stepan
/
dynare
1
0
Fork 0
Code Issues Pull Requests Packages Projects Releases Wiki Activity

Block decomposition: static and dynamic files are now pure wrappers around the per-block files 

Systematically call top-level static/dynamic files, instead of per-block ones.
time-shift
Sébastien Villemot 2020-06-19 18:34:48 +02:00
parent ebc0b7ecb2
commit 41fe087106
No known key found for this signature in database
GPG Key ID: 2CECE9350ECEBE4A
9 changed files with 35 additions and 30 deletions
Show Stats Download Patch File Download Diff File Expand all files Collapse all files

3
matlab/dr_block.m
View File

@ -77,8 +77,7 @@ else
it_=M_.maximum_lag+1;
y=dynvars_from_endo_simul(z, it_, M_);
for blk = 1:length(M_.block_structure.block)
funcname = sprintf('%s.block.dynamic_%d', M_.fname, blk);
[~, T, data(blk).g1, data(blk).g1_x, data(blk).g1_xd, data(blk).g1_o]=feval(funcname, y, zx, M_.params, dr.ys, T, it_, true);
[~, ~, T, data(blk).g1, data(blk).g1_x, data(blk).g1_xd, data(blk).g1_o]=feval([M_.fname '.dynamic'], blk, y, zx, M_.params, dr.ys, T, it_, true);
end
end
dr.full_rank = 1;

7
matlab/dynare_solve_block_or_bytecode.m
View File

@ -37,7 +37,7 @@ if options.block && ~options.bytecode
ss(M.block_structure_stat.block(b).variable) = y;
else
n = length(M.block_structure_stat.block(b).variable);
[ss, T, ~, check] = solve_one_boundary([M.fname '.block.static_' int2str(b)], ss, exo, ...
[ss, T, ~, check] = solve_one_boundary([M.fname '.static' ], ss, exo, ...
params, [], T, M.block_structure_stat.block(b).variable, n, 1, false, b, 0, options.simul.maxit, ...
options.solve_tolf, ...
options.slowc, 0, options.solve_algo, true, false, false, M, options, []);
@ -47,8 +47,9 @@ if options.block && ~options.bytecode
end
end
end
% In particular, the following updates the temporary terms vector (for the dynare_solve case)
[r, x, T, g1] = feval([M.fname '.static'], b, ss, exo, params, T);
% Compute endogenous if the block is of type evaluate forward/backward
% Also update the temporary terms vector (needed for the dynare_solve case)
[~, x, T, g1] = feval([M.fname '.static'], b, ss, exo, params, T);
end
elseif options.bytecode
if options.solve_algo > 4

8
matlab/lnsrch1_wrapper_one_boundary.m
View File

@ -1,12 +1,12 @@
function r = lnsrch1_wrapper_one_boundary(ya, ll_index, fname, y, x, params, steady_state, T, it_)
function r = lnsrch1_wrapper_one_boundary(ya, ll_index, fname, blk, y, x, params, steady_state, T, it_)
% wrapper for solve_one_boundary m-file when it is used with a dynamic
% model
%
% INPUTS
% ya [vector] The endogenous of the current block
% ll_index [vector] M_.lead_lag_incidence(M_.maximum_endo_lag+1, :)
% fname [string] name of the file containing the block
% to simulate
% fname [string] name of the static/dynamic file
% blk [int] block number
% y [vector] Dynamic endogenous variables of the model
% x [matrix] All the exogenous variables of the model
% params [vector] All the parameters of the model
@ -40,4 +40,4 @@ function r = lnsrch1_wrapper_one_boundary(ya, ll_index, fname, y, x, params, ste
% along with Dynare. If not, see <http://www.gnu.org/licen
y2(nonzeros(ll_index)) = ya(find(ll_index));
[r, ~, g1]=feval(fname, y, x, params, steady_state, T, it_, false);
[r, ~, ~, g1]=feval(fname, blk, y, x, params, steady_state, T, it_, false);

8
matlab/lnsrch1_wrapper_two_boundaries.m
View File

@ -1,4 +1,4 @@
function ra = lnsrch1_wrapper_two_boundaries(ya, fname, y, y_index, x, ...
function ra = lnsrch1_wrapper_two_boundaries(ya, fname, blk, y, y_index, x, ...
params, steady_state, T, periods, ...
y_size, M_)
% wrapper for solve_one_boundary m-file when it is used with a dynamic
@ -8,8 +8,8 @@ function ra = lnsrch1_wrapper_two_boundaries(ya, fname, y, y_index, x, ...
% ya [vector] The endogenous of the current block
% y_index [vector of int] The index of the endogenous variables of
% the block
% fname [string] name of the file containing the block
% to simulate
% fname [string] name of the dynamic file
% blk [int] block number
% y [matrix] All the endogenous variables of the model
% x [matrix] All the exogenous variables of the model
% params [vector] All the parameters of the model
@ -51,5 +51,5 @@ function ra = lnsrch1_wrapper_two_boundaries(ya, fname, y, y_index, x, ...
y(y_index, M_.maximum_lag+(1:periods)) = reshape(ya',length(y_index),periods);
ra = NaN(periods*y_size, 1);
for it_ = M_.maximum_lag+(1:periods)
[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);
[ra((it_-M_.maximum_lag-1)*y_size+(1:y_size)), ~, ~, g1]=feval(fname, blk, dynvars_from_endo_simul(y, it_, M_), x, params, steady_state, T(:, it_), it_, false);
end

6
matlab/perfect-foresight-models/solve_block_decomposed_problem.m
View File

@ -43,9 +43,9 @@ y=oo_.endo_simul;
T=NaN(M_.block_structure.dyn_tmp_nbr, options_.periods+M_.maximum_lag+M_.maximum_lead);
oo_.deterministic_simulation.status = 0;
funcname = [ M_.fname '.dynamic'];
for blk = 1:length(M_.block_structure.block)
funcname = sprintf('%s.block.dynamic_%d', M_.fname, blk);
recursive_size = M_.block_structure.block(blk).endo_nbr - M_.block_structure.block(blk).mfs;
y_index = M_.block_structure.block(blk).variable((recursive_size+1):end);
@ -64,7 +64,7 @@ for blk = 1:length(M_.block_structure.block)
end
for it_ = range
y2 = dynvars_from_endo_simul(y, it_, M_);
[y2, T(:, it_)] = feval(funcname, y2, oo_.exo_simul, M_.params, oo_.steady_state, T(:, it_), it_, false);
[~, y2, T(:, it_)] = feval(funcname, blk, y2, oo_.exo_simul, M_.params, oo_.steady_state, T(:, it_), it_, false);
y(find(M_.lead_lag_incidence(M_.maximum_endo_lag+1, :)), it_) = y2(nonzeros(M_.lead_lag_incidence(M_.maximum_endo_lag+1, :)));
end
elseif M_.block_structure.block(blk).Simulation_Type == 3 || ... % solveForwardSimple

15
matlab/resid.m
View File

@ -71,11 +71,16 @@ if options_.block && ~options_.bytecode
z = zeros(M_.endo_nbr,1);
T = NaN(M_.block_structure_stat.tmp_nbr, 1);
for i = 1:length(M_.block_structure_stat.block)
[r, yy, T, g, var_indx] = feval([M_.fname '.static'],...
i,...
oo_.steady_state,...
[oo_.exo_steady_state; ...
oo_.exo_det_steady_state], M_.params, T);
[r, yy, T, g] = feval([M_.fname '.static'],...
i,...
oo_.steady_state,...
[oo_.exo_steady_state; ...
oo_.exo_det_steady_state], M_.params, T);
if M_.block_structure_stat.block(i).Simulation_Type == 1 || ... % evaluateForward
M_.block_structure_stat.block(i).Simulation_Type == 2 % evaluateBackward
vidx = M_.block_structure_stat.block(i).variable;
r = yy(vidx) - oo_.steady_state(vidx);
end
idx = M_.block_structure_stat.block(i).equation;
z(idx) = r;
end

12
matlab/solve_one_boundary.m
View File

@ -92,9 +92,9 @@ for it_=start:incr:finish
g1=spalloc( Blck_size, Blck_size, nze);
while ~(cvg==1 || iter>maxit_)
if is_dynamic
[r, T(:, it_), g1] = feval(fname, dynvars_from_endo_simul(y, it_, M), x, params, steady_state, T(:, it_), it_, false);
[r, ~, T(:, it_), g1] = feval(fname, Block_Num, dynvars_from_endo_simul(y, it_, M), x, params, steady_state, T(:, it_), it_, false);
else
[r, T, g1] = feval(fname, y, x, params, T);
[r, ~, T, g1] = feval(fname, Block_Num, y, x, params, T);
end
if ~isreal(r)
max_res=(-(max(max(abs(r))))^2)^0.5;
@ -203,9 +203,9 @@ for it_=start:incr:finish
p = -g1\r ;
[ya,f,r,check]=lnsrch1(ya,f,g,p,stpmax, ...
'lnsrch1_wrapper_one_boundary',nn, ...
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_);
y_index_eq, options.solve_tolx, M.lead_lag_incidence(M.maximum_endo_lag+1, :), fname, Block_Num, dynvars_from_endo_simul(y, it_, M), x, params, steady_state, T(:, it_), it_);
%% Recompute temporary terms, since they are not given as output of lnsrch1
[~, T(:, it_)] = feval(fname, dynvars_from_endo_simul(y, it_, M), x, params, steady_state, T(:, it_), it_, false);
[~, ~, T(:, it_)] = feval(fname, Block_Num, dynvars_from_endo_simul(y, it_, M), x, params, steady_state, T(:, it_), it_, false);
dx = ya' - y(index_eq, it_);
y(index_eq, it_) = ya;
elseif (is_dynamic && (stack_solve_algo==1 || stack_solve_algo==0)) || (~is_dynamic && options.solve_algo==6)
@ -262,10 +262,10 @@ for it_=start:incr:finish
y(y_index_eq) = phat;
end
if is_dynamic
[r, T(:, it_), g1] = feval(fname, dynvars_from_endo_simul(y, it_, M), x, params, ...
[r, ~, T(:, it_), g1] = feval(fname, Block_Num, dynvars_from_endo_simul(y, it_, M), x, params, ...
steady_state, T(:, it_), it_, false);
else
[r, T, g1] = feval(fname, y, x, params, T);
[r, ~, T, g1] = feval(fname, Block_Num, y, x, params, T);
end
if max(abs(r))>=options.solve_tolf
[dx,flag1] = bicgstab(g1,-r,1e-7,Blck_size,L1,U1);

4
matlab/solve_two_boundaries.m
View File

@ -83,7 +83,7 @@ while ~(cvg==1 || iter>maxit_)
r = NaN(Blck_size, periods);
g1a = spalloc(Blck_size*periods, Blck_size*periods, nze*periods);
for it_ = y_kmin+(1:periods)
[r(:, it_-y_kmin), T(:, it_), g1]=feval(fname, dynvars_from_endo_simul(y, it_, M), x, params, steady_state, T(:, it_), it_, false);
[r(:, it_-y_kmin), ~, T(:, it_), g1]=feval(fname, Block_Num, dynvars_from_endo_simul(y, it_, M), x, params, steady_state, T(:, it_), it_, false);
if periods == 1
g1a = g1(:, Blck_size+(1:Blck_size));
elseif it_ == y_kmin+1
@ -314,7 +314,7 @@ while ~(cvg==1 || iter>maxit_)
g = (ra'*g1a)';
f = 0.5*ra'*ra;
p = -g1a\ra;
[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);
[yn,f,ra,check]=lnsrch1(ya,f,g,p,stpmax,'lnsrch1_wrapper_two_boundaries',nn,nn, options.solve_tolx, fname, Block_Num, y, y_index,x, params, steady_state, T, periods, Blck_size, M);
dx = ya - yn;
y(y_index, y_kmin+(1:periods))=reshape(yn',length(y_index),periods);
end

2
preprocessor

@ -1 +1 @@
Subproject commit f4d2ce70dafd1331791b2fd96f3468b3f6c103da
Subproject commit f098329c74225d68fe84f2a5aa32721c2b76036c