2009/5/27 G. Perendia <george@perendia.orangehome.co.uk>

Hi

The C++ Kalman dll driver routines in /mex/kalman/matlab are still in development

Sure...

and the code there is still subject to developer testing

... But I'd like to play with it.

and the Makefile there is not yet complete but it should use blas/lapack from Matlab libraries.

Ok. I will adapt your Makefile for my platform.

Best, Stéphane.

Best regards

George Perendia
Tel.: 02072815392
Mob: 07951415480

----- Original Message -----

From: Stéphane Adjemian

To: List for Dynare developers

Sent: Wednesday, May 27, 2009 2:18 PM

Subject: Re: [DynareDev] Kalman Filter

Oui, oui... I never use the presampling option... And with all the examples I have ever considered it takes much more than 10 iterations to get to the steady state kalman filter.

By the way, is there somewhere linux a Makefile for the cc kalman routines? Also, why do we need Atlas (if we also use matlab's lapack/blas libraries)?

Stéphane.

2009/5/27 Michel Juillard <michel.juillard@ens.fr>

Si le filtre converge a l'etat stationnaire a une date avant start (la date a partir de laquelle on cumule la vraisemblance), alors additionner tous les determinants des iterations dans le filtre stationnaire a la derniere periode fausse le calcul de la constante.

amicalement

Michel

Stéphane Adjemian wrote:

Thanks Michel. Your commit is ok for me. I do not yet understand the problem raised by George. I need to go through his example...

Stéphane.

2009/5/27 Michel Juillard <michel.juillard@ens.fr <mailto:michel.juillard@ens.fr>>

Thanks Stephane,

I just uploaded a new version of kalman_filter.m Tell me what you
think

Best

Michel

Stéphane Adjemian wrote:

Hi all,

I agree, the matlab code is very unclear (even if I had fun
writting it this way ;-) and prone to errors if one uses the
vector lik (Marco is using it). I would rather prefer to add
the constants outside of the loop with a (sub)vector
operation, this should be more efficient. I will do it today
or tomorrow.

Best,
Stéphane.

2009/5/27 Michel Juillard <michel.juillard@ens.fr
<mailto:michel.juillard@ens.fr> <mailto:michel.juillard@ens.fr

<mailto:michel.juillard@ens.fr>>>

On closer inspection, I don't think that the expression
pointed by
George in kalman_filter.m is wrong:

1. reste = smpl-t or the number of periods during which the
filter
is stationary. This shouldn't be larger than T-start+1

2. it is problematic (see below) but not wrong to add all the
determinants at once in the last period of the stationary
filter

3. I don't think this explains the difference with the C++
version
of the filter and we still have to look for it.

4. it remains that the current code is very unclear and that if
LIK is correct the vector lik doesn't have the correct
constants
on each elements.

5. I would like to simplify the code and add the correct
constant
to each element of the lik vector. It would be a little bit
less
efficient in Matlab than the current code, but I doubt it
would be
noticeable.
Stephane, what do you think?

Best

Michel

G. Perendia wrote:

Dear Michel

I think I found an error in Dynare Matlab
kalman_filter. suite
of utilities
which affects the likelihood LIK results with start>1
(i.e.
presampling>0):

the calculation speed-up construct which relies on
converged
covariance
matrix

lik(t) = lik(t) + reste*log(dF);

adds reste * log(dF) to the last-1 (i.e. the smpl)
member of lik
(the last, the lik(smpl+1) one contains smpl*pp*log(2*pi))
but reste is usually larger than T-start+1 so that

LIK = .5*(sum(lik(start:end))-(start-1)*lik(smpl+1)/smpl)

has much more log(dF)s added than required since they
are all
concentrated
in the last-1 (the T) member

For example, if I change the above construct to
lik(t) = lik(t) + min(reste,(smpl-start+1))*log(dF);

the reported likelihood for presample=40 from Matlab KF is
1640935.5855267849
which is nearly the same as that from C++ KF below:
1640935.5854489324

Shall I make changes to kalman/likelihood/ KFs and
upload the
.m files?
This problem affects also the older versions of
DiffuseLikelihood**.m too.

Best regards

George
artilogica@btconnect.com
<mailto:artilogica@btconnect.com>
<mailto:artilogica@btconnect.com

<mailto:artilogica@btconnect.com>>

----- Original Message ----- From: "Michel Juillard"
<michel.juillard@ens.fr <mailto:michel.juillard@ens.fr>
<mailto:michel.juillard@ens.fr <mailto:michel.juillard@ens.fr>>>

To: "G. Perendia" <george@perendia.orangehome.co.uk
<mailto:george@perendia.orangehome.co.uk>
<mailto:george@perendia.orangehome.co.uk
<mailto:george@perendia.orangehome.co.uk>>>

Sent: Tuesday, May 26, 2009 10:32 AM
Subject: Re: Kalman Filter+PS

Hi George,

Re 1) below:
I modified C++ KF so that it reports log-likelihood
for given
start/preampling in same/similar manner as the
Matlab
KFs do and I am
getting approximately close results, e.g.

ll= -1640935.5854489324 for C++ and
(-) 1640482.4179242959 for Matlab KF (for
start=41, i.e.
presample=40).
whilst they appear same for presample=0
(e.g.2.5906e+006), i.e.
-2590556.989730841 vs
2590556.989778722

Are those results acceptably close or should I
investigate further where
the
above difference may come form?

This indicates a problem . The difference should be the
same with and
without presample. It may come from the computation
of the
likelihood
constant. This is done in a very obscure manner in
Dynare
Matlab.

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-- Stéphane Adjemian
CEPREMAP & Université du Maine

Tel: (33)1-43-13-62-39
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--
Stéphane Adjemian
CEPREMAP & Université du Maine

Tel: (33)1-43-13-62-39
------------------------------------------------------------------------

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--
Stéphane Adjemian
CEPREMAP & Université du Maine

Tel: (33)1-43-13-62-39

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