Use sparse representation for evaluating the static model
We also take advantage of the fact that the non-block version is always available next to the block one, so when we are only interested in the residual as a whole, we simplify by using the non-block version.estimate-initial-state
Sébastien Villemot
parent
b343f0231d
commit
3c55aa57e1
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@ -17,7 +17,7 @@ function [steady_state, params, check] = dyn_ramsey_static(ys_init, M, options_,
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% SPECIAL REQUIREMENTS
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% none
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% Copyright © 2003-2022 Dynare Team
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% Copyright © 2003-2023 Dynare Team
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%
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% This file is part of Dynare.
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%
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@ -40,6 +40,7 @@ check = 0;
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options_.steadystate.nocheck = 1; %locally disable checking because Lagrange multipliers are not accounted for in evaluate_steady_state_file
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% dyn_ramsey_static_1 is a subfunction
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nl_func = @(x) dyn_ramsey_static_1(x,M,options_,oo);
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exo_ss = [oo.exo_steady_state oo.exo_det_steady_state];
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% check_static_model is a subfunction
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if ~options_.steadystate_flag && check_static_model(ys_init,M,options_,oo)
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@ -72,7 +73,6 @@ elseif options_.steadystate_flag
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end
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end
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ys_init(k_inst) = inst_val;
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exo_ss = [oo.exo_steady_state oo.exo_det_steady_state];
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[xx,params] = evaluate_steady_state_file(ys_init,exo_ss,M,options_,~options_.steadystate.nocheck); %run steady state file again to update parameters
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[~,~,steady_state] = nl_func(inst_val); %compute and return steady state
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else
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@ -107,6 +107,7 @@ inst_nbr = orig_endo_aux_nbr - orig_eq_nbr;
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% indices of Lagrange multipliers
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fname = M.fname;
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exo_ss = [oo.exo_steady_state oo.exo_det_steady_state];
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if options_.steadystate_flag
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k_inst = [];
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@ -117,8 +118,7 @@ if options_.steadystate_flag
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ys_init=zeros(size(oo.steady_state)); %create starting vector for steady state computation as only instrument value is handed over
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ys_init(k_inst) = x; %set instrument, the only value required for steady state computation, to current value
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[x,params,check] = evaluate_steady_state_file(ys_init,... %returned x now has size endo_nbr as opposed to input size of n_instruments
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[oo.exo_steady_state; ...
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oo.exo_det_steady_state], ...
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exo_ss, ...
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M,options_,~options_.steadystate.nocheck);
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if any(imag(x(1:M.orig_endo_nbr))) %return with penalty
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resids=ones(inst_nbr,1)+sum(abs(imag(x(1:M.orig_endo_nbr)))); %return with penalty
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@ -141,10 +141,7 @@ if any([M.aux_vars.type] ~= 6) %auxiliary variables other than multipliers
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needs_set_auxiliary_variables = 1;
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if M.set_auxiliary_variables
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fh = str2func([M.fname '.set_auxiliary_variables']);
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s_a_v_func = @(z) fh(z,...
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[oo.exo_steady_state,...
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oo.exo_det_steady_state],...
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params);
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s_a_v_func = @(z) fh(z, exo_ss, params);
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else
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s_a_v_func = z;
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end
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@ -156,12 +153,11 @@ end
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% set multipliers and auxiliary variables that
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% depends on multipliers to 0 to compute residuals
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if (options_.bytecode)
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[res, junk] = bytecode('static',xx,[oo.exo_steady_state oo.exo_det_steady_state], ...
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params, 'evaluate');
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[res, junk] = bytecode('static', xx, exo_ss, params, 'evaluate');
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fJ = junk.g1;
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else
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[res,fJ] = feval([fname '.static'],xx,[oo.exo_steady_state oo.exo_det_steady_state], ...
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params);
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[res, T_order, T] = feval([fname '.sparse.static_resid'], xx, exo_ss, params);
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fJ = feval([fname '.sparse.static_g1'], xx, exo_ss, params, M.static_g1_sparse_rowval, M.static_g1_sparse_colval, M.static_g1_sparse_colptr, T_order, T);
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end
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% index of multipliers and corresponding equations
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% the auxiliary variables before the Lagrange multipliers are treated
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@ -192,12 +188,11 @@ end
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function result = check_static_model(ys,M,options_,oo)
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result = false;
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exo_ss = [oo.exo_steady_state oo.exo_det_steady_state];
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if (options_.bytecode)
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[res, ~] = bytecode('static',ys,[oo.exo_steady_state oo.exo_det_steady_state], ...
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M.params, 'evaluate');
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[res, ~] = bytecode('static', ys, exo_ss, M.params, 'evaluate');
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else
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res = feval([M.fname '.static'],ys,[oo.exo_steady_state oo.exo_det_steady_state], ...
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M.params);
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res = feval([M.fname '.sparse.static_resid'], ys, exo_ss, M.params);
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end
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if norm(res) < options_.solve_tolf
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result = true;
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@ -20,7 +20,7 @@ function [residuals,check1,jacob] = evaluate_static_model(ys,exo_ss,params,M,opt
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% SPECIAL REQUIREMENTS
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% none
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% Copyright © 2001-2021 Dynare Team
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% Copyright © 2001-2023 Dynare Team
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%
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% This file is part of Dynare.
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%
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@ -48,27 +48,8 @@ if options.bytecode
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jacob = junk.g1;
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end
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else
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fh_static = str2func([M.fname '.static']);
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if options.block
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residuals = zeros(M.endo_nbr,1);
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T = NaN(M.block_structure_stat.tmp_nbr, 1);
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for b = 1:length(M.block_structure_stat.block)
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[r, yy, T] = feval(fh_static,b,ys,exo_ss,params,T);
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if M.block_structure_stat.block(b).Simulation_Type == 1 || ... % evaluateForward
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M.block_structure_stat.block(b).Simulation_Type == 2 % evaluateBackward
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vidx = M.block_structure_stat.block(b).variable;
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r = yy(vidx) - ys(vidx);
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end
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residuals(M.block_structure_stat.block(b).equation) = r;
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end
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if nargout==3
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jacob=NaN(length(ys));
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end
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else
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if nargout<3
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residuals = feval(fh_static,ys,exo_ss,params);
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else
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[residuals, jacob] = feval(fh_static,ys,exo_ss,params);
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end
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[residuals, T_order, T] = feval([M.fname '.sparse.static_resid'], ys, exo_ss, params);
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if nargout >= 3
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jacob = feval([M.fname '.sparse.static_g1'], ys, exo_ss, params, M.static_g1_sparse_rowval, M.static_g1_sparse_colval, M.static_g1_sparse_colptr, T_order, T);
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end
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end
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@ -22,7 +22,7 @@ function [ys,params,info] = evaluate_steady_state(ys_init,M,options,oo,steadysta
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% SPECIAL REQUIREMENTS
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% none
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% Copyright © 2001-2022 Dynare Team
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% Copyright © 2001-2023 Dynare Team
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%
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% This file is part of Dynare.
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%
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@ -279,8 +279,9 @@ elseif steadystate_flag
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return
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end
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elseif ~options.bytecode && ~options.block
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static_resid = str2func(sprintf('%s.sparse.static_resid', M.fname));
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static_g1 = str2func(sprintf('%s.sparse.static_g1', M.fname));
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if ~options.linear
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static_model = str2func(sprintf('%s.static', M.fname));
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% non linear model
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if ismember(options.solve_algo,[10,11])
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[lb,ub,eq_index] = get_complementarity_conditions(M,options.ramsey_policy);
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@ -295,16 +296,18 @@ elseif ~options.bytecode && ~options.block
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ys_init,...
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options.steady.maxit, options.solve_tolf, options.solve_tolx, ...
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options, exo_ss, params,...
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M.endo_nbr,static_model,eq_index);
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M.endo_nbr, static_resid, static_g1, ...
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M.static_g1_sparse_rowval, M.static_g1_sparse_colval, M.static_g1_sparse_colptr, eq_index);
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else
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[ys, check] = dynare_solve(@static_problem, ys_init, ...
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options.steady.maxit, options.solve_tolf, options.solve_tolx, ...
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options, exo_ss, params, M.endo_nbr, static_model);
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options, exo_ss, params, M.endo_nbr, static_resid, static_g1, ...
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M.static_g1_sparse_rowval, M.static_g1_sparse_colval, M.static_g1_sparse_colptr);
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end
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if check && options.debug
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[ys, check, fvec, fjac, errorcode] = dynare_solve(@static_problem, ys_init, ...
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options.steady.maxit, options.solve_tolf, options.solve_tolx, ...
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options, exo_ss, params, M.endo_nbr, static_model);
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options, exo_ss, params, M.endo_nbr, static_resid, static_g1, M.static_g1_sparse_rowval, M.static_g1_sparse_colval, M.static_g1_sparse_colptr);
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dprintf('Nonlinear solver routine returned errorcode=%i.', errorcode)
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skipline()
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[infrow,infcol]=find(isinf(fjac) | isnan(fjac));
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@ -323,9 +326,8 @@ elseif ~options.bytecode && ~options.block
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end
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else
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% linear model
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fh_static = str2func([M.fname '.static']);
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[fvec,jacob] = fh_static(ys_init,exo_ss, ...
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params);
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[fvec, T_order, T] = static_resid(ys_init, exo_ss, params);
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jacob = static_g1(ys_init, exo_ss, params, M.static_g1_sparse_rowval, M.static_g1_sparse_colval, M.static_g1_sparse_colptr, T_order, T);
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ii = find(~isfinite(fvec));
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if ~isempty(ii)
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@ -382,27 +384,12 @@ end
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if M.static_and_dynamic_models_differ
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% Evaluate residual of *dynamic* model using the steady state
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% computed on the *static* one
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z = repmat(ys,1,M.maximum_lead + M.maximum_lag + 1);
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zx = repmat([exo_ss'], M.maximum_lead + M.maximum_lag + 1, 1);
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if options.bytecode
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z = repmat(ys,1,M.maximum_lead + M.maximum_lag + 1);
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zx = repmat([exo_ss'], M.maximum_lead + M.maximum_lag + 1, 1);
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[r, ~]= bytecode('dynamic','evaluate', z, zx, params, ys, 1);
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elseif options.block
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T=NaN(M.block_structure.dyn_tmp_nbr, 1);
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for i = 1:length(M.block_structure.block)
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[rr, yy, T, g] = feval([M.fname '.dynamic'], i, ...
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dynvars_from_endo_simul(z, M.maximum_lag+1, M), ...
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zx, params, ys, T, M.maximum_lag+1, false);
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if M.block_structure.block(i).Simulation_Type == 1 || ... % evaluateForward
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M.block_structure.block(i).Simulation_Type == 2 % evaluateBackward
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vidx = M.block_structure.block(i).variable;
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rr = yy(M.lead_lag_incidence(M.maximum_endo_lag+1, vidx)) - oo.steady_state(vidx);
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end
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idx = M.block_structure.block(i).equation;
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r(idx) = rr;
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end
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else
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r = feval([M.fname '.dynamic'], dynvars_from_endo_simul(z, M.maximum_lag+1, M), ...
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zx, params, ys, M.maximum_lag + 1);
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r = feval([M.fname '.sparse.dynamic_resid'], repmat(ys, 3, 1), exo_ss, params, ys);
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end
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% Fail if residual greater than tolerance
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if max(abs(r)) > options.solve_tolf
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@ -424,13 +411,14 @@ if ~isempty(find(isnan(ys)))
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return
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end
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function [resids,jac] = static_problem(y,x,params,nvar,fh_static_model)
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[r,j] = fh_static_model(y,x,params);
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function [resids,jac] = static_problem(y, x, params, nvar, fh_static_resid, fh_static_g1, sparse_rowval, sparse_colval, sparse_colptr)
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[r, T_order, T] = fh_static_resid(y, x, params);
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j = fh_static_g1(y, x, params, sparse_rowval, sparse_colval, sparse_colptr, T_order, T);
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resids = r(1:nvar);
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jac = j(1:nvar,1:nvar);
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function [resids,jac] = static_mcp_problem(y,x,params,nvar,fh_static_model,eq_index)
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[r,j] = fh_static_model(y,x,params);
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function [resids,jac] = static_mcp_problem(y, x, params, nvar, fh_static_resid, fh_static_g1, sparse_rowval, sparse_colval, sparse_colptr, eq_index)
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[r, T_order, T] = fh_static_resid(y, x, params);
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j = fh_static_g1(y, x, params, sparse_rowval, sparse_colval, sparse_colptr, T_order, T);
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resids = r(eq_index);
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jac = j(eq_index,1:nvar);
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@ -157,7 +157,8 @@ for b=1:nb
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int2str(b)]);
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end
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else
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[res,jacob]=feval([M.fname '.static'],dr.ys,exo,M.params);
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[res, T_order, T] = feval([M.fname '.sparse.static_resid'], dr.ys, exo, M.params);
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jacob = feval([M.fname '.sparse.static_g1'], dr.ys, exo, M.params, M.static_g1_sparse_rowval, M.static_g1_sparse_colval, M.static_g1_sparse_colptr, T_order, T);
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end
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if any(any(isinf(jacob) | isnan(jacob)))
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problem_dummy=1;
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@ -1 +1 @@
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Subproject commit a4f299c0b781676afe3d9d073a7e2cd0551af997
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Subproject commit 35ac73fad8645302c10d0cd0068710ad3847366a
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