Re: [DynareDev] Fast Kalman algorithm

-- Marco Ratto, Financial and Economic Analysis Joint Research Centre European Commission, TP 361, 21027 ISPRA(VA), ITALY Tel: +39 0332 78 3794 Fax: +39 0332 78 5752, marco.ratto@jrc.ec.europa.eu http://www.macfinrobods.eu/ On 11/28/2015 6:15 PM, Michel Juillard wrote: > I just pushed an implementation of Ed Herbst fast Kalman filter. It is > available with option fast_kalman_filter > For large models, it gives huge speed improvement. Even for fs2000, it > gives some speed improvement. After more of us experiment with it, we > could probably make it the default. > I'm not entirely convinced by the syntax of the option. There is no way > currently to turn it off. I thought about another value for kalman_algo > but the the organisation of that option, too complex, should be revised. > Tell me what you think > Best