Dear Sebastien Can the preprocessor identify and set the number of the non-zero items in the Hessian as, e.g.: M_.sparse_hessian_len Best regards George ----- Original Message ----- From: "G. Perendia" <george@perendia.orangehome.co.uk> To: "List for Dynare developers" <dev@dynare.org> Sent: Friday, June 26, 2009 8:20 AM Subject: Re: [DynareDev] 2nd and 3rd model derivatives + k-order

Yes, writing it in M_ would help greatly. Best regards

George ----- Original Message ----- From: "Michel Juillard" <michel.juillard@ens.fr> To: "List for Dynare developers" <dev@dynare.org> Sent: Friday, June 26, 2009 7:30 AM Subject: Re: [DynareDev] 2nd and 3rd model derivatives + k-order

Good point! So the preprocessor needs to write in the main *.m file the number of non-zero elements (probably in M_.) and then k_order_perturbation can make the correct space available.

Best,

Michel

G. Perendia wrote:

...

Thanks Michel

I am well aware of the efficiency of sparse matrices being used for Hessian in general.

However, k-order-perturbation dll has problem in finding out what size matrix should be passed to dll to get the Hessian back in.. Not knowing the number of non-zero elements in advance can result in having to pass between two DLLs as much as 3 times larger matrix than the flat Hessian (for both data and indices) which can be rather large - and mostly empty!!

Best regards

George

----- Original Message ----- From: "Michel Juillard" <michel.juillard@ens.fr> To: "List for Dynare developers" <dev@dynare.org> Sent: Friday, June 26, 2009 7:11 AM Subject: Re: [DynareDev] 2nd and 3rd model derivatives + k-order

Hi George,

it is inefficient to pass full hessian from *_dynamic.m or *_dynamic.dll

In k_ord_dynare, one uses only non-zero elements to populate the tensors.

The details of implementation will change again in the future, but passing only non-zero elements is a step in the right direction.

All the best,

Michel

G. Perendia wrote:

...

Dear Sebastien

If USE_DLL is going to be discontinued why is MEX/DLL now going to return sparse matrix exclusively when its only future use is for

k-ord-perturbation

...

which requires full matrix. Can we than have PERTURB_DLL option now and return full hessian using the existing (old) mex/dll dynamic model (but renamed e.g. <model>_kordpert.mexXX/dll) when that option is used rather than fixing k-ordpert rather unnecessarily and poss. just temporary since

we

...

may revert to the full hessian returned form mex/dll once USE_DLL is abandoned.

I think to remember we initially agreed this course of action anyway. In your email from 9th April 09 you mention:

..."For your own purposes, I have understood that you need a full hessian (instead of a sparse one). Can you confirm this? If it is the case, then I shall implement the "pertub_dll" option (as suggested by Michel), so that the preprocessor gives you a full hessian in that case."

And, there are actually quite few issues to be resolved for sparse

matrices

...

being returned from dll. For a start, one problem with fixing k-ordpert

is

...

finding out what size matrix should be passed to dll to get hessian in:

i.e.

...

it may be as much as 3 times bigger than the flat hessian - which can be rather large!!

Best regards

George ----- Original Message ----- From: "Sébastien Villemot" <sebastien.villemot@ens.fr> To: "List for Dynare developers" <dev@dynare.org> Sent: Thursday, June 25, 2009 1:44 PM Subject: Re: [DynareDev] 2nd and 3rd model derivatives + k-order

Le jeudi 25 juin 2009 à 13:41 +0100, G. Perendia a écrit :

...

Just to recap, both dr1.m and k-order-perturbation.dll are affected but

only

...

k-order-perturbation would need to be fixed to cope with this change

since

...

...

dr1.m will not be using USE_DLL mex option anyway.

Yes, indeed.

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