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Discretionary policy: use the sparse representation of the static derivatives

dprior
Sébastien Villemot 2024-01-31 18:15:26 +01:00
parent c125d35347
commit 3053f9b7df
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3 changed files with 66 additions and 4 deletions
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58
matlab/build_two_dim_hessian.m Normal file
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@ -0,0 +1,58 @@
function H = build_two_dim_hessian(sparse_indices, g2_v, neq, nvar)
% Creates a 2D Hessian (equations in rows, pairs of variables in columns),
% given the output from the sparse {static,dynamic}_g2.m
%
% – sparse_indices is typically equal to M_.{static,dynamic}_g2_sparse_indices
% – g2_v is the vector of non zero values returned by {static,dynamic}_g2.m
% – neq is the number of equations (equal to number of rows of the output matrix)
% – nvar is the number of variables (the output matrix will have nvar² columns)
% Copyright © 2024 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/>.
nnz = size(sparse_indices, 1);
%% The g2_* arrays may be expanded if there are symmetric elements added
g2_i = int32(zeros(nnz, 1));
g2_j = int32(zeros(nnz, 1));
next_sym_idx = nnz + 1; % Index of next symmetric element to be added
for k = 1:length(g2_v)
eq = sparse_indices(k, 1);
var1 = sparse_indices(k, 2)-1;
var2 = sparse_indices(k, 3)-1;
g2_i(k) = eq;
g2_j(k) = var1 * nvar + var2 + 1;
%% Add symmetric elements, which are not included by sparse {static,dynamic}_g2.m
if var1 ~= var2
g2_i(next_sym_idx) = eq;
g2_j(next_sym_idx) = var2 * nvar + var1 + 1;
g2_v(next_sym_idx) = g2_v(k);
next_sym_idx = next_sym_idx + 1;
end
end
%% On MATLAB < R2020a, sparse() does not accept int32 indices
if ~isoctave && matlab_ver_less_than('9.8')
g2_i = double(g2_i);
g2_j = double(g2_j);
end
H = sparse(g2_i, g2_j, g2_v, neq, nvar*nvar);

10
matlab/discretionary_policy/discretionary_policy_1.m
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@ -13,7 +13,7 @@ function [dr, info, params]=discretionary_policy_1(M_, options_, dr, endo_steady
% - info [integer] scalar or vector, error code.
% - params [double] vector of potentially updated parameters
% Copyright © 2007-2020 Dynare Team
% Copyright © 2007-2024 Dynare Team
%
% This file is part of Dynare.
%
@ -49,7 +49,9 @@ else
end
params=M_.params;
[~,Uy,W] = feval([M_.fname,'.objective.static'],zeros(M_.endo_nbr,1),[], M_.params);
y = zeros(M_.endo_nbr,1);
[Uy, T_order, T] = feval([M_.fname,'.objective.sparse.static_g1'], y, [], params, M_.objective_g1_sparse_rowval, M_.objective_g1_sparse_colval, M_.objective_g1_sparse_colptr);
if any(any(isnan(Uy)))
info = 64 ; %the derivatives of the objective function contain NaN
return;
@ -70,6 +72,8 @@ if any(any(Uy~=0))
return;
end
g2_v = feval([M_.fname,'.objective.sparse.static_g2'], y, [], params, T_order, T);
W = build_two_dim_hessian(M_.objective_g2_sparse_indices, g2_v, 1, M_.endo_nbr);
W=reshape(W,M_.endo_nbr,M_.endo_nbr);
klen = M_.maximum_lag + M_.maximum_lead + 1;
@ -122,4 +126,4 @@ dr.ghu=G(dr.order_var,:);
if M_.maximum_endo_lag
Selection=M_.lead_lag_incidence(1,dr.order_var)>0;%select state variables
end
dr.ghx=T(:,Selection);
dr.ghx=T(:,Selection);

2
preprocessor

@ -1 +1 @@
Subproject commit b134dba32c9bfc8e0ee25c4977e37558721d7737
Subproject commit db1bad652209c2d6de9d42143bb2b51a0f507b5e