v1.0.1

Port DiffCache and dualcache from deprecated version of DiffEqBase.jl. Throw error when using sparse Jacobians in versions of Julia 1.6+ because you can no longer reinterpret sparse arrays.

v1.0.0

New Features

• Caching for sparse arrays
• Sparse differentiation for Jacobians of key objects comprising a risk-adjusted linearization
• Sparse differentiation for Jacobians computed during calls to nlsolve
• New example scripts showcasing the speed gains from exploiting sparsity

v0.5.3

Updates

• Fix bug in Taylor rule for NK with Capital example

v0.5.2

Updates

• Bug fix for multivariate Gauss-Hermite quadrature (incorrect use of CartesianIndices)
• Bug fix when computing deterministic steady state (failure to store Psi matrix)
• Mild updates to documentation
• Example script of New Keynesian model with capital accumulation and adjustment costs

v0.5.1

• Fix bug in solving deterministic steady state (Psi was not calculated)
• Add an example solving the textbook New Keynesian model
• Timing tests comparing package to MATLAB

v0.5.0

• Extend Lambda and Sigma to permit dependence on jump variables
• Implement Euler equation error diagnostics
• Provide functions for calculating expectations with Gauss-Hermite quadrature
• Add a new example based on Coeurdacier, Rey, and Winant (2011)
• Update RBC with Campbell-Cochrane Habits model to show how to add strips for asset pricing

v0.4.0

Updates

• Implement functions for simulating risk-adjusted linearizations and calculating impulse responses

v0.3.1

Updates

• Fix bugs in handling of keywords for solve!
• Fix compat restrictions for tests

v0.3.0

Updates

• Implement example with endogenous risk (an RBC model with Campbell-Cochrane Habits)
• Bug fixes to dimension mismatch errors when creating caches and checking Blanchard-Kahn conditions
• Anderson acceleration can be used with the relaxation algorithm
• Document helper and wrapper types

v0.2.0

New Features

• Automatic differentiation can be used in the relaxation algorithm
• Caching for all functions has been updated by using DiffCache from DiffEqBase and extending DiffCache with the new cache types TwoDiffCache and ThreeDiffCache, e.g. to handle nested Jacobians.
• Use of new helper types RALF1 and RALF2 to automate conversion of in-place and out-of-place functions to be non-allocating.

Ongoing Issues

• Current approach for setting chunk sizes is not guaranteed to work when using automatic differentiation in the relaxation algorithm and is definitely not working in the homotopy algorithm.