Block decomposition: in the dynamic file, y and T are now vectors as in non-block mode
parent
adbb9c9117
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20431ed312
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@ -73,7 +73,7 @@ end
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if (options_.bytecode)
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[zz, data]= bytecode('dynamic','evaluate', z, zx, M_.params, dr.ys, 1, data);
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else
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[r, data] = feval([M_.fname '.dynamic'], options_, M_, oo_, z', zx, M_.params, dr.ys, M_.maximum_lag+1, data);
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[r, data] = feval([M_.fname '.dynamic'], options_, M_, oo_, dynvars_from_endo_simul(z, M_.maximum_lag+1, M_), zx, M_.params, dr.ys, M_.maximum_lag+1, data);
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end
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dr.full_rank = 1;
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dr.eigval = [];
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@ -0,0 +1,26 @@
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function y2 = dynvars_from_endo_simul(y, it_, M_)
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% Given the matrix y of paths for all endogenous (same format as
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% oo_.endo_simul), and an iteration number (first simulation period corresponds
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% to it_=M_.maximum_lag+1), return a vector of endogenous values in the format
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% expected by the dynamic.m file (i.e. whose indices are described by
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% M_.lead_lag_incidence)
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% Copyright (C) 2020 Dynare Team
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%
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% This file is part of Dynare.
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%
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% Dynare is free software: you can redistribute it and/or modify
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% it under the terms of the GNU General Public License as published by
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% the Free Software Foundation, either version 3 of the License, or
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% (at your option) any later version.
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%
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% Dynare is distributed in the hope that it will be useful,
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% but WITHOUT ANY WARRANTY; without even the implied warranty of
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% MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the
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% GNU General Public License for more details.
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%
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% You should have received a copy of the GNU General Public License
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% along with Dynare. If not, see <http://www.gnu.org/licenses/>.
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y2 = y(:, it_+(-M_.maximum_endo_lag:M_.maximum_endo_lead));
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y2 = y2(find(M_.lead_lag_incidence'));
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@ -1,18 +1,17 @@
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function r = lnsrch1_wrapper_one_boundary(ya, y_index, fname, y, x, params, steady_state, T, it_)
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function r = lnsrch1_wrapper_one_boundary(ya, ll_index, fname, y, x, params, steady_state, T, it_)
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% wrapper for solve_one_boundary m-file when it is used with a dynamic
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% model
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%
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% INPUTS
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% ya [vector] The endogenous of the current block
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% y_index [vector of int] The index of the endogenous variables of
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% the block
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% ll_index [vector] M_.lead_lag_incidence(M_.maximum_endo_lag+1, :)
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% fname [string] name of the file containing the block
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% to simulate
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% y [matrix] All the endogenous variables of the model
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% y [vector] Dynamic endogenous variables of the model
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% x [matrix] All the exogenous variables of the model
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% params [vector] All the parameters of the model
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% steady_state [vector] steady state of the model
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% T [matrix] Temporary terms
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% T [vector] Temporary terms
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% OUTPUTS
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% r [vector] The residuals of the current block
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%
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@ -40,6 +39,5 @@ function r = lnsrch1_wrapper_one_boundary(ya, y_index, fname, y, x, params, stea
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% You should have received a copy of the GNU General Public License
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% along with Dynare. If not, see <http://www.gnu.org/licen
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%reshape the input arguments of the dynamic function
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y(it_, y_index) = ya;
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[r, T, g1]=feval(fname, y, x, params, steady_state, T, it_, false);
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y2(nonzeros(ll_index)) = ya(find(ll_index));
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[r, ~, g1]=feval(fname, y, x, params, steady_state, T, it_, false);
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@ -1,5 +1,6 @@
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function ra = lnsrch1_wrapper_two_boundaries(ya, fname, y, y_index, x, ...
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params, steady_state, T, periods, y_kmin, y_size)
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params, steady_state, T, periods, ...
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y_size, M_)
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% wrapper for solve_one_boundary m-file when it is used with a dynamic
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% model
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%
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@ -15,9 +16,10 @@ function ra = lnsrch1_wrapper_two_boundaries(ya, fname, y, y_index, x, ...
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% steady_state [vector] steady state of the model
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% T [matrix] Temporary terms
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% periods [int] The number of periods
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% y_kmin [int] The maximum number of lag on en endogenous variables
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% y_size [int] The number of endogenous variables
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% in the current block
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% M_ Model description structure
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%
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% OUTPUTS
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% ra [vector] The residuals of the current block
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%
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@ -46,8 +48,8 @@ function ra = lnsrch1_wrapper_two_boundaries(ya, fname, y, y_index, x, ...
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% along with Dynare. If not, see <http://www.gnu.org/licen
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%reshape the input arguments of the dynamic function
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y(y_kmin+1:y_kmin+periods, y_index) = reshape(ya',length(y_index),periods)';
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y(M_.maximum_lag+(1:periods), y_index) = reshape(ya',length(y_index),periods)';
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ra = NaN(periods*y_size, 1);
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for it_ = y_kmin+(1:periods)
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[ra((it_-y_kmin-1)*y_size+(1:y_size)), T, g1]=feval(fname, y, x, params, steady_state, T, it_, false);
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for it_ = M_.maximum_lag+(1:periods)
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[ra((it_-M_.maximum_lag-1)*y_size+(1:y_size)), ~, g1]=feval(fname, dynvars_from_endo_simul(y', it_, M_), x, params, steady_state, T(:, it_), it_, false);
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end
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@ -63,7 +63,9 @@ for blk = 1:length(M_.block_structure.block)
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range = M_.maximum_lag+options_.periods:-1:M_.maximum_lag+1;
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end
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for it_ = range
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[y, T] = feval(funcname, y, oo_.exo_simul, M_.params, oo_.steady_state, T, it_, false);
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y2 = dynvars_from_endo_simul(y', it_, M_);
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[y2, T(:, it_)] = feval(funcname, y2, oo_.exo_simul, M_.params, oo_.steady_state, T(:, it_), it_, false);
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y(it_, find(M_.lead_lag_incidence(M_.maximum_endo_lag+1, :))) = y2(nonzeros(M_.lead_lag_incidence(M_.maximum_endo_lag+1, :)));
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end
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elseif M_.block_structure.block(blk).Simulation_Type == 3 || ... % solveForwardSimple
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M_.block_structure.block(blk).Simulation_Type == 4 || ... % solveBackwardSimple
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@ -92,7 +92,7 @@ for it_=start:incr:finish
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g1=spalloc( Blck_size, Blck_size, nze);
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while ~(cvg==1 || iter>maxit_)
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if is_dynamic
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[r, T, g1] = feval(fname, y, x, params, steady_state, T, it_, false);
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[r, T(:, it_), g1] = feval(fname, dynvars_from_endo_simul(y', it_, M), x, params, steady_state, T(:, it_), it_, false);
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else
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[r, T, g1] = feval(fname, y, x, params, T);
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end
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@ -203,9 +203,9 @@ for it_=start:incr:finish
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p = -g1\r ;
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[ya,f,r,check]=lnsrch1(ya,f,g,p,stpmax, ...
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'lnsrch1_wrapper_one_boundary',nn, ...
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y_index_eq, options.solve_tolx, y_index_eq, fname, y, x, params, steady_state, T, it_);
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y_index_eq, options.solve_tolx, M.lead_lag_incidence(M.maximum_endo_lag+1, :), fname, dynvars_from_endo_simul(y', it_, M), x, params, steady_state, T(:, it_), it_);
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%% Recompute temporary terms, since they are not given as output of lnsrch1
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[~, T] = feval(fname, y, x, params, steady_state, T, it_, false);
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[~, T(:, it_)] = feval(fname, dynvars_from_endo_simul(y', it_, M), x, params, steady_state, T(:, it_), it_, false);
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dx = ya' - y(it_, index_eq);
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y(it_, index_eq) = ya';
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elseif (is_dynamic && (stack_solve_algo==1 || stack_solve_algo==0)) || (~is_dynamic && options.solve_algo==6)
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@ -262,8 +262,8 @@ for it_=start:incr:finish
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y(y_index_eq) = phat;
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end
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if is_dynamic
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[r, T, g1] = feval(fname, y, x, params, ...
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steady_state, T, it_, false);
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[r, T(:, it_), g1] = feval(fname, dynvars_from_endo_simul(y', it_, M), x, params, ...
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steady_state, T(:, it_), it_, false);
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else
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[r, T, g1] = feval(fname, y, x, params, T);
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end
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@ -83,7 +83,7 @@ while ~(cvg==1 || iter>maxit_)
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r = NaN(Blck_size, periods);
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g1a = spalloc(Blck_size*periods, Blck_size*periods, nze*periods);
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for it_ = y_kmin+(1:periods)
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[r(:, it_-y_kmin), T, g1]=feval(fname, y, x, params, steady_state, T, it_, false);
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[r(:, it_-y_kmin), T(:, it_), g1]=feval(fname, dynvars_from_endo_simul(y', it_, M), x, params, steady_state, T(:, it_), it_, false);
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if periods == 1
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g1a = g1(:, Blck_size+(1:Blck_size));
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elseif it_ == y_kmin+1
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@ -314,7 +314,7 @@ while ~(cvg==1 || iter>maxit_)
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g = (ra'*g1a)';
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f = 0.5*ra'*ra;
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p = -g1a\ra;
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[yn,f,ra,check]=lnsrch1(ya,f,g,p,stpmax,'lnsrch1_wrapper_two_boundaries',nn,nn, options.solve_tolx, fname, y, y_index,x, params, steady_state, T, periods, y_kmin, Blck_size);
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[yn,f,ra,check]=lnsrch1(ya,f,g,p,stpmax,'lnsrch1_wrapper_two_boundaries',nn,nn, options.solve_tolx, fname, y, y_index,x, params, steady_state, T, periods, Blck_size, M);
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dx = ya - yn;
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y(1+y_kmin:periods+y_kmin,y_index)=reshape(yn',length(y_index),periods)';
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end
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@ -1 +1 @@
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Subproject commit 379be6ccef55dc38af04edb881bf6aa57bdecd65
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Subproject commit 79763911b2af3cd3ce368afd8a7e604a0bb43715
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