k-order DLL: various simplifications
Sébastien Villemot
parent
becbba10ad
commit
20cbc30450
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@ -15,7 +15,6 @@ nodist_k_order_perturbation_SOURCES = \
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$(TOPDIR)/k_ord_dynare.hh \
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$(TOPDIR)/dynamic_dll.cc \
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$(TOPDIR)/dynamic_dll.hh \
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$(TOPDIR)/dynamic_abstract_class.cc \
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$(TOPDIR)/dynamic_abstract_class.hh \
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$(TOPDIR)/dynamic_m.cc \
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$(TOPDIR)/dynamic_m.hh
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@ -1,72 +0,0 @@
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/*
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* Copyright (C) 2010-2019 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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*/
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#include <assert.h>
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#include "dynamic_abstract_class.hh"
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void
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DynamicModelAC::copyDoubleIntoTwoDMatData(double *dm, TwoDMatrix *tdm, int rows, int cols)
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{
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assert(rows == tdm->nrows());
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assert(cols == tdm->ncols());
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int dmIdx = 0;
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for (int j = 0; j < cols; j++)
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for (int i = 0; i < rows; i++)
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tdm->get(i, j) = dm[dmIdx++];
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}
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void
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DynamicModelAC::unpackSparseMatrixAndCopyIntoTwoDMatData(mxArray *sparseMat, TwoDMatrix *tdm)
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{
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int totalCols = mxGetN(sparseMat);
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mwIndex *rowIdxVector = mxGetIr(sparseMat);
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mwSize sizeRowIdxVector = mxGetNzmax(sparseMat);
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mwIndex *colIdxVector = mxGetJc(sparseMat);
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assert(tdm->ncols() == 3);
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assert(tdm->nrows() == sizeRowIdxVector);
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double *ptr = mxGetPr(sparseMat);
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int rind = 0;
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int output_row = 0;
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for (int i = 0; i < totalCols; i++)
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for (int j = 0; j < static_cast<int>((colIdxVector[i+1]-colIdxVector[i])); j++, rind++)
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{
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tdm->get(output_row, 0) = rowIdxVector[rind] + 1;
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tdm->get(output_row, 1) = i + 1;
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tdm->get(output_row, 2) = ptr[rind];
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output_row++;
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}
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/* If there are less elements than Nzmax (that might happen if some
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derivative is symbolically not zero but numerically zero at the evaluation
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point), then fill in the matrix with empty entries, that will be
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recognized as such by KordpDynare::populateDerivativesContainer() */
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while (output_row < static_cast<int>(sizeRowIdxVector))
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{
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tdm->get(output_row, 0) = 0;
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tdm->get(output_row, 1) = 0;
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tdm->get(output_row, 2) = 0;
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output_row++;
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}
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}
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@ -20,15 +20,13 @@
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#ifndef _DYNAMICMODELAC_HH
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#define _DYNAMICMODELAC_HH
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#include "k_ord_dynare.hh"
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#include "twod_matrix.hh"
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class DynamicModelAC
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{
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public:
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virtual ~DynamicModelAC() = default;
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static void unpackSparseMatrixAndCopyIntoTwoDMatData(mxArray *sparseMat, TwoDMatrix *tdm);
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static void copyDoubleIntoTwoDMatData(double *dm, TwoDMatrix *tdm, int rows, int cols);
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virtual void eval(const Vector &y, const Vector &x, const Vector ¶ms, const Vector &ySteady,
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Vector &residual, TwoDMatrix *g1, TwoDMatrix *g2, TwoDMatrix *g3) noexcept(false) = 0;
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Vector &residual, TwoDMatrix *g1, TwoDMatrix *g2, TwoDMatrix *g3) = 0;
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};
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#endif
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@ -19,6 +19,10 @@
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#include "dynamic_dll.hh"
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#include "dynare_exception.hh"
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#include <iostream>
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DynamicModelDLL::DynamicModelDLL(const std::string &modName) noexcept(false)
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{
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std::string fName;
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@ -27,71 +31,51 @@ DynamicModelDLL::DynamicModelDLL(const std::string &modName) noexcept(false)
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#endif
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fName += "+" + modName + "/dynamic" + MEXEXT;
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try
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{
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#if defined(__CYGWIN32__) || defined(_WIN32)
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dynamicHinstance = LoadLibrary(fName.c_str());
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if (!dynamicHinstance)
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throw 1;
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ntt = reinterpret_cast<int *>(GetProcAddress(dynamicHinstance, "ntt"));
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dynamic_resid_tt = reinterpret_cast<dynamic_tt_fct>(GetProcAddress(dynamicHinstance, "dynamic_resid_tt"));
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dynamic_resid = reinterpret_cast<dynamic_resid_fct>(GetProcAddress(dynamicHinstance, "dynamic_resid"));
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dynamic_g1_tt = reinterpret_cast<dynamic_tt_fct>(GetProcAddress(dynamicHinstance, "dynamic_g1_tt"));
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dynamic_g1 = reinterpret_cast<dynamic_g1_fct>(GetProcAddress(dynamicHinstance, "dynamic_g1"));
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dynamic_g2_tt = reinterpret_cast<dynamic_tt_fct>(GetProcAddress(dynamicHinstance, "dynamic_g2_tt"));
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dynamic_g2 = reinterpret_cast<dynamic_g2_fct>(GetProcAddress(dynamicHinstance, "dynamic_g2"));
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dynamic_g3_tt = reinterpret_cast<dynamic_tt_fct>(GetProcAddress(dynamicHinstance, "dynamic_g3_tt"));
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dynamic_g3 = reinterpret_cast<dynamic_g3_fct>(GetProcAddress(dynamicHinstance, "dynamic_g3"));
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if (!ntt || !dynamic_resid_tt || !dynamic_resid
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|| !dynamic_g1_tt || !dynamic_g1
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|| !dynamic_g2_tt || !dynamic_g2
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|| !dynamic_g3_tt || !dynamic_g3)
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{
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FreeLibrary(dynamicHinstance); // Free the library
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throw 2;
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}
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dynamicHinstance = LoadLibrary(fName.c_str());
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if (!dynamicHinstance)
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throw DynareException(__FILE__, __LINE__, "Error when loading " + fName + ": can't dynamically load the file");
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ntt = reinterpret_cast<int *>(GetProcAddress(dynamicHinstance, "ntt"));
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dynamic_resid_tt = reinterpret_cast<dynamic_tt_fct>(GetProcAddress(dynamicHinstance, "dynamic_resid_tt"));
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dynamic_resid = reinterpret_cast<dynamic_resid_fct>(GetProcAddress(dynamicHinstance, "dynamic_resid"));
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dynamic_g1_tt = reinterpret_cast<dynamic_tt_fct>(GetProcAddress(dynamicHinstance, "dynamic_g1_tt"));
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dynamic_g1 = reinterpret_cast<dynamic_g1_fct>(GetProcAddress(dynamicHinstance, "dynamic_g1"));
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dynamic_g2_tt = reinterpret_cast<dynamic_tt_fct>(GetProcAddress(dynamicHinstance, "dynamic_g2_tt"));
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dynamic_g2 = reinterpret_cast<dynamic_g2_fct>(GetProcAddress(dynamicHinstance, "dynamic_g2"));
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dynamic_g3_tt = reinterpret_cast<dynamic_tt_fct>(GetProcAddress(dynamicHinstance, "dynamic_g3_tt"));
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dynamic_g3 = reinterpret_cast<dynamic_g3_fct>(GetProcAddress(dynamicHinstance, "dynamic_g3"));
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if (!ntt || !dynamic_resid_tt || !dynamic_resid
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|| !dynamic_g1_tt || !dynamic_g1
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|| !dynamic_g2_tt || !dynamic_g2
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|| !dynamic_g3_tt || !dynamic_g3)
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{
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FreeLibrary(dynamicHinstance); // Free the library
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throw DynareException(__FILE__, __LINE__, "Error when loading " + fName + ": can't locate the relevant dynamic symbols within the MEX file");
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}
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#else // Linux or Mac
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dynamicHinstance = dlopen(fName.c_str(), RTLD_NOW);
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if (dynamicHinstance == nullptr)
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{
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std::cerr << dlerror() << std::endl;
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throw 1;
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}
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ntt = reinterpret_cast<int *>(dlsym(dynamicHinstance, "ntt"));
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dynamic_resid_tt = reinterpret_cast<dynamic_tt_fct>(dlsym(dynamicHinstance, "dynamic_resid_tt"));
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dynamic_resid = reinterpret_cast<dynamic_resid_fct>(dlsym(dynamicHinstance, "dynamic_resid"));
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dynamic_g1_tt = reinterpret_cast<dynamic_tt_fct>(dlsym(dynamicHinstance, "dynamic_g1_tt"));
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dynamic_g1 = reinterpret_cast<dynamic_g1_fct>(dlsym(dynamicHinstance, "dynamic_g1"));
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dynamic_g2_tt = reinterpret_cast<dynamic_tt_fct>(dlsym(dynamicHinstance, "dynamic_g2_tt"));
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dynamic_g2 = reinterpret_cast<dynamic_g2_fct>(dlsym(dynamicHinstance, "dynamic_g2"));
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dynamic_g3_tt = reinterpret_cast<dynamic_tt_fct>(dlsym(dynamicHinstance, "dynamic_g3_tt"));
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dynamic_g3 = reinterpret_cast<dynamic_g3_fct>(dlsym(dynamicHinstance, "dynamic_g3"));
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if (!ntt || !dynamic_resid_tt || !dynamic_resid
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|| !dynamic_g1_tt || !dynamic_g1
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|| !dynamic_g2_tt || !dynamic_g2
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|| !dynamic_g3_tt || !dynamic_g3)
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{
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dlclose(dynamicHinstance); // Free the library
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std::cerr << dlerror() << std::endl;
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throw 2;
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}
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dynamicHinstance = dlopen(fName.c_str(), RTLD_NOW);
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if (!dynamicHinstance)
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throw DynareException(__FILE__, __LINE__, "Error when loading " + fName + ": " + dlerror());
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ntt = reinterpret_cast<int *>(dlsym(dynamicHinstance, "ntt"));
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dynamic_resid_tt = reinterpret_cast<dynamic_tt_fct>(dlsym(dynamicHinstance, "dynamic_resid_tt"));
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dynamic_resid = reinterpret_cast<dynamic_resid_fct>(dlsym(dynamicHinstance, "dynamic_resid"));
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dynamic_g1_tt = reinterpret_cast<dynamic_tt_fct>(dlsym(dynamicHinstance, "dynamic_g1_tt"));
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dynamic_g1 = reinterpret_cast<dynamic_g1_fct>(dlsym(dynamicHinstance, "dynamic_g1"));
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dynamic_g2_tt = reinterpret_cast<dynamic_tt_fct>(dlsym(dynamicHinstance, "dynamic_g2_tt"));
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dynamic_g2 = reinterpret_cast<dynamic_g2_fct>(dlsym(dynamicHinstance, "dynamic_g2"));
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dynamic_g3_tt = reinterpret_cast<dynamic_tt_fct>(dlsym(dynamicHinstance, "dynamic_g3_tt"));
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dynamic_g3 = reinterpret_cast<dynamic_g3_fct>(dlsym(dynamicHinstance, "dynamic_g3"));
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if (!ntt || !dynamic_resid_tt || !dynamic_resid
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|| !dynamic_g1_tt || !dynamic_g1
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|| !dynamic_g2_tt || !dynamic_g2
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|| !dynamic_g3_tt || !dynamic_g3)
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{
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dlclose(dynamicHinstance); // Free the library
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throw DynareException(__FILE__, __LINE__, "Error when loading " + fName + ": " + dlerror());
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}
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#endif
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}
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catch (int i)
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{
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std::string msg{"Error when loading " + fName + " ("};
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if (i == 1)
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msg += "can't dynamically load the file";
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if (i == 2)
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msg += "can't locate the relevant dynamic symbols within the MEX file";
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msg += ")";
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throw DynareException(__FILE__, __LINE__, msg);
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}
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catch (...)
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{
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throw DynareException(__FILE__, __LINE__, "Can't find the relevant dynamic symbols in " + fName);
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}
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tt = std::make_unique<double[]>(*ntt);
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}
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DynamicModelDLL::~DynamicModelDLL()
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@ -112,21 +96,19 @@ void
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DynamicModelDLL::eval(const Vector &y, const Vector &x, const Vector &modParams, const Vector &ySteady,
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Vector &residual, TwoDMatrix *g1, TwoDMatrix *g2, TwoDMatrix *g3) noexcept(false)
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{
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double *T = new double[*ntt];
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dynamic_resid_tt(y.base(), x.base(), 1, modParams.base(), ySteady.base(), 0, T);
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dynamic_resid(y.base(), x.base(), 1, modParams.base(), ySteady.base(), 0, T, residual.base());
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dynamic_resid_tt(y.base(), x.base(), 1, modParams.base(), ySteady.base(), 0, tt.get());
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dynamic_resid(y.base(), x.base(), 1, modParams.base(), ySteady.base(), 0, tt.get(), residual.base());
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if (g1 || g2 || g3)
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dynamic_g1_tt(y.base(), x.base(), 1, modParams.base(), ySteady.base(), 0, T);
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dynamic_g1_tt(y.base(), x.base(), 1, modParams.base(), ySteady.base(), 0, tt.get());
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if (g1)
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dynamic_g1(y.base(), x.base(), 1, modParams.base(), ySteady.base(), 0, T, g1->base());
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dynamic_g1(y.base(), x.base(), 1, modParams.base(), ySteady.base(), 0, tt.get(), g1->base());
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if (g2 || g3)
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dynamic_g2_tt(y.base(), x.base(), 1, modParams.base(), ySteady.base(), 0, T);
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dynamic_g2_tt(y.base(), x.base(), 1, modParams.base(), ySteady.base(), 0, tt.get());
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if (g2)
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dynamic_g2(y.base(), x.base(), 1, modParams.base(), ySteady.base(), 0, T, g2->base());
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dynamic_g2(y.base(), x.base(), 1, modParams.base(), ySteady.base(), 0, tt.get(), g2->base());
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if (g3)
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{
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dynamic_g3_tt(y.base(), x.base(), 1, modParams.base(), ySteady.base(), 0, T);
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dynamic_g3(y.base(), x.base(), 1, modParams.base(), ySteady.base(), 0, T, g3->base());
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dynamic_g3_tt(y.base(), x.base(), 1, modParams.base(), ySteady.base(), 0, tt.get());
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dynamic_g3(y.base(), x.base(), 1, modParams.base(), ySteady.base(), 0, tt.get(), g3->base());
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}
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delete[] T;
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}
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@ -30,9 +30,9 @@
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#endif
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#include <string>
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#include <memory>
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#include "dynamic_abstract_class.hh"
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#include "dynare_exception.hh"
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using dynamic_tt_fct = void (*)(const double *y, const double *x, int nb_row_x, const double *params, const double *steady_state, int it_, double *T);
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using dynamic_resid_fct = void (*) (const double *y, const double *x, int nb_row_x, const double *params, const double *steady_state, int it_, const double *T, double *residual);
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@ -58,13 +58,14 @@ private:
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#else
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void *dynamicHinstance; // and in Linux or Mac
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#endif
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std::unique_ptr<double[]> tt; // Vector of temporary terms
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public:
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// construct and load Dynamic model DLL
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explicit DynamicModelDLL(const std::string &fname) noexcept(false);
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explicit DynamicModelDLL(const std::string &fname);
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virtual ~DynamicModelDLL();
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void eval(const Vector &y, const Vector &x, const Vector ¶ms, const Vector &ySteady,
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Vector &residual, TwoDMatrix *g1, TwoDMatrix *g2, TwoDMatrix *g3) noexcept(false);
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Vector &residual, TwoDMatrix *g1, TwoDMatrix *g2, TwoDMatrix *g3) override;
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};
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#endif
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@ -18,6 +18,9 @@
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*/
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#include <algorithm>
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#include <cassert>
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#include "dynare_exception.hh"
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#include "dynamic_m.hh"
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@ -26,10 +29,49 @@ DynamicModelMFile::DynamicModelMFile(const std::string &modName) noexcept(false)
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{
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}
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void
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DynamicModelMFile::unpackSparseMatrixAndCopyIntoTwoDMatData(mxArray *sparseMat, TwoDMatrix *tdm)
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{
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int totalCols = mxGetN(sparseMat);
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mwIndex *rowIdxVector = mxGetIr(sparseMat);
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mwSize sizeRowIdxVector = mxGetNzmax(sparseMat);
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mwIndex *colIdxVector = mxGetJc(sparseMat);
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assert(tdm->ncols() == 3);
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assert(tdm->nrows() == sizeRowIdxVector);
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double *ptr = mxGetPr(sparseMat);
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int rind = 0;
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int output_row = 0;
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for (int i = 0; i < totalCols; i++)
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for (int j = 0; j < static_cast<int>((colIdxVector[i+1]-colIdxVector[i])); j++, rind++)
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{
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tdm->get(output_row, 0) = rowIdxVector[rind] + 1;
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tdm->get(output_row, 1) = i + 1;
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tdm->get(output_row, 2) = ptr[rind];
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output_row++;
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}
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/* If there are less elements than Nzmax (that might happen if some
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derivative is symbolically not zero but numerically zero at the evaluation
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point), then fill in the matrix with empty entries, that will be
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recognized as such by KordpDynare::populateDerivativesContainer() */
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while (output_row < static_cast<int>(sizeRowIdxVector))
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{
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tdm->get(output_row, 0) = 0;
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tdm->get(output_row, 1) = 0;
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tdm->get(output_row, 2) = 0;
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output_row++;
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}
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}
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void
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DynamicModelMFile::eval(const Vector &y, const Vector &x, const Vector &modParams, const Vector &ySteady,
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Vector &residual, TwoDMatrix *g1, TwoDMatrix *g2, TwoDMatrix *g3) noexcept(false)
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{
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constexpr int nlhs_dynamic = 4, nrhs_dynamic = 5;
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mxArray *prhs[nrhs_dynamic], *plhs[nlhs_dynamic];
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prhs[0] = mxCreateDoubleMatrix(y.length(), 1, mxREAL);
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@ -48,8 +90,11 @@ DynamicModelMFile::eval(const Vector &y, const Vector &x, const Vector &modParam
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throw DynareException(__FILE__, __LINE__, "Trouble calling " + DynamicMFilename);
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residual = Vector{plhs[0]};
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copyDoubleIntoTwoDMatData(mxGetPr(plhs[1]), g1, static_cast<int>(mxGetM(plhs[1])),
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static_cast<int>(mxGetN(plhs[1])));
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assert(static_cast<int>(mxGetM(plhs[1])) == g1->nrows());
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assert(static_cast<int>(mxGetN(plhs[1])) == g1->ncols());
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std::copy_n(mxGetPr(plhs[1]), mxGetM(plhs[1])*mxGetN(plhs[1]), g1->base());
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if (g2)
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unpackSparseMatrixAndCopyIntoTwoDMatData(plhs[2], g2);
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if (g3)
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@ -33,12 +33,11 @@ class DynamicModelMFile : public DynamicModelAC
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{
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private:
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const std::string DynamicMFilename;
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constexpr static int nlhs_dynamic = 4;
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constexpr static int nrhs_dynamic = 5;
|
||||
static void unpackSparseMatrixAndCopyIntoTwoDMatData(mxArray *sparseMat, TwoDMatrix *tdm);
|
||||
public:
|
||||
explicit DynamicModelMFile(const std::string &modName) noexcept(false);
|
||||
explicit DynamicModelMFile(const std::string &modName);
|
||||
virtual ~DynamicModelMFile() = default;
|
||||
void eval(const Vector &y, const Vector &x, const Vector ¶ms, const Vector &ySteady,
|
||||
Vector &residual, TwoDMatrix *g1, TwoDMatrix *g2, TwoDMatrix *g3) noexcept(false);
|
||||
Vector &residual, TwoDMatrix *g1, TwoDMatrix *g2, TwoDMatrix *g3) override;
|
||||
};
|
||||
#endif
|
||||
|
|
|
|||
|
|
@ -19,74 +19,43 @@
|
|||
|
||||
// GP, based on work by O.Kamenik
|
||||
|
||||
#include <vector>
|
||||
#include "first_order.hh"
|
||||
#include "k_ord_dynare.hh"
|
||||
#include "dynamic_abstract_class.hh"
|
||||
#include "dynare_exception.hh"
|
||||
|
||||
#include <cmath>
|
||||
#include <sstream>
|
||||
#include <utility>
|
||||
|
||||
#include <iostream>
|
||||
#include <fstream>
|
||||
|
||||
/**************************************************************************************/
|
||||
/* Dynare DynamicModel class */
|
||||
/**************************************************************************************/
|
||||
|
||||
KordpDynare::KordpDynare(const std::vector<std::string> &endo, int num_endo,
|
||||
KordpDynare::KordpDynare(const std::vector<std::string> &endo,
|
||||
const std::vector<std::string> &exo, int nexog, int npar,
|
||||
Vector &ysteady, TwoDMatrix &vcov, Vector &inParams, int nstat,
|
||||
int npred, int nforw, int nboth, const int jcols, const Vector &nnzd,
|
||||
const int nsteps, int norder,
|
||||
Journal &jr, std::unique_ptr<DynamicModelAC> dynamicModelFile_arg, double sstol,
|
||||
const std::vector<int> &var_order, const TwoDMatrix &llincidence, double criterium) noexcept(false) :
|
||||
nStat{nstat}, nBoth{nboth}, nPred{npred}, nForw{nforw}, nExog{nexog}, nPar{npar},
|
||||
nYs{npred + nboth}, nYss{nboth + nforw}, nY{num_endo}, nJcols{jcols}, NNZD{nnzd}, nSteps{nsteps},
|
||||
nOrder{norder}, journal{jr}, ySteady{ysteady}, params{inParams}, vCov{vcov},
|
||||
md{1}, dnl{*this, endo}, denl{*this, exo}, dsnl{*this, dnl, denl}, ss_tol{sstol}, varOrder{var_order},
|
||||
ll_Incidence{llincidence}, qz_criterium{criterium},
|
||||
dynamicModelFile{move(dynamicModelFile_arg)}
|
||||
{
|
||||
ReorderDynareJacobianIndices();
|
||||
|
||||
// Initialise ModelDerivativeContainer(*this, this->md, nOrder);
|
||||
for (int iord = 1; iord <= nOrder; iord++)
|
||||
md.insert(std::make_unique<FSSparseTensor>(iord, nY+nYs+nYss+nExog, nY));
|
||||
}
|
||||
|
||||
KordpDynare::KordpDynare(const std::vector<std::string> &endo, int num_endo,
|
||||
const std::vector<std::string> &exo, int nexog, int npar,
|
||||
Vector &ysteady, TwoDMatrix &vcov, Vector &inParams, int nstat,
|
||||
int npred, int nforw, int nboth, const int jcols, const Vector &nnzd,
|
||||
const int nsteps, int norder,
|
||||
Journal &jr, std::unique_ptr<DynamicModelAC> dynamicModelFile_arg, double sstol,
|
||||
const std::vector<int> &var_order, const TwoDMatrix &llincidence, double criterium,
|
||||
int npred, int nforw, int nboth, const Vector &nnzd,
|
||||
int nsteps, int norder,
|
||||
Journal &jr, std::unique_ptr<DynamicModelAC> dynamicModelFile_arg,
|
||||
const std::vector<int> &var_order, const TwoDMatrix &llincidence,
|
||||
std::unique_ptr<TwoDMatrix> g1_arg, std::unique_ptr<TwoDMatrix> g2_arg,
|
||||
std::unique_ptr<TwoDMatrix> g3_arg) noexcept(false) :
|
||||
std::unique_ptr<TwoDMatrix> g3_arg) :
|
||||
nStat{nstat}, nBoth{nboth}, nPred{npred}, nForw{nforw}, nExog{nexog}, nPar{npar},
|
||||
nYs{npred + nboth}, nYss{nboth + nforw}, nY{num_endo}, nJcols{jcols}, NNZD{nnzd}, nSteps{nsteps},
|
||||
nYs{npred + nboth}, nYss{nboth + nforw}, nY{nstat + npred + nboth + nforw},
|
||||
nJcols{nExog+nY+nYs+nYss}, NNZD{nnzd}, nSteps{nsteps},
|
||||
nOrder{norder}, journal{jr}, ySteady{ysteady}, params{inParams}, vCov{vcov},
|
||||
md{1}, dnl{*this, endo}, denl{*this, exo}, dsnl{*this, dnl, denl}, ss_tol{sstol}, varOrder{var_order},
|
||||
ll_Incidence{llincidence}, qz_criterium{criterium},
|
||||
md{1}, dnl{*this, endo}, denl{*this, exo}, dsnl{*this, dnl, denl},
|
||||
ll_Incidence{llincidence},
|
||||
g1p{std::move(g1_arg)}, g2p{std::move(g2_arg)}, g3p{std::move(g3_arg)},
|
||||
dynamicModelFile{move(dynamicModelFile_arg)}
|
||||
dynamicModelFile{std::move(dynamicModelFile_arg)}
|
||||
{
|
||||
ReorderDynareJacobianIndices();
|
||||
|
||||
// Initialise ModelDerivativeContainer(*this, this->md, nOrder);
|
||||
for (int iord = 1; iord <= nOrder; iord++)
|
||||
md.insert(std::make_unique<FSSparseTensor>(iord, nY+nYs+nYss+nExog, nY));
|
||||
computeJacobianPermutation(var_order);
|
||||
}
|
||||
|
||||
void
|
||||
KordpDynare::solveDeterministicSteady()
|
||||
{
|
||||
JournalRecordPair pa(journal);
|
||||
pa << "Non-linear solver for deterministic steady state By-passed " << endrec;
|
||||
pa << "Non-linear solver for deterministic steady state skipped" << endrec;
|
||||
}
|
||||
|
||||
void
|
||||
KordpDynare::evaluateSystem(Vector &out, const ConstVector &yy, const Vector &xx) noexcept(false)
|
||||
KordpDynare::evaluateSystem(Vector &out, const ConstVector &yy, const Vector &xx)
|
||||
{
|
||||
// This method is only called when checking the residuals at steady state (Approximation::check), so return zero residuals
|
||||
out.zeros();
|
||||
|
|
@ -94,16 +63,12 @@ KordpDynare::evaluateSystem(Vector &out, const ConstVector &yy, const Vector &xx
|
|||
|
||||
void
|
||||
KordpDynare::evaluateSystem(Vector &out, const ConstVector &yym, const ConstVector &yy,
|
||||
const ConstVector &yyp, const Vector &xx) noexcept(false)
|
||||
const ConstVector &yyp, const Vector &xx)
|
||||
{
|
||||
// This method is only called when checking the residuals at steady state (Approximation::check), so return zero residuals
|
||||
out.zeros();
|
||||
}
|
||||
|
||||
/************************************************
|
||||
* this is main derivative calculation functin that indirectly calls dynamic.dll
|
||||
* which performs actual calculation and reorders
|
||||
***************************************************/
|
||||
void
|
||||
KordpDynare::calcDerivativesAtSteady()
|
||||
{
|
||||
|
|
@ -136,20 +101,17 @@ KordpDynare::calcDerivativesAtSteady()
|
|||
dynamicModelFile->eval(llxSteady, xx, params, ySteady, out, g1p.get(), g2p.get(), g3p.get());
|
||||
}
|
||||
|
||||
populateDerivativesContainer(*g1p, 1, JacobianIndices);
|
||||
populateDerivativesContainer(*g1p, 1);
|
||||
|
||||
if (nOrder > 1)
|
||||
populateDerivativesContainer(*g2p, 2, JacobianIndices);
|
||||
populateDerivativesContainer(*g2p, 2);
|
||||
|
||||
if (nOrder > 2)
|
||||
populateDerivativesContainer(*g3p, 3, JacobianIndices);
|
||||
populateDerivativesContainer(*g3p, 3);
|
||||
}
|
||||
|
||||
/*******************************************************************************
|
||||
* populateDerivatives to sparse Tensor and fit it in the Derivatives Container
|
||||
*******************************************************************************/
|
||||
void
|
||||
KordpDynare::populateDerivativesContainer(const TwoDMatrix &g, int ord, const std::vector<int> &vOrder)
|
||||
KordpDynare::populateDerivativesContainer(const TwoDMatrix &g, int ord)
|
||||
{
|
||||
// model derivatives FSSparseTensor instance
|
||||
auto mdTi = std::make_unique<FSSparseTensor>(ord, nJcols, nY);
|
||||
|
|
@ -161,11 +123,7 @@ KordpDynare::populateDerivativesContainer(const TwoDMatrix &g, int ord, const st
|
|||
{
|
||||
for (int j = 0; j < g.nrows(); j++)
|
||||
{
|
||||
double x;
|
||||
if (s[0] < nJcols-nExog)
|
||||
x = g.get(j, vOrder[s[0]]);
|
||||
else
|
||||
x = g.get(j, s[0]);
|
||||
double x = g.get(j, dynppToDyn[s[0]]);
|
||||
if (x != 0.0)
|
||||
mdTi->insert(s, j, x);
|
||||
}
|
||||
|
|
@ -173,26 +131,16 @@ KordpDynare::populateDerivativesContainer(const TwoDMatrix &g, int ord, const st
|
|||
}
|
||||
else if (ord == 2)
|
||||
{
|
||||
int nJcols1 = nJcols-nExog;
|
||||
std::vector<int> revOrder(nJcols1);
|
||||
for (int i = 0; i < nJcols1; i++)
|
||||
revOrder[vOrder[i]] = i;
|
||||
for (int i = 0; i < g.nrows(); i++)
|
||||
{
|
||||
int j = static_cast<int>(g.get(i, 0))-1; // hessian indices start with 1
|
||||
int i1 = static_cast<int>(g.get(i, 1)) -1;
|
||||
int i1 = static_cast<int>(g.get(i, 1))-1;
|
||||
if (j < 0 || i1 < 0)
|
||||
continue; // Discard empty entries (see comment in DynamicModelAC::unpackSparseMatrix())
|
||||
int s0 = i1 / nJcols;
|
||||
int s1 = i1 % nJcols;
|
||||
if (s0 < nJcols1)
|
||||
s[0] = revOrder[s0];
|
||||
else
|
||||
s[0] = s0;
|
||||
if (s1 < nJcols1)
|
||||
s[1] = revOrder[s1];
|
||||
else
|
||||
s[1] = s1;
|
||||
s[0] = dynToDynpp[s0];
|
||||
s[1] = dynToDynpp[s1];
|
||||
if (s[1] >= s[0])
|
||||
{
|
||||
double x = g.get(i, 2);
|
||||
|
|
@ -202,67 +150,49 @@ KordpDynare::populateDerivativesContainer(const TwoDMatrix &g, int ord, const st
|
|||
}
|
||||
else if (ord == 3)
|
||||
{
|
||||
int nJcols1 = nJcols-nExog;
|
||||
int nJcols2 = nJcols*nJcols;
|
||||
std::vector<int> revOrder(nJcols1);
|
||||
for (int i = 0; i < nJcols1; i++)
|
||||
revOrder[vOrder[i]] = i;
|
||||
for (int i = 0; i < g.nrows(); i++)
|
||||
{
|
||||
int j = static_cast<int>(g.get(i, 0))-1;
|
||||
int i1 = static_cast<int>(g.get(i, 1)) -1;
|
||||
int i1 = static_cast<int>(g.get(i, 1))-1;
|
||||
if (j < 0 || i1 < 0)
|
||||
continue; // Discard empty entries (see comment in DynamicModelAC::unpackSparseMatrix())
|
||||
int s0 = i1 / nJcols2;
|
||||
int i2 = i1 % nJcols2;
|
||||
int s1 = i2 / nJcols;
|
||||
int s2 = i2 % nJcols;
|
||||
if (s0 < nJcols1)
|
||||
s[0] = revOrder[s0];
|
||||
else
|
||||
s[0] = s0;
|
||||
if (s1 < nJcols1)
|
||||
s[1] = revOrder[s1];
|
||||
else
|
||||
s[1] = s1;
|
||||
if (s2 < nJcols1)
|
||||
s[2] = revOrder[s2];
|
||||
else
|
||||
s[2] = s2;
|
||||
double x = g.get(i, 2);
|
||||
s[0] = dynToDynpp[s0];
|
||||
s[1] = dynToDynpp[s1];
|
||||
s[2] = dynToDynpp[s2];
|
||||
if (s.isSorted())
|
||||
mdTi->insert(s, j, x);
|
||||
{
|
||||
double x = g.get(i, 2);
|
||||
mdTi->insert(s, j, x);
|
||||
}
|
||||
}
|
||||
}
|
||||
|
||||
// md container
|
||||
md.remove(Symmetry{ord});
|
||||
md.insert(std::move(mdTi));
|
||||
}
|
||||
|
||||
/*********************************************************
|
||||
* LLxSteady()
|
||||
* returns ySteady extended with leads and lags suitable for
|
||||
* passing to <model>_dynamic DLL
|
||||
*************************************************************/
|
||||
/* Returns ySteady extended with leads and lags suitable for passing to
|
||||
<model>_dynamic */
|
||||
void
|
||||
KordpDynare::LLxSteady(const Vector &yS, Vector &llxSteady) noexcept(false)
|
||||
KordpDynare::LLxSteady(const Vector &yS, Vector &llxSteady)
|
||||
{
|
||||
if ((nJcols-nExog) == yS.length())
|
||||
if (yS.length() == nJcols-nExog)
|
||||
throw DynareException(__FILE__, __LINE__, "ySteady already of right size");
|
||||
|
||||
// create temporary square 2D matrix size nEndo x nEndo (sparse)
|
||||
// for the lag, current and lead blocks of the jacobian
|
||||
/* Create temporary square 2D matrix size nEndo×nEndo (sparse)
|
||||
for the lag, current and lead blocks of the jacobian */
|
||||
if (llxSteady.length() != nJcols-nExog)
|
||||
throw DynareException(__FILE__, __LINE__, "llxSteady has wrong size");
|
||||
|
||||
for (int ll_row = 0; ll_row < ll_Incidence.nrows(); ll_row++)
|
||||
// populate (non-sparse) vector with ysteady values
|
||||
for (int i = 0; i < nY; i++)
|
||||
{
|
||||
if (ll_Incidence.get(ll_row, i))
|
||||
llxSteady[static_cast<int>(ll_Incidence.get(ll_row, i))-1] = yS[i];
|
||||
}
|
||||
if (ll_Incidence.get(ll_row, i))
|
||||
llxSteady[static_cast<int>(ll_Incidence.get(ll_row, i))-1] = yS[i];
|
||||
}
|
||||
|
||||
/************************************
|
||||
|
|
@ -291,26 +221,26 @@ KordpDynare::LLxSteady(const Vector &yS, Vector &llxSteady) noexcept(false)
|
|||
************************************/
|
||||
|
||||
void
|
||||
KordpDynare::ReorderDynareJacobianIndices() noexcept(false)
|
||||
KordpDynare::computeJacobianPermutation(const std::vector<int> &var_order)
|
||||
{
|
||||
// create temporary square 2D matrix size nEndo x nEndo (sparse)
|
||||
dynppToDyn.resize(nJcols);
|
||||
// create temporary square 2D matrix size nEndo×nEndo (sparse)
|
||||
// for the lag, current and lead blocks of the jacobian
|
||||
JacobianIndices.resize(nJcols);
|
||||
std::vector<int> tmp(nY);
|
||||
int i, j, rjoff = nJcols-nExog-1;
|
||||
int rjoff = nJcols-nExog-1;
|
||||
|
||||
for (int ll_row = 0; ll_row < ll_Incidence.nrows(); ll_row++)
|
||||
{
|
||||
// reorder in orde-var order & populate temporary nEndo (sparse) vector with
|
||||
// the lag, current and lead blocks of the jacobian respectively
|
||||
for (i = 0; i < nY; i++)
|
||||
tmp[i] = static_cast<int>(ll_Incidence.get(ll_row, varOrder[i]-1));
|
||||
for (int i = 0; i < nY; i++)
|
||||
tmp[i] = static_cast<int>(ll_Incidence.get(ll_row, var_order[i]-1));
|
||||
// write the reordered blocks back to the jacobian
|
||||
// in reverse order
|
||||
for (j = nY-1; j >= 0; j--)
|
||||
for (int j = nY-1; j >= 0; j--)
|
||||
if (tmp[j])
|
||||
{
|
||||
JacobianIndices[rjoff] = tmp[j] -1;
|
||||
dynppToDyn[rjoff] = tmp[j]-1;
|
||||
rjoff--;
|
||||
if (rjoff < 0)
|
||||
break;
|
||||
|
|
@ -318,13 +248,15 @@ KordpDynare::ReorderDynareJacobianIndices() noexcept(false)
|
|||
}
|
||||
|
||||
//add the indices for the nExog exogenous jacobians
|
||||
for (j = nJcols-nExog; j < nJcols; j++)
|
||||
JacobianIndices[j] = j;
|
||||
for (int j = nJcols-nExog; j < nJcols; j++)
|
||||
dynppToDyn[j] = j;
|
||||
|
||||
// Compute reverse ordering
|
||||
dynToDynpp.resize(nJcols);
|
||||
for (int i = 0; i < nJcols; i++)
|
||||
dynToDynpp[dynppToDyn[i]] = i;
|
||||
}
|
||||
|
||||
/**************************************************************************************/
|
||||
/* DynareNameList class */
|
||||
/**************************************************************************************/
|
||||
|
||||
DynareNameList::DynareNameList(const KordpDynare &dynare, std::vector<std::string> names_arg)
|
||||
: names(std::move(names_arg))
|
||||
|
|
@ -334,7 +266,7 @@ DynareNameList::DynareNameList(const KordpDynare &dynare, std::vector<std::strin
|
|||
DynareStateNameList::DynareStateNameList(const KordpDynare &dynare, const DynareNameList &dnl,
|
||||
const DynareNameList &denl)
|
||||
{
|
||||
for (int i = 0; i < dynare.nys(); i++)
|
||||
for (int i = 0; i < dynare.nYs; i++)
|
||||
names.emplace_back(dnl.getName(i+dynare.nstat()));
|
||||
for (int i = 0; i < dynare.nexog(); i++)
|
||||
names.emplace_back(denl.getName(i));
|
||||
|
|
|
|||
|
|
@ -21,39 +21,33 @@
|
|||
#define K_ORD_DYNARE3_H
|
||||
|
||||
#include <vector>
|
||||
#include <string>
|
||||
#include <memory>
|
||||
|
||||
#include "journal.hh"
|
||||
#include "Vector.hh"
|
||||
#include "twod_matrix.hh"
|
||||
#include "t_container.hh"
|
||||
#include "sparse_tensor.hh"
|
||||
#include "decision_rule.hh"
|
||||
#include "dynamic_model.hh"
|
||||
|
||||
#include "exception.hh"
|
||||
#include "dynare_exception.hh"
|
||||
#include "fs_tensor.hh"
|
||||
#include "SylvException.hh"
|
||||
#include "tl_exception.hh"
|
||||
#include "kord_exception.hh"
|
||||
#include "nlsolve.hh"
|
||||
#include "approximation.hh"
|
||||
#include "dynamic_abstract_class.hh"
|
||||
|
||||
class KordpDynare;
|
||||
|
||||
/*////////////////////////////////////////////*/
|
||||
// instantiations of pure abstract class NameList in dynamic_model.h:
|
||||
/*////////////////////////////////////////////*/
|
||||
// instantiations of pure abstract class NameList in dynamic_model.h
|
||||
class DynareNameList : public NameList
|
||||
{
|
||||
std::vector<std::string> names;
|
||||
public:
|
||||
DynareNameList(const KordpDynare &dynare, std::vector<std::string> names_arg);
|
||||
int
|
||||
getNum() const
|
||||
getNum() const override
|
||||
{
|
||||
return static_cast<int>(names.size());
|
||||
}
|
||||
const std::string &
|
||||
getName(int i) const
|
||||
getName(int i) const override
|
||||
{
|
||||
return names[i];
|
||||
}
|
||||
|
|
@ -66,44 +60,37 @@ public:
|
|||
DynareStateNameList(const KordpDynare &dynare, const DynareNameList &dnl,
|
||||
const DynareNameList &denl);
|
||||
int
|
||||
getNum() const
|
||||
getNum() const override
|
||||
{
|
||||
return static_cast<int>(names.size());
|
||||
}
|
||||
const std::string &
|
||||
getName(int i) const
|
||||
getName(int i) const override
|
||||
{
|
||||
return names[i];
|
||||
}
|
||||
};
|
||||
/*********************************************/
|
||||
|
||||
// The following only implements DynamicModel with help of ogdyn::DynareModel
|
||||
// instantiation of pure abstract DynamicModel decl. in dynamic_model.h
|
||||
class DynamicModelAC;
|
||||
class DynamicModelDLL;
|
||||
class DynamicModelMFile;
|
||||
|
||||
class KordpDynare : public DynamicModel
|
||||
{
|
||||
friend class DynareNameList;
|
||||
friend class DynareStateNameList;
|
||||
friend class DynamicModelDLL;
|
||||
friend class DynamicModelMFile;
|
||||
|
||||
public:
|
||||
const int nStat;
|
||||
const int nBoth;
|
||||
const int nPred;
|
||||
const int nForw;
|
||||
const int nExog;
|
||||
const int nPar;
|
||||
const int nYs; // ={npred + nboth ; }
|
||||
const int nYss; // nyss ={ nboth + nforw ; }
|
||||
const int nY; // = num_endo={ nstat + npred + nboth + nforw ; }
|
||||
const int nJcols; // no of jacobian columns= nExog+nEndo+nsPred+nsForw
|
||||
const Vector &NNZD; /* the total number of non-zero derivative elements
|
||||
where hessian is 2nd : NZZD(order=2) */
|
||||
const int nYs; // = npred + nboth
|
||||
const int nYss; // = nboth + nforw
|
||||
const int nY; // = nstat + npred + nboth + nforw
|
||||
const int nJcols; // nb of jacobian columns = nExog+nY+nYs+nYss
|
||||
const Vector &NNZD; /* the total number of non-zero derivative elements
|
||||
where hessian is 2nd : NNZD(order=2) */
|
||||
const int nSteps;
|
||||
const int nOrder;
|
||||
private:
|
||||
Journal &journal;
|
||||
Vector &ySteady;
|
||||
Vector ¶ms;
|
||||
|
|
@ -111,141 +98,110 @@ class KordpDynare : public DynamicModel
|
|||
TensorContainer<FSSparseTensor> md; // ModelDerivatives
|
||||
DynareNameList dnl, denl;
|
||||
DynareStateNameList dsnl;
|
||||
const double ss_tol;
|
||||
const std::vector<int> &varOrder;
|
||||
const TwoDMatrix &ll_Incidence;
|
||||
double qz_criterium;
|
||||
std::vector<int> JacobianIndices;
|
||||
std::vector<int> dynppToDyn; // Maps Dynare++ jacobian variable indices to Dynare ones
|
||||
std::vector<int> dynToDynpp; // Maps Dynare jacobian variable indices to Dynare++ ones
|
||||
|
||||
std::unique_ptr<TwoDMatrix> g1p, g2p, g3p;
|
||||
|
||||
std::unique_ptr<DynamicModelAC> dynamicModelFile;
|
||||
public:
|
||||
KordpDynare(const std::vector<std::string> &endo, int num_endo,
|
||||
KordpDynare(const std::vector<std::string> &endo,
|
||||
const std::vector<std::string> &exo, int num_exo, int num_par,
|
||||
Vector &ySteady, TwoDMatrix &vCov, Vector ¶ms, int nstat, int nPred,
|
||||
int nforw, int nboth, const int nJcols, const Vector &NNZD,
|
||||
const int nSteps, const int ord,
|
||||
Journal &jr, std::unique_ptr<DynamicModelAC> dynamicModelFile_arg, double sstol,
|
||||
int nforw, int nboth, const Vector &NNZD,
|
||||
int nSteps, int ord,
|
||||
Journal &jr, std::unique_ptr<DynamicModelAC> dynamicModelFile_arg,
|
||||
const std::vector<int> &varOrder, const TwoDMatrix &ll_Incidence,
|
||||
double qz_criterium) noexcept(false);
|
||||
KordpDynare(const std::vector<std::string> &endo, int num_endo,
|
||||
const std::vector<std::string> &exo, int num_exo, int num_par,
|
||||
Vector &ySteady, TwoDMatrix &vCov, Vector ¶ms, int nstat, int nPred,
|
||||
int nforw, int nboth, const int nJcols, const Vector &NNZD,
|
||||
const int nSteps, const int ord,
|
||||
Journal &jr, std::unique_ptr<DynamicModelAC> dynamicModelFile_arg, double sstol,
|
||||
const std::vector<int> &varOrder, const TwoDMatrix &ll_Incidence,
|
||||
double qz_criterium, std::unique_ptr<TwoDMatrix> g1_arg,
|
||||
std::unique_ptr<TwoDMatrix> g2_arg, std::unique_ptr<TwoDMatrix> g3_arg) noexcept(false);
|
||||
std::unique_ptr<TwoDMatrix> g1_arg,
|
||||
std::unique_ptr<TwoDMatrix> g2_arg, std::unique_ptr<TwoDMatrix> g3_arg);
|
||||
|
||||
int
|
||||
nstat() const
|
||||
nstat() const override
|
||||
{
|
||||
return nStat;
|
||||
}
|
||||
int
|
||||
nboth() const
|
||||
nboth() const override
|
||||
{
|
||||
return nBoth;
|
||||
}
|
||||
int
|
||||
npred() const
|
||||
npred() const override
|
||||
{
|
||||
return nPred;
|
||||
}
|
||||
int
|
||||
nforw() const
|
||||
nforw() const override
|
||||
{
|
||||
return nForw;
|
||||
}
|
||||
int
|
||||
nexog() const
|
||||
nexog() const override
|
||||
{
|
||||
return nExog;
|
||||
}
|
||||
int
|
||||
nys() const
|
||||
{
|
||||
return nYs;
|
||||
}
|
||||
int
|
||||
nyss() const
|
||||
{
|
||||
return nYss;
|
||||
}
|
||||
int
|
||||
ny() const
|
||||
{
|
||||
return nY;
|
||||
}
|
||||
int
|
||||
steps() const
|
||||
{
|
||||
return nSteps;
|
||||
}
|
||||
int
|
||||
order() const
|
||||
order() const override
|
||||
{
|
||||
return nOrder;
|
||||
}
|
||||
const NameList &
|
||||
getAllEndoNames() const
|
||||
getAllEndoNames() const override
|
||||
{
|
||||
return dnl;
|
||||
}
|
||||
const NameList &
|
||||
getStateNames() const
|
||||
getStateNames() const override
|
||||
{
|
||||
return dsnl;
|
||||
}
|
||||
const NameList &
|
||||
getExogNames() const
|
||||
getExogNames() const override
|
||||
{
|
||||
return denl;
|
||||
}
|
||||
const TwoDMatrix &
|
||||
getVcov() const
|
||||
getVcov() const override
|
||||
{
|
||||
return vCov;
|
||||
}
|
||||
Vector &
|
||||
getParams()
|
||||
{
|
||||
return params;
|
||||
}
|
||||
|
||||
const TensorContainer<FSSparseTensor> &
|
||||
getModelDerivatives() const
|
||||
getModelDerivatives() const override
|
||||
{
|
||||
return md;
|
||||
}
|
||||
const Vector &
|
||||
getSteady() const
|
||||
getSteady() const override
|
||||
{
|
||||
return ySteady;
|
||||
}
|
||||
Vector &
|
||||
getSteady()
|
||||
getSteady() override
|
||||
{
|
||||
return ySteady;
|
||||
}
|
||||
|
||||
void solveDeterministicSteady();
|
||||
void evaluateSystem(Vector &out, const ConstVector &yy, const Vector &xx) noexcept(false);
|
||||
void solveDeterministicSteady() override;
|
||||
void evaluateSystem(Vector &out, const ConstVector &yy, const Vector &xx) override;
|
||||
void evaluateSystem(Vector &out, const ConstVector &yym, const ConstVector &yy,
|
||||
const ConstVector &yyp, const Vector &xx) noexcept(false);
|
||||
void calcDerivativesAtSteady();
|
||||
std::unique_ptr<DynamicModelAC> dynamicModelFile;
|
||||
const ConstVector &yyp, const Vector &xx) override;
|
||||
void calcDerivativesAtSteady() override;
|
||||
std::unique_ptr<DynamicModel>
|
||||
clone() const
|
||||
clone() const override
|
||||
{
|
||||
std::cerr << "KordpDynare::clone() not implemented" << std::endl;
|
||||
exit(EXIT_FAILURE);
|
||||
}
|
||||
void LLxSteady(const Vector &yS, Vector &llxSteady) noexcept(false); // Given the steady state in yS, returns in llxSteady the steady state extended with leads and lags
|
||||
|
||||
private:
|
||||
void ReorderDynareJacobianIndices() noexcept(false);
|
||||
void populateDerivativesContainer(const TwoDMatrix &g, int ord, const std::vector<int> &vOrder);
|
||||
// Given the steady state in yS, returns in llxSteady the steady state extended with leads and lags
|
||||
void LLxSteady(const Vector &yS, Vector &llxSteady);
|
||||
/* Computes the permutations mapping back and forth between Dynare and
|
||||
Dynare++ orderings of variables */
|
||||
void computeJacobianPermutation(const std::vector<int> &var_order);
|
||||
// Fills tensor container (with reordering) at a given order
|
||||
void populateDerivativesContainer(const TwoDMatrix &g, int ord);
|
||||
};
|
||||
|
||||
#endif
|
||||
|
|
|
|||
|
|
@ -17,36 +17,33 @@
|
|||
* along with Dynare. If not, see <http://www.gnu.org/licenses/>.
|
||||
*/
|
||||
|
||||
/*
|
||||
Defines the entry point for the k-order perturbation application DLL.
|
||||
/* Defines the entry point for the k-order perturbation application DLL.
|
||||
|
||||
Inputs:
|
||||
1) dr
|
||||
2) M_
|
||||
3) options
|
||||
|
||||
Outputs:
|
||||
- if order == 1: only g_1
|
||||
- if order == 2: g_0, g_1, g_2
|
||||
- if order == 3: g_0, g_1, g_2, g_3
|
||||
See matlab/mex/k_order_perturbation.m for a description of inputs and
|
||||
outputs.
|
||||
*/
|
||||
|
||||
#include "dynamic_m.hh"
|
||||
#include "dynamic_dll.hh"
|
||||
#include "k_ord_dynare.hh"
|
||||
|
||||
#include "approximation.hh"
|
||||
#include "exception.hh"
|
||||
#include "dynare_exception.hh"
|
||||
#include "kord_exception.hh"
|
||||
#include "tl_exception.hh"
|
||||
#include "SylvException.hh"
|
||||
|
||||
#include <algorithm>
|
||||
#include <cmath>
|
||||
#include <cassert>
|
||||
|
||||
#include "dynmex.h"
|
||||
|
||||
//////////////////////////////////////////////////////
|
||||
// Convert MATLAB Dynare endo and exo names array to a vector<string> array of string pointers
|
||||
// Poblem is that Matlab mx function returns a long string concatenated by columns rather than rows
|
||||
// hence a rather low level approach is needed
|
||||
///////////////////////////////////////////////////////
|
||||
/* Convert MATLAB Dynare endo and exo names array to a vector<string> array of
|
||||
string pointers. MATLAB “mx” function returns a long string concatenated by
|
||||
columns rather than rows hence a rather low level approach is needed. */
|
||||
void
|
||||
DynareMxArrayToString(const mxArray *mxFldp, const int len, const int width, std::vector<std::string> &out)
|
||||
DynareMxArrayToString(const mxArray *mxFldp, int len, int width, std::vector<std::string> &out)
|
||||
{
|
||||
char *cNamesCharStr = mxArrayToString(mxFldp);
|
||||
|
||||
|
|
@ -55,7 +52,7 @@ DynareMxArrayToString(const mxArray *mxFldp, const int len, const int width, std
|
|||
for (int i = 0; i < width; i++)
|
||||
for (int j = 0; j < len; j++)
|
||||
// Allow alphanumeric and underscores "_" only:
|
||||
if (isalnum(cNamesCharStr[j+i*len]) || (cNamesCharStr[j+i*len] == '_'))
|
||||
if (std::isalnum(cNamesCharStr[j+i*len]) || (cNamesCharStr[j+i*len] == '_'))
|
||||
out[j] += cNamesCharStr[j+i*len];
|
||||
}
|
||||
|
||||
|
|
@ -122,14 +119,10 @@ extern "C" {
|
|||
const int nStat = static_cast<int>(mxGetScalar(mxFldp));
|
||||
mxFldp = mxGetField(M_, 0, "npred");
|
||||
const int nPred = static_cast<int>(mxGetScalar(mxFldp));
|
||||
mxFldp = mxGetField(M_, 0, "nspred");
|
||||
const int nsPred = static_cast<int>(mxGetScalar(mxFldp));
|
||||
mxFldp = mxGetField(M_, 0, "nboth");
|
||||
const int nBoth = static_cast<int>(mxGetScalar(mxFldp));
|
||||
mxFldp = mxGetField(M_, 0, "nfwrd");
|
||||
const int nForw = static_cast<int>(mxGetScalar(mxFldp));
|
||||
mxFldp = mxGetField(M_, 0, "nsfwrd");
|
||||
const int nsForw = static_cast<int>(mxGetScalar(mxFldp));
|
||||
|
||||
mxFldp = mxGetField(M_, 0, "exo_nbr");
|
||||
const int nExog = static_cast<int>(mxGetScalar(mxFldp));
|
||||
|
|
@ -158,13 +151,10 @@ extern "C" {
|
|||
DYN_MEX_FUNC_ERR_MSG_TXT(("dynare:k_order_perturbation: Incorrect length of lead lag incidences: ncol="
|
||||
+ std::to_string(npar) + " != nEndo=" + std::to_string(nEndo)).c_str());
|
||||
|
||||
//get NNZH =NNZD(2) = the total number of non-zero Hessian elements
|
||||
mxFldp = mxGetField(M_, 0, "NNZDerivatives");
|
||||
Vector NNZD{mxFldp};
|
||||
if (NNZD[kOrder-1] == -1)
|
||||
DYN_MEX_FUNC_ERR_MSG_TXT("The derivatives were not computed for the required order. Make sure that you used the right order option inside the stoch_simul command");
|
||||
|
||||
const int jcols = nExog+nEndo+nsPred+nsForw; // Num of Jacobian columns
|
||||
DYN_MEX_FUNC_ERR_MSG_TXT("The derivatives were not computed for the required order. Make sure that you used the right order option inside the 'stoch_simul' command");
|
||||
|
||||
mxFldp = mxGetField(M_, 0, "var_order_endo_names");
|
||||
const int nendo = static_cast<int>(mxGetM(mxFldp));
|
||||
|
|
@ -182,9 +172,9 @@ extern "C" {
|
|||
DYN_MEX_FUNC_ERR_MSG_TXT("Incorrect number of input parameters.");
|
||||
|
||||
std::unique_ptr<TwoDMatrix> g1m, g2m, g3m;
|
||||
// derivatives passed as arguments */
|
||||
if (nrhs > 3)
|
||||
{
|
||||
// Derivatives have been passed as arguments
|
||||
const mxArray *g1 = prhs[3];
|
||||
int m = static_cast<int>(mxGetM(g1));
|
||||
int n = static_cast<int>(mxGetN(g1));
|
||||
|
|
@ -206,7 +196,6 @@ extern "C" {
|
|||
}
|
||||
|
||||
const int nSteps = 0; // Dynare++ solving steps, for time being default to 0 = deterministic steady state
|
||||
const double sstol = 1.e-13; //NL solver tolerance from
|
||||
|
||||
try
|
||||
{
|
||||
|
|
@ -222,10 +211,10 @@ extern "C" {
|
|||
TLStatic::init(kOrder, nStat+2*nPred+3*nBoth+2*nForw+nExog);
|
||||
|
||||
// make KordpDynare object
|
||||
KordpDynare dynare(endoNames, nEndo, exoNames, nExog, nPar,
|
||||
KordpDynare dynare(endoNames, exoNames, nExog, nPar,
|
||||
ySteady, vCov, modParams, nStat, nPred, nForw, nBoth,
|
||||
jcols, NNZD, nSteps, kOrder, journal, std::move(dynamicModelFile),
|
||||
sstol, var_order_vp, llincidence, qz_criterium,
|
||||
NNZD, nSteps, kOrder, journal, std::move(dynamicModelFile),
|
||||
var_order_vp, llincidence,
|
||||
std::move(g1m), std::move(g2m), std::move(g3m));
|
||||
|
||||
// construct main K-order approximation class
|
||||
|
|
|
|||
Loading…
Reference in New Issue