,M_.npred,M_.nboth,M_.nfwrd, ...
+ M_.exo_nbr,Y3_mexiter(oo_.dr.order_var,it),ex(it,:)', ...
+ oo_.dr.ys(oo_.dr.order_var),oo_.dr,options_.pruning);
+ Y3_temp(oo_.dr.order_var,:) = Y3_temp;
Y3_mexiter(:,it+1) = Y3_temp(:,2);
end
@@ -102,23 +112,25 @@ if max((abs(Y3_mex(:) - Y3_mexiter(:))))>1e-8;
error('3rd order: sequential call does not return similar results')
end
-stoch_simul(order=2, k_order_solver, pruning, nograph, irf=0);
+stoch_simul(order=2,k_order_solver,pruning,nograph,irf=0);
-options_.k_order_solver=false;
Y2_matlab = simult_(M_,options_,oo_.dr.ys,oo_.dr,ex,options_.order);
-options_.k_order_solver=true;
-Y2_mex = simult_(M_,options_,oo_.dr.ys,oo_.dr,ex,options_.order);
+Y2_mex = k_order_simul(options_.order,M_.nstatic,M_.npred,M_.nboth,M_.nfwrd,M_.exo_nbr, ...
+ oo_.dr.ys(oo_.dr.order_var),ex',oo_.dr.ys(oo_.dr.order_var),oo_.dr,...
+ options_.pruning);
+Y2_mex(oo_.dr.order_var,:) = Y2_mex;
if max(abs(Y2_matlab(:)-Y2_mex(:)))>1e-8;
error('2nd order with pruning: Matlab and mex simulation routines do not return similar results')
end
-stoch_simul(order=3, k_order_solver, pruning, nograph, irf=0);
+stoch_simul(order=3,k_order_solver,pruning,nograph,irf=0);
-options_.k_order_solver=false;
Y3_matlab = simult_(M_,options_,oo_.dr.ys,oo_.dr,ex,options_.order);
-options_.k_order_solver=true;
-Y3_mex = simult_(M_,options_,oo_.dr.ys,oo_.dr,ex,options_.order);
+Y3_mex = k_order_simul(options_.order,M_.nstatic,M_.npred,M_.nboth,M_.nfwrd,M_.exo_nbr, ...
+ oo_.dr.ys(oo_.dr.order_var),ex',oo_.dr.ys(oo_.dr.order_var),oo_.dr,...
+ options_.pruning);
+Y3_mex(oo_.dr.order_var,:) = Y3_mex;
if max(abs(Y3_matlab(:)-Y3_mex(:)))>1e-8;
error('3rd order with pruning: Matlab and mex simulation routines do not return similar results')
--
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