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DynareOBC v3.20.51.1926
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@tholden tholden released this 17 May 12:07
· 45 commits to master since this release
v3.20.51.1926
cf21008

This release contains major changes to the cubature algorithm.

DynareOBC now always starts by drawing large numbers of points via QMC. Of these, many will not hit the bound, and can be discarded. Of the remaining, DynareOBC optionally performs an initial clustering step to divide them into regions, controlled by the CubatureRegions option. Then for each region, it either integrates with a rule exact for linear functions (if CubatureCATCHDegree=0) or with a rule exact for all monomials in q and min{0,q} with degree less or equal to the given CubatureCATCHDegree.

Running DynareOBC with the Cubature option without changing the defaults for CubatureRegions or CubatureCATCHDegree produces a one-point integration rule which should be almost as fast as using no-cubature at all.

Please see the read-me for the full set of new cubature options.

This release also contains a few other minor changes. (New option NoPoolClose. Using 2 threads for Gurobi and CLP even when MultiThreadBoundsProblem or MultiThreadCubatureRuleCreation are not on. Improvements to progress messages.)

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