Dev February 2015

dev@dynare.org

6 participants
19 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 Dynare Robot 28 Feb '15

28 Feb '15

1 0

Status of testsuite in master branch
by Dynare Robot 27 Feb '15

27 Feb '15

1 0

Status of testsuite in master branch
by Dynare Robot 25 Feb '15

25 Feb '15

1 0

Status of testsuite in master branch
by Dynare Robot 25 Feb '15

25 Feb '15

e19f03b4204f0e363f5a2c1b13833a1d8208eb65 replace reporting code with submodule. closes #811 ================================ DYNARE MAKE CHECK MATLAB RESULTS ================================ | TOTAL: 505 | PASS: 498 | FAIL: 4 | XFAIL: 3 | XPASS: 0 | LIST OF FAILED TESTS: | * estimation/fs2000_calibrated_covariance.mod | * simul/simul_ZLB_purely_forward_no_solution.mod | * kalman_filter_smoother/fs2000_smoother_only.mod | * kalman_filter_smoother/check_variable_dimensions/fs2000_ML.mod ================================ DYNARE MAKE CHECK OCTAVE RESULTS ================================ | TOTAL: 499 | PASS: 489 | FAIL: 7 | XFAIL: 3 | XPASS: 0 | LIST OF FAILED TESTS: | * estimation/fs2000_calibrated_covariance.mod | * simul/simul_ZLB_purely_forward_no_solution.mod | * kalman_filter_smoother/fs2000_smoother_only.mod | * kalman_filter_smoother/check_variable_dimensions/fs2000_ML.mod | * run_reporting_test_octave.m | * ../matlab/lyapunov_symm.m#1 | * ../matlab/utilities/general/name2tex.m#4 A full log can be found on karaba in '/tmp/dynare-master-check-rQb7POIUmW.log'.

1 0

Status of testsuite in master branch
by Dynare Robot 24 Feb '15

24 Feb '15

59c8fe4319f96d292a2a2a1c1bd2001c91352395 test system: rename ramsey.mod as ramsey_.mod to avoid removal of ramsey directory when doing make clean ================================ DYNARE MAKE CHECK MATLAB RESULTS ================================ | TOTAL: 505 | PASS: 498 | FAIL: 4 | XFAIL: 3 | XPASS: 0 | LIST OF FAILED TESTS: | * estimation/fs2000_calibrated_covariance.mod | * simul/simul_ZLB_purely_forward_no_solution.mod | * kalman_filter_smoother/fs2000_smoother_only.mod | * kalman_filter_smoother/check_variable_dimensions/fs2000_ML.mod ================================ DYNARE MAKE CHECK OCTAVE RESULTS ================================ | TOTAL: 499 | PASS: 489 | FAIL: 7 | XFAIL: 3 | XPASS: 0 | LIST OF FAILED TESTS: | * estimation/fs2000_calibrated_covariance.mod | * simul/simul_ZLB_purely_forward_no_solution.mod | * kalman_filter_smoother/fs2000_smoother_only.mod | * kalman_filter_smoother/check_variable_dimensions/fs2000_ML.mod | * run_reporting_test_octave.m | * ../matlab/lyapunov_symm.m#1 | * ../matlab/utilities/general/name2tex.m#4 A full log can be found on karaba in '/tmp/dynare-master-check-RfxQmV1C6h.log'.

1 0

Status of testsuite in master branch
by Dynare Robot 22 Feb '15

22 Feb '15

32c29fece568c8a2d9b8ef44fd933211b0f0674b Merge pull request #842 from JohannesPfeifer/cosmetics ================================ DYNARE MAKE CHECK MATLAB RESULTS ================================ | TOTAL: 505 | PASS: 497 | FAIL: 5 | XFAIL: 3 | XPASS: 0 | LIST OF FAILED TESTS: | * estimation/fs2000_calibrated_covariance.mod | * gsa/ls2003.mod | * simul/simul_ZLB_purely_forward_no_solution.mod | * kalman_filter_smoother/fs2000_smoother_only.mod | * kalman_filter_smoother/check_variable_dimensions/fs2000_ML.mod ================================ DYNARE MAKE CHECK OCTAVE RESULTS ================================ | TOTAL: 499 | PASS: 489 | FAIL: 7 | XFAIL: 3 | XPASS: 0 | LIST OF FAILED TESTS: | * estimation/fs2000_calibrated_covariance.mod | * simul/simul_ZLB_purely_forward_no_solution.mod | * kalman_filter_smoother/fs2000_smoother_only.mod | * kalman_filter_smoother/check_variable_dimensions/fs2000_ML.mod | * run_reporting_test_octave.m | * ../matlab/lyapunov_symm.m#1 | * ../matlab/utilities/general/name2tex.m#4 A full log can be found on karaba in '/tmp/dynare-master-check-igKsDl4py8.log'.

1 0

Status of testsuite in master branch
by Dynare Robot 21 Feb '15

21 Feb '15

1 0

Status of testsuite in master branch
by Dynare Robot 20 Feb '15

20 Feb '15

1faf755d5661888e154805859d16f1cbfc598db3 Oops, fixing dseries branch. ================================ DYNARE MAKE CHECK MATLAB RESULTS ================================ | TOTAL: 505 | PASS: 498 | FAIL: 4 | XFAIL: 3 | XPASS: 0 | LIST OF FAILED TESTS: | * estimation/fs2000_calibrated_covariance.mod | * simul/simul_ZLB_purely_forward_no_solution.mod | * kalman_filter_smoother/fs2000_smoother_only.mod | * kalman_filter_smoother/check_variable_dimensions/fs2000_ML.mod ================================ DYNARE MAKE CHECK OCTAVE RESULTS ================================ | TOTAL: 499 | PASS: 489 | FAIL: 7 | XFAIL: 3 | XPASS: 0 | LIST OF FAILED TESTS: | * estimation/fs2000_calibrated_covariance.mod | * simul/simul_ZLB_purely_forward_no_solution.mod | * kalman_filter_smoother/fs2000_smoother_only.mod | * kalman_filter_smoother/check_variable_dimensions/fs2000_ML.mod | * run_reporting_test_octave.m | * ../matlab/lyapunov_symm.m#1 | * ../matlab/utilities/general/name2tex.m#4 A full log can be found on karaba in '/tmp/dynare-master-check-YdLoQRMWHO.log'.

1 0

Status of testsuite in master branch
by Dynare Robot 19 Feb '15

19 Feb '15

bbee883040c39a3208cfa545a62fe206a48d9813 fix copyright date ================================ DYNARE MAKE CHECK MATLAB RESULTS ================================ | TOTAL: 505 | PASS: 498 | FAIL: 4 | XFAIL: 3 | XPASS: 0 | LIST OF FAILED TESTS: | * estimation/fs2000_calibrated_covariance.mod | * simul/simul_ZLB_purely_forward_no_solution.mod | * kalman_filter_smoother/fs2000_smoother_only.mod | * kalman_filter_smoother/check_variable_dimensions/fs2000_ML.mod ================================ DYNARE MAKE CHECK OCTAVE RESULTS ================================ | TOTAL: 499 | PASS: 488 | FAIL: 8 | XFAIL: 3 | XPASS: 0 | LIST OF FAILED TESTS: | * estimation/fs2000_calibrated_covariance.mod | * simul/simul_ZLB_purely_forward_no_solution.mod | * kalman_filter_smoother/fs2000_smoother_only.mod | * kalman_filter_smoother/check_variable_dimensions/fs2000_ML.mod | * run_reporting_test_octave.m | * ../matlab/lyapunov_symm.m#1 | * ../matlab/modules/dseries/src/(a)dseries/dseries.m#5 | * ../matlab/utilities/general/name2tex.m#4 A full log can be found on karaba in '/tmp/dynare-master-check-a7OfCZVXQV.log'.

1 0

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Dev February 2015