diff --git a/mex/build/k_order_mean.am b/mex/build/k_order_mean.am new file mode 100644 index 000000000..5c38cd37c --- /dev/null +++ b/mex/build/k_order_mean.am @@ -0,0 +1,14 @@ +mex_PROGRAMS = k_order_mean + +k_order_mean_FCFLAGS = $(AM_FCFLAGS) -I../libkordersim + +nodist_k_order_mean_SOURCES = \ + mexFunction.f08 + +k_order_mean_LDADD = ../libkordersim/libkordersim.a + +BUILT_SOURCES = $(nodist_k_order_mean_SOURCES) +CLEANFILES = $(nodist_k_order_mean_SOURCES) + +%.f08: $(top_srcdir)/../../sources/k_order_mean/%.f08 + $(LN_S) -f $< $@ diff --git a/mex/build/matlab/Makefile.am b/mex/build/matlab/Makefile.am index 9609b1723..7b565fb3a 100644 --- a/mex/build/matlab/Makefile.am +++ b/mex/build/matlab/Makefile.am @@ -4,7 +4,7 @@ SUBDIRS = mjdgges kronecker bytecode block_kalman_filter sobol perfect_foresight # libdynare++ must come before gensylv, k_order_perturbation, dynare_simul_ if ENABLE_MEX_DYNAREPLUSPLUS -SUBDIRS += libdynare++ gensylv libkorder dynare_simul_ k_order_perturbation k_order_welfare local_state_space_iterations libkordersim folded_to_unfolded_dr local_state_space_iteration_fortran k_order_simul +SUBDIRS += libdynare++ gensylv libkorder dynare_simul_ k_order_perturbation k_order_welfare local_state_space_iterations libkordersim folded_to_unfolded_dr local_state_space_iteration_fortran k_order_simul k_order_mean endif if ENABLE_MEX_MS_SBVAR diff --git a/mex/build/matlab/configure.ac b/mex/build/matlab/configure.ac index 06182ea8b..f377afc14 100644 --- a/mex/build/matlab/configure.ac +++ b/mex/build/matlab/configure.ac @@ -165,6 +165,7 @@ AC_CONFIG_FILES([Makefile folded_to_unfolded_dr/Makefile local_state_space_iteration_fortran/Makefile k_order_simul/Makefile + k_order_mean/Makefile perfect_foresight_problem/Makefile num_procs/Makefile block_trust_region/Makefile diff --git a/mex/build/matlab/k_order_mean/Makefile.am b/mex/build/matlab/k_order_mean/Makefile.am new file mode 100644 index 000000000..58684092c --- /dev/null +++ b/mex/build/matlab/k_order_mean/Makefile.am @@ -0,0 +1,2 @@ +include ../mex.am +include ../../k_order_mean.am \ No newline at end of file diff --git a/mex/sources/Makefile.am b/mex/sources/Makefile.am index 214c1382f..d4d924c07 100644 --- a/mex/sources/Makefile.am +++ b/mex/sources/Makefile.am @@ -20,6 +20,7 @@ EXTRA_DIST = \ folded_to_unfolded_dr \ local_state_space_iteration_fortran \ k_order_simul \ + k_order_mean \ gensylv \ dynare_simul_ \ perfect_foresight_problem \ diff --git a/mex/sources/k_order_mean/mexFunction.f08 b/mex/sources/k_order_mean/mexFunction.f08 new file mode 100644 index 000000000..d2ecee7a5 --- /dev/null +++ b/mex/sources/k_order_mean/mexFunction.f08 @@ -0,0 +1,200 @@ +! Copyright © 2021 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 . +! +! input: +! order the order of approximation, needs order+1 derivatives +! nstat +! npred +! nboth +! nforw +! nexog +! order_moment order of the moment we need to compute +! nburn number of burn-in periods +! yhat_start starting value for the full vector of endogenous variables minus its steady-state value +! shocks matrix of shocks (number of exogenous variables x number of periods) +! ysteady steady-state value for the full vector of endogenous variables +! dr structure containing the matrices for the decision rule (g_0, g_1,…) +! output: +! mean estimated `order_moment`-order moment for the full vector of e + +subroutine mexFunction(nlhs, plhs, nrhs, prhs) bind(c, name='mexFunction') + use iso_fortran_env + use iso_c_binding + use struct + use matlab_mex + use partitions + use simulation + implicit none + + type(c_ptr), dimension(*), intent(in), target :: prhs + type(c_ptr), dimension(*), intent(out) :: plhs + integer(c_int), intent(in), value :: nlhs, nrhs + type(c_ptr) :: order_mx, nstatic_mx, npred_mx, nboth_mx, nfwrd_mx, nexog_mx, order_moment_mx, nburn_mx, & + yhat_start_mx, shocks_mx, ysteady_mx, dr_mx, tmp + type(pol), dimension(:), allocatable, target :: fdr, udr + integer :: order, nstatic, npred, nboth, nfwrd, exo_nbr, endo_nbr, nys, nvar, nper, nburn, order_moment + real(real64), dimension(:,:), allocatable :: shocks, sim + real(real64), dimension(:), allocatable :: dyu, mean + real(real64), dimension(:), pointer, contiguous :: ysteady, yhat_start + type(pascal_triangle) :: p + type(horner), dimension(:), allocatable :: h + integer :: i, t, d, m, n + character(kind=c_char, len=10) :: fieldname + + order_mx = prhs(1) + nstatic_mx = prhs(2) + npred_mx = prhs(3) + nboth_mx = prhs(4) + nfwrd_mx = prhs(5) + nexog_mx = prhs(6) + order_moment_mx = prhs(7) + nburn_mx = prhs(8) + yhat_start_mx = prhs(9) + shocks_mx = prhs(10) + ysteady_mx = prhs(11) + dr_mx = prhs(12) + + ! Checking the consistence and validity of input arguments + if (nrhs /= 12) then + call mexErrMsgTxt("Must have exactly 12 inputs") + end if + if (.not. (mxIsScalar(order_mx)) .and. mxIsNumeric(order_mx)) then + call mexErrMsgTxt("1st argument (order) should be a numeric scalar") + end if + if (.not. (mxIsScalar(nstatic_mx)) .and. mxIsNumeric(nstatic_mx)) then + call mexErrMsgTxt("2nd argument (nstat) should be a numeric scalar") + end if + if (.not. (mxIsScalar(npred_mx)) .and. mxIsNumeric(npred_mx)) then + call mexErrMsgTxt("3rd argument (npred) should be a numeric scalar") + end if + if (.not. (mxIsScalar(nboth_mx)) .and. mxIsNumeric(nboth_mx)) then + call mexErrMsgTxt("4th argument (nboth) should be a numeric scalar") + end if + if (.not. (mxIsScalar(nfwrd_mx)) .and. mxIsNumeric(nfwrd_mx)) then + call mexErrMsgTxt("5th argument (nforw) should be a numeric scalar") + end if + if (.not. (mxIsScalar(nexog_mx)) .and. mxIsNumeric(nexog_mx)) then + call mexErrMsgTxt("6th argument (nexog) should be a numeric scalar") + end if + if (.not. (mxIsScalar(order_moment_mx)) .and. mxIsNumeric(order_moment_mx)) then + call mexErrMsgTxt("7th argument (order_moment) should be a numeric scalar") + end if + if (.not. (mxIsScalar(nburn_mx)) .and. mxIsNumeric(nburn_mx)) then + call mexErrMsgTxt("8th argument (nburn) should be a numeric scalar") + end if + if (.not. (mxIsDouble(yhat_start_mx) .and. (mxGetM(yhat_start_mx) == 1 .or. mxGetN(yhat_start_mx) == 1))) then + call mexErrMsgTxt("9th argument (yhat_start) should be a real vector") + end if + if (.not. (mxIsDouble(shocks_mx))) then + call mexErrMsgTxt("10th argument (shocks) should be a real matrix") + end if + if (.not. (mxIsDouble(ysteady_mx) .and. (mxGetM(ysteady_mx) == 1 .or. mxGetN(ysteady_mx) == 1))) then + call mexErrMsgTxt("11th argument (ysteady) should be a real vector") + end if + if (.not. mxIsStruct(dr_mx)) then + call mexErrMsgTxt("12th argument (dr) should be a struct") + end if + + ! Converting inputs in Fortran format + order = int(mxGetScalar(order_mx)) + nstatic = int(mxGetScalar(nstatic_mx)) + npred = int(mxGetScalar(npred_mx)) + nboth = int(mxGetScalar(nboth_mx)) + nfwrd = int(mxGetScalar(nfwrd_mx)) + exo_nbr = int(mxGetScalar(nexog_mx)) + endo_nbr = nstatic+npred+nboth+nfwrd + nys = npred+nboth + nvar = nys+exo_nbr + nburn = int(mxGetScalar(nburn_mx)) + order_moment = int(mxGetScalar(order_moment_mx)) + + if (endo_nbr /= int(mxGetM(yhat_start_mx))) then + call mexErrMsgTxt("yhat_start should have nstat+npred+nboth+nforw rows") + end if + yhat_start => mxGetPr(yhat_start_mx) + + if (exo_nbr /= int(mxGetM(shocks_mx))) then + call mexErrMsgTxt("shocks should have nexog rows") + end if + nper = int(mxGetN(shocks_mx)) + allocate(shocks(exo_nbr,nper)) + shocks = reshape(mxGetPr(shocks_mx),[exo_nbr,nper]) + + if (.not. (int(mxGetM(ysteady_mx)) == endo_nbr)) then + call mexErrMsgTxt("ysteady should have nstat+npred+nboth+nforw rows") + end if + ysteady => mxGetPr(ysteady_mx) + + allocate(h(0:order), fdr(0:order), udr(0:order)) + do i = 0, order + write (fieldname, '(a2, i1)') "g_", i + tmp = mxGetField(dr_mx, 1_mwIndex, trim(fieldname)) + if (.not. (c_associated(tmp) .and. mxIsDouble(tmp))) then + call mexErrMsgTxt(trim(fieldname)//" is not allocated in dr") + end if + m = int(mxGetM(tmp)) + n = int(mxGetN(tmp)) + allocate(fdr(i)%g(m,n), udr(i)%g(endo_nbr, nvar**i), h(i)%c(endo_nbr, nvar**i)) + fdr(i)%g(1:m,1:n) = reshape(mxGetPr(tmp), [m,n]) + end do + + udr(0)%g = fdr(0)%g + udr(1)%g = fdr(1)%g + if (order > 1) then + ! Compute the useful binomial coefficients from Pascal's triangle + p = pascal_triangle(nvar+order-1) + block + type(uf_matching), dimension(2:order) :: matching + ! Pinpointing the corresponding offsets between folded and unfolded tensors + do d=2,order + allocate(matching(d)%folded(nvar**d)) + call fill_folded_indices(matching(d)%folded, nvar, d, p) + udr(d)%g = fdr(d)%g(:,matching(d)%folded) + end do + end block + end if + + allocate(dyu(nvar), mean(endo_nbr), sim(endo_nbr,nper)) + ! Getting the predetermined part of the endogenous variable vector + dyu(1:nys) = yhat_start(nstatic+1:nstatic+nys) + dyu(nys+1:) = shocks(:,1) + ! Using the Horner algorithm to evaluate the decision rule at the chosen dyu + call eval(h, dyu, udr, endo_nbr, nvar, order) + sim(:,1) = h(0)%c(:,1) + ysteady + mean = 0. + + ! Carrying out the simulation + do t=2,nper + dyu(1:nys) = h(0)%c(nstatic+1:nstatic+nys,1) + dyu(nys+1:) = shocks(:,t) + call eval(h, dyu, udr, endo_nbr, nvar, order) + sim(:,t) = h(0)%c(:,1) + ysteady + if (t > nburn) then + mean = mean + sim(:,t)**order_moment + end if + end do + ! scaling the mean with the number of non-burn-in periods + mean = mean/(nper-nburn) + + ! Generating output + plhs(1) = mxCreateDoubleMatrix(int(endo_nbr, mwSize), 1_mwSize, mxREAL) + mxGetPr(plhs(1)) = mean + plhs(2) = mxCreateDoubleMatrix(int(endo_nbr, mwSize), int(nper, mwSize), mxREAL) + mxGetPr(plhs(2)) = reshape(sim, [size(sim)]) + + +end subroutine mexFunction