Re: [DynareDev] [Dynare Git] Dynare branch, master, updated. a83c0e68c70df4481ab269a1de493eabb804df71

I wonder whether ierating the product of the transition matrix in forecast is not less accurate than taking the power of the matrix. But I agree that it must be faster for large matrices. Maybe we should decompose the matrix before the loop and only take the power of the eigenvalues.

Best

Michel

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commit a83c0e68c70df4481ab269a1de493eabb804df71 Author: Stéphane Adjemian (Charybdis) stephane.adjemian@ens.fr Date: Fri Feb 12 12:31:32 2010 +0100

Bug fix and efficiency changes in smoothing routines.

diff --git a/matlab/DiffuseKalmanSmoother1.m b/matlab/DiffuseKalmanSmoother1.m index 8e624ad..ef64185 100644 --- a/matlab/DiffuseKalmanSmoother1.m +++ b/matlab/DiffuseKalmanSmoother1.m @@ -59,7 +59,7 @@ spstar = size(Pstar1); v = zeros(pp,smpl); a = zeros(mm,smpl+1); atilde = zeros(mm,smpl); -aK = zeros(nk,mm,smpl+1); +aK = zeros(nk,mm,smpl+nk); iF = zeros(pp,pp,smpl); Fstar = zeros(pp,pp,smpl); iFinf = zeros(pp,pp,smpl); @@ -71,11 +71,11 @@ P = zeros(mm,mm,smpl+1); Pstar = zeros(spstar(1),spstar(2),smpl+1); Pstar(:,:,1) = Pstar1; Pinf = zeros(spinf(1),spinf(2),smpl+1); Pinf(:,:,1) = Pinf1; crit = options_.kalman_tol; -crit1 = 1.e-8; +crit1 = 1.e-8; steady = smpl; rr = size(Q,1); QQ = R*Q*transpose(R); -QRt = Q*transpose(R); +QRt = Q*transpose(R); alphahat = zeros(mm,smpl); etahat = zeros(rr,smpl); r = zeros(mm,smpl+1); @@ -99,7 +99,7 @@ while rank(Pinf(:,:,t+1),crit1) & t<smpl a(:,t+1) = T*atilde(:,t); aK(1,:,t+1) = a(:,t+1); for jnk=2:nk,

•    aK(jnk,:,t+jnk) = T^(jnk-1)*a(:,t+1);
  

•    aK(jnk,:,t+jnk) = T*squeeze(aK(jnk-1,:,t+jnk-1));
  

  end Linf(:,:,t) = T - Kinf(:,:,t)*Z; Fstar(:,:,t) = Pstar(mf,mf,t);

@@ -129,9 +129,9 @@ while notsteady & t<smpl K(:,:,t) = T*PZI; L(:,:,t) = T-K(:,:,t)*Z; a(:,t+1) = T*atilde(:,t);

• aK(1,:,t+1) = a(:,t+1);

• aK(1,:,t+1) = a(:,t+1); for jnk=2:nk,

•    aK(jnk,:,t+jnk)                 = T^(jnk-1)*a(:,t+1);
  

•    aK(jnk,:,t+jnk) = T*squeeze(aK(jnk-1,:,t+jnk-1));
  

  end P(:,:,t+1) = T*P(:,:,t)*transpose(T)-T*P(:,mf,t)*transpose(K(:,:,t)) + QQ; notsteady = ~(max(max(abs(P(:,:,t+1)-P(:,:,t))))<crit);

@@ -154,7 +154,7 @@ while t<smpl a(:,t+1) = T*a(:,t) + K_s*v(:,t); aK(1,:,t+1) = a(:,t+1); for jnk=2:nk,

•    aK(jnk,:,t+jnk) = T^(jnk-1)*a(:,t+1);
  

•    aK(jnk,:,t+jnk) = T*squeeze(aK(jnk-1,:,t+jnk-1));
  

  end

end t = smpl+1; @@ -174,4 +174,4 @@ if d alphahat(:,t) = a(:,t) + Pstar(:,:,t)*r0(:,t) + Pinf(:,:,t)*r1(:,t); etahat(:,t) = QRt*r0(:,t); end -end +end \ No newline at end of file diff --git a/matlab/DiffuseKalmanSmoother1_Z.m b/matlab/DiffuseKalmanSmoother1_Z.m index f5614af..debf47c 100644 --- a/matlab/DiffuseKalmanSmoother1_Z.m +++ b/matlab/DiffuseKalmanSmoother1_Z.m @@ -105,8 +105,8 @@ while rank(Pinf(:,:,t+1),crit1) & t<smpl a(:,t+1) = T*atilde(:,t); aK(1,:,t+1) = a(:,t+1); % isn't a meaningless as long as we are in the diffuse part? MJ

• for jnk=2:nk,

•    aK(jnk,:,t+jnk)                 = T^(jnk-1)*a(:,t+1);
  

• for jnk=2:nk

•    aK(jnk,:,t+jnk) = T*squeeze(aK(jnk-1,:,t+jnk-1));
  

  end Linf(:,:,t) = T - Kinf(:,:,t)*Z; Fstar(:,:,t) = Z*Pstar(:,:,t)*Z';

@@ -138,10 +138,13 @@ while notsteady & t<smpl L(:,:,t) = T-K(:,:,t)*Z; a(:,t+1) = T*atilde(:,t); Pf = P(:,:,t);

• aK(1,:,t+1) = a(:,t+1); for jnk=1:nk, Pf = T*Pf*T' + QQ;

•    aK(jnk,:,t+jnk) = T^jnk*atilde(:,t);
     PK(jnk,:,:,t+jnk) = Pf;
  

•    if jnk>1
  

•        aK(jnk,:,t+jnk) = T*squeeze(aK(jnk-1,:,t+jnk-1));
  

•    end
  

  end P(:,:,t+1) = T*P(:,:,t)*T'-T*P(:,:,t)*Z'*K(:,:,t)' + QQ; notsteady = ~(max(max(abs(P(:,:,t+1)-P(:,:,t))))<crit);

@@ -162,10 +165,13 @@ while t<smpl atilde(:,t) = a(:,t) + PZI*v(:,t); a(:,t+1) = T*atilde(:,t); Pf = P(:,:,t);

• for jnk=1:nk,

• aK(1,:,t+1) = a(:,t+1);
• for jnk=1:nk Pf = T*Pf*T' + QQ;

•    aK(jnk,:,t+jnk) = T^jnk*atilde(:,t);
     PK(jnk,:,:,t+jnk) = Pf;
  

•    if jnk>1
  

•        aK(jnk,:,t+jnk) = T*squeeze(aK(jnk-1,:,t+jnk-1));
  

•    end
  

  end

end t = smpl+1; diff --git a/matlab/DiffuseKalmanSmoother3.m b/matlab/DiffuseKalmanSmoother3.m index 1127cf6..514890c 100644 --- a/matlab/DiffuseKalmanSmoother3.m +++ b/matlab/DiffuseKalmanSmoother3.m @@ -165,13 +165,14 @@ while newRank & t < smpl Pstar(:,:,t)=tril(Pstar(:,:,t))+transpose(tril(Pstar(:,:,t),-1)); end end

• a1(:,t+1) = T*a(:,t);
• for jnk=1:nk,

•    aK(jnk,:,t+jnk)                 = T^jnk*a(:,t);
  

• a1(:,t+1) = T*a(:,t);
• aK(1,:,t+1) = a1(:,t+1);
• for jnk=2:nk

•    aK(jnk,:,t+jnk) = T*squeeze(aK(jnk-1,:,t+jnk-1));
  

  end Pstar(:,:,t+1) = T*Pstar(:,:,t)*transpose(T)+ QQ; Pinf(:,:,t+1) = T*Pinf(:,:,t)*transpose(T);

• P0=Pinf(:,:,t+1);

• P0 = Pinf(:,:,t+1); if newRank, %newRank = any(diag(P0(mf,mf))>crit); newRank = rank(P0,crit1);

@@ -207,12 +208,15 @@ while notsteady & t<smpl P(:,:,t)=tril(P(:,:,t))+transpose(tril(P(:,:,t),-1)); end end

• a1(:,t+1) = T*a(:,t);

• a1(:,t+1) = T*a(:,t); Pf = P(:,:,t);
• aK(1,:,t+1) = a1(:,t+1); for jnk=1:nk, Pf = T*Pf*T' + QQ;

•    aK(jnk,:,t+jnk) = T^jnk*a(:,t);
     PK(jnk,:,:,t+jnk) = Pf;
  

•    if jnk>1
  

•        aK(jnk,:,t+jnk) = T*squeeze(aK(jnk-1,:,t+jnk-1));
  

•    end
  

  end P(:,:,t+1) = T*P(:,:,t)*transpose(T) + QQ; notsteady = ~(max(max(abs(P(:,:,t+1)-P(:,:,t))))<crit);

@@ -239,10 +243,13 @@ while t<smpl end a1(:,t+1) = T*a(:,t); Pf = P(:,:,t);

• for jnk=1:nk,

• aK(1,:,t+1) = a1(:,t+1);
• for jnk=1:nk Pf = T*Pf*T' + QQ;

•    aK(jnk,:,t+jnk) = T^jnk*a(:,t);
     PK(jnk,:,:,t+jnk) = Pf;
  

•    if jnk>1
  

•        aK(jnk,:,t+jnk) = T*squeeze(aK(jnk-1,:,t+jnk-1));
  

•    end
  

  end

end ri=zeros(mm,1); diff --git a/matlab/DiffuseKalmanSmoother3_Z.m b/matlab/DiffuseKalmanSmoother3_Z.m index b30e3b3..c6fa2a2 100644 --- a/matlab/DiffuseKalmanSmoother3_Z.m +++ b/matlab/DiffuseKalmanSmoother3_Z.m @@ -91,7 +91,6 @@ Ki = zeros(mm,pp,smpl); Kstar = zeros(mm,pp,smpl_diff); P = zeros(mm,mm,smpl+1); P1 = P; -aK = zeros(nk,mm,smpl+nk); PK = zeros(nk,mm,mm,smpl+nk); Pstar = zeros(spstar(1),spstar(2),smpl_diff+1); Pstar(:,:,1) = Pstar1; Pinf = zeros(spinf(1),spinf(2),smpl_diff+1); Pinf(:,:,1) = Pinf1; @@ -162,9 +161,10 @@ while newRank & t < smpl Pstar(:,:,t)=tril(Pstar(:,:,t))+tril(Pstar(:,:,t),-1)'; end end

• a1(:,t+1) = T*a(:,t);
• for jnk=1:nk,

•    aK(jnk,:,t+jnk)             = T^jnk*a(:,t);
  

• a1(:,t+1) = T*a(:,t);
• aK(1,:,t+1) = a1(:,t+1);
• for jnk=2:nk

•    aK(jnk,:,t+jnk) = T*squueze(aK(jnk-1,:,t+jnk-1));
  

  end Pstar(:,:,t+1) = T*Pstar(:,:,t)*T'+ QQ; Pinf(:,:,t+1) = T*Pinf(:,:,t)*T';

@@ -205,11 +205,14 @@ while notsteady & t<smpl end end a1(:,t+1) = T*a(:,t);

• Pf = P(:,:,t);

• Pf = P(:,:,t);
• aK(1,:,t+1) = a1(:,t+1) for jnk=1:nk, Pf = T*Pf*T' + QQ;

•    aK(jnk,:,t+jnk) = T^jnk*a(:,t);
     PK(jnk,:,:,t+jnk) = Pf;
  

•    if jnk>1
  

•        aK(jnk,:,t+jnk) = T*squeeze(aK(jnk-1,:,t+jnk-1));
  

•    end
  

  end P(:,:,t+1) = T*P(:,:,t)*T' + QQ; % notsteady = ~(max(max(abs(P(:,:,t+1)-P(:,:,t))))<crit);

diff --git a/matlab/DiffuseKalmanSmootherH1.m b/matlab/DiffuseKalmanSmootherH1.m index 362a7a6..8e16023 100644 --- a/matlab/DiffuseKalmanSmootherH1.m +++ b/matlab/DiffuseKalmanSmootherH1.m @@ -98,8 +98,9 @@ while rank(Pinf(:,:,t+1),crit1) & t<smpl atilde(:,t) = a(:,t) + PZI*v(:,t); Kinf(:,:,t) = T*PZI; a(:,t+1) = T*atilde(:,t);

• for jnk=1:nk,

•    aK(jnk,:,t+jnk) = T^(jnk-1)*a(:,t+1);
  

• aK(1,:,t+1) = a(:,t+1);
• for jnk=1:nk

•    aK(jnk,:,t+jnk) = T*squeeze(aK(jnk-1,:,t+jnk-1));
  

  end Linf(:,:,t) = T - Kinf(:,:,t)*Z; Fstar(:,:,t) = Pstar(mf,mf,t) + H;

@@ -118,25 +119,26 @@ Pinf = Pinf(:,:,1:d); notsteady = 1; while notsteady & t<smpl t = t+1;

• v(:,t) = Y(:,t) - a(mf,t) - trend(:,t);

• v(:,t) = Y(:,t) - a(mf,t) - trend(:,t); P(:,:,t)=tril(P(:,:,t))+transpose(tril(P(:,:,t),-1)); if rcond(P(mf,mf,t) + H) < crit

•    return          
  

• end

•    return
  

• end iF(:,:,t) = inv(P(mf,mf,t) + H); PZI = P(:,mf,t)*iF(:,:,t); atilde(:,t) = a(:,t) + PZI*v(:,t); K(:,:,t) = T*PZI; L(:,:,t) = T-K(:,:,t)*Z; a(:,t+1) = T*atilde(:,t);

• for jnk=1:nk,

•    aK(jnk,:,t+jnk) = T^(jnk-1)*a(:,t+1);
  

• aK(1,:,t+1) = a(:,t+1);
• for jnk=2:nk

•    aK(jnk,:,t+jnk) = T*squeeze(aK(jnk-1,:,t+jnk-1));
  

  end P(:,:,t+1) = T*P(:,:,t)*transpose(T)-T*P(:,mf,t)*transpose(K(:,:,t)) + QQ; notsteady = ~(max(max(abs(P(:,:,t+1)-P(:,:,t))))<crit);

end if t<smpl

• PZI_s = PZI;

• PZI_s = PZI; K_s = K(:,:,t); iF_s = iF(:,:,t); P_s = P(:,:,t+1);

@@ -151,8 +153,9 @@ while t<smpl v(:,t) = Y(:,t) - a(mf,t) - trend(:,t); atilde(:,t) = a(:,t) + PZI_s*v(:,t); a(:,t+1) = T*atilde(:,t);

• for jnk=1:nk,

•    aK(jnk,:,t+jnk) = T^(jnk-1)*a(:,t+1);
  

• aK(1,:,t+1) = a(:,t+1);
• for jnk=2:nk

•    aK(jnk,:,t+jnk) = T*squeeze(aK(jnk-1,:,t+jnk-1));
  

  end

end t = smpl+1; diff --git a/matlab/DiffuseKalmanSmootherH1_Z.m b/matlab/DiffuseKalmanSmootherH1_Z.m index bbcdfd9..65fcd44 100644 --- a/matlab/DiffuseKalmanSmootherH1_Z.m +++ b/matlab/DiffuseKalmanSmootherH1_Z.m @@ -108,8 +108,8 @@ while rank(Pinf(:,:,t+1),crit1) & t<smpl a(:,t+1) = T*atilde(:,t); aK(1,:,t+1) = a(:,t+1); % isn't a meaningless as long as we are in the diffuse part? MJ

• for jnk=2:nk,

•    aK(jnk,:,t+jnk)                 = T^(jnk-1)*a(:,t+1);
  

• for jnk=2:nk

•    aK(jnk,:,t+jnk) = T*squeeze(aK(jnk-1,:,t+jnk-1));
  

  end Linf(:,:,t) = T - Kinf(:,:,t)*Z; Fstar(:,:,t) = Z*Pstar(:,:,t)*Z' + H;

@@ -141,10 +141,13 @@ while notsteady & t<smpl L(:,:,t) = T-K(:,:,t)*Z; a(:,t+1) = T*atilde(:,t); Pf = P(:,:,t);

• for jnk=1:nk,

• aK(1,:,t+1) = a(:,t+1);
• for jnk=1:nk Pf = T*Pf*T' + QQ;

•    aK(jnk,:,t+jnk) = T^jnk*atilde(:,t);
     PK(jnk,:,:,t+jnk) = Pf;
  

•    if jnk>1
  

•        aK(jnk,:,t+jnk) = T*squeeze(aK(jnk-1,:,t+jnk-1));
  

•    end
  

  end P(:,:,t+1) = T*P(:,:,t)*T'-T*P(:,:,t)*Z'*K(:,:,t)' + QQ; notsteady = ~(max(max(abs(P(:,:,t+1)-P(:,:,t))))<crit);

@@ -165,10 +168,13 @@ while t<smpl atilde(:,t) = a(:,t) + PZI*v(:,t); a(:,t+1) = T*atilde(:,t); Pf = P(:,:,t);

• for jnk=1:nk,

• aK(1,:,t+1) = a(:,t+1);
• for jnk=1:nk Pf = T*Pf*T' + QQ;

•    aK(jnk,:,t+jnk) = T^jnk*atilde(:,t);
     PK(jnk,:,:,t+jnk) = Pf;
  

•    if jnk>1
  

•        aK(jnk,:,t+jnk) = T*squeeze(aK(jnk-1,:,t+jnk-1));
  

•    end
  

  end

end t = smpl+1; diff --git a/matlab/DiffuseKalmanSmootherH3.m b/matlab/DiffuseKalmanSmootherH3.m index c7dc47f..afa98b5 100644 --- a/matlab/DiffuseKalmanSmootherH3.m +++ b/matlab/DiffuseKalmanSmootherH3.m @@ -163,9 +163,10 @@ while newRank & t < smpl Pstar(:,:,t)=tril(Pstar(:,:,t))+transpose(tril(Pstar(:,:,t),-1)); end end

• a1(:,t+1) = T*a(:,t);
• for jnk=1:nk,

•    aK(jnk,:,t+jnk)                 = T^jnk*a(:,t);
  

• a1(:,t+1) = T*a(:,t);
• aK(1,:,t+1) = a1(:,t+1)
• for jnk=2:nk

•    aK(jnk,:,t+jnk) = T*squeeze(aK(jnk-1,:,t+jnk-1));
  

  end Pstar(:,:,t+1) = T*Pstar(:,:,t)*transpose(T)+ QQ; Pinf(:,:,t+1) = T*Pinf(:,:,t)*transpose(T);

@@ -206,8 +207,9 @@ while notsteady & t<smpl end end a1(:,t+1) = T*a(:,t);

• for jnk=1:nk,

•    aK(jnk,:,t+jnk)                 = T^jnk*a(:,t);
  

• aK(1,:,t+1) = a1(:,t+1);
• for jnk=2:nk

•    aK(jnk,:,t+jnk) = T*squeeze(aK(jnk-1,:,t+jnk-1));
  

  end P(:,:,t+1) = T*P(:,:,t)*transpose(T) + QQ; notsteady = ~(max(max(abs(P(:,:,t+1)-P(:,:,t))))<crit);

@@ -233,8 +235,9 @@ while t<smpl end end a1(:,t+1) = T*a(:,t);

• for jnk=1:nk,

•    aK(jnk,:,t+jnk) = T^jnk*a(:,t);
  

• aK(1,:,t+1) = a1(:,t+1);
• for jnk=2:nk

•    aK(jnk,:,t+jnk) = T*squeeze(aK(jnk-1,:,t+jnk-1));
  

  end

end ri=zeros(mm,1); diff --git a/matlab/DiffuseKalmanSmootherH3_Z.m b/matlab/DiffuseKalmanSmootherH3_Z.m index c01b833..5eaf948 100644 --- a/matlab/DiffuseKalmanSmootherH3_Z.m +++ b/matlab/DiffuseKalmanSmootherH3_Z.m @@ -91,7 +91,6 @@ L0 = zeros(mm,mm,pp,smpl_diff); Kstar = zeros(mm,pp,smpl_diff); P = zeros(mm,mm,smpl+1); P1 = P; -aK = zeros(nk,mm,smpl+nk); PK = zeros(nk,mm,mm,smpl+nk); Pstar = zeros(spstar(1),spstar(2),smpl_diff+1); Pstar(:,:,1) = Pstar1; Pinf = zeros(spinf(1),spinf(2),smpl_diff+1); Pinf(:,:,1) = Pinf1; @@ -163,9 +162,10 @@ while newRank & t < smpl Pstar(:,:,t)=tril(Pstar(:,:,t))+tril(Pstar(:,:,t),-1)'; end end

• a1(:,t+1) = T*a(:,t);
• for jnk=1:nk,

•    aK(jnk,:,t+jnk)             = T^jnk*a(:,t);
  

• a1(:,t+1) = T*a(:,t);
• aK(1,:,t+1) = a1(:,t+1);
• for jnk=2:nk

•    aK(jnk,:,t+jnk) = T*squeeze(aK(jnk-1,:,t+jnk-1));
  

  end Pstar(:,:,t+1) = T*Pstar(:,:,t)*T'+ QQ; Pinf(:,:,t+1) = T*Pinf(:,:,t)*T';

@@ -207,10 +207,13 @@ while notsteady & t<smpl end a1(:,t+1) = T*a(:,t); Pf = P(:,:,t);

• aK(1,:,t+1) = a1(:,t+1); for jnk=1:nk, Pf = T*Pf*T' + QQ;

•    aK(jnk,:,t+jnk) = T^jnk*a(:,t);
     PK(jnk,:,:,t+jnk) = Pf;
  

•    if jnk>1
  

•        aK(jnk,:,t+jnk) = T*squeeze(aK(jnk-1,:,t+jnk-1)) ;
  

•    end
  

  end P(:,:,t+1) = T*P(:,:,t)*T' + QQ; notsteady = ~(max(max(abs(P(:,:,t+1)-P(:,:,t))))<crit);

@@ -238,11 +241,14 @@ while t<smpl end end a1(:,t+1) = T*a(:,t);

• Pf = P(:,:,t);

• Pf = P(:,:,t);
• aK(1,:,t+1) = a1(:,t+1); for jnk=1:nk, Pf = T*Pf*T' + QQ;

•    aK(jnk,:,t+jnk) = T^jnk*a(:,t);
     PK(jnk,:,:,t+jnk) = Pf;
  

•    if jnk>1
  

•        aK(jnk,:,t+jnk) = T*squeeze(aK(jnk-1,:,t+jnk-1));
  

•    end
  

  end

end ri=zeros(mm,1); diff --git a/matlab/DiffuseKalmanSmootherH3corr.m b/matlab/DiffuseKalmanSmootherH3corr.m index 800362c..cfbd826 100644 --- a/matlab/DiffuseKalmanSmootherH3corr.m +++ b/matlab/DiffuseKalmanSmootherH3corr.m @@ -122,8 +122,9 @@ while newRank & t < smpl end end a1(:,t+1) = T*a(:,t);

• for jnk=1:nk,

•    aK(jnk,:,t+jnk)                 = T^jnk*a(:,t);
  

• aK(1,:,t+1) = a1(:,t+1)
• for jnk=2:nk

•    aK(jnk,:,t+jnk) = T*squeeze(aK(jnk-1,:,t+jnk-1));
  

  end Pstar(:,:,t+1) = T*Pstar(:,:,t)*transpose(T)+ QQ; Pinf(:,:,t+1) = T*Pinf(:,:,t)*transpose(T);

@@ -159,8 +160,9 @@ while notsteady & t<smpl end end a1(:,t+1) = T*a(:,t);

• for jnk=1:nk,

•    aK(jnk,:,t+jnk)                 = T^jnk*a(:,t);
  

• aK(1,:,t+1) = a1(:,t+1);
• for jnk=2:nk

•    aK(jnk,:,t+jnk) = T*squeeze(aK(jnk-1,:,t+jnk-1));
  

  end P(:,:,t+1) = T*P(:,:,t)*transpose(T) + QQ; notsteady = ~(max(max(abs(P(:,:,t+1)-P(:,:,t))))<crit);

@@ -186,8 +188,9 @@ while t<smpl end end a1(:,t+1) = T*a(:,t);

• for jnk=1:nk,

•    aK(jnk,:,t+jnk)                 = T^jnk*a(:,t);
  

• aK(1,:,t+1) = a1(:,t+1);
• for jnk=2:nk

•    aK(jnk,:,t+jnk) = T*squeeze(aK(jnk-1,:,t+jnk-1));
  

  end

end

diff --git a/matlab/missing_DiffuseKalmanSmoother1.m b/matlab/missing_DiffuseKalmanSmoother1.m index da7d840..5d76505 100644 --- a/matlab/missing_DiffuseKalmanSmoother1.m +++ b/matlab/missing_DiffuseKalmanSmoother1.m @@ -60,7 +60,7 @@ spstar = size(Pstar1); v = zeros(pp,smpl); a = zeros(mm,smpl+1); atilde = zeros(mm,smpl); -aK = zeros(nk,mm,smpl+1); +aK = zeros(nk,mm,smpl+nk); iF = zeros(pp,pp,smpl); Fstar = zeros(pp,pp,smpl); iFinf = zeros(pp,pp,smpl); @@ -113,9 +113,9 @@ while rank(Pinf(:,:,t+1),crit1) & t<smpl Pinf(:,:,t+1) = T*Pinf(:,:,t)*transpose(T)-T*Pinf(:,mf1,t)* ... transpose(Kinf(:,di,t)); end

• aK(1,:,t+1) = a(:,t+1);
• for jnk=2:nk,

•    aK(jnk,:,t+jnk) = T^(jnk-1)*a(:,t+1);
  

• aK(1,:,t+1) = a(:,t+1);
• for jnk=2:nk

•    aK(jnk,:,t+jnk) = T*squeeze(aK(jnk-1,:,t+jnk-1));
  

  end

end d = t; @@ -150,7 +150,7 @@ while notsteady & t<smpl end aK(1,:,t+1) = a(:,t+1); for jnk=2:nk,

•    aK(jnk,:,t+jnk) = T^(jnk-1)*a(:,t+1);
  

•    aK(jnk,:,t+jnk) = T*squeeze(aK(jnk-1,:,t+jnk-1));
  

  end P(:,:,t+1) = T*P(:,:,t)*transpose(T)-T*P(:,mf,t)*transpose(K(:,:,t)) + QQ; % notsteady = ~(max(max(abs(P(:,:,t+1)-P(:,:,t))))<crit);

diff --git a/matlab/missing_DiffuseKalmanSmoother1_Z.m b/matlab/missing_DiffuseKalmanSmoother1_Z.m index 097f1de..e640fa5 100644 --- a/matlab/missing_DiffuseKalmanSmoother1_Z.m +++ b/matlab/missing_DiffuseKalmanSmoother1_Z.m @@ -121,7 +121,7 @@ while rank(Pinf(:,:,t+1),crit1) & t<smpl aK(1,:,t+1) = a(:,t+1); % isn't a meaningless as long as we are in the diffuse part? MJ for jnk=2:nk,

•    aK(jnk,:,t+jnk)                 = T^(jnk-1)*a(:,t+1);
  

•    aK(jnk,:,t+jnk) = T*squeeze(aK(jnk-1,:,t+jnk-1));
  

  end

end d = t; @@ -157,10 +157,13 @@ while notsteady & t<smpl end a(:,t+1) = T*atilde(:,t); Pf = P(:,:,t);

• for jnk=1:nk,

• aK(1,:,t+1) = a(:,t+1);
• for jnk=1:nk Pf = T*Pf*T' + QQ;

•    aK(jnk,:,t+jnk) = T^jnk*atilde(:,t);
     PK(jnk,:,:,t+jnk) = Pf;
  

•    if jnk>1
  

•        aK(jnk,:,t+jnk) = T*squeeze(aK(jnk-1,:,t+jnk-1));
  

•    end
  

  end % notsteady = ~(max(max(abs(P(:,:,t+1)-P(:,:,t))))<crit);

end diff --git a/matlab/missing_DiffuseKalmanSmoother3.m b/matlab/missing_DiffuseKalmanSmoother3.m index 8f2a041..c4c6df3 100644 --- a/matlab/missing_DiffuseKalmanSmoother3.m +++ b/matlab/missing_DiffuseKalmanSmoother3.m @@ -91,11 +91,11 @@ Pinf = zeros(spinf(1),spinf(2),smpl_diff+1); Pinf(:,:,1) = Pinf1; Pstar1 = Pstar; Pinf1 = Pinf; crit = options_.kalman_tol; -crit1 = 1.e-6; +crit1 = 1.e-6; steady = smpl; rr = size(Q,1); QQ = R*Q*transpose(R); -QRt = Q*transpose(R); +QRt = Q*transpose(R); alphahat = zeros(mm,smpl); etahat = zeros(rr,smpl); r = zeros(mm,smpl+1); @@ -167,16 +167,17 @@ while newRank & t < smpl Pstar(:,:,t)=tril(Pstar(:,:,t))+transpose(tril(Pstar(:,:,t),-1)); end end

• a1(:,t+1) = T*a(:,t);
• for jnk=1:nk,

•    aK(jnk,:,t+jnk)                 = T^jnk*a(:,t);
  

• a1(:,t+1) = T*a(:,t);
• aK(1,:,t+1) = a1(:,t+1);
• for jnk=2:nk

•    aK(jnk,:,t+jnk) = T*squeeze(aK(jnk-1,:,t+jnk-1));
  

  end Pstar(:,:,t+1) = T*Pstar(:,:,t)*transpose(T)+ QQ; Pinf(:,:,t+1) = T*Pinf(:,:,t)*transpose(T); P0=Pinf(:,:,t+1); if newRank, %newRank = any(diag(P0(mf,mf))>crit);

•    newRank   = rank(P0,crit1);
  

•    newRank  = rank(P0,crit1);
  

  end

end

@@ -212,10 +213,13 @@ while notsteady & t<smpl end a1(:,t+1) = T*a(:,t); Pf = P(:,:,t);

• aK(1,:,t+1) = a1(:,t+1); for jnk=1:nk, Pf = T*Pf*T' + QQ;

•    aK(jnk,:,t+jnk) = T^jnk*a1(:,t);
     PK(jnk,:,:,t+jnk) = Pf;
  

•    if jnk>1
  

•        aK(jnk,:,t+jnk) = T*squeeze(aK(jnk-1,:,t+jnk-1));
  

•    end
  

  end P(:,:,t+1) = T*P(:,:,t)*transpose(T) + QQ; % notsteady = ~(max(max(abs(P(:,:,t+1)-P(:,:,t))))<crit);

diff --git a/matlab/missing_DiffuseKalmanSmoother3_Z.m b/matlab/missing_DiffuseKalmanSmoother3_Z.m index 88cde2f..8a7313f 100644 --- a/matlab/missing_DiffuseKalmanSmoother3_Z.m +++ b/matlab/missing_DiffuseKalmanSmoother3_Z.m @@ -92,7 +92,6 @@ Ki = zeros(mm,pp,smpl); Kstar = zeros(mm,pp,smpl_diff); P = zeros(mm,mm,smpl+1); P1 = P; -aK = zeros(nk,mm,smpl+nk); PK = zeros(nk,mm,mm,smpl+nk); Pstar = zeros(spstar(1),spstar(2),smpl_diff+1); Pstar(:,:,1) = Pstar1; Pinf = zeros(spinf(1),spinf(2),smpl_diff+1); Pinf(:,:,1) = Pinf1; @@ -164,9 +163,10 @@ while newRank & t < smpl Pstar(:,:,t)=tril(Pstar(:,:,t))+tril(Pstar(:,:,t),-1)'; end end

• a1(:,t+1) = T*a(:,t);
• for jnk=1:nk,

•    aK(jnk,:,t+jnk)             = T^jnk*a(:,t);
  

• a1(:,t+1) = T*a(:,t);
• aK(1,:,t+1) = a1(:,t+1);
• for jnk=2:nk

•    aK(jnk,:,t+jnk) = T*squeeze(aK(jnk-1,:,t+jnk-1));
  

  end Pstar(:,:,t+1) = T*Pstar(:,:,t)*T'+ QQ; Pinf(:,:,t+1) = T*Pinf(:,:,t)*T';

@@ -209,10 +209,13 @@ while notsteady & t<smpl end a1(:,t+1) = T*a(:,t); Pf = P(:,:,t);

• for jnk=1:nk,

• aK(1,:,t+1) = a1(:,t+1);
• for jnk=1:nk Pf = T*Pf*T' + QQ;

•    aK(jnk,:,t+jnk) = T^jnk*a(:,t);
     PK(jnk,:,:,t+jnk) = Pf;
  

•    if jnk>1
  

•        aK(jnk,:,t+jnk) = T*squeeze(aK(jnk-1,:,t+jnk-1));    
  

•    end
  

  end P(:,:,t+1) = T*P(:,:,t)*T' + QQ; % notsteady = ~(max(max(abs(P(:,:,t+1)-P(:,:,t))))<crit);

---

Summary of changes: matlab/DiffuseKalmanSmoother1.m | 16 ++++++++-------- matlab/DiffuseKalmanSmoother1_Z.m | 16 +++++++++++----- matlab/DiffuseKalmanSmoother3.m | 23 +++++++++++++++-------- matlab/DiffuseKalmanSmoother3_Z.m | 15 +++++++++------ matlab/DiffuseKalmanSmootherH1.m | 23 +++++++++++++---------- matlab/DiffuseKalmanSmootherH1_Z.m | 18 ++++++++++++------ matlab/DiffuseKalmanSmootherH3.m | 17 ++++++++++------- matlab/DiffuseKalmanSmootherH3_Z.m | 20 +++++++++++++------- matlab/DiffuseKalmanSmootherH3corr.m | 15 +++++++++------ matlab/missing_DiffuseKalmanSmoother1.m | 10 +++++----- matlab/missing_DiffuseKalmanSmoother1_Z.m | 9 ++++++--- matlab/missing_DiffuseKalmanSmoother3.m | 18 +++++++++++------- matlab/missing_DiffuseKalmanSmoother3_Z.m | 15 +++++++++------ 13 files changed, 131 insertions(+), 84 deletions(-)

hooks/post-receive