move preprocessor and macroprocessor documentation to preprocessor submodule
Houtan Bastani
parent
ba3cebbad7
commit
5d1a132374
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@ -75,8 +75,6 @@ checksum
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/doc/mdate-sh
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/doc/stamp-vti
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!/doc/guide.bbl
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!/doc/macroprocessor/new-design.pdf
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!/doc/macroprocessor/old-design.pdf
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!/doc/userguide/P_ModStruct3.pdf
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!/doc/userguide/P_MH2.pdf
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!/doc/userguide/P_flowest.pdf
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@ -155,8 +155,6 @@ AX_PTHREAD
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AC_CONFIG_FILES([Makefile
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VERSION
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doc/Makefile
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doc/preprocessor/Makefile
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doc/macroprocessor/Makefile
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doc/parallel/Makefile
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doc/internals/Makefile
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doc/gsa/Makefile
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@ -1,4 +1,4 @@
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SUBDIRS = preprocessor macroprocessor parallel internals gsa dseries-and-reporting
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SUBDIRS = parallel internals gsa dseries-and-reporting
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info_TEXINFOS = dynare.texi
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@ -1,16 +0,0 @@
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if HAVE_PDFLATEX
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if HAVE_BEAMER
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pdf-local: macroprocessor.pdf
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endif
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endif
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SRC = macroprocessor.tex new-design.pdf
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EXTRA_DIST = $(SRC)
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macroprocessor.pdf: $(SRC)
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$(PDFLATEX) macroprocessor
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$(PDFLATEX) macroprocessor
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clean-local:
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rm -f macroprocessor.pdf *.toc *.aux *.log *.nav *.snm *.vrb *.out *~
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@ -1,624 +0,0 @@
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\documentclass{beamer}
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\usepackage[utf8]{inputenc}
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\usepackage[T1]{fontenc}
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\usepackage{lmodern}
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\usepackage{amsmath}
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\usepackage[copyright]{ccicons}
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\usetheme{Boadilla}
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\title{The Dynare Macro-processor}
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\subtitle{Dynare Summer School 2017}
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\author{Sébastien Villemot}
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%\pgfdeclareimage[height=0.6cm]{logo}{logo-ofce}
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\institute{OFCE}
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\date{June 13, 2017}
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\AtBeginSection[]
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{
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\begin{frame}
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\frametitle{Outline}
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\tableofcontents[currentsection]
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\end{frame}
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}
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\begin{document}
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\begin{frame}
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\titlepage
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\end{frame}
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\begin{frame}
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\frametitle{Outline}
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\tableofcontents
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\end{frame}
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\section{Overview}
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\begin{frame}
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\frametitle{Motivation}
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\begin{itemize}
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\item The \textbf{Dynare language} (used in MOD files) is well suited for many economic models
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\item However, as such, it lacks some useful features, such as:
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\begin{itemize}
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\item a loop mechanism for automatically repeating similar blocks of equations (such as in multi-country models)
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\item an operator for indexed sums or products inside equations
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\item a mechanism for splitting large MOD files in smaller modular files
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\item the possibility of conditionally including some equations or some runtime commands
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\end{itemize}
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\item The \textbf{Dynare Macro-language} was specifically designed to address these issues
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\item Being flexible and fairly general, it can also be helpful in other situations
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\end{itemize}
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\end{frame}
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\begin{frame}
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\frametitle{Design of the macro-language}
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\begin{itemize}
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\item The Dynare Macro-language provides a new set of \textbf{macro-commands} which can be inserted inside MOD files
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\item Language features include:
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\begin{itemize}
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\item file inclusion
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\item loops (\textit{for} structure)
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\item conditional inclusion (\textit{if/else} structures)
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\item expression substitution
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\end{itemize}
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\item The macro-processor transforms a MOD file with macro-commands into a MOD file without macro-commands (doing text expansions/inclusions) and then feeds it to the Dynare parser
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\item The key point to understand is that the macro-processor only does \textbf{text substitution} (like the C preprocessor or the PHP language)
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\end{itemize}
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\end{frame}
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\begin{frame}
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\frametitle{Design of Dynare}
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\includegraphics[width=0.95\linewidth]{new-design.pdf}
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\end{frame}
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\section{Syntax}
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\begin{frame}[fragile=singleslide]
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\frametitle{Macro Directives}
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\begin{itemize}
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\item Directives begin with an at-sign followed by a pound sign (\verb+@#+)
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\item A directive produces no output, but gives instructions to the macro-processor
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\item Main directives are:
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\begin{itemize}
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\item file inclusion: \verb+@#include+
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\item definition a variable of the macro-processor: \verb+@#define+
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\item conditional statements (\verb+@#if/@#ifdef/@#ifndef/@#else/@#endif+)
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\item loop statements (\verb+@#for/@#endfor+)
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\end{itemize}
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\item In most cases, directives occupy exactly one line of text. In case of need, two anti-slashes (\verb+\\+) at the end of the line indicates that the directive is continued on the next line.
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\end{itemize}
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\end{frame}
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\begin{frame}
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\frametitle{Variables}
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\begin{itemize}
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\item The macro processor maintains its own list of variables (distinct of model variables and of MATLAB/Octave variables)
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\item Macro-variables can be of four types:
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\begin{itemize}
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\item integer
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\item character string (declared between \textit{double} quotes)
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\item array of integers
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\item array of strings
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\end{itemize}
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\item No boolean type:
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\begin{itemize}
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\item false is represented by integer zero
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\item true is any non-null integer
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\end{itemize}
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\end{itemize}
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\end{frame}
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\begin{frame}[fragile=singleslide]
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\frametitle{Macro-expressions (1/2)}
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It is possible to construct macro-expressions, using standard operators.
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\begin{block}{Operators on integers}
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\begin{itemize}
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\item arithmetic operators: \texttt{+ - * /}
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\item comparison operators: \texttt{< > <= >= == !=}
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\item logical operators: \verb+&& || !+
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\item integer ranges: \texttt{1:4} is equivalent to integer array \texttt{[1,2,3,4]}
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\end{itemize}
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\end{block}
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\begin{block}{Operators on character strings}
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\begin{itemize}
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\item comparison operators: \texttt{== !=}
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\item concatenation: \texttt{+}
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\item extraction of substrings: if \texttt{s} is a string, then one can write \texttt{s[3]} or \texttt{s[4:6]}
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\end{itemize}
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\end{block}
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\end{frame}
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\begin{frame}[fragile=singleslide]
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\frametitle{Macro-expressions (2/2)}
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\begin{block}{Operators on arrays}
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\begin{itemize}
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\item dereferencing: if \texttt{v} is an array, then \texttt{v[2]} is its $2^{\textrm{nd}}$ element
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\item concatenation: \texttt{+}
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\item difference \texttt{-}: returns the first operand from which the elements of the second operand have been removed
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\item extraction of sub-arrays: \textit{e.g.} \texttt{v[4:6]}
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\item testing membership of an array: \texttt{in} operator \\ (example:
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\texttt{"b" in ["a", "b", "c"]} returns \texttt{1})
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\end{itemize}
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\end{block}
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Macro-expressions can be used at two places:
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\begin{itemize}
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\item inside macro directives, directly
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\item in the body of the MOD file, between an at-sign and curly braces (like \verb+@{expr}+): the macro processor will substitute the expression with its value
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\end{itemize}
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\end{frame}
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\begin{frame}[fragile=singleslide]
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\frametitle{Define directive}
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The value of a macro-variable can be defined with the \verb+@#define+ directive.
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\begin{block}{Syntax}
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\verb+@#define +\textit{variable\_name}\verb+ = +\textit{expression}
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\end{block}
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\begin{block}{Examples}
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\begin{verbatim}
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@#define x = 5 // Integer
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@#define y = "US" // String
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@#define v = [ 1, 2, 4 ] // Integer array
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@#define w = [ "US", "EA" ] // String array
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@#define z = 3 + v[2] // Equals 5
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@#define t = ("US" in w) // Equals 1 (true)
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\end{verbatim}
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\end{block}
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\end{frame}
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\begin{frame}[fragile=singleslide]
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\frametitle{Expression substitution}
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\framesubtitle{Dummy example}
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\begin{block}{Before macro-processing}
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\begin{verbatim}
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@#define x = [ "B", "C" ]
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@#define i = 2
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model;
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A = @{x[i]};
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end;
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\end{verbatim}
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\end{block}
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\begin{block}{After macro-processing}
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\begin{verbatim}
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model;
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A = C;
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end;
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\end{verbatim}
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\end{block}
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\end{frame}
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\begin{frame}[fragile=singleslide]
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\frametitle{Inclusion directive (1/2)}
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\begin{itemize}
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\item This directive simply includes the content of another file at the place where it is inserted.
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\begin{block}{Syntax}
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\verb+@#include "+\textit{filename}\verb+"+
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\end{block}
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\begin{block}{Example}
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\begin{verbatim}
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@#include "modelcomponent.mod"
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\end{verbatim}
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\end{block}
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\item Exactly equivalent to a copy/paste of the content of the included file
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\item Note that it is possible to nest includes (\textit{i.e.} to include a
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file from an included file)
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\end{itemize}
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\end{frame}
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\begin{frame}[fragile=singleslide]
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\frametitle{Inclusion directive (2/2)}
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\begin{itemize}
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\item The filename can be given by a macro-variable (useful in loops):
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\begin{block}{Example with variable}
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\begin{verbatim}
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@#define fname = "modelcomponent.mod"
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@#include fname
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\end{verbatim}
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\end{block}
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\item Files to include are searched for in current directory. Other directories can
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be added with
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\texttt{@includepath} directive, \texttt{-I} command line option or
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\texttt{[paths]} section in config file.
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\end{itemize}
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\end{frame}
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\begin{frame}[fragile=singleslide]
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\frametitle{Loop directive}
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\begin{block}{Syntax}
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\verb+@#for +\textit{variable\_name}\verb+ in +\textit{array\_expr} \\
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\verb+ +\textit{loop\_body} \\
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\verb+@#endfor+
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\end{block}
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\begin{block}{Example: before macro-processing}
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\small
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\begin{verbatim}
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model;
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@#for country in [ "home", "foreign" ]
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GDP_@{country} = A * K_@{country}^a * L_@{country}^(1-a);
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@#endfor
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end;
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\end{verbatim}
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\normalsize
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\end{block}
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\begin{block}{Example: after macro-processing}
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\small
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\begin{verbatim}
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model;
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GDP_home = A * K_home^a * L_home^(1-a);
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GDP_foreign = A * K_foreign^a * L_foreign^(1-a);
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end;
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\end{verbatim}
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\normalsize
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\end{block}
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\end{frame}
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\begin{frame}[fragile=singleslide]
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\frametitle{Conditional inclusion directives (1/2)}
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\begin{columns}[T]
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\column{0.47\linewidth}
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\begin{block}{Syntax 1}
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\verb+@#if +\textit{integer\_expr} \\
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\verb+ +\textit{body included if expr != 0} \\
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\verb+@#endif+
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\end{block}
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\column{0.47\linewidth}
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\begin{block}{Syntax 2}
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\verb+@#if +\textit{integer\_expr} \\
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\verb+ +\textit{body included if expr != 0} \\
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\verb+@#else+ \\
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\verb+ +\textit{body included if expr == 0} \\
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\verb+@#endif+
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\end{block}
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\end{columns}
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\begin{block}{Example: alternative monetary policy rules}
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\scriptsize
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\begin{verbatim}
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@#define linear_mon_pol = 0 // or 1
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...
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model;
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@#if linear_mon_pol
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i = w*i(-1) + (1-w)*i_ss + w2*(pie-piestar);
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@#else
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i = i(-1)^w * i_ss^(1-w) * (pie/piestar)^w2;
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@#endif
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...
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end;
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\end{verbatim}
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\scriptsize
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\end{block}
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\end{frame}
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\begin{frame}[fragile=singleslide]
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\frametitle{Conditional inclusion directives (2/2)}
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\begin{columns}[T]
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\column{0.47\linewidth}
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\begin{block}{Syntax 1}
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\verb+@#ifdef +\textit{variable\_name} \\
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\verb+ +\textit{body included if variable defined} \\
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\verb+@#endif+
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\end{block}
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\column{0.47\linewidth}
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\begin{block}{Syntax 2}
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\verb+@#ifdef +\textit{variable\_name} \\
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\verb+ +\textit{body included if variable defined} \\
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\verb+@#else+ \\
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\verb+ +\textit{body included if variable not defined} \\
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\verb+@#endif+
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\end{block}
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\end{columns}
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\bigskip
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There is also \verb+@#ifndef+, which is the opposite of \verb+@#ifdef+
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(\textit{i.e.} it tests whether a variable is \emph{not} defined).
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\end{frame}
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\begin{frame}[fragile=singleslide]
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\frametitle{Echo and error directives}
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\begin{itemize}
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\item The echo directive will simply display a message on standard output
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\item The error directive will display the message and make Dynare stop (only makes sense inside a conditional inclusion directive)
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\end{itemize}
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\begin{block}{Syntax}
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\verb+@#echo +\textit{string\_expr} \\
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\verb+@#error +\textit{string\_expr}
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\end{block}
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\begin{block}{Examples}
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\begin{verbatim}
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@#echo "Information message."
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@#error "Error message!"
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\end{verbatim}
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\end{block}
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\end{frame}
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\begin{frame}
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\frametitle{Saving the macro-expanded MOD file}
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\begin{itemize}
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\item For \textbf{debugging or learning} purposes, it is possible to save the output of the macro-processor
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\item This output is a valid MOD file, obtained after processing the macro-commands of the original MOD file
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% \item Useful to understand how the macro-processor works
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\item Just add the \texttt{savemacro} option on the Dynare command line (after the name of your MOD file)
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\item If MOD file is \texttt{filename.mod}, then the macro-expanded version will be saved in \texttt{filename-macroexp.mod}
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\item You can specify the filename for the macro-expanded version with the syntax \texttt{savemacro=mymacroexp.mod}
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\end{itemize}
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\end{frame}
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% \begin{frame}
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% \frametitle{Note on error messages}
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% \end{frame}
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\section{Typical usages}
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\begin{frame}[fragile=singleslide]
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\frametitle{Modularization}
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\begin{itemize}
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\item The \verb+@#include+ directive can be used to split MOD files into several modular components
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\item Example setup:
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\begin{description}
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\item[\texttt{modeldesc.mod}:] contains variable declarations, model equations and shocks declarations
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\item[\texttt{simulate.mod}:] includes \texttt{modeldesc.mod}, calibrates parameters and runs stochastic simulations
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\item[\texttt{estim.mod}:] includes \texttt{modeldesc.mod}, declares priors on parameters and runs bayesian estimation
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\end{description}
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\item Dynare can be called on \texttt{simulate.mod} and \texttt{estim.mod}
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\item But it makes no sense to run it on \texttt{modeldesc.mod}
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\item Advantage: no need to manually copy/paste the whole model (at the beginning) or changes to the model (during development)
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\end{itemize}
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\end{frame}
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\begin{frame}[fragile=singleslide]
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\frametitle{Indexed sums or products}
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\framesubtitle{Example: moving average}
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\begin{columns}[T]
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\column{0.47\linewidth}
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\begin{block}{Before macro-processing}
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\begin{verbatim}
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@#define window = 2
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var x MA_x;
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...
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model;
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...
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MA_x = 1/@{2*window+1}*(
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@#for i in -window:window
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+x(@{i})
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@#endfor
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);
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...
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end;
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\end{verbatim}
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\end{block}
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\column{0.47\linewidth}
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\begin{block}{After macro-processing}
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\begin{verbatim}
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var x MA_x;
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...
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model;
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...
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MA_x = 1/5*(
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+x(-2)
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+x(-1)
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+x(0)
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+x(1)
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+x(2)
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);
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...
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end;
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\end{verbatim}
|
||||
\end{block}
|
||||
\end{columns}
|
||||
\end{frame}
|
||||
|
||||
\begin{frame}[fragile=singleslide]
|
||||
\frametitle{Multi-country models}
|
||||
\framesubtitle{MOD file skeleton example}
|
||||
\scriptsize
|
||||
\begin{verbatim}
|
||||
@#define countries = [ "US", "EA", "AS", "JP", "RC" ]
|
||||
@#define nth_co = "US"
|
||||
|
||||
@#for co in countries
|
||||
var Y_@{co} K_@{co} L_@{co} i_@{co} E_@{co} ...;
|
||||
parameters a_@{co} ...;
|
||||
varexo ...;
|
||||
@#endfor
|
||||
|
||||
model;
|
||||
@#for co in countries
|
||||
Y_@{co} = K_@{co}^a_@{co} * L_@{co}^(1-a_@{co});
|
||||
...
|
||||
@# if co != nth_co
|
||||
(1+i_@{co}) = (1+i_@{nth_co}) * E_@{co}(+1) / E_@{co}; // UIP relation
|
||||
@# else
|
||||
E_@{co} = 1;
|
||||
@# endif
|
||||
@#endfor
|
||||
end;
|
||||
\end{verbatim}
|
||||
\normalsize
|
||||
\end{frame}
|
||||
|
||||
\begin{frame}
|
||||
\frametitle{Endogeneizing parameters (1/4)}
|
||||
\begin{itemize}
|
||||
\item When doing the steady-state calibration of the model, it may be useful to consider a parameter as an endogenous (and vice-versa)
|
||||
\item Example:
|
||||
\begin{gather*}
|
||||
y = \left(\alpha^{\frac{1}{\xi}} \ell^{1-\frac{1}{\xi}} + (1-\alpha)^{\frac{1}{\xi}}k^{1-\frac{1}{\xi}}\right)^{\frac{\xi}{\xi - 1}} \\
|
||||
lab\_rat = \frac{w \ell}{p y}
|
||||
\end{gather*}
|
||||
\item In the model, $\alpha$ is a (share) parameter, and $lab\_rat$ is an endogenous variable
|
||||
\item We observe that:
|
||||
\begin{itemize}
|
||||
\item calibrating $\alpha$ is not straigthforward!
|
||||
\item on the contrary, we have real world data for $lab\_rat$
|
||||
\item it is clear that these two variables are economically linked
|
||||
\end{itemize}
|
||||
\end{itemize}
|
||||
\end{frame}
|
||||
|
||||
\begin{frame}[fragile=singleslide]
|
||||
\frametitle{Endogeneizing parameters (2/4)}
|
||||
\begin{itemize}
|
||||
\item Therefore, when computing the steady state:
|
||||
\begin{itemize}
|
||||
\item we make $\alpha$ an endogenous variable and $lab\_rat$ a parameter
|
||||
\item we impose an economically relevant value for $lab\_rat$
|
||||
\item the solution algorithm deduces the implied value for $\alpha$
|
||||
\end{itemize}
|
||||
\item We call this method ``variable flipping''
|
||||
\end{itemize}
|
||||
\end{frame}
|
||||
|
||||
\begin{frame}[fragile=singleslide]
|
||||
\frametitle{Endogeneizing parameters (3/4)}
|
||||
\framesubtitle{Example implementation}
|
||||
\begin{itemize}
|
||||
\item File \texttt{modeqs.mod}:
|
||||
\begin{itemize}
|
||||
\item contains variable declarations and model equations
|
||||
\item For declaration of \texttt{alpha} and \texttt{lab\_rat}:
|
||||
\footnotesize
|
||||
\begin{verbatim}
|
||||
@#if steady
|
||||
var alpha;
|
||||
parameter lab_rat;
|
||||
@#else
|
||||
parameter alpha;
|
||||
var lab_rat;
|
||||
@#endif
|
||||
\end{verbatim}
|
||||
\normalsize
|
||||
\end{itemize}
|
||||
|
||||
\end{itemize}
|
||||
\end{frame}
|
||||
|
||||
\begin{frame}[fragile=singleslide]
|
||||
\frametitle{Endogeneizing parameters (4/4)}
|
||||
\framesubtitle{Example implementation}
|
||||
\begin{itemize}
|
||||
\item File \texttt{steadystate.mod}:
|
||||
\begin{itemize}
|
||||
\item begins with \verb+@#define steady = 1+
|
||||
\item then with \verb+@#include "modeqs.mod"+
|
||||
\item initializes parameters (including \texttt{lab\_rat}, excluding \texttt{alpha})
|
||||
\item computes steady state (using guess values for endogenous, including \texttt{alpha})
|
||||
\item saves values of parameters and endogenous at steady-state in a file, using the \texttt{save\_params\_and\_steady\_state} command
|
||||
\end{itemize}
|
||||
\item File \texttt{simulate.mod}:
|
||||
\begin{itemize}
|
||||
\item begins with \verb+@#define steady = 0+
|
||||
\item then with \verb+@#include "modeqs.mod"+
|
||||
\item loads values of parameters and endogenous at steady-state from file, using the \texttt{load\_params\_and\_steady\_state} command
|
||||
\item computes simulations
|
||||
\end{itemize}
|
||||
\end{itemize}
|
||||
\end{frame}
|
||||
|
||||
\begin{frame}[fragile=singleslide]
|
||||
\frametitle{MATLAB/Octave loops vs macro-processor loops (1/3)}
|
||||
Suppose you have a model with a parameter $\rho$, and you want to make
|
||||
simulations for three values: $\rho = 0.8, 0.9, 1$. There are
|
||||
several ways of doing this:
|
||||
\begin{block}{With a MATLAB/Octave loop}
|
||||
\begin{verbatim}
|
||||
rhos = [ 0.8, 0.9, 1];
|
||||
for i = 1:length(rhos)
|
||||
rho = rhos(i);
|
||||
stoch_simul(order=1);
|
||||
end
|
||||
\end{verbatim}
|
||||
\end{block}
|
||||
\begin{itemize}
|
||||
\item The loop is not unrolled
|
||||
\item MATLAB/Octave manages the iterations
|
||||
\item Interesting when there are a lot of iterations
|
||||
\end{itemize}
|
||||
\end{frame}
|
||||
|
||||
\begin{frame}[fragile=singleslide]
|
||||
\frametitle{MATLAB/Octave loops vs macro-processor loops (2/3)}
|
||||
\begin{block}{With a macro-processor loop (case 1)}
|
||||
\begin{verbatim}
|
||||
rhos = [ 0.8, 0.9, 1];
|
||||
@#for i in 1:3
|
||||
rho = rhos(@{i});
|
||||
stoch_simul(order=1);
|
||||
@#endfor
|
||||
\end{verbatim}
|
||||
\end{block}
|
||||
\begin{itemize}
|
||||
\item Very similar to previous example
|
||||
\item Loop is unrolled
|
||||
\item Dynare macro-processor manages the loop index but not the data array (\texttt{rhos})
|
||||
\end{itemize}
|
||||
\end{frame}
|
||||
|
||||
\begin{frame}[fragile=singleslide]
|
||||
\frametitle{MATLAB/Octave loops vs macro-processor loops (3/3)}
|
||||
\begin{block}{With a macro-processor loop (case 2)}
|
||||
\begin{verbatim}
|
||||
@#for rho_val in [ "0.8", "0.9", "1"]
|
||||
rho = @{rho_val};
|
||||
stoch_simul(order=1);
|
||||
@#endfor
|
||||
\end{verbatim}
|
||||
\end{block}
|
||||
\begin{itemize}
|
||||
\item Advantage: shorter syntax, since list of values directly given in the loop construct
|
||||
\item Note that values are given as character strings (the macro-processor does not
|
||||
know floating point values)
|
||||
\item Inconvenient: can not reuse an array stored in a MATLAB/Octave variable
|
||||
\end{itemize}
|
||||
\end{frame}
|
||||
|
||||
% \begin{frame}[fragile=singleslide]
|
||||
% \frametitle{Possible future developments}
|
||||
% \begin{itemize}
|
||||
% \item Find a nicer syntax for indexed sums/products
|
||||
% \item Implement other control structures: \texttt{elsif}, \texttt{switch/case}, \texttt{while/until} loops
|
||||
% \item Implement macro-functions (or templates), with a syntax like:
|
||||
% \small
|
||||
% \verb+@#define QUADRATIC_COST(x, x_ss, phi) = phi/2*(x/x_ss-1)^2+
|
||||
% \normalsize
|
||||
% \end{itemize}
|
||||
% \end{frame}
|
||||
|
||||
\begin{frame}
|
||||
\begin{center}
|
||||
\vfill {\LARGE Thanks for your attention!} \vfill
|
||||
{\LARGE Questions?}
|
||||
\vfill
|
||||
\end{center}
|
||||
\vfill
|
||||
\begin{columns}[T]
|
||||
\column{0.2\textwidth}
|
||||
\column{0.09\textwidth}
|
||||
|
||||
\ccbysa
|
||||
\column{0.71\textwidth}
|
||||
\tiny
|
||||
Copyright © 2008--2017 Dynare Team \\
|
||||
Licence: \href{http://creativecommons.org/licenses/by-sa/4.0/}{Creative
|
||||
Commons Attribution-ShareAlike 4.0}
|
||||
\end{columns}
|
||||
\end{frame}
|
||||
|
||||
|
||||
\end{document}
|
||||
File diff suppressed because it is too large
Load Diff
|
|
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|
||||
|
|
@ -1,820 +0,0 @@
|
|||
\documentclass{beamer}
|
||||
%\documentclass[draft]{beamer}
|
||||
%\documentclass[handout]{beamer}
|
||||
|
||||
|
||||
\mode<handout>
|
||||
{
|
||||
\usepackage{pgfpages}
|
||||
\pgfpagesuselayout{4 on 1}[a4paper,border shrink=3mm,landscape]
|
||||
\usetheme{Madrid}
|
||||
\usecolortheme{seagull}
|
||||
}
|
||||
|
||||
\mode<beamer>
|
||||
{
|
||||
\usetheme{Madrid}
|
||||
\setbeamercovered{transparent}
|
||||
}
|
||||
|
||||
|
||||
\usepackage[english]{babel}
|
||||
\usepackage[utf8]{inputenc}
|
||||
|
||||
\usepackage{times}
|
||||
\usepackage[copyright]{ccicons}
|
||||
|
||||
\title{The Dynare Preprocessor}
|
||||
|
||||
\author[S. Villemot, H.Bastani]{Sébastien Villemot \and Houtan Bastani}
|
||||
|
||||
\institute{CEPREMAP}
|
||||
|
||||
\date{1 February 2017}
|
||||
|
||||
\AtBeginSection[]
|
||||
{
|
||||
\begin{frame}{Outline}
|
||||
\tableofcontents[currentsection]
|
||||
\end{frame}
|
||||
}
|
||||
|
||||
\begin{document}
|
||||
|
||||
\begin{frame}
|
||||
\titlepage
|
||||
|
||||
\begin{columns}[T]
|
||||
\column{0.2\textwidth}
|
||||
\column{0.09\textwidth}
|
||||
|
||||
\ccbysa
|
||||
\column{0.71\textwidth}
|
||||
\tiny
|
||||
Copyright © 2007--2017 Dynare Team \\
|
||||
Licence: \href{http://creativecommons.org/licenses/by-sa/4.0/}{Creative
|
||||
Commons Attribution-ShareAlike 4.0}
|
||||
\end{columns}
|
||||
\end{frame}
|
||||
|
||||
\begin{frame}
|
||||
\frametitle{Overview}
|
||||
\begin{center}
|
||||
\includegraphics[width=11cm]{overview.png}
|
||||
\end{center}
|
||||
\end{frame}
|
||||
|
||||
\begin{frame}{Outline}
|
||||
\tableofcontents
|
||||
\end{frame}
|
||||
|
||||
\section{Invoking the preprocessor}
|
||||
|
||||
\begin{frame}
|
||||
\frametitle{Calling Dynare}
|
||||
\begin{itemize}
|
||||
\item Dynare is called from the host language platform with the syntax \texttt{dynare <<filename>>.mod}
|
||||
\item This call can be followed by certain options:
|
||||
\begin{itemize}
|
||||
\item Some of these options impact host language platform functionality, \textit{e.g.} \texttt{nograph} prevents graphs from being displayed in Matlab
|
||||
\item Some cause differences in the output created by default, \textit{e.g.} \texttt{notmpterms} prevents temporary terms from being written to the static/dynamic files
|
||||
\item While others impact the functionality of the macroprocessor or the preprocessor, \textit{e.g.} \texttt{nostrict} shuts off certain checks that the preprocessor does by defalut
|
||||
\end{itemize}
|
||||
\end{itemize}
|
||||
\end{frame}
|
||||
|
||||
\section{Parsing}
|
||||
|
||||
\begin{frame}
|
||||
\frametitle{Parsing overview}
|
||||
\begin{itemize}
|
||||
\item Parsing is the action of transforming an input text (a \texttt{mod} file in our case) into a data structure suitable for computation
|
||||
\item The parser consists of three components:
|
||||
\begin{itemize}
|
||||
\item the \alert{lexical analyzer}, which recognizes the ``words'' of the \texttt{mod} file (analog to the \textit{vocabulary} of a language)
|
||||
\item the \alert{syntax analyzer}, which recognizes the ``sentences'' of the \texttt{mod} file (analog to the \textit{grammar} of a language)
|
||||
\item the \alert{parsing driver}, which coordinates the whole process and constructs the data structure using the results of the lexical and syntax analyses
|
||||
\end{itemize}
|
||||
\end{itemize}
|
||||
\end{frame}
|
||||
|
||||
\begin{frame}
|
||||
\frametitle{Lexical analysis}
|
||||
\begin{itemize}
|
||||
\item The lexical analyzer recognizes the ``words'' (or \alert{lexemes}) of the language
|
||||
\item Defined in \texttt{DynareFlex.ll}, it is transformed into C++ source code by the program \texttt{flex}
|
||||
\item This file details the list of known lexemes (described by regular expressions) and the associated \alert{token} for each of them
|
||||
\item For punctuation (semicolon, parentheses, \ldots), operators (+, -, \ldots) or fixed keywords (\textit{e.g.} \texttt{model}, \texttt{varexo}, \ldots), the token is simply an integer uniquely identifying the lexeme
|
||||
\item For variable names or numbers, the token also contains the associated string for further processing
|
||||
%\item \textit{Note:} the list of tokens can be found at the beginning of \texttt{DynareBison.yy}
|
||||
\item When invoked, the lexical analyzer reads the next characters of the input, tries to recognize a lexeme, and either produces an error or returns the associated token
|
||||
\end{itemize}
|
||||
\end{frame}
|
||||
|
||||
\begin{frame}[fragile]
|
||||
\frametitle{Lexical analysis}
|
||||
\framesubtitle{An example}
|
||||
\begin{itemize}
|
||||
\item Suppose the \texttt{mod} file contains the following:
|
||||
\begin{verbatim}
|
||||
model;
|
||||
x = log(3.5);
|
||||
end;
|
||||
\end{verbatim}
|
||||
\item Before lexical analysis, it is only a sequence of characters
|
||||
\item The lexical analysis produces the following stream of tokens:
|
||||
|
||||
\begin{footnotesize}
|
||||
\begin{verbatim}
|
||||
MODEL
|
||||
SEMICOLON
|
||||
NAME "x"
|
||||
EQUAL
|
||||
LOG
|
||||
LEFT_PARENTHESIS
|
||||
FLOAT_NUMBER "3.5"
|
||||
RIGHT_PARENTHESIS
|
||||
SEMICOLON
|
||||
END
|
||||
SEMICOLON
|
||||
\end{verbatim}
|
||||
\end{footnotesize}
|
||||
\end{itemize}
|
||||
\end{frame}
|
||||
|
||||
\begin{frame}
|
||||
\frametitle{Syntax analysis}
|
||||
\framesubtitle{In Dynare}
|
||||
\begin{itemize}
|
||||
\item The \texttt{mod} file grammar is described in \texttt{DynareBison.yy}, which is transformed into C++ source code by the program \texttt{bison}
|
||||
\item The grammar tells a story which looks like:
|
||||
\begin{itemize}
|
||||
\item A \texttt{mod} file is a list of statements
|
||||
\item A statement can be a \texttt{var} statement, a \texttt{varexo} statement, a \texttt{model} block, an \texttt{initval} block, \ldots
|
||||
\item A \texttt{var} statement begins with the token \texttt{VAR}, then a list of \texttt{NAME}s, then a semicolon
|
||||
\item A \texttt{model} block begins with the token \texttt{MODEL}, then a semicolon, then a list of equations separated by semicolons, then an \texttt{END} token
|
||||
\item An equation can be either an expression, or an expression followed by an \texttt{EQUAL} token and another expression
|
||||
\item An expression can be a \texttt{NAME}, or a \texttt{FLOAT\_NUMBER}, or an expression followed by a \texttt{PLUS} and another expression, \ldots
|
||||
\end{itemize}
|
||||
\end{itemize}
|
||||
\end{frame}
|
||||
|
||||
\begin{frame}[fragile]
|
||||
\frametitle{Syntax analysis}
|
||||
Using the list of tokens produced by lexical analysis, the syntax analyzer determines which ``sentences'' are valid in the language, according to a \alert{grammar} composed of \alert{rules}.
|
||||
\begin{block}{A grammar for lists of additive and multiplicative expressions}
|
||||
\begin{footnotesize}
|
||||
\begin{verbatim}
|
||||
%start expression_list;
|
||||
|
||||
expression_list := expression SEMICOLON
|
||||
| expression_list expression SEMICOLON;
|
||||
|
||||
expression := expression PLUS expression
|
||||
| expression TIMES expression
|
||||
| LEFT_PAREN expression RIGHT_PAREN
|
||||
| INT_NUMBER;
|
||||
\end{verbatim}
|
||||
\end{footnotesize}
|
||||
\end{block}
|
||||
\begin{itemize}
|
||||
\item \texttt{(1+3)*2; 4+5;} will pass the syntax analysis without error
|
||||
\item \texttt{1++2;} will fail the syntax analysis, even though it has passed the lexical analysis
|
||||
\end{itemize}
|
||||
\end{frame}
|
||||
|
||||
\begin{frame}
|
||||
\frametitle{Semantic actions}
|
||||
\begin{itemize}
|
||||
\item So far we have only described how to accept valid \texttt{mod} files and to reject others
|
||||
\item But validating is not enough: one needs to do something with the parsed \texttt{mod} file
|
||||
\item Every grammar rule can have a \alert{semantic action} associated with it: C/C++ code enclosed by curly braces
|
||||
\item Every rule can return a semantic value (referenced by \texttt{\$\$} in the action)
|
||||
\item In the action, it is possible to refer to semantic values returned by components of the rule (using \texttt{\$1}, \texttt{\$2}, \ldots)
|
||||
\end{itemize}
|
||||
\end{frame}
|
||||
|
||||
\begin{frame}[fragile]
|
||||
\frametitle{Semantic actions}
|
||||
\framesubtitle{An example}
|
||||
\begin{block}{A simple calculator which prints its results}
|
||||
\begin{footnotesize}
|
||||
\begin{verbatim}
|
||||
%start expression_list
|
||||
%type <int> expression
|
||||
|
||||
expression_list := expression SEMICOLON
|
||||
{ cout << $1 << endl; }
|
||||
| expression_list expression SEMICOLON
|
||||
{ cout << $2 << endl; };
|
||||
|
||||
expression := expression PLUS expression
|
||||
{ $$ = $1 + $3; }
|
||||
| expression TIMES expression
|
||||
{ $$ = $1 * $3; }
|
||||
| LEFT_PAREN expression RIGHT_PAREN
|
||||
{ $$ = $2; }
|
||||
| INT_NUMBER
|
||||
{ $$ = $1; };
|
||||
\end{verbatim}
|
||||
\end{footnotesize}
|
||||
\end{block}
|
||||
\end{frame}
|
||||
|
||||
\begin{frame}
|
||||
\frametitle{Parsing driver}
|
||||
|
||||
The class \texttt{ParsingDriver} has the following roles:
|
||||
\begin{itemize}
|
||||
\item It opens the \texttt{mod} file and launches the lexical and syntaxic analyzers on it
|
||||
\item It implements most of the semantic actions of the grammar
|
||||
\item By doing so, it creates an object of type \texttt{ModFile}, which is the data structure representing the \texttt{mod} file
|
||||
\item Or, if there is a parsing error (unknown keyword, undeclared symbol, syntax error), it displays the line and column numbers where the error occurred and exits
|
||||
\end{itemize}
|
||||
\end{frame}
|
||||
|
||||
\section{Data structure representing a \texttt{mod} file}
|
||||
|
||||
\begin{frame}
|
||||
\frametitle{The \texttt{ModFile} class}
|
||||
\begin{itemize}
|
||||
\item This class is the internal data structure used to store all the information contained in a \texttt{mod} file
|
||||
\item One instance of the class represents one \texttt{mod} file
|
||||
\item The class contains the following elements (as class members):
|
||||
\begin{itemize}
|
||||
\item a symbol table, numerical constants table, external functions table
|
||||
\item trees of expressions: dynamic model, static model, original model, ramsey dynamic model, steady state model, trend dynamic model, \ldots
|
||||
\item the list of the statements (parameter initializations, \texttt{shocks} block, \texttt{check}, \texttt{steady}, \texttt{simul}, \ldots)
|
||||
\item model-specification and user-preference variables: \texttt{block}, \texttt{bytecode}, \texttt{use\_dll}, \texttt{no\_static}, \ldots
|
||||
\item an evaluation context (containing \texttt{initval} and parameter values)
|
||||
\end{itemize}
|
||||
\item An instance of \texttt{ModFile} is the output of the parsing process (return value of \texttt{ParsingDriver::parse()})
|
||||
\end{itemize}
|
||||
\end{frame}
|
||||
|
||||
\begin{frame}
|
||||
\frametitle{The symbol table (1/3)}
|
||||
\begin{itemize}
|
||||
\item A \alert{symbol} is simply the name of a variable (endogenous, exogenous, local, auxiliary, etc), parameter, external function, \ldots basically everything that is not recognized as a Dynare keyword
|
||||
\item \alert{SymbolTable} is a simple class used to maintain the list of the symbols used in the \texttt{mod} file
|
||||
\item For each symbol, it stores:
|
||||
\begin{itemize}
|
||||
\item its name, tex\_name, and long\_name (strings, some of which can be empty)
|
||||
\item its type (an enumerator defined in \texttt{CodeInterpreter.hh})
|
||||
\item a unique integer identifier (also has a unique identifier by type)
|
||||
\end{itemize}
|
||||
\end{itemize}
|
||||
\end{frame}
|
||||
|
||||
\begin{frame}
|
||||
\frametitle{The symbol table (2/3)}
|
||||
Existing types of symbols:
|
||||
\begin{itemize}
|
||||
\item Endogenous variables
|
||||
\item Exogenous variables
|
||||
\item Exogenous deterministic variables
|
||||
\item Parameters
|
||||
\item Local variables inside model: declared with a pound sign (\#) construction
|
||||
\item Local variables outside model: no declaration needed (\textit{e.g.} lhs symbols in equations from \texttt{steady\_state\_model} block, expression outside of model block, \ldots)
|
||||
\item External functions
|
||||
\item Trend variables
|
||||
\item Log Trend variables
|
||||
\item Unused Endogenous variables (created when \texttt{nostrict} option is passed)
|
||||
\end{itemize}
|
||||
\end{frame}
|
||||
|
||||
\begin{frame}
|
||||
\frametitle{The symbol table (3/3)}
|
||||
\begin{itemize}
|
||||
\item Symbol table filled in:
|
||||
\begin{itemize}
|
||||
\item using the \texttt{var}, \texttt{varexo}, \texttt{varexo\_det}, \texttt{parameter}, \texttt{external\_function}, \texttt{trend\_var}, and \texttt{log\_trend\_var} declarations
|
||||
\item using pound sign (\#) constructions in the model block
|
||||
\item on the fly during parsing: local variables outside models or unknown functions when an undeclared symbol is encountered
|
||||
\item during the creation of auxiliary variables in the transform pass
|
||||
\end{itemize}
|
||||
\item Roles of the symbol table:
|
||||
\begin{itemize}
|
||||
\item permits parcimonious and more efficient representation of expressions (no need to duplicate or compare strings, only handle a pair of integers)
|
||||
\item ensures that a given symbol is used with only one type
|
||||
\end{itemize}
|
||||
\end{itemize}
|
||||
\end{frame}
|
||||
|
||||
\begin{frame}
|
||||
\frametitle{Expression trees (1/3)}
|
||||
\begin{itemize}
|
||||
\item The data structure used to store expressions is essentially a \alert{tree}
|
||||
\item Graphically, the tree representation of $(1+z)*\log(y)$ is:
|
||||
\begin{center}
|
||||
\includegraphics[width=6cm]{expr.png}
|
||||
\end{center}
|
||||
\item No need to store parentheses
|
||||
\item Each circle represents a \alert{node}
|
||||
\item A non external function node has at most one parent and at most three children (an external function node has as many children as arguments)
|
||||
\end{itemize}
|
||||
\end{frame}
|
||||
|
||||
\begin{frame}
|
||||
\frametitle{Expression trees (2/3)}
|
||||
\begin{itemize}
|
||||
\item A tree node is represented by an instance of the abstract class \texttt{ExprNode}
|
||||
\item This class has 5 sub-classes, corresponding to the 5 types of non-external-function nodes:
|
||||
\begin{itemize}
|
||||
\item \texttt{NumConstNode} for constant nodes: contains the identifier of the numerical constants it represents
|
||||
\item \texttt{VariableNode} for variable/parameters nodes: contains the identifier of the variable or parameter it represents
|
||||
\item \texttt{UnaryOpNode} for unary operators (\textit{e.g.} unary minus, $\log$, $\sin$): contains an enumerator representing the operator, and a pointer to its child
|
||||
\item \texttt{BinaryOpNode} for binary operators (\textit{e.g.} $+$, $*$, pow): contains an enumerator representing the operator, and pointers to its two children
|
||||
\item \texttt{TrinaryOpNode} for trinary operators (\textit{e.g.} $normcdf$, $normpdf$): contains an enumerator representing the operator and pointers to its three children
|
||||
\end{itemize}
|
||||
\end{itemize}
|
||||
\end{frame}
|
||||
|
||||
\begin{frame}
|
||||
\frametitle{Expression trees (3/3)}
|
||||
\begin{itemize}
|
||||
\item The abstract class \texttt{ExprNode} has an abstract sub-class called \texttt{AbstractExternalFunctionNode}
|
||||
\item This abstract sub-class has 3 sub-classes, corresponding to the 3 types of external function nodes:
|
||||
\begin{itemize}
|
||||
\item \texttt{ExternalFunctionNode} for external functions. Contains the identifier of the external function and a vector of its arguments
|
||||
\item \texttt{FirstDerivExternalFunctionNode} for the first derivative of an external function. In addition to the information contained in \texttt{ExternalFunctionNode}, contains the index w.r.t. which this node is the derivative.
|
||||
\item \texttt{SecondDerivExternalFunctionNode} for the second derivative of an external function. In addition to the information contained in \texttt{FirstDerivExternalFunctionNode}, contains the index w.r.t. which this node is the second derivative.
|
||||
\end{itemize}
|
||||
\end{itemize}
|
||||
\end{frame}
|
||||
|
||||
|
||||
\begin{frame}
|
||||
\frametitle{Classes \texttt{DataTree} and \texttt{ModelTree}}
|
||||
\begin{itemize}
|
||||
\item Class \texttt{DataTree} is a container for storing a set of expression trees
|
||||
\item Class \texttt{ModelTree} is a sub-class container of \texttt{DataTree}, specialized for storing a set of model equations.
|
||||
\item In the code, we use \texttt{ModelTree}-derived classes: \texttt{DynamicModel} (the model with lags) and \texttt{StaticModel} (the model without lags)
|
||||
\item Class \texttt{ModFile} contains:
|
||||
\begin{itemize}
|
||||
\item one instance of \texttt{DataTree} for storing all expressions outside model block
|
||||
\item several instances of \texttt{DynamicModel}, one each for storing the equations of the model block for the original model, modified model, original Ramsey model, the Ramsey FOCs, etc.
|
||||
\item one instance of \texttt{StaticModel} for storing the equations of model block without lags
|
||||
\end{itemize}
|
||||
\item Expression storage is optimized through three mechanisms:
|
||||
\begin{itemize}
|
||||
\item symbolic simplification rules
|
||||
\item sub-expression sharing
|
||||
\item pre-computing of numerical constants
|
||||
\end{itemize}
|
||||
\end{itemize}
|
||||
\end{frame}
|
||||
|
||||
\begin{frame}
|
||||
\frametitle{Constructing expression trees}
|
||||
\begin{itemize}
|
||||
\item Class \texttt{DataTree} contains a set of methods for constructing expression trees
|
||||
\item Construction is done bottom-up, node by node:
|
||||
\begin{itemize}
|
||||
\item one method for adding a constant node (\texttt{AddPossiblyNegativeConstant(double)})
|
||||
\item one method for a log node (\texttt{AddLog(arg)})
|
||||
\item one method for a plus node (\texttt{AddPlus(arg1, arg2)})
|
||||
\end{itemize}
|
||||
\item These methods take pointers to \texttt{ExprNode}, allocate the memory for the node, construct it, and return its pointer
|
||||
\item These methods are called:
|
||||
\begin{itemize}
|
||||
\item from \texttt{ParsingDriver} in the semantic actions associated to the parsing of expressions
|
||||
\item during symbolic derivation, to create derivatives expressions
|
||||
\item when creating the static model from the dynamic model
|
||||
\item \ldots
|
||||
\end{itemize}
|
||||
\end{itemize}
|
||||
\end{frame}
|
||||
|
||||
\begin{frame}
|
||||
\frametitle{Reduction of constants and symbolic simplifications}
|
||||
\begin{itemize}
|
||||
\item The construction methods compute constants whenever possible
|
||||
\begin{itemize}
|
||||
\item Suppose you ask to construct the node $1+1$
|
||||
\item The \texttt{AddPlus()} method will return a pointer to a constant node containing 2
|
||||
\end{itemize}
|
||||
\item The construction methods also apply a set of simplification rules, such as:
|
||||
\begin{itemize}
|
||||
\item $0+0=0$
|
||||
\item $x+0 = x$
|
||||
\item $0-x = -x$
|
||||
\item $-(-x) = x$
|
||||
\item $x*0 = 0$
|
||||
\item $x/1 = x$
|
||||
\item $x^0 = 1$
|
||||
\end{itemize}
|
||||
\item When a simplification rule applies, no new node is created
|
||||
\end{itemize}
|
||||
\end{frame}
|
||||
|
||||
\begin{frame}
|
||||
\frametitle{Sub-expression sharing (1/2)}
|
||||
\begin{itemize}
|
||||
\item Consider the two following expressions: $(1+z)*\log(y)$ and $2^{(1+z)}$
|
||||
\item Expressions share a common sub-expression: $1+z$
|
||||
\item The internal representation of these expressions is:
|
||||
\begin{center}
|
||||
\includegraphics[width=7cm]{expr-sharing.png}
|
||||
\end{center}
|
||||
\end{itemize}
|
||||
\end{frame}
|
||||
|
||||
\begin{frame}
|
||||
\frametitle{Sub-expression sharing (2/2)}
|
||||
\begin{itemize}
|
||||
\item Construction methods implement a simple algorithm which achieves maximal expression sharing
|
||||
\item Algorithm uses the fact that each node has a unique memory address (pointer to the corresponding instance of \texttt{ExprNode})
|
||||
\item It maintains 9 tables which keep track of the already-constructed nodes: one table by type of node (constants, variables, unary ops, binary ops, trinary ops, external functions, first deriv of external functions, second deriv of external functions, local variables)
|
||||
\item Suppose you want to create the node $e_1+e_2$ (where $e_1$ and $e_2$ are sub-expressions):
|
||||
\begin{itemize}
|
||||
\item the algorithm searches the binary ops table for the tuple equal to (address of $e_1$, address of $e_2$, op code of +) (it is the \alert{search key})
|
||||
\item if the tuple is found in the table, the node already exists and its memory address is returned
|
||||
\item otherwise, the node is created and is added to the table with its search key
|
||||
\end{itemize}
|
||||
\item Maximum sharing is achieved because expression trees are constructed bottom-up
|
||||
\end{itemize}
|
||||
\end{frame}
|
||||
|
||||
\begin{frame}
|
||||
\frametitle{Final remarks about expressions}
|
||||
\begin{itemize}
|
||||
\item Storage of negative constants
|
||||
\begin{itemize}
|
||||
\item class \texttt{NumConstNode} only accepts positive constants
|
||||
\item a negative constant is stored as a unary minus applied to a positive constant
|
||||
\item this is a kind of identification constraint to avoid having two ways of representing negative constants: $(-2)$ and $-(2)$
|
||||
\end{itemize}
|
||||
\item Widely used constants
|
||||
\begin{itemize}
|
||||
\item class \texttt{DataTree} has attributes containing pointers to constants: $0$, $1$, $2$, $-1$, \texttt{NaN}, $\infty$, $-\infty$, and $\pi$
|
||||
\item these constants are used in many places (in simplification rules, in derivation algorithm\ldots)
|
||||
\item sub-expression sharing algorithm ensures that these constants will never be duplicated
|
||||
\end{itemize}
|
||||
\end{itemize}
|
||||
\end{frame}
|
||||
|
||||
\begin{frame}
|
||||
\frametitle{List of statements}
|
||||
\begin{itemize}
|
||||
\item A statement is represented by an instance of a subclass of the abstract class \texttt{Statement}
|
||||
\item Three groups of statements:
|
||||
\begin{itemize}
|
||||
\item initialization statements (parameter initialization with $p = \ldots$, \texttt{initval}, \texttt{histval}, or \texttt{endval} block)
|
||||
\item shocks blocks (\texttt{shocks}, \texttt{mshocks}, \ldots)
|
||||
\item computing tasks (\texttt{steady}, \texttt{check}, \texttt{simul}, \ldots)
|
||||
\end{itemize}
|
||||
\item Each type of statement has its own class (\textit{e.g.} \texttt{InitValStatement}, \texttt{SimulStatement}, \ldots)
|
||||
\item The class \texttt{ModFile} stores a list of pointers of type \texttt{Statement*}, corresponding to the statements of the \texttt{mod} file, in their order of declaration
|
||||
\item Heavy use of polymorphism in the check pass, computing pass, and when writing outputs: abstract class \texttt{Statement} provides a virtual method for these 3 actions
|
||||
\end{itemize}
|
||||
\end{frame}
|
||||
|
||||
\begin{frame}
|
||||
\frametitle{Evaluation context}
|
||||
\begin{itemize}
|
||||
\item The \texttt{ModFile} class contains an \alert{evaluation context}
|
||||
\item It is a map associating a numerical value to some symbols
|
||||
\item Filled in with \texttt{initval} block values and parameter initializations
|
||||
\item Used during equation normalization (in the block decomposition), for finding non-zero entries in the jacobian
|
||||
\item Used in testing that trends are compatible with a balanced growth path, for finding non-zero cross partials of equations with respect to trend variables and endogenous varibales
|
||||
\end{itemize}
|
||||
\end{frame}
|
||||
|
||||
\section{Check pass}
|
||||
|
||||
\begin{frame}
|
||||
\frametitle{Error checking during parsing}
|
||||
\begin{itemize}
|
||||
\item Some errors in the \texttt{mod} file can be detected during parsing:
|
||||
\begin{itemize}
|
||||
\item syntax errors
|
||||
\item use of undeclared symbols in model block, initval block\ldots
|
||||
\item use of a symbol incompatible with its type (\textit{e.g.} parameter in initval, local variable used both in model and outside model)
|
||||
\item multiple shock declarations for the same variable
|
||||
\end{itemize}
|
||||
\item But some other checks can only be done when parsing is completed\ldots
|
||||
\end{itemize}
|
||||
\end{frame}
|
||||
|
||||
\begin{frame}
|
||||
\frametitle{Check pass}
|
||||
\begin{itemize}
|
||||
\item The check pass is implemented through the method \texttt{ModFile::checkPass()}
|
||||
\item Performs many checks. Examples include:
|
||||
\begin{itemize}
|
||||
\item check there is at least one equation in the model (except if doing a standalone BVAR estimation)
|
||||
\item checks for coherence in statements (\textit{e.g.} options passed to statements do not conflict with each other, required options have been passed)
|
||||
\item checks for coherence among statements (\textit{e.g.} if \texttt{osr} statement is present, ensure \texttt{osr\_params} and \texttt{optim\_weights} statements are present)
|
||||
\item checks for coherence between statements and attributes of \texttt{mod} file (\textit{e.g.} \texttt{use\_dll} is not used with \texttt{block} or \texttt{bytecode})
|
||||
\end{itemize}
|
||||
\end{itemize}
|
||||
\end{frame}
|
||||
|
||||
\section{Transform pass}
|
||||
|
||||
\begin{frame}
|
||||
\frametitle{Transform pass (1/2)}
|
||||
\begin{itemize}
|
||||
\item The transform pass is implemented through the method \texttt{ModFile::transformPass(bool nostrict)}
|
||||
\item It makes necessary transformations (notably to the dynamic model, symbol table, and statements list) preparing the \texttt{ModFile} object for the computing pass. Examples of transformations include:
|
||||
\begin{itemize}
|
||||
\item creation of auxiliary variables and equations for leads, lags, expectation operator, differentiated forward variables, etc.
|
||||
\item detrending of model equations if nonstationary variables are present
|
||||
\item decreasing leads/lags of predetermined variables by one period
|
||||
\item addition of FOCs of Langrangian for Ramsey problem
|
||||
\item addition of \texttt{dsge\_prior\_weight} initialization before all other statements if estimating a DSGE-VAR where the weight of the DSGE prior of the VAR is calibrated
|
||||
\end{itemize}
|
||||
\end{itemize}
|
||||
\end{frame}
|
||||
|
||||
\begin{frame}
|
||||
\frametitle{Transform pass (2/2)}
|
||||
\begin{itemize}
|
||||
\item It then freezes the symbol table, meaning that no more symbols can be created on the \texttt{ModFile} object
|
||||
\item Finally checks are performed on the transformed model. Examples include:
|
||||
\begin{itemize}
|
||||
\item same number of endogenous varibables as equations (not done in certain situations, \textit{e.g.} Ramsey, discretionary policy, etc.)
|
||||
\item correspondence among variables and statements, \textit{e.g.} Ramsey policy, identification, perfect foresight solver, and simul are incompatible with deterministic exogenous variables
|
||||
\item correspondence among statements, \textit{e.g.} for DSGE-VAR without \texttt{bayesian\_irf} option, the number of shocks must be greater than or equal to the number of observed variables
|
||||
\end{itemize}
|
||||
\end{itemize}
|
||||
\end{frame}
|
||||
|
||||
|
||||
\section{Computing pass}
|
||||
|
||||
\begin{frame}
|
||||
\frametitle{Overview of the computing pass}
|
||||
\begin{itemize}
|
||||
\item Computing pass implemented in \texttt{ModFile::computingPass()}
|
||||
\item Creates Static model from Dynamic (by removing leads/lags)
|
||||
\item Determines which derivatives to compute
|
||||
\item Then calls \texttt{DynamicModel::computingPass()} which computes:
|
||||
\begin{itemize}
|
||||
\item leag/lag variable incidence matrix
|
||||
\item symbolic derivatives w.r.t. endogenous, exogenous, and parameters, if needed
|
||||
\item equation normalization + block decomposition
|
||||
\item temporary terms
|
||||
\item computes equation cross references, if desired
|
||||
\end{itemize}
|
||||
\item NB: analagous operations for Static model are performed by \texttt{StaticModel::computingPass()}
|
||||
\item Asserts that equations declared linear are indeed linear (by checking that Hessian == 0)
|
||||
\item Finally, calls \texttt{Statement::computingPass()} on all statements
|
||||
\end{itemize}
|
||||
\end{frame}
|
||||
|
||||
\begin{frame}
|
||||
\frametitle{Model Variables}
|
||||
\begin{itemize}
|
||||
\item In the context of class \texttt{ModelTree}, a \alert{variable} is a pair (symbol, lag)
|
||||
\item The symbol must correspond to a variable of type endogenous, exogenous, deterministic exogenous variable, or parameter
|
||||
\item The \texttt{SymbolTable} class keeps track of valid symbols while the \texttt{variable\_node\_map} keeps track of model variables (symbol, lag pairs stored in \texttt{VariableNode} objects)
|
||||
\item After the computing pass, the \texttt{DynamicModel} class writes the leag/lag incidence matrix:
|
||||
\begin{itemize}
|
||||
\item three rows: the first row indicates $t-1$, the second row $t$, and the third row $t+1$
|
||||
\item one column for every endogenous symbol in order of declaration; NB: includes endogenous auxiliary variables created during the transform pass
|
||||
\item elements of the matrix are either 0 (if the variable does not appear in the model) or correspond to the variable's column in the Jacobian of the dynamic model
|
||||
\end{itemize}
|
||||
\end{itemize}
|
||||
\end{frame}
|
||||
|
||||
\begin{frame}
|
||||
\frametitle{Static versus dynamic model}
|
||||
\begin{itemize}
|
||||
\item The static model is simply the dynamic model without leads and lags
|
||||
\item Static model used to characterize the steady state
|
||||
\item The jacobian of the static model is used in the (Matlab) solver for determining the steady state
|
||||
\end{itemize}
|
||||
\begin{block}{Example}
|
||||
\begin{itemize}
|
||||
\item suppose dynamic model is $2x_t \cdot x_{t-1} = 0$
|
||||
\item static model is $2x^2 = 0$, whose derivative w.r.t. $x$ is $4x$
|
||||
\item dynamic derivative w.r.t. $x_t$ is $2x_{t-1}$, and w.r.t. $x_{t-1}$ is $2x_t$
|
||||
\item removing leads/lags from dynamic derivatives and summing over the two partial derivatives w.r.t. $x_t$ and $x_{t-1}$ gives $4x$
|
||||
\end{itemize}
|
||||
\end{block}
|
||||
\end{frame}
|
||||
|
||||
\begin{frame}
|
||||
\frametitle{Which derivatives to compute?}
|
||||
\begin{itemize}
|
||||
\item In deterministic mode:
|
||||
\begin{itemize}
|
||||
\item static jacobian w.r.t. endogenous variables only
|
||||
\item dynamic jacobian w.r.t. endogenous variables only
|
||||
\end{itemize}
|
||||
\item In stochastic mode:
|
||||
\begin{itemize}
|
||||
\item static jacobian w.r.t. endogenous variables only
|
||||
\item dynamic jacobian w.r.t. endogenous, exogenous, and deterministic exogenous variables
|
||||
\item dynamic hessian w.r.t. endogenous, exogenous, and deterministic exogenous variables
|
||||
\item possibly dynamic 3rd derivatives (if \texttt{order} option $\geq 3$)
|
||||
\item possibly dynamic jacobian and/or hessian w.r.t. parameters (if \texttt{identification} or analytic derivs needed for \texttt{estimation} and \texttt{params\_derivs\_order} $>0$)
|
||||
\end{itemize}
|
||||
\item For Ramsey policy: the same as above, but with one further order of derivation than declared by the user with \texttt{order} option (the derivation order is determined in the check pass, see \texttt{RamseyPolicyStatement::checkPass()})
|
||||
\end{itemize}
|
||||
\end{frame}
|
||||
|
||||
\begin{frame}
|
||||
\frametitle{Derivation algorithm (1/2)}
|
||||
\begin{itemize}
|
||||
\item Derivation of the model implemented in \texttt{ModelTree::computeJacobian()}, \texttt{ModelTree::computeHessian()}, \texttt{ModelTree::computeThirdDerivatives()}, and \texttt{ModelTree::computeParamsDerivatives()}
|
||||
\item Simply call \texttt{ExprNode::getDerivative(deriv\_id)} on each equation node
|
||||
\item Use of polymorphism:
|
||||
\begin{itemize}
|
||||
\item for a constant or variable node, derivative is straightforward ($0$ or $1$)
|
||||
\item for a unary, binary, trinary op nodes and external function nodes, recursively calls method \texttt{computeDerivative()} on children to construct derivative
|
||||
\end{itemize}
|
||||
\end{itemize}
|
||||
\end{frame}
|
||||
|
||||
\begin{frame}
|
||||
\frametitle{Derivation algorithm (2/2)}
|
||||
\framesubtitle{Optimizations}
|
||||
\begin{itemize}
|
||||
\item Caching of derivation results
|
||||
\begin{itemize}
|
||||
\item method \texttt{ExprNode::getDerivative(deriv\_id)} memorizes its result in a member attribute (\texttt{derivatives}) the first time it is called
|
||||
\item the second time it is called (with the same argument), it simply returns the cached value without recomputation
|
||||
\item caching is useful because of sub-expression sharing
|
||||
\end{itemize}
|
||||
\item Efficiently finds symbolic derivatives equal to $0$
|
||||
\begin{itemize}
|
||||
\item consider the expression $x+y^2$
|
||||
\item without any computation, you know its derivative w.r.t. $z$ is zero
|
||||
\item each node stores in an attribute (\texttt{non\_null\_derivatives}) the set of variables which appear in the expression it represents ($\{x,y\}$ in the example)
|
||||
\item this set is computed in \texttt{prepareForDerivation()}
|
||||
\item when \texttt{getDerivative(deriv\_id)} is called, immediately returns zero if \texttt{deriv\_id} is not in that set
|
||||
\end{itemize}
|
||||
\end{itemize}
|
||||
\end{frame}
|
||||
|
||||
\begin{frame}[fragile]
|
||||
\frametitle{Temporary terms (1/2)}
|
||||
\begin{itemize}
|
||||
\item When the preprocessor writes equations and derivatives in its outputs, it takes advantage of sub-expression sharing
|
||||
\item In Matlab static and dynamic output files, equations are preceded by a list of \alert{temporary terms}
|
||||
\item These terms are variables containing expressions shared by several equations or derivatives
|
||||
\item Using these terms greatly enhances the computing speed of the model residual, jacobian, hessian, or third derivative
|
||||
\end{itemize}
|
||||
\begin{block}{Example}
|
||||
\begin{columns}[t]
|
||||
\begin{column}{6cm}
|
||||
The equations:
|
||||
\begin{verbatim}
|
||||
residual(0)=x+y^2-z^3;
|
||||
residual(1)=3*(x+y^2)+1;
|
||||
\end{verbatim}
|
||||
\end{column}
|
||||
\begin{column}{4.8cm}
|
||||
Can be optimized in:
|
||||
\begin{verbatim}
|
||||
T1=x+y^2;
|
||||
residual(0)=T1-z^3;
|
||||
residual(1)=3*T1+1;
|
||||
\end{verbatim}
|
||||
\end{column}
|
||||
\end{columns}
|
||||
\end{block}
|
||||
\end{frame}
|
||||
|
||||
\begin{frame}
|
||||
\frametitle{Temporary terms (2/2)}
|
||||
\begin{itemize}
|
||||
\item Expression storage in the preprocessor implements maximal sharing but this is not optimal for the Matlab output files, because creating a temporary variable also has a cost (in terms of CPU and of memory)
|
||||
\item Computation of temporary terms implements a trade-off between:
|
||||
\begin{itemize}
|
||||
\item cost of duplicating sub-expressions
|
||||
\item cost of creating new variables
|
||||
\end{itemize}
|
||||
\item Algorithm uses a recursive cost calculation, which marks some nodes as being ``temporary''
|
||||
\item \textit{Problem}: redundant with optimizations done by the C/C++ compiler (when Dynare is in DLL mode) $\Rightarrow$ compilation very slow on big models
|
||||
\end{itemize}
|
||||
\end{frame}
|
||||
|
||||
\begin{frame}
|
||||
\frametitle{The special case of Ramsey policy}
|
||||
\begin{itemize}
|
||||
\item For most statements, the method \texttt{computingPass()} is a no-op\ldots
|
||||
\item \ldots except for \texttt{planner\_objective} statement, which serves to declare planner objective when doing optimal policy under commitment
|
||||
\item Class \texttt{PlannerObjectiveStatement} contains an instance of \texttt{ModelTree}, which stores the objective function (\texttt{i.e.} only one equation in the tree)
|
||||
\item During the computing pass, triggers the computation of the first and second order (static) derivatives of the objective
|
||||
\end{itemize}
|
||||
\end{frame}
|
||||
|
||||
\section{Writing outputs}
|
||||
|
||||
\begin{frame}
|
||||
\frametitle{Output overview}
|
||||
\begin{itemize}
|
||||
\item Implemented in \texttt{ModFile::writeOutputFiles()}
|
||||
\item If \texttt{mod} file is \texttt{model.mod}, all created filenames will begin with \texttt{model}
|
||||
\item Main output file is \texttt{model.m}, containing:
|
||||
\begin{itemize}
|
||||
\item general initialization commands
|
||||
\item symbol table output (from \texttt{SymbolTable::writeOutput()})
|
||||
\item lead/lag incidence matrix (from \texttt{DynamicModel::writeDynamicMFile()})
|
||||
\item call to Matlab functions corresponding to the statements of the \texttt{mod} file (written by calling \texttt{Statement::writeOutput()} on all statements through polymorphism)
|
||||
\end{itemize}
|
||||
\item Subsidiary output files:
|
||||
\begin{itemize}
|
||||
\item one for the static model
|
||||
\item one for the dynamic model
|
||||
\item one for the auxiliary variables
|
||||
\item one for the steady state file (if relevant)
|
||||
\item one for the planner objective (if relevant)
|
||||
\end{itemize}
|
||||
\end{itemize}
|
||||
\end{frame}
|
||||
|
||||
\begin{frame}
|
||||
\frametitle{Model output files}
|
||||
Three possible output types:
|
||||
\begin{itemize}
|
||||
\item Matlab/Octave mode: static and dynamic files in Matlab
|
||||
\item Julia mode: static and dynamic files in Julia
|
||||
\item DLL mode:
|
||||
\begin{itemize}
|
||||
\item static and dynamic files in C++ source code (with corresponding headers)
|
||||
\item compiled through \texttt{mex} to allow execution from within Matlab
|
||||
\end{itemize}
|
||||
\item Sparse DLL mode:
|
||||
\begin{itemize}
|
||||
\item static file in Matlab
|
||||
\item two possibilities for dynamic file:
|
||||
\begin{itemize}
|
||||
\item by default, a C++ source file (with header) and a binary file, to be read from the C++ code
|
||||
\item or, with \texttt{no\_compiler} option, a binary file in custom format, executed from Matlab through \texttt{simulate} DLL
|
||||
\item the second option serves to bypass compilation of C++ file which can be very slow
|
||||
\end{itemize}
|
||||
\end{itemize}
|
||||
\end{itemize}
|
||||
\end{frame}
|
||||
|
||||
\section{Proposed Changes}
|
||||
|
||||
\newcounter{sauvegardeenumi}
|
||||
\newcommand{\asuivre}{\setcounter{sauvegardeenumi}{\theenumi}}
|
||||
\newcommand{\suite}{\setcounter{enumi}{\thesauvegardeenumi}}
|
||||
|
||||
\begin{frame}
|
||||
\frametitle{Proposed changes with addition of Julia support (1/2)}
|
||||
\begin{enumerate}
|
||||
\item Julia output is provided upon parsing of \texttt{mod} file, everything else done in Julia
|
||||
\begin{itemize}
|
||||
\item Pros: very few changes to the preprocessor
|
||||
\item Cons: repeated code (same checks, transformations, computations done in preprocessor and Julia); potential code divergence/two parallel projects
|
||||
\end{itemize}
|
||||
\item Dump preprocessor altogether: do everything with Julia
|
||||
\begin{itemize}
|
||||
\item Pros: simple to distribute, move away from C++ (no contributions, requires more expertise)
|
||||
\item Cons: Matlab/Octave users must also download Julia, a big project, speed (?)
|
||||
\end{itemize}
|
||||
\asuivre
|
||||
\end{enumerate}
|
||||
\end{frame}
|
||||
|
||||
\begin{frame}
|
||||
\frametitle{Proposed changes with addition of Julia support (2/2)}
|
||||
\begin{enumerate}
|
||||
\suite
|
||||
\item Create libraries out of the preprocessor
|
||||
\begin{itemize}
|
||||
\item Pros: Dynare interaction similar across HLPs, preprocessor used as is
|
||||
\item Cons: difficult for outsiders to contribute, big project, not much benefit in speed when compared to\ldots
|
||||
\end{itemize}
|
||||
\item Write \texttt{mod} file from HLP then call preprocessor; option to output JSON file representing \texttt{ModFile} object at every step of the preprocessor
|
||||
\begin{itemize}
|
||||
\item Pros: Dynare interaction similar across HLPs, preprocessor used as is, minimal amount of work, easy incremental step, allows users to support any given HPL given the JSON output
|
||||
\item Cons: unnecessary processing when certain changes made in host language, keeps defaults of current preprocessor, speed (?)
|
||||
\end{itemize}
|
||||
\item Other ideas?
|
||||
\end{enumerate}
|
||||
\end{frame}
|
||||
|
||||
\begin{frame}
|
||||
\frametitle{Using HLP \texttt{mod} file objects (1/2)}
|
||||
\begin{center}
|
||||
\includegraphics[width=11cm]{json-preprocessor.png}
|
||||
\end{center}
|
||||
\end{frame}
|
||||
|
||||
\begin{frame}
|
||||
\frametitle{Using HLP \texttt{mod} file objects (2/2)}
|
||||
\begin{itemize}
|
||||
\item Allows interactivity for all HLPs; requires only
|
||||
\begin{itemize}
|
||||
\item A definition of a mod file class in the HLP
|
||||
\item A library function that converts an HLP mod file object to a \texttt{mod} file
|
||||
\end{itemize}
|
||||
\item Allows users to use Dynare with any HPL. Standard JSON output can be read in any HPL; user can use it construct desired HPL objects and work with model in their language of preference
|
||||
\item Easy first step
|
||||
\item No divergence of codebase: don't need to repeat code (checks, transformations, etc.) across platforms
|
||||
\item Creates \texttt{mod} files that can be used on other host language platforms
|
||||
\item Adds one more HLP library to distribute
|
||||
\item Need to design/implement classes that will store processed dynare \texttt{mod} file in various HLPs
|
||||
\end{itemize}
|
||||
\end{frame}
|
||||
|
||||
\end{document}
|
||||
|
|
@ -1,2 +0,0 @@
|
|||
NB: .png files made on https://www.draw.io. They can be edited by loading the .xml file with the same name
|
||||
|
||||
|
|
@ -1 +1 @@
|
|||
Subproject commit 97765c1ae4cce5752e4d6fb663124499baa22d2e
|
||||
Subproject commit c2923b038386b2143f1af6518aea2a8c49a9a014
|
||||
Loading…
Reference in New Issue