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Merge branch 'local_state_space_it' of git.dynare.org:normann/dynare 

Ref. !1937
pac-components
Sébastien Villemot 2021-09-24 16:44:17 +02:00
parent 7e47713ae5 6475c52b3d
commit 1eee9c53b7
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GPG Key ID: 2CECE9350ECEBE4A
13 changed files with 249 additions and 26 deletions
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2
mex/build/folded_to_unfolded_dr.am
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@ -1,6 +1,6 @@
mex_PROGRAMS = folded_to_unfolded_dr
folded_to_unfolded_dr_FCFLAGS = $(AM_FCFLAGS) -Warray-temporaries -I../libkordersim
folded_to_unfolded_dr_FCFLAGS = $(AM_FCFLAGS) -I../libkordersim
nodist_folded_to_unfolded_dr_SOURCES = \
mexFunction.f08

14
mex/build/k_order_simul.am Normal file
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@ -0,0 +1,14 @@
mex_PROGRAMS = k_order_simul
k_order_simul_FCFLAGS = $(AM_FCFLAGS) -I../libkordersim
nodist_k_order_simul_SOURCES = \
mexFunction.f08
k_order_simul_LDADD = ../libkordersim/libkordersim.a
BUILT_SOURCES = $(nodist_k_order_simul_SOURCES)
CLEANFILES = $(nodist_k_order_simul_SOURCES)
%.f08: $(top_srcdir)/../../sources/k_order_simul/%.f08
$(LN_S) -f $< $@

2
mex/build/local_state_space_iteration_fortran.am
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@ -1,6 +1,6 @@
mex_PROGRAMS = local_state_space_iteration_fortran
local_state_space_iteration_fortran_FCFLAGS = $(AM_FCFLAGS) -Warray-temporaries -I../libkordersim
local_state_space_iteration_fortran_FCFLAGS = $(AM_FCFLAGS) -I../libkordersim
nodist_local_state_space_iteration_fortran_SOURCES = \
mexFunction.f08

2
mex/build/matlab/Makefile.am
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@ -4,7 +4,7 @@ SUBDIRS = mjdgges kronecker bytecode block_kalman_filter sobol perfect_foresight
# libdynare++ must come before gensylv, k_order_perturbation, dynare_simul_
if ENABLE_MEX_DYNAREPLUSPLUS
SUBDIRS += libdynare++ gensylv libkorder dynare_simul_ k_order_perturbation k_order_welfare local_state_space_iterations libkordersim folded_to_unfolded_dr local_state_space_iteration_fortran
SUBDIRS += libdynare++ gensylv libkorder dynare_simul_ k_order_perturbation k_order_welfare local_state_space_iterations libkordersim folded_to_unfolded_dr local_state_space_iteration_fortran k_order_simul
endif
if ENABLE_MEX_MS_SBVAR

1
mex/build/matlab/configure.ac
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@ -165,6 +165,7 @@ AC_CONFIG_FILES([Makefile
libkordersim/Makefile
folded_to_unfolded_dr/Makefile
local_state_space_iteration_fortran/Makefile
k_order_simul/Makefile
perfect_foresight_problem/Makefile
num_procs/Makefile
block_trust_region/Makefile

2
mex/build/matlab/k_order_simul/Makefile.am Normal file
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@ -0,0 +1,2 @@
include ../mex.am
include ../../k_order_simul.am

2
mex/build/octave/Makefile.am
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@ -4,7 +4,7 @@ SUBDIRS = mjdgges kronecker bytecode block_kalman_filter sobol perfect_foresight
# libdynare++ must come before gensylv, k_order_perturbation, dynare_simul_
if ENABLE_MEX_DYNAREPLUSPLUS
SUBDIRS += libdynare++ gensylv libkorder dynare_simul_ k_order_perturbation k_order_welfare local_state_space_iterations libkordersim folded_to_unfolded_dr local_state_space_iteration_fortran
SUBDIRS += libdynare++ gensylv libkorder dynare_simul_ k_order_perturbation k_order_welfare local_state_space_iterations libkordersim folded_to_unfolded_dr local_state_space_iteration_fortran k_order_simul
endif
if ENABLE_MEX_MS_SBVAR

1
mex/build/octave/configure.ac
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@ -158,6 +158,7 @@ AC_CONFIG_FILES([Makefile
libkordersim/Makefile
folded_to_unfolded_dr/Makefile
local_state_space_iteration_fortran/Makefile
k_order_simul/Makefile
perfect_foresight_problem/Makefile
num_procs/Makefile
block_trust_region/Makefile

3
mex/build/octave/k_order_simul/Makefile.am Normal file
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@ -0,0 +1,3 @@
EXEEXT = .mex
include ../mex.am
include ../../k_order_simul.am

1
mex/sources/Makefile.am
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@ -19,6 +19,7 @@ EXTRA_DIST = \
libkordersim \
folded_to_unfolded_dr \
local_state_space_iteration_fortran \
k_order_simul \
gensylv \
dynare_simul_ \
perfect_foresight_problem \

180
mex/sources/k_order_simul/mexFunction.f08 Normal file
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@ -0,0 +1,180 @@
! Copyright © 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/>.
!
! input:
! order the order of approximation, needs order+1 derivatives
! nstat
! npred
! nboth
! nforw
! nexog
! ystart starting value (full vector of endogenous)
! shocks matrix of shocks (nexog x number of period)
! ysteady full vector of decision rule's steady
! dr structure containing matrices of derivatives (g_0, g_1,…)
! output:
! res simulated results
subroutine mexFunction(nlhs, plhs, nrhs, prhs) bind(c, name='mexFunction')
use iso_fortran_env
use iso_c_binding
use struct
use matlab_mex
use partitions
use simulation
implicit none
type(c_ptr), dimension(*), intent(in), target :: prhs
type(c_ptr), dimension(*), intent(out) :: plhs
integer(c_int), intent(in), value :: nlhs, nrhs
type(c_ptr) :: order_mx, nstatic_mx, npred_mx, nboth_mx, nfwrd_mx, nexog_mx, ystart_mx, shocks_mx, ysteady_mx, dr_mx, tmp
type(pol), dimension(:), allocatable, target :: fdr, udr
integer :: order, nstatic, npred, nboth, nfwrd, exo_nbr, endo_nbr, nys, nvar, nper
real(real64), dimension(:,:), allocatable :: shocks, sim
real(real64), dimension(:), allocatable :: ysteady, ystart, ysteady_pred, ystart_pred, dyu
type(pascal_triangle) :: p
type(uf_matching), dimension(:), allocatable :: matching
type(horner), dimension(:), allocatable :: h
integer :: i, t, d, m, n
character(kind=c_char, len=10) :: fieldname
order_mx = prhs(1)
nstatic_mx = prhs(2)
npred_mx = prhs(3)
nboth_mx = prhs(4)
nfwrd_mx = prhs(5)
nexog_mx = prhs(6)
ystart_mx = prhs(7)
shocks_mx = prhs(8)
ysteady_mx = prhs(9)
dr_mx = prhs(10)
! Checking the consistence and validity of input arguments
if (nrhs /= 10 .or. nlhs /= 1) then
call mexErrMsgTxt("Must have exactly 10 inputs and 1 output")
end if
if (.not. (mxIsScalar(order_mx)) .and. mxIsNumeric(order_mx)) then
call mexErrMsgTxt("1st argument (order) should be a numeric scalar")
end if
if (.not. (mxIsScalar(nstatic_mx)) .and. mxIsNumeric(nstatic_mx)) then
call mexErrMsgTxt("2nd argument (nstat) should be a numeric scalar")
end if
if (.not. (mxIsScalar(npred_mx)) .and. mxIsNumeric(npred_mx)) then
call mexErrMsgTxt("3rd argument (npred) should be a numeric scalar")
end if
if (.not. (mxIsScalar(nboth_mx)) .and. mxIsNumeric(nboth_mx)) then
call mexErrMsgTxt("4th argument (nboth) should be a numeric scalar")
end if
if (.not. (mxIsScalar(nfwrd_mx)) .and. mxIsNumeric(nfwrd_mx)) then
call mexErrMsgTxt("5th argument (nforw) should be a numeric scalar")
end if
if (.not. (mxIsScalar(nexog_mx)) .and. mxIsNumeric(nexog_mx)) then
call mexErrMsgTxt("6th argument (nexog) should be a numeric scalar")
end if
if (.not. (mxIsDouble(ystart_mx) .and. (mxGetM(ystart_mx) == 1 .or. mxGetN(ystart_mx) == 1))) then
call mexErrMsgTxt("7th argument (ystart) should be a real vector")
end if
if (.not. (mxIsDouble(shocks_mx))) then
call mexErrMsgTxt("8th argument (shocks) should be a real matrix")
end if
if (.not. (mxIsDouble(ysteady_mx) .and. (mxGetM(ysteady_mx) == 1 .or. mxGetN(ysteady_mx) == 1))) then
call mexErrMsgTxt("9th argument (ysteady) should be a real vector")
end if
if (.not. mxIsStruct(dr_mx)) then
call mexErrMsgTxt("10th argument (dr) should be a struct")
end if
! Converting inputs in Fortran format
order = int(mxGetScalar(order_mx))
nstatic = int(mxGetScalar(nstatic_mx))
npred = int(mxGetScalar(npred_mx))
nboth = int(mxGetScalar(nboth_mx))
nfwrd = int(mxGetScalar(nfwrd_mx))
exo_nbr = int(mxGetScalar(nexog_mx))
endo_nbr = nstatic+npred+nboth+nfwrd
nys = npred+nboth
nvar = nys+exo_nbr
if (endo_nbr /= int(mxGetM(ystart_mx))) then
call mexErrMsgTxt("ystart should have nstat+npred+nboth+nforw rows")
end if
allocate(ystart(endo_nbr))
ystart = mxGetPr(ystart_mx)
if (exo_nbr /= int(mxGetM(shocks_mx))) then
call mexErrMsgTxt("shocks should have nexog rows")
end if
nper = int(mxGetN(shocks_mx))
allocate(shocks(exo_nbr,nper))
shocks = reshape(mxGetPr(shocks_mx),[exo_nbr,nper])
if (.not. (int(mxGetM(ysteady_mx)) == endo_nbr)) then
call mexErrMsgTxt("ysteady should have nstat+npred+nboth+nforw rows")
end if
allocate(ysteady(endo_nbr))
ysteady = mxGetPr(ysteady_mx)
allocate(h(0:order), fdr(0:order), udr(0:order))
do i = 0, order
write (fieldname, '(a2, i1)') "g_", i
tmp = mxGetField(dr_mx, 1_mwIndex, trim(fieldname))
if (.not. (c_associated(tmp) .and. mxIsDouble(tmp))) then
call mexErrMsgTxt(trim(fieldname)//" is not allocated in dr")
end if
m = int(mxGetM(tmp))
n = int(mxGetN(tmp))
allocate(fdr(i)%g(m,n), udr(i)%g(endo_nbr, nvar**i), h(i)%c(endo_nbr, nvar**i))
fdr(i)%g(1:m,1:n) = reshape(mxGetPr(tmp), [m,n])
end do
udr(0)%g = fdr(0)%g
udr(1)%g = fdr(1)%g
if (order > 1) then
! Compute the useful binomial coefficients from Pascal's triangle
p = pascal_triangle(nvar+order-1)
allocate(matching(2:order))
! Pinpointing the corresponding offsets between folded and unfolded tensors
do d=2,order
allocate(matching(d)%folded(nvar**d))
call fill_folded_indices(matching(d)%folded, nvar, d, p)
udr(d)%g = fdr(d)%g(:,matching(d)%folded)
end do
end if
allocate(dyu(nvar), ystart_pred(nys), ysteady_pred(nys), sim(endo_nbr,nper))
! Getting the predetermined part of the endogenous variable vector
ystart_pred = ystart(nstatic+1:nstatic+nys)
ysteady_pred = ysteady(nstatic+1:nstatic+nys)
dyu(1:nys) = ystart_pred - ysteady_pred
dyu(nys+1:) = shocks(:,1)
! Using the Horner algorithm to evaluate the decision rule at the chosen dyu
call eval(h, dyu, udr, endo_nbr, nvar, order)
sim(:,1) = h(0)%c(:,1) + ysteady
! Carrying out the simulation
do t=2,nper
dyu(1:nys) = h(0)%c(nstatic+1:nstatic+nys,1)
dyu(nys+1:) = shocks(:,t)
call eval(h, dyu, udr, endo_nbr, nvar, order)
sim(:,t) = h(0)%c(:,1) + ysteady
end do
! Generating output
plhs(1) = mxCreateDoubleMatrix(int(endo_nbr, mwSize), int(nper, mwSize), mxREAL)
mxGetPr(plhs(1)) = reshape(sim, (/size(sim)/))
end subroutine mexFunction

32
mex/sources/local_state_space_iteration_fortran/mexFunction.f08
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@ -16,21 +16,14 @@
! along with Dynare. If not, see <https://www.gnu.org/licenses/>.
! input:
! order the order of approximation, needs order+1 derivatives
! nstat
! npred
! nboth
! nforw
! nexog
! ystart starting value (full vector of endogenous)
! shocks matrix of shocks (nexog x number of period)
! vcov covariance matrix of shocks (nexog x nexog)
! seed integer seed
! ysteady full vector of decision rule's steady
! dr structure containing matrices of derivatives (g_0, g_1,…)
! yhat values of endogenous variables
! epsilon values of the exgogenous shock
! dr struct containing the folded tensors g_0, g_1, ...
! M struct containing the model features
! options struct containing the model options
! udr struct containing the model unfolded tensors
! output:
! res simulated results
! ynext simulated next-period results
subroutine mexFunction(nlhs, plhs, nrhs, prhs) bind(c, name='mexFunction')
use iso_fortran_env
@ -45,14 +38,12 @@ subroutine mexFunction(nlhs, plhs, nrhs, prhs) bind(c, name='mexFunction')
type(c_ptr), dimension(*), intent(out) :: plhs
integer(c_int), intent(in), value :: nlhs, nrhs
type(c_ptr) :: M_mx, options_mx, dr_mx, yhat_mx, epsilon_mx, udr_mx, tmp
type(pol), dimension(:), allocatable, target :: fdr, udr
type(pol), dimension(:), allocatable, target :: udr
integer :: order, nstatic, npred, nboth, nfwrd, exo_nbr, endo_nbr, nparticles, nys, nvar, nrestricted
real(real64), dimension(:), allocatable :: order_var, ys, ys_reordered, restrict_var_list, dyu
real(real64), dimension(:,:), allocatable :: yhat, e, ynext, ynext_all
type(pascal_triangle) :: p
type(uf_matching), dimension(:), allocatable :: matching
type(horner), dimension(:), allocatable :: h
integer :: i, d, j, m, n
integer :: i, j, m, n
character(kind=c_char, len=10) :: fieldname
yhat_mx = prhs(1)
@ -63,9 +54,6 @@ subroutine mexFunction(nlhs, plhs, nrhs, prhs) bind(c, name='mexFunction')
udr_mx = prhs(6)
! Checking the consistence and validity of input arguments
! if (nrhs /= 5 .or. nlhs /= 1) then
! call mexErrMsgTxt("Must have exactly 5 inputs and 1 output")
! end if
if (nrhs /= 6 .or. nlhs /= 1) then
call mexErrMsgTxt("Must have exactly 5 inputs and 1 output")
end if
@ -142,7 +130,7 @@ subroutine mexFunction(nlhs, plhs, nrhs, prhs) bind(c, name='mexFunction')
yhat = reshape(mxGetPr(yhat_mx), [nys, nparticles])
e = reshape(mxGetPr(epsilon_mx), [exo_nbr, nparticles])
allocate(h(0:order), fdr(0:order), udr(0:order))
allocate(h(0:order), udr(0:order))
do i = 0, order
write (fieldname, '(a2, i1)') "g_", i
tmp = mxGetField(udr_mx, 1_mwIndex, trim(fieldname))

33
tests/k_order_perturbation/burnside_k_order.mod
View File

@ -123,3 +123,36 @@ for T = 1:size(oo_.endo_simul,2)
end
xlag = oo_.endo_simul(2,T);
end
% Verify that the simulated time series is correct with the Fortran routine k_order_simul
order = options_.order;
nstat = M_.nstatic;
npred = M_.npred;
nboth = M_.nboth;
nfwrd = M_.nfwrd;
nexog = M_.exo_nbr;
ystart = oo_.dr.ys(oo_.dr.order_var,1);
ex_ = [zeros(M_.maximum_lag,M_.exo_nbr), oo_.exo_simul'];
ysteady = oo_.dr.ys(oo_.dr.order_var);
dr = oo_.dr;
vcov = M_.Sigma_e;
seed = options_.DynareRandomStreams;
tStart1 = tic; fortran_endo_simul = k_order_simul(order, nstat, npred, nboth, nfwrd, nexog, ystart, ex_, ysteady, dr); tElapsed1 = toc(tStart1);
tStart2 = tic; dynare_endo_simul = dynare_simul_(order, nstat, npred, nboth, nfwrd, nexog, ystart,ex_,vcov,seed, ysteady, dr); tElapsed2 = toc(tStart2);
if (max(abs(oo_.endo_simul-fortran_endo_simul(oo_.dr.order_var,2:end))) > 1e-10)
error('Error in k_order_simul: inaccurate simulation');
end;
if tElapsed1<tElapsed2
skipline()
dprintf('k_order_simul is %5.2f times faster than dynare_simul_', tElapsed2/tElapsed1)
skipline()
else
skipline()
dprintf('k_order_simul is %5.2f times slower than dynare_simul_', tElapsed1/tElapsed2)
skipline()
end