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gensys #2

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matthieugomez opened this issue Jul 16, 2016 · 3 comments
Closed

gensys #2

matthieugomez opened this issue Jul 16, 2016 · 3 comments

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@matthieugomez
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matthieugomez commented Jul 16, 2016 •
edited

I have rewritten the gensys function in Julia here. Compared to the version in this repository, the version is faster (some operations are done in place) and clearer (no unecessary diag/diagm conversion or Float64/Int).
There is also a design change. In my version, the function gensys does not throws errors in case of non unicity or non uniqueness since one may be still interested in the results in these cases. This is the main reason that I needed to rewrite gensys.jl to begin with.

If you're interested, I can write a pull request to replace the gensys file in this repository by the modified one. The only other change would be to throw an error in solve rather than gensys in case of non uniqueness/non existence.
@emoszkowski
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@mattheiugomez, thanks for opening the issue - this looks great. @pearlzli, can you and @abhig94 check that our tests still pass using Gensys.jl?

@pearlzli
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Hi @matthieugomez, thanks so much for doing this! Could you please submit a pull request to DSGE.jl, as you suggested?

@abhig94 and I ran our tests on Gensys.jl, and they pass after changing calls to A_mul_Bt and At_mul_B to A_mul_Bc and Ac_mul_B (transposes to conjugate transposes, since we do complex Schur decompositions in gensys) respectively.

@pearlzli
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Closed with #3 - thanks again!

@pearlzli pearlzli assigned pearlzli and unassigned pearlzli Jul 19, 2016
emoszkowski added a commit that referenced this issue Oct 12, 2016
@emoszkowski
Matching Estimate Step Commit #2: Estimate step updates steady-state
8e2672b 
parameters, is mat-file independent, and matches Matlab exactly when
reoptimize and recalculate_hessian are false.

   - Ugly comments from previous commit (Matching Estimate Step Commit #2) removed.
emoszkowski added a commit that referenced this issue Oct 12, 2016
@emoszkowski
Matching Estimate Step Commit #2: Estimate step updates steady-state
75b6ea4 
parameters, is mat-file and MATLAB independent, and matches Matlab exactly when
reoptimize and recalculate_hessian are false.

   - Ugly comments from previous commit (Matching Estimate Step Commit #2) removed.
emoszkowski added a commit that referenced this issue Oct 18, 2016
@emoszkowski
Matching Estimate Step Commit #2: Estimate step updates steady-state
9fb5d86 
parameters, is mat-file independent, and matches Matlab exactly when
reoptimize and recalculate_hessian are false.

   - Ugly comments from previous commit (Matching Estimate Step Commit #2) removed.
emoszkowski added a commit that referenced this issue Oct 18, 2016
@emoszkowski
Matching Estimate Step Commit #2: Estimate step updates steady-state
0d3d959 
parameters, is mat-file and MATLAB independent, and matches Matlab exactly when
reoptimize and recalculate_hessian are false.

   - Ugly comments from previous commit (Matching Estimate Step Commit #2) removed.
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@pearlzli @matthieugomez @emoszkowski