Dev July 2009

dev@dynare.org

5 participants
15 discussions

[Fwd: Paralallel and adaptive MCMC]
by Michel Juillard 07 Jul '09

07 Jul '09

Here are Andrea's file again. I can read the PDF file on my (Windows) machine Best Michel -------- Original Message -------- Subject: Paralallel and adaptive MCMC Date: Mon, 6 Jul 2009 14:39:56 +0200 From: andrea pagano <pagano.andrea(a)gmail.com> To: Michel Juillard <Michel.Juillard(a)ens.fr> Dear Michel just before leaving for a week vacation I am sending you a short note and some rouitnes to do some adaptive and replica exchange MCMC. I have tried to use same input notation as in the metropolis code, Marco and Ivano are using in their work. There are many things to be adjusted, but maybe they can be a good starting point for this line of application. Best Andrea P.S. I have reply to Sebastien asking him top wait untill I return to give me the access to karaba. -- Andrea Pagano via Veratti VARESE tel. +3903321691261 cell.+393403804397

1 0

Compiling korderpert
by Sébastien Villemot 07 Jul '09

07 Jul '09

Hi, I'm currently working on a more elaborate build system for the various MEX files. I've tried to compile korderpert, but it fails: it complains about a missing writeMMap() method on a object coming from Dynare++. I guess that you applied some modifications to Dynare++ original source code. Maybe could you create a patch (a diff file) to be applied to the original Dynare++ code, and send it to me? (I will incoporate it into the build system). Best, -- Sébastien Villemot

3 2

[Fwd: Paralallel and adaptive MCMC]
by Michel Juillard 07 Jul '09

07 Jul '09

Here is a contribution of Andrea on MCMC Best, Michel -------- Original Message -------- Subject: Paralallel and adaptive MCMC Date: Mon, 6 Jul 2009 14:39:56 +0200 From: andrea pagano <pagano.andrea(a)gmail.com> To: Michel Juillard <Michel.Juillard(a)ens.fr> Dear Michel just before leaving for a week vacation I am sending you a short note and some rouitnes to do some adaptive and replica exchange MCMC. I have tried to use same input notation as in the metropolis code, Marco and Ivano are using in their work. There are many things to be adjusted, but maybe they can be a good starting point for this line of application. Best Andrea P.S. I have reply to Sebastien asking him top wait untill I return to give me the access to karaba. -- Andrea Pagano via Veratti VARESE tel. +3903321691261 cell.+393403804397

1 0

C++ Kalman filter
by Michel Juillard 06 Jul '09

06 Jul '09

Dear Andrea and George, than you for your efforts on the Kalman filter. I would like to regroup efforts along the following lines: 1) Kalman filter C++: I would still like to be able to compare with an implementation that removes all object instantiation inside the loop: the lowest level object should be Kalman filter and all necessary work space should be allocated once for ever outside the main loop of the filter. The multiplications should be done using optimized Lapack DGEM. George should continue along this line. I'm suspicious of timings taken in Windows and we should double check them under Linux. For this reason as well, Makefile should also provide for building of tests under Linux. George and Andrea should have accounts on karaba. Sebastien, can you take care of that? 2) Unless I'm missing something, there are only two explanations for not being able to beat DGEMM a) our compilers don't optimize as well as the one used by Matlab b) there is a problem in the algorithm. In order to eliminate and be able to quantify the importance of (a), I would like Andrea to write a standalone test for both operations: - A*x - A*P*A' calling DGEMM (from Matlab's Lapack library) and compare it with his own routines. A minimum modification would be to take DGEMM as it is and modify the loops so as to accomodate a quasi-triangular matrix instead of a general matrix. In this exercise, all lower level BLAS functions should be linked with Matlab's BLAS library. We will make a new attempt to integrate Andrea's routines in the Kalman filter only when we obtain satisfactory standalone test results. I think it is important to spend more time on these tests, because we are evaluating how much speed improvement we can expect from using compiled code instead of Matlab. All the best, Michel

4 4

Re: [DynareDev] Fw: 2nd and 3rd model derivatives + k-order
by Sébastien Villemot 01 Jul '09

01 Jul '09

"G. Perendia" <george(a)perendia.orangehome.co.uk> a écrit : > What is the expected preprocessor mechanism to allow for k-ord-pert to be > used (i.e. by setting matlab/kordpert directory on the top of search path) > and when is it expected to be in place? > > If there is none in place yet, what would be the best place (i.e. which .m > file) to set path to kordpert/dr.1 when > options_.use_k_order=1; > is specified in the mod file, e.g. as per my earlier message below? I don't think it is good practice to override matlab/dr1.m with matlab/kordpert/dr1.m through path manipulations. I would rather dynamically select which version of dr1 to use. For example, dr1.m would be a dispatcher between the original dr1.m and the korder dr1.m (and possibly dr1_sparse.m added by Ferhat). Code that can be factorized would go in top-level dr1.m, and specific code would go into dr1_original.m, dr1_korder.m and dr1_sparse.m. Best, -- Sébastien Villemot

2 1

2024

2023

2022

2021

2020

2019

2018

2017

2016

2015

2014

2013

2012

2011

2010

2009

2008

Dev July 2009