Implement explicit writing of first order conditions of Ramsey problem (ticket #5)
Houtan Bastani
parent
acf385b58a
commit
161647922c
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@ -216,6 +216,15 @@ RamseyPolicyStatement::writeOutput(ostream &output, const string &basename) cons
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output << "ramsey_policy(var_list_);\n";
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}
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string
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RamseyPolicyStatement::getPlannerDiscount() const
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{
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OptionsList::num_options_t::const_iterator it = options_list.num_options.find("planner_discount");
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if (it != options_list.num_options.end())
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return it->second;
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return "1.0";
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}
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DiscretionaryPolicyStatement::DiscretionaryPolicyStatement(const SymbolList &symbol_list_arg,
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const OptionsList &options_list_arg) :
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symbol_list(symbol_list_arg),
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@ -847,6 +856,12 @@ PlannerObjectiveStatement::checkPass(ModFileStructure &mod_file_struct)
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mod_file_struct.planner_objective_present = true;
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}
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StaticModel *
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PlannerObjectiveStatement::getPlannerObjective() const
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{
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return model_tree;
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}
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void
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PlannerObjectiveStatement::computingPass()
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{
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@ -101,6 +101,7 @@ public:
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const OptionsList &options_list_arg);
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virtual void checkPass(ModFileStructure &mod_file_struct);
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virtual void writeOutput(ostream &output, const string &basename) const;
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virtual string getPlannerDiscount() const;
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};
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class DiscretionaryPolicyStatement : public Statement
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@ -342,6 +343,8 @@ public:
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/*! \todo allow for the possibility of disabling temporary terms */
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virtual void computingPass();
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virtual void writeOutput(ostream &output, const string &basename) const;
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//! Return the Planner Objective
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StaticModel *getPlannerObjective() const;
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};
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class BVARDensityStatement : public Statement
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@ -18,6 +18,7 @@
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*/
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#include <iostream>
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#include <sstream>
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#include <cmath>
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#include <cstdlib>
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#include <cassert>
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@ -3006,6 +3007,89 @@ DynamicModel::cloneDynamic(DynamicModel &dynamic_model) const
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dynamic_model.addAuxEquation((*it)->cloneDynamic(dynamic_model));
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}
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void
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DynamicModel::replaceMyEquations(DynamicModel &dynamic_model) const
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{
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dynamic_model.equations.clear();
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for (vector<BinaryOpNode *>::const_iterator it = equations.begin();
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it != equations.end(); it++)
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dynamic_model.addEquation((*it)->cloneDynamic(dynamic_model));
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}
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void
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DynamicModel::computeRamseyPolicyFOCs(const StaticModel &static_model, const string &discount_factor)
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{
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// Add aux LM to constraints in equations
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// equation[i]->lhs = rhs becomes equation[i]->AUX_LAMBDA_i*(lhs-rhs) = 0
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int i;
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for (i = 0; i < (int) equations.size(); i++)
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{
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BinaryOpNode *substeq = dynamic_cast<BinaryOpNode *>(equations[i]->addMultipliersToConstraints(i));
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assert(substeq != NULL);
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equations[i] = substeq;
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}
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cout << "Ramsey Problem: added " << i << " Multipliers." << endl;
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// Add Planner Objective to equations to include in computeDerivIDs
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assert(static_model.equations.size() == 1);
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addEquation(static_model.equations[0]->cloneDynamic(*this));
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// Get max endo lead and max endo lag
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set<pair<int, int> > dynvars;
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int max_eq_lead = 0;
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int max_eq_lag = 0;
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for (int i = 0; i < (int) equations.size(); i++)
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equations[i]->collectVariables(eEndogenous, dynvars);
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for (set<pair<int, int> >::const_iterator it = dynvars.begin();
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it != dynvars.end(); it++)
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{
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int lag = it->second;
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if (max_eq_lead < lag)
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max_eq_lead = lag;
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else if (-max_eq_lag > lag)
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max_eq_lag = -lag;
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}
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// Create (modified) Lagrangian (so that we can take the derivative once at time t)
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expr_t lagrangian = Zero;
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expr_t discount_factor_node = AddNonNegativeConstant(discount_factor);
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for (i = 0; i < (int) equations.size(); i++)
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for (int lag = -max_eq_lag; lag <= max_eq_lead; lag++)
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{
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expr_t dfpower = NULL;
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std::stringstream lagstream;
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lagstream << abs(lag);
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if (lag < 0)
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dfpower = AddNonNegativeConstant(lagstream.str());
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else if (lag == 0)
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dfpower = Zero;
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else
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dfpower = AddMinus(Zero, AddNonNegativeConstant(lagstream.str()));
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lagrangian = AddPlus(AddTimes(AddPower(discount_factor_node, dfpower),
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equations[i]->getNonZeroPartofEquation()->decreaseLeadsLags(lag)), lagrangian);
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}
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equations.clear();
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addEquation(AddEqual(lagrangian, Zero));
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computeDerivIDs();
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//Compute derivatives and overwrite equations
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vector<expr_t> neweqs;
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for (deriv_id_table_t::const_iterator it = deriv_id_table.begin();
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it != deriv_id_table.end(); it++)
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// For all endogenous variables with zero lag
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if (symbol_table.getType(it->first.first) == eEndogenous && it->first.second == 0)
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neweqs.push_back(AddEqual(equations[0]->getNonZeroPartofEquation()->getDerivative(it->second), Zero));
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// Add new equations
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equations.clear();
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for (int i = 0; i < (int) neweqs.size(); i++)
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addEquation(neweqs[i]);
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}
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void
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DynamicModel::toStatic(StaticModel &static_model) const
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{
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@ -3634,6 +3718,9 @@ DynamicModel::substituteLeadLagInternal(aux_var_t type, bool deterministic_model
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case avExpectationRIS:
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cout << "expectation conditional on a restricted information set";
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break;
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case avMultiplier:
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cerr << "avMultiplier encountered: impossible case" << endl;
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exit(EXIT_FAILURE);
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}
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cout << ": added " << neweqs.size() << " auxiliary variables and equations." << endl;
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}
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@ -284,6 +284,10 @@ public:
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/*! It assumes that the dynamic model given in argument has just been allocated */
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void cloneDynamic(DynamicModel &dynamic_model) const;
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//! Replaces model equations with derivatives of Lagrangian w.r.t. endogenous
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void computeRamseyPolicyFOCs(const StaticModel &static_model, const string &discount_factor);
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void replaceMyEquations(DynamicModel &dynamic_model) const;
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//! Writes LaTeX file with the equations of the dynamic model
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void writeLatexFile(const string &basename) const;
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@ -2238,6 +2238,15 @@ BinaryOpNode::prepareForDerivation()
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inserter(non_null_derivatives, non_null_derivatives.begin()));
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}
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expr_t
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BinaryOpNode::getNonZeroPartofEquation() const
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{
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assert(arg1 == datatree.Zero || arg2 == datatree.Zero);
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if (arg1 == datatree.Zero)
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return arg2;
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return arg1;
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}
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expr_t
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BinaryOpNode::composeDerivatives(expr_t darg1, expr_t darg2)
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{
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@ -3342,6 +3351,14 @@ BinaryOpNode::substituteExpectation(subst_table_t &subst_table, vector<BinaryOpN
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return buildSimilarBinaryOpNode(arg1subst, arg2subst, datatree);
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}
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expr_t
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BinaryOpNode::addMultipliersToConstraints(int i)
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{
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int symb_id = datatree.symbol_table.addMultiplierAuxiliaryVar(i);
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expr_t newAuxLM = datatree.AddVariable(symb_id, 0);
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return datatree.AddEqual(datatree.AddTimes(newAuxLM, datatree.AddMinus(arg1, arg2)), datatree.Zero);
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}
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bool
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BinaryOpNode::isNumConstNodeEqualTo(double value) const
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{
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@ -657,6 +657,10 @@ public:
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virtual expr_t removeTrendLeadLag(map<int, expr_t> trend_symbols_map) const;
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//! Function to write out the oPowerNode in expr_t terms as opposed to writing out the function itself
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expr_t unpackPowerDeriv() const;
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//! Returns AUX_LAMBDA*(lhs-rhs) = 0, creating lagrange multiplier AUX_LAMBDA
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expr_t addMultipliersToConstraints(int i);
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//! Returns the non-zero hand-side of an equation (that must have a hand side equal to zero)
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expr_t getNonZeroPartofEquation() const;
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};
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//! Trinary operator node
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@ -21,16 +21,20 @@
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#include <iostream>
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#include <fstream>
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#include <typeinfo>
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#include <cassert>
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#include "ModFile.hh"
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#include "ConfigFile.hh"
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#include "ComputingTasks.hh"
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ModFile::ModFile() : expressions_tree(symbol_table, num_constants, external_functions_table),
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dynamic_model(symbol_table, num_constants, external_functions_table),
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trend_dynamic_model(symbol_table, num_constants, external_functions_table),
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ramsey_FOC_equations_dynamic_model(symbol_table, num_constants, external_functions_table),
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static_model(symbol_table, num_constants, external_functions_table),
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steady_state_model(symbol_table, num_constants, external_functions_table, static_model),
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linear(false), block(false), byte_code(false),
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use_dll(false), no_static(false), nonstationary_variables(false)
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use_dll(false), no_static(false), nonstationary_variables(false),
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ramsey_policy_orig_eqn_nbr(0)
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{
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}
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@ -236,6 +240,32 @@ ModFile::transformPass()
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dynamic_model.removeTrendVariableFromEquations();
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}
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if (mod_file_struct.ramsey_policy_present)
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{
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StaticModel *planner_objective = NULL;
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string planner_discount = "";
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for (vector<Statement *>::iterator it = statements.begin(); it != statements.end(); it++)
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{
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PlannerObjectiveStatement *pos = dynamic_cast<PlannerObjectiveStatement *>(*it);
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if (pos != NULL)
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planner_objective = pos->getPlannerObjective();
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RamseyPolicyStatement *rps = dynamic_cast<RamseyPolicyStatement *>(*it);
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if (rps != NULL)
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planner_discount = rps->getPlannerDiscount();
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}
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assert(planner_objective != NULL && !planner_discount.empty());
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ramsey_policy_orig_eqn_nbr = dynamic_model.equation_number();
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/*
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clone the model then clone the new equations back to the original because
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we have to call computeDerivIDs (in computeRamseyPolicyFOCs and computingPass)
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*/
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dynamic_model.cloneDynamic(ramsey_FOC_equations_dynamic_model);
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ramsey_FOC_equations_dynamic_model.computeRamseyPolicyFOCs(*planner_objective, planner_discount);
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ramsey_FOC_equations_dynamic_model.replaceMyEquations(dynamic_model);
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}
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if (mod_file_struct.stoch_simul_present
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|| mod_file_struct.estimation_present
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|| mod_file_struct.osr_present
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@ -286,14 +316,20 @@ ModFile::transformPass()
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cerr << "ERROR: There are " << dynamic_model.equation_number() << " equations but " << symbol_table.endo_nbr() << " endogenous variables!" << endl;
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exit(EXIT_FAILURE);
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}
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if (symbol_table.exo_det_nbr() > 0 && mod_file_struct.simul_present)
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{
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cerr << "ERROR: A .mod file cannot contain both a simul command and varexo_det declaration (all exogenous variables are deterministic in this case)" << endl;
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exit(EXIT_FAILURE);
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}
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cout << "Found " << dynamic_model.equation_number() << " equation(s)." << endl;
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if (!mod_file_struct.ramsey_policy_present)
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cout << "Found " << dynamic_model.equation_number() << " equation(s)." << endl;
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else
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{
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cout << "Found " << ramsey_policy_orig_eqn_nbr << " equation(s)." << endl;
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cout << "Found " << dynamic_model.equation_number() << " FOC equation(s) for Ramsey Problem." << endl;
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}
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if (symbol_table.exists("dsge_prior_weight"))
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if (mod_file_struct.bayesian_irf_present)
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@ -518,14 +554,27 @@ ModFile::writeOutputFiles(const string &basename, bool clear_all, bool console,
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if (block && !byte_code)
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mOutputFile << "addpath " << basename << ";" << endl;
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if (mod_file_struct.ramsey_policy_present)
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mOutputFile << "M_.orig_eq_nbr = " << ramsey_policy_orig_eqn_nbr << ";" << endl;
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if (dynamic_model.equation_number() > 0)
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{
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if (dynamic_model_needed)
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/* to be removed before ramsey_policy commit
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if (mod_file_struct.ramsey_policy_present)
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ramsey_policy_FOC_dynamic_model.writeOutput(mOutputFile, basename, block, byte_code, use_dll, mod_file_struct.order_option);
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else
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*/
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dynamic_model.writeOutput(mOutputFile, basename, block, byte_code, use_dll, mod_file_struct.order_option);
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else
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dynamic_model.writeOutput(mOutputFile, basename, false, false, false, mod_file_struct.order_option);
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if (!no_static)
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static_model.writeOutput(mOutputFile, block);
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/* to be removed before ramsey_policy commit
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if (mod_file_struct.ramsey_policy_present)
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ramsey_policy_FOC_static_model.writeOutput(mOutputFile, block);
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else
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*/
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static_model.writeOutput(mOutputFile, block);
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}
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// Print statements
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@ -565,13 +614,23 @@ ModFile::writeOutputFiles(const string &basename, bool clear_all, bool console,
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if (dynamic_model.equation_number() > 0)
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{
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if (!no_static)
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static_model.writeStaticFile(basename, block, byte_code);
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/* to be removed before ramsey_policy commit
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if (mod_file_struct.ramsey_policy_present)
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ramsey_policy_FOC_static_model.writeStaticFile(basename, block, byte_code);
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else
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*/
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static_model.writeStaticFile(basename, block, byte_code);
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if (dynamic_model_needed)
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{
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dynamic_model.writeDynamicFile(basename, block, byte_code, use_dll, mod_file_struct.order_option);
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dynamic_model.writeParamsDerivativesFile(basename);
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}
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/* to be removed before ramsey_policy commit
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if (mod_file_struct.ramsey_policy_present)
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ramsey_policy_FOC_dynamic_model.writeDynamicFile(basename, false, false, false, mod_file_struct.order_option);
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else
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*/
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{
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dynamic_model.writeDynamicFile(basename, block, byte_code, use_dll, mod_file_struct.order_option);
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dynamic_model.writeParamsDerivativesFile(basename);
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}
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else
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{
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dynamic_model.writeDynamicFile(basename, false, false, false, mod_file_struct.order_option);
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@ -53,6 +53,8 @@ public:
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DynamicModel dynamic_model;
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//! A copy of Dynamic model, for testing trends declared by user
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DynamicModel trend_dynamic_model;
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//! A model in which to create the FOC for the ramsey problem
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DynamicModel ramsey_FOC_equations_dynamic_model;
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//! Static model, as derived from the "model" block when leads and lags have been removed
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StaticModel static_model;
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//! Static model, as declared in the "steady_state_model" block if present
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@ -79,6 +81,9 @@ public:
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/*! Filled using initval blocks and parameters initializations */
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eval_context_t global_eval_context;
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//! Stores the original number of equations in the model_block
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int ramsey_policy_orig_eqn_nbr;
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private:
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//! List of statements
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vector<Statement *> statements;
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@ -24,12 +24,14 @@
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#include "SymbolTable.hh"
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AuxVarInfo::AuxVarInfo(int symb_id_arg, aux_var_t type_arg, int orig_symb_id_arg, int orig_lead_lag_arg, string expectation_information_set_name_arg) :
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AuxVarInfo::AuxVarInfo(int symb_id_arg, aux_var_t type_arg, int orig_symb_id_arg, int orig_lead_lag_arg,
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string expectation_information_set_name_arg, int equation_number_for_multiplier_arg) :
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symb_id(symb_id_arg),
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type(type_arg),
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orig_symb_id(orig_symb_id_arg),
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orig_lead_lag(orig_lead_lag_arg),
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expectation_information_set_name(expectation_information_set_name_arg)
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expectation_information_set_name(expectation_information_set_name_arg),
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equation_number_for_multiplier(equation_number_for_multiplier_arg)
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{
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}
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@ -235,6 +237,9 @@ SymbolTable::writeOutput(ostream &output) const throw (NotYetFrozenException)
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output << "M_.aux_vars(" << i+1 << ").orig_index = " << getTypeSpecificID(aux_vars[i].get_orig_symb_id())+1 << ";" << endl
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<< "M_.aux_vars(" << i+1 << ").orig_lead_lag = " << aux_vars[i].get_orig_lead_lag() << ";" << endl;
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break;
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case avMultiplier:
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output << "M_.aux_vars(" << i+1 << ").eq_nbr = '" << aux_vars[i].get_equation_number_for_multiplier() << "';" << endl;
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break;
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}
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}
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@ -285,7 +290,7 @@ SymbolTable::addLeadAuxiliaryVarInternal(bool endo, int index) throw (FrozenExce
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exit(EXIT_FAILURE);
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}
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aux_vars.push_back(AuxVarInfo(symb_id, (endo ? avEndoLead : avExoLead), 0, 0, ""));
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aux_vars.push_back(AuxVarInfo(symb_id, (endo ? avEndoLead : avExoLead), 0, 0, "", 0));
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return symb_id;
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}
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@ -311,7 +316,7 @@ SymbolTable::addLagAuxiliaryVarInternal(bool endo, int orig_symb_id, int orig_le
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exit(EXIT_FAILURE);
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}
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|
||||
aux_vars.push_back(AuxVarInfo(symb_id, (endo ? avEndoLag : avExoLag), orig_symb_id, orig_lead_lag, ""));
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||||
aux_vars.push_back(AuxVarInfo(symb_id, (endo ? avEndoLag : avExoLag), orig_symb_id, orig_lead_lag, "", 0));
|
||||
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||||
return symb_id;
|
||||
}
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||||
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|
@ -362,11 +367,32 @@ SymbolTable::addExpectationAuxiliaryVar(int information_set, int index, const st
|
|||
exit(EXIT_FAILURE);
|
||||
}
|
||||
|
||||
aux_vars.push_back(AuxVarInfo(symb_id, (information_set_name.empty() ? avExpectation : avExpectationRIS), 0, 0, information_set_name));
|
||||
aux_vars.push_back(AuxVarInfo(symb_id, (information_set_name.empty() ? avExpectation : avExpectationRIS), 0, 0, information_set_name, 0));
|
||||
|
||||
return symb_id;
|
||||
}
|
||||
|
||||
int
|
||||
SymbolTable::addMultiplierAuxiliaryVar(int index) throw (FrozenException)
|
||||
{
|
||||
ostringstream varname;
|
||||
int symb_id;
|
||||
varname << "MULT_" << index;
|
||||
|
||||
try
|
||||
{
|
||||
symb_id = addSymbol(varname.str(), eEndogenous);
|
||||
}
|
||||
catch (AlreadyDeclaredException &e)
|
||||
{
|
||||
cerr << "ERROR: you should rename your variable called " << varname.str() << ", this name is internally used by Dynare" << endl;
|
||||
exit(EXIT_FAILURE);
|
||||
}
|
||||
|
||||
aux_vars.push_back(AuxVarInfo(symb_id, avMultiplier, 0, 0, "", index));
|
||||
return symb_id;
|
||||
}
|
||||
|
||||
int
|
||||
SymbolTable::searchAuxiliaryVars(int orig_symb_id, int orig_lead_lag) const throw (SearchFailedException)
|
||||
{
|
||||
|
|
|
|||
|
|
@ -33,12 +33,13 @@ using namespace std;
|
|||
//! Types of auxiliary variables
|
||||
enum aux_var_t
|
||||
{
|
||||
avEndoLead = 0, //!< Substitute for endo leads >= 2
|
||||
avEndoLag = 1, //!< Substitute for endo lags >= 2
|
||||
avExoLead = 2, //!< Substitute for exo leads >= 2
|
||||
avExoLag = 3, //!< Substitute for exo lags >= 2
|
||||
avExpectation = 4, //!< Substitute for Expectation Operator
|
||||
avExpectationRIS = 5 //!< Substitute for Expectation Operator Conditional on Restricted Information Set
|
||||
avEndoLead = 0, //!< Substitute for endo leads >= 2
|
||||
avEndoLag = 1, //!< Substitute for endo lags >= 2
|
||||
avExoLead = 2, //!< Substitute for exo leads >= 2
|
||||
avExoLag = 3, //!< Substitute for exo lags >= 2
|
||||
avExpectation = 4, //!< Substitute for Expectation Operator
|
||||
avExpectationRIS = 5, //!< Substitute for Expectation Operator Conditional on Restricted Information Set
|
||||
avMultiplier = 6 //!< Multipliers for FOC of Ramsey Probelem
|
||||
};
|
||||
|
||||
//! Information on some auxiliary variables
|
||||
|
|
@ -50,13 +51,15 @@ private:
|
|||
int orig_symb_id; //!< Symbol ID of the endo of the original model represented by this aux var. Only used for avEndoLag and avExoLag.
|
||||
int orig_lead_lag; //!< Lead/lag of the endo of the original model represented by this aux var. Only used for avEndoLag and avExoLag.
|
||||
string expectation_information_set_name; //!< Stores 'full' or 'varobs' for avExpectationRIS. Not used otherwise.
|
||||
int equation_number_for_multiplier; //!< Stores the original constraint equation number associated with this aux var. Only used for avMultiplier.
|
||||
public:
|
||||
AuxVarInfo(int symb_id_arg, aux_var_t type_arg, int orig_symb_id, int orig_lead_lag, string expectation_information_set_name_arg);
|
||||
AuxVarInfo(int symb_id_arg, aux_var_t type_arg, int orig_symb_id, int orig_lead_lag, string expectation_information_set_name_arg, int equation_number_for_multiplier_arg);
|
||||
int get_symb_id() const { return symb_id; };
|
||||
aux_var_t get_type() const { return type; };
|
||||
int get_orig_symb_id() const { return orig_symb_id; };
|
||||
int get_orig_lead_lag() const { return orig_lead_lag; };
|
||||
string get_expectation_information_set_name() const { return expectation_information_set_name; };
|
||||
int get_equation_number_for_multiplier() const { return equation_number_for_multiplier; };
|
||||
};
|
||||
|
||||
//! Stores the symbol table
|
||||
|
|
@ -214,6 +217,12 @@ public:
|
|||
\return the symbol ID of the new symbol
|
||||
*/
|
||||
int addExpectationAuxiliaryVar(int information_set, int index, const string &information_set_name) throw (FrozenException);
|
||||
//! Adds an auxiliary variable for the multiplier for the FOCs of the Ramsey Problem
|
||||
/*!
|
||||
\param[in] index Used to construct the variable name
|
||||
\return the symbol ID of the new symbol
|
||||
*/
|
||||
int addMultiplierAuxiliaryVar(int index) throw (FrozenException);
|
||||
//! Searches auxiliary variables which are substitutes for a given symbol_id and lead/lag
|
||||
/*!
|
||||
The search is only performed among auxiliary variables of endo/exo lag.
|
||||
|
|
|
|||
Loading…
Reference in New Issue