#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: | -----------------------+---------------------------------------------------- On big models, a fixed point algorithm works faster for these equations that the current Dynare implementations.
These solvers need to be integrated into Dynare, with options to activate them.
#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
#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 sebastien):
Implementation done as of commit 8ac14f8c80f2a8dba688f0081f4ac529e8bcec08.
Still needs to be documented (ref. manual + wiki page on new features).
#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 sebastien):
Fixed in eed54fb08a3302af0aa8149b3b315f2be3d46f54
#242: Faster solvers for large scale Sylvester and Lyapunov equations ------------------------+--------------------------------------------------- Reporter: sebastien | Owner: ferhat Type: feature | Status: closed Priority: major | Milestone: 4.3 Component: General | Version: Resolution: fixed | Keywords: ------------------------+--------------------------------------------------- Changes (by sebastien):
* status: new => closed * resolution: => fixed
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Trac Dynare