std::vector<AD<T> > evaluateModel(const std::vector<AD<T> >& x, size_t repeat) {
atomic_base<T>& atomModel = createAtomic();
size_t m2 = repeat * K_ * ns_;
// dependent variable vector
std::vector<AD<T> > dep(m2);
std::vector<AD<T> > dxikdt(ns_);
std::vector<AD<T> > xik(na_);
// parameters
for (size_t j = 0; j < npar_; j++)
xik[ns_ + nm_ + j] = x[j];
size_t s = npar_;
size_t nvarsk = ns_;
size_t nMstart = npar_ + nvarsk * K_ * repeat + nvarsk;
size_t eq = 0;
for (size_t i = 0; i < repeat; i++) {
size_t s0 = s;
// controls
for (size_t j = 0; j < nm_; j++) {
xik[ns_ + j] = x[nMstart + nm_ * i + j];
}
// K = 1
for (size_t j = 0; j < ns_; j++) {
xik[j] = x[s + j]; // states
}
s += nvarsk;
// xik[ns + nm + npar] = x[s + ns];// time
atomModel(xik, dxikdt); // ODE
for (size_t j = 0; j < ns_; j++) {
dep[eq + j] = dxikdt[j]
+ 0.13797958971132715 * x[s0 + j]
+ -0.10749149571305303 * x[s0 + nvarsk + j]
+ -0.038928002823013501 * x[s0 + 2 * nvarsk + j]
+ 0.008439908824739363 * x[s0 + 3 * nvarsk + j];
}
eq += ns_;
// K = 2
for (size_t j = 0; j < ns_; j++) {
xik[j] = x[s + j]; // states
}
s += nvarsk;
// xik[ns + nm + npar] = x[s + ns];// time
atomModel(xik, dxikdt); // ODE
for (size_t j = 0; j < ns_; j++) {
dep[eq + j] = dxikdt[j]
+ -0.057979589711327127 * x[s0 + j]
+ 0.11892800282301351 * x[s0 + nvarsk + j]
+ -0.025841837620280327 * x[s0 + 2 * nvarsk + j]
+ -0.035106575491406049 * x[s0 + 3 * nvarsk + j];
}
eq += ns_;
// K = 3
for (size_t j = 0; j < ns_; j++) {
xik[j] = x[s + j]; // states
}
s += nvarsk;
// xik[ns + nm + npar] = x[s + ns];// time
atomModel(xik, dxikdt); // ODE
for (size_t j = 0; j < ns_; j++) {
dep[eq + j] = dxikdt[j]
+ 0.099999999999999978 * x[s0 + j]
+ -0.18439908824739357 * x[s0 + nvarsk + j]
+ 0.25106575491406025 * x[s0 + 2 * nvarsk + j]
+ -0.16666666666666669 * x[s0 + 3 * nvarsk + j];
}
eq += ns_;
}
return dep;
}
SEXP msbsvar_irf(SEXP gibbs, SEXP msbsvar, SEXP nsteps)
{
int i, k, n, N2, h, m, p, n0max, ns=INTEGER(nsteps)[0];
int *db, *dF, *dxi, *dQ, N210pct, pctct=0;
SEXP bR, FR, xiR, QR, Ui, IRFlist, IRFtmp;
// Rprintf("ns = %d\n",ns);
// Get b, F, xi, Q, SS, dims from gibbs object
PROTECT(bR = VECTOR_ELT(gibbs,0)); db=getdims(bR);
// Rprintf("b(%d,%d)\n",db[0],db[1]);
PROTECT(FR = VECTOR_ELT(gibbs,1)); dF=getdims(FR);
// Rprintf("F(%d,%d)\n",dF[0],dF[1]);
PROTECT(xiR= VECTOR_ELT(gibbs,2)); dxi=getdims(xiR);
// Rprintf("xi(%d,%d)\n",dxi[0],dxi[1]);
PROTECT(QR = VECTOR_ELT(gibbs,3)); dQ=getdims(QR); UNPROTECT(1);
// Rprintf("Q(%d,%d)\n",dQ[0],dQ[1]);
// Rprintf("Gibbs Objects and Dimensions Assigned\n");
// Reconstruct constants
N2=db[0]; h=(int)sqrt((double)dQ[1]); n0max=db[1]/h; m=dxi[1]/h; p=((dF[1]/(h*m))-1)/m;
N210pct=N2/10;
// Rprintf("N2=%d\nh=%d\nm=%d\np=%d\nn0max=%d\n",N2,h,m,p,n0max);
// Get Ui from msbsvar
PROTECT(Ui=VECTOR_ELT(msbsvar,7));
Matrix bsample=R2Cmat(bR,N2,n0max*h);
Matrix Fsample=R2Cmat(FR,N2,m*(m*p+1)*h);
Matrix xisample=R2Cmat(xiR,N2,m*h);
ColumnVector bk(n0max), Fk(m*(m*p+1)), bvec(m*m*p); bk=0.0; Fk=0.0; bvec=0.0;
DiagonalMatrix xik(m), sqrtxik(m); xik=0.0; sqrtxik=0.0;
Matrix Q(h,h), A0(m,m), A0i(m,m), fmat(m,m*p+1), sqrtwish, impulse(N2,m*m*ns);
double *pFk; int IRFdims[]={N2,ns,m*m};
PROTECT(IRFlist=allocVector(VECSXP,h));
// Loop over regimes
for(k=1;k<=h;k++){
// Rprintf("\n==========\nRegime %d\n==========\n",k);
pctct=0;
// Compute impulse responses for every draw of regime k
for(n=1;n<=N2;n++){
// Rprintf("\nDraw %d:\n",n);
// Get values for draw 'n', regime 'k'
bk=bsample.SubMatrix(n,n,(k-1)*n0max+1,k*n0max).t();
// Rprintf("--bk(%d): ",bk.Storage()); //printCVector(bk);
Fk=Fsample.SubMatrix(n,n,(k-1)*m*(m*p+1)+1,k*m*(m*p+1)).t(); pFk=Fk.Store();
// Rprintf("--Fk(%d): ",Fk.Storage()); //printCVector(Fk);
for(i=1;i<=m;i++) xik(i)=sqrt(xisample(n,(k-1)*m+i));
// Rprintf("--xik(%d)/sqrtxik(%d) defined\n",m,m);
// Compute A0/A0^-1/sqrtwish for regime k
A0=b2a(bk,Ui);
//Rprintf("--A0(%d,%d):",m,m); //printMatrix(A0);
A0i=A0.i();
//Rprintf("--A0^-1(%d,%d):",m,m); //printMatrix(A0i);
sqrtwish=(A0*xik).i();
//Rprintf("--sqrtwish(%d,%d):",m,m); //printMatrix(sqrtwish);
// Compute beta vector
fmat.ReSize(m,m*p+1); fmat<<pFk; fmat=fmat.t();
fmat=(fmat.Rows(1,m*p)*A0i).t(); bvec=fmat.AsColumn();
// Rprintf("--fmat(%d,%d):",m,m*p+1); printMatrix(fmat);
// Rprintf("bvec_%d:", n); printCVector(bvec);
// Compute IRF
impulse.Row(n)=irf_var_from_beta(sqrtwish.t(), bvec, ns).t();
if (!(n%N210pct))
Rprintf("Regime %d: Monte Carlo IRF %d percent complete (Iteration %d)\n",k,++pctct*10,n);
}
// Create and class Robj for impulses, load into IRFlist
PROTECT(IRFtmp=C2R3D(impulse,IRFdims));
setclass(IRFtmp,"mc.irf.BSVAR"); SET_VECTOR_ELT(IRFlist, k-1, IRFtmp);
UNPROTECT(1);
}
UNPROTECT(5);
return IRFlist;
}
