dynare/mex/sources/k_order_welfare/approximation_welfare.cc

/*
 * Copyright © 2005 Ondra Kamenik
 * Copyright © 2019-2021 Dynare Team
 *
 * This file is part of Dynare.
 *
 * Dynare is free software: you can redistribute it and/or modify
 * it under the terms of the GNU General Public License as published by
 * the Free Software Foundation, either version 3 of the License, or
 * (at your option) any later version.
 *
 * Dynare is distributed in the hope that it will be useful,
 * but WITHOUT ANY WARRANTY; without even the implied warranty of
 * MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE.  See the
 * GNU General Public License for more details.
 *
 * You should have received a copy of the GNU General Public License
 * along with Dynare.  If not, see <https://www.gnu.org/licenses/>.
 */

#include <utility>

#include "approximation_welfare.hh"
#include "kord_exception.hh"

ApproximationWelfare::ApproximationWelfare(KordwDynare& w, double discount_factor_arg,
                                           const FGSContainer& rule_ders_arg,
                                           const FGSContainer& rule_ders_s_arg, Journal& j) :
    welfare {w},
    discount_factor(discount_factor_arg),
    nvs {welfare.getModel().nys(), welfare.getModel().nexog(), welfare.getModel().nexog(), 1},
    journal {j}
{
  rule_ders = std::make_unique<FGSContainer>(rule_ders_arg);
  rule_ders_s = std::make_unique<FGSContainer>(rule_ders_s_arg);
}

/* This methods assumes that the deterministic steady state is
   model.getSteady(). It makes an approximation about it and stores the
   derivatives to ‘rule_ders’ and ‘rule_ders_ss’. Also it runs a check() for
   σ=0. */
void
ApproximationWelfare::approxAtSteady()
{
  welfare.calcDerivativesAtSteady();
  KOrderWelfare korderwel(welfare.getModel().nstat(), welfare.getModel().npred(),
                          welfare.getModel().nboth(), welfare.getModel().nforw(),
                          welfare.getModel().nexog(), welfare.getModel().order(), discount_factor,
                          welfare.getPlannerObjDerivatives(), get_rule_ders(), get_rule_ders_s(),
                          welfare.getModel().getVcov(), journal);
  for (int k = 1; k <= welfare.getModel().order(); k++)
    korderwel.performStep<Storage::fold>(k);
  saveRuleDerivs(korderwel.getFoldW());

  // construct the resulting decision rule
  cond_fdr = std::make_unique<FoldDecisionRule>(*cond_ders, welfare.getModel().nys(),
                                                welfare.getModel().nexog(),
                                                welfare.getModel().getSteady());
}

const FoldDecisionRule&
ApproximationWelfare::getFoldCondWel() const
{
  KORD_RAISE_IF(
      !cond_fdr,
      "Folded decision rule has not been created in ApproximationWelfare::getFoldCondWel");
  return *cond_fdr;
}

void
ApproximationWelfare::saveRuleDerivs(const FGSContainer& W)
{
  cond_ders = std::make_unique<FGSContainer>(W);
}