Dev December 2014

dev@dynare.org

7 participants
13 discussions

newrat
by Johannes Pfeifer 12 Mar '15

12 Mar '15

Hi Marco, I am trying to factorize the mode-finding code to make it reusable in other parts of Dynare. But I am having a hard time with newrat in master. The reason is that newrat is the only optimizer that endogenously changes other options used inside of the objective function. I would really like to get rid of this behavior as it makes the generic passing of input arguments to objective functions impossible. One always needs to make sure that the updated options is passed. To be specific, the problem in master derives from the fact that the analytic Hessian requires options_.kalman_algo to be either 2 or 4. If this is not the case, newrat sets one of these values. My proposal to remedy this would be to only allow using newrat without options_.analytic_derivation when kalman_algo=2 or kalman_algo=4. That is, when not using analytical derivatives the user must at least specify a Kalman algo that allows for analytical derivatives. Such a check would make changing the options redundant. Or do you envision cases where people want an analytical Hessian based univariate filters while wanting to compute the likelihood in mode-finding based numerical derivatives derived from the multivariate Kalman filter. An additional issue that popped up: currently, newrat with analytical_derivation seems to be broken for most Kalman algorithms. Thus, I cannot test the features/changes I propose. I created a pull request with a unit test for these issues. I attach the files you need to trace out the errors. Best, Johannes

2 5

Status of testsuite in master branch
by dynbot＠cepremap.org 31 Dec '14

31 Dec '14

1 0

User-defined function on the posterior draws
by Johannes Pfeifer 29 Dec '14

29 Dec '14

Dear Michel and Stephane, one and a half years ago, I proposed functionality to execute user-defined function on the posterior draws (https://github.com/DynareTeam/dynare/pull/417). Despite inquiring about the status repeatedly with Sebastien and Stephane, I never got any response and let the issue sleep. But now there are again two user questions in the forum that would require such a functionality: http://www.dynare.org/phpBB3/viewtopic.php?f=1 <http://www.dynare.org/phpBB3/viewtopic.php?f=1&t=6322> &t=6322 http://www.dynare.org/phpBB3/viewtopic.php?f=1 <http://www.dynare.org/phpBB3/viewtopic.php?f=1&t=6268&p=17939#p17939> &t=6268&p=17939#p17939 Thus, I would like to ask again, if there is a design issue that prevents offering such a functionality? Best, Johannes -- Johannes Pfeifer Friesenwall 104 50672 Köln Tel.: +49-221-29873852 Mobil.: +49-170-6936820 Germany

3 2

Status of testsuite in master branch
by dynbot＠cepremap.org 24 Dec '14

24 Dec '14

1 0

Status of testsuite in master branch
by dynbot＠cepremap.org 20 Dec '14

20 Dec '14

1 0

Status of testsuite in master branch
by dynbot＠cepremap.org 18 Dec '14

18 Dec '14

1 0

Status of testsuite in master branch
by dynbot＠dynare.org 16 Dec '14

16 Dec '14

1 0

Status of testsuite in master branch
by dynbot＠dynare.org 13 Dec '14

13 Dec '14

1 0

Status of testsuite in 4.4 branch
by dynbot＠dynare.org 05 Dec '14

05 Dec '14

1 0

Status of testsuite in master branch
by dynbot＠dynare.org 05 Dec '14

05 Dec '14

1 0

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Dev December 2014