#242: Faster solvers for large scale Sylvester and Lyapunov equations -----------------------+---------------------------------------------------- Reporter: sebastien | Owner: ferhat Type: feature | Status: new Priority: major | Milestone: 4.3 Component: General | Version: Keywords: | -----------------------+----------------------------------------------------
Comment(by ferhat):
The use of fixed point algorithm to solve Sylvester and Lyapunov equations, could be inefficient for small scale models. I suggest that the default solvers are the current Dynare implementations. So the user has to indicate that he want to use a fixed-point algorithm with the following new options: - "sylvester_solver = fixed_point" available for stoch_simul and estimation commands - "lyapunov_solver = fixed_point" available for estimation command.
To control the convergence criteria related to the fixed-point algorithm, we need also the following new options: - "sylvester_fixed_point_tol = value" available for stoch_simul and estimation commands - "lyapunov_fixed_point_tol = value" available for estimation command