Dear George,
thanks for the message. The issue needs to be discussed carefully.
1) We are trying to get rid of most global variables and to pass oo_,
options_ and M_ as arguments. There is no good reason, why this has not
been done yet in DsgeLikelihood.m
2) Besides a cleaner more robust code, we learned that accessing global
variables in Matlab is expensive, and, most likely it is also true for
Mex library
3) DsgeLikelihood++ is not primarily meant for calling from Matlab, but
from a C++ version of dynare_estimation_1.m
4) There are only two of these variables that are changed in DsgeLikelihood:
- M_.params, but a local version of modified params vector should
probably be an argument to dynare_resolve
- options_.kalman_algo that passes back the choice of Kalman algorithm.
We can probably find another mechanism to pass back this information to
Matlab.
5) My preference would be to have one C++ class that contains all the
parameters from M_, options_ and bayestopt_ (the latter needs to be
rethought), needed by the C++ estimation functions. This class should be
initialized at the instanciation of the top class (here
dynare_estimation++) from M_ and options_ pointers passed as arguments
6) One needs to think about a similar mechanism for output variables.
7) I have three problems with the current structures that we use
*M_ contains parameters describing the model (OK)
*oo_ contains output. We may want to distinguish output that is only
made available to the user and intermediary output that is meant to be
used by other routines such as structure dr. It could make accessing
these intermediary results faster
* options_ contains both real options_ and information on the current
state of Dynare computations (such as kalman_algo here), These should
probably be separated
* bayestopt_ (and estim_params) is currently a mess and should be
reconsidered. It is mainly meant to contained parameters describing the
priors that are deduced from user input passed by the preprocessor in
estim_params
8) In summary, for now, in DsgeLikelihood++, you should simply refer to
a C++ version of these objects that we will build later.
Best
Michel
G. Perendia wrote:
> Dear Michel
>
> Regarding design of the interface with Matlab (and Octave?), there are many
> variables from global structures that need to be referred to from various
> parts of estimation (and some updated too).
>
> Is it ok if I make DsgeLikelihood++ system refer to options_, oo_ and other
> large structures (and some other variable) using mex functions
> mexGetVariable (and, if needed, mexPutVariable for updates) rather than
> trying to pass whole structures at the call time and creating C++ instances
> of all or (large) subsets of their data.
>
> e.g.
> const mxArray *mexExt = mexGetVariable("base", "mexext");
> or
> const mxArray *M_ = mexGetVariable("caller", "M_");
>
> That will reduce number of variables that need to be passed on call and
> writing code on their breaking down and passing around from mexFunction to
> the other modules.
>
> I can optimise access to read-once only to reduce DLL-Matlab traffic too
> using a permanent class on the lines of:
>
> class MexStruct
> {
> mxArray* mexStruct;
> const char *base; // one of: base, caller, global
> const char *structName;
> MexStruct( char *sBase, char * mexStructName)
> : base(sBase), structName(mexStructName)
> {
> mexStruct=mexGetVariable(base, structName);
> }
> mxArray *
> getMexStructField(char * field)
> {
> return mxGetField(mexStruct, 0, field);
> }
> void
> putMexStruct(){mexPutVariable(base, structName, mexStruct);}
> void
> setMexStructField(char * field, mxArray *newVal)
> {
> mxArray *fp = mxGetField(mexStruct, 0, field);
> mxDestroy(fp)
> mxSetField(mexStruct,0,field, newVal);
> }
> }
>
> Some global variables in those structures also need to be set so the above
> class' methods can pass back updated global variables too at the end of the
> DsgaLikelihood. Also, as another advantage of this model, they can be passed
> back even in real time when if that may be needed for parallelisation.
>
> Best regards
>
> George
> Mob. +44(0)7951415480
> artilogica(a)btconnect.com
>
> ----- Original Message -----
> From: "Michel Juillard" <michel.juillard(a)ens.fr>
> To: "G. Perendia" <george(a)perendia.orangehome.co.uk>
> Sent: Monday, August 24, 2009 11:15 AM
> Subject: Re: C++ DsgeLikelihood
>
>
>
>> Hi George,
>>
>>> Dear Michel
>>>
>>> 1) Re email below, due to problem of code for calling
>>>
> <model>dynamic.dll,
>
>>> needed by estimation but being in the same file with mexFunction in
>>> k_order_perturbation.cpp
>>>
>>> Alternatives:
>>> a) I can use (a different) literal, e.g.
>>> KORDERPERT_MEX_FILE
>>> and compile k_order_perturbation.cpp for k_order_perturbation.dll using
>>> -DKORDERPERT_MEX_FILE
>>> and for DsgeLIkelihood/estimation without, - probably the easiest
>>>
> solution
>
>>> to implement and maintain until situation may change, - or,
>>>
>>> b) I can split k_order_perturbation.cpp in two -
>>>
> k_order_perturbation.cpp
>
>>> with mexFunction and another file for calling <model>dynamic.dll which
>>>
> will
>
>>> be placed into korderpertlib.a and linked to DsgeLikelihood/estimation
>>>
> too -
>
>>> probably the optimal solution. or,
>>>
>>> c) copy k_order_perturbation.cpp code for calling
>>>
> <model>dynamic.dll.into
>
>>> another file and keep it under DsgeLikelihood/estimation and have
>>> DsgeLikelihood refer to k-orderpertlib for the rest - this may duplicate
>>> effort on maintaining the dynamic.dll call management code but it is a
>>>
> clear
>
>>> cut.
>>>
>>>
>>>
>> I prefer 1.b) too
>>
>>> 2) Shall I treat C++ DsgeLIkelihood
>>> a) as an extension of KF or KORDERPERT and put its code in one of those
>>>
> 2
>
>>> mex/source directories, or
>>>
>>> b) create a new one, e.g. estimation, with its makefiile referring to
>>>
> the
>
>>> code and objects in the other two?
>>>
>>>
>>> I suggest 1.b and to treat DsgeLIkelihood as a subdirectory of kalman
>>> directory which will refer to korderpertlib and kalman src.
>>>
>>>
>>>
>> I prefer 2.b, because DsgeLikelihood calls Kalman code and it is weird
>> to have it in a subdirectory of kalman
>>
>> All the best,
>>
>> Michel
>>
>>> Please let me know if that is OK with you.
>>>
>>> Best regards
>>>
>>> George
>>>
>>> ----- Original Message -----
>>> From: "G. Perendia" <george(a)perendia.orangehome.co.uk>
>>> To: "Michel Juillard" <michel.juillard(a)ens.fr>
>>> Sent: Friday, August 21, 2009 3:50 PM
>>> Subject: Re: C++ DsgeLikelihood
>>>
>>>
>>>
>>>
>>>> Dear Michel
>>>>
>>>> In k-order-perturbation makefile someone(you?) defined literal
>>>> -DMATLAB_MEX_FILE
>>>> for several cpp files, some of which do not contain mexFunction, e.g.
>>>>
>>>> k_order_test_main.o: k_order_test_main.cpp
>>>> gcc -DMATLAB_MEX_FILE ...
>>>>
>>>> k_ord_dynare.o: k_ord_dynare.cpp k_ord_dynare.h
>>>> gcc -DMATLAB_MEX_FILE ....
>>>>
>>>> k_order_perturbation.o: k_order_perturbation.cpp k_order_perturbation.h
>>>> gcc -DMATLAB_MEX_FILE ....
>>>>
>>>> nlsolve.o: $(DYNAREPPDIR)/src/nlsolve.cpp
>>>> gcc -DMATLAB_MEX_FILE ....
>>>>
>>>> whereas only k_order_perturbation.cpp contains mexFunction().
>>>>
>>>> What is that switch/literal used for?
>>>>
>>>> I wandered if it is OK to use that literal and set a switch in
>>>> k_order_perturbation.cpp to exclude mexFunction from compilation when
>>>>
> not
>
>>>> defined so that the file can be used with other mexFunctions such as
>>>>
> the
>
>>> one
>>>
>>>
>>>> for DsgeLikelihood., e.g.
>>>>
>>>> #ifdef MATLAB_MEX_FILE // exclude mexFunction for other applications
>>>> extern "C" {
>>>> void mexFunction(int nlhs, mxArray *plhs[], int nrhs, const
>>>>
> mxArray
>
>>>> *prhs[])
>>>> {
>>>> ... here goes mexFunction .:
>>>> }
>>>> }; // end of extern C
>>>> #endif // ifdef MATLAB_MEX_FILE
>>>>
>>>> Oterwise I can set another literal.
>>>>
>>>> Best regards
>>>>
>>>> George
>>>>
>>>> ----- Original Message -----
>>>> From: "Michel Juillard" <michel.juillard(a)ens.fr>
>>>> To: "G. Perendia" <george(a)perendia.orangehome.co.uk>
>>>> Sent: Tuesday, August 18, 2009 12:36 PM
>>>> Subject: Re: C++ DsgeLikelihood
>>>>
>>>>
>>>>
>>>>
>>>>> Hi George,
>>>>>
>>>>> currently there are 3 different cases:
>>>>>
>>>>> 1) the steady state is not affected by estimation. This is the case
>>>>>
> that
>
>>>>> we are implementing now
>>>>> 2) A Matlab function is provided by the user to compute the steady
>>>>>
> state
>
>>>>> as a function of model's parameters.
>>>>> The implementation is cumbersome for the user and should become a
>>>>> feature of the preprocessor. As long as the definitive version is not
>>>>> done, there is no point in losing time writing a C interface for that
>>>>> 3) The steady state must be solved for by calling a nonlinear equation
>>>>> solver. We will need to implement this as well, but it is a lower
>>>>> priority. I would like to have the entire estimation chain in C++
>>>>> working first with just a constant steady state.
>>>>>
>>>>> All the best,
>>>>>
>>>>> Michel
>>>>>
>>>>>
>>>>> G. Perendia wrote:
>>>>>
>>>>>
>>>>>> Dear Michel
>>>>>>
>>>>>> Regarding steady state, can you remind me why we can not use ss
>>>>>>
>>>>>>
>>>> calculation
>>>>
>>>>
>>>>>> inside the k-order-perturb ?
>>>>>> Can we than instead call Dynare Matlab steady state calculation,
>>>>>>
>>>>>>
>>>> currently
>>>>
>>>>
>>>>>> called from resol.m, from estimate_1.m just before calling the new
>>>>>>
>>>>>>
>>> C++
>>>
>>>
>>>>>> DsgeLikelihood (or from a new Matlab shell DsgeLikelihood_m.m that is
>>>>>>
>>>>>>
>>>> then
>>>>
>>>>
>>>>>> calling C++ DsgeLikelihood) where new C++ resol will not call ss
>>>>>> calculation as the Matlab one does?
>>>>>>
>>>>>> Best regards
>>>>>>
>>>>>> George
>>>>>>
>>>>>> ----- Original Message -----
>>>>>> From: "Michel Juillard" <michel.juillard(a)ens.fr>
>>>>>> To: "G. Perendia" <george(a)perendia.orangehome.co.uk>
>>>>>> Sent: Monday, August 17, 2009 8:37 PM
>>>>>> Subject: Re: C++ DsgeLikelihood
>>>>>>
>>>>>>
>>>>>>
>>>>>>
>>>>>>
>>>>>>> Hi George,
>>>>>>>
>>>>>>>
>>>>>>>
>>>>>>>> Should I suppose that the C++ DsgeLikelihood would also include
>>>>>>>>
> C++
>
>>>>>>>> versions of:
>>>>>>>> resol.m
>>>>>>>>
>>>>>>>>
>>>>>>>>
>>>>>>>>
>>>>>>> yes, this mainly calls first order solution in dr1.m
>>>>>>>
>>>>>>>
>>>>>>>
>>>>>>>
>>>>>>>> kalman_transition_matrix.m
>>>>>>>>
>>>>>>>>
>>>>>>>>
>>>>>>>>
>>>>>>> yes
>>>>>>>
>>>>>>>
>>>>>>>
>>>>>>>> and
>>>>>>>> the 1st order part of the k-ord_pert version of dr1.m that will be
>>>>>>>>
>>>>>>>>
>>>>>>>>
>>>>>> calling
>>>>>>
>>>>>>
>>>>>>
>>>>>>>> k-order_perturbation for 1st order only, either as a DLL (as it
>>>>>>>>
>>>>>>>>
>>> does
>>>
>>>
>>>>>> now)
>>>>>>
>>>>>>
>>>>>>
>>>>>>>> or incorporating it statically?
>>>>>>>>
>>>>>>>>
>>>>>>>>
>>>>>>>>
>>>>>>>>
>>>>>>> first order solution should be linked statically
>>>>>>>
>>>>>>>
>>>>>>>
>>>>>>>
>>>>>>>> May I then also assume that
>>>>>>>>
>>>>>>>> a) set_state_space.m and the kstate preamble will in future be
>>>>>>>>
>>>>>>>>
>>>> performed
>>>>
>>>>
>>>>>>>> before calling DsgeLikelihood, and not repeatedly within dr1 and
>>>>>>>>
> its
>
>>>>>>>>
>>>>>> future
>>>>>>
>>>>>>
>>>>>>
>>>>>>>> C++ version - as I remember has already been planned?
>>>>>>>>
>>>>>>>>
>>>>>>>>
>>>>>>>>
>>>>>>> yes, we will have to implement such a mechanism
>>>>>>>
>>>>>>>
>>>>>>>
>>>>>>>> b) Ramsey will not be part of it for now
>>>>>>>>
>>>>>>>>
>>>>>>>>
>>>>>>>>
>>>>>>>>
>>>>>>> correct
>>>>>>>
>>>>>>>
>>>>>>>
>>>>>>>> c) I need to check but I think I may not need to code
>>>>>>>>
>>>>>>>>
>>>>>>>>
>>>>>> transition_matrix.m
>>>>>>
>>>>>>
>>>>>>
>>>>>>>> and use the info 3/4 test currently in dr1:
>>>>>>>> if nba > nyf info(1) = 3;
>>>>>>>> elseif nba < nyf info(1) = 4;
>>>>>>>> as a similar test already exist in k-ord-pert.
>>>>>>>>
>>>>>>>>
>>>>>>>>
>>>>>>>>
>>>>>>>>
>>>>>>> probably correct
>>>>>>>
>>>>>>>
>>>>>>>
>>>>>>>> d) Also, we seem to need a new algorithm to handle exogenous
>>>>>>>>
>>>>>>>>
>>>>>>>>
>>>>>> deterministic
>>>>>>
>>>>>>
>>>>>>
>>>>>>>> variables i.e. when M_.exo_det_nbr > 0 ? They are not currently
>>>>>>>>
>>>>>>>>
>>>> handled
>>>>
>>>>
>>>>>> for
>>>>>>
>>>>>>
>>>>>>
>>>>>>>> k-order perturbation.
>>>>>>>>
>>>>>>>>
>>>>>>>>
>>>>>>>>
>>>>>>>>
>>>>>>> no, there is no estimation with exogenous deterministic variables
>>>>>>>
>>>>>>>
>>>>>>> Best
>>>>>>>
>>>>>>> Michel
>>>>>>>
>>>>>>>
>>>>>>>
>>>>>>>> Best regards
>>>>>>>>
>>>>>>>> George
>>>>>>>>
>>>>>>>> ----- Original Message -----
>>>>>>>> From: "Michel Juillard" <michel.juillard(a)ens.fr>
>>>>>>>> To: "G. Perendia" <george(a)perendia.orangehome.co.uk>; "Joe
>>>>>>>>
> Pearlman"
>
>>>>>>>> <j.pearlman(a)londonmet.ac.uk>
>>>>>>>> Sent: Friday, July 31, 2009 8:46 AM
>>>>>>>> Subject: Re: lyapunov kalman filter options
>>>>>>>>
>>>>>>>>
>>>>>>>>
>>>>>>>>
>>>>>>>>
>>>>>>>>
>>>>>>>>> Thanks George,
>>>>>>>>>
>>>>>>>>>
>>>>>>>>>
>>>>>>>>>
>>>>>>>>>
>>>>>>>> ....
>>>>>>>>
>>>>>>>>
>>>>>>>>
>>>>>>>>
>>>>>>>>> For the next steps, I think that you have now all elements to code
>>>>>>>>>
>>>>>>>>>
>>> a
>>>
>>>
>>>>>> C++
>>>>>>
>>>>>>
>>>>>>
>>>>>>>>> version of DsgeLikelihood.m Of course you should restrict it to
>>>>>>>>>
> the
>
>>>>>>>>>
>>>>>> case
>>>>>>
>>>>>>
>>>>>>
>>>>>>>>> of stationary models.
>>>>>>>>>
>>>>>>>>> As we haven't solved yet the issue around computing the steady
>>>>>>>>>
>>>>>>>>>
>>> state,
>>>
>>>
>>>>>>>>> for the time being, limit yourself to the case where the steady
>>>>>>>>>
>>>>>>>>>
>>> state
>>>
>>>
>>>>>>>>> doesn't change throughout estimation.
>>>>>>>>>
>>>>>>>>> Best
>>>>>>>>>
>>>>>>>>> Michel
>>>>>>>>>
>>>>>>>>>
>>>>>>>>>
>>>>>>>>>
>>>>>>>>>
>>>>>>>>>
>>>>>>>>
>>>>>>>>
>>>>>>
>>>>>>
>>>>>>
>>>
>>>
>>>
>>>
>>
>
>
>
>
>
