New subject: 2nd and 3rd model derivatives + k-order

26 Jun 2009


      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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