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preprocessor: add params_derivs_order to identification and sensitivity. #1187

time-shift
Houtan Bastani 2016-05-17 17:17:23 +02:00
parent 4b71593b3c
commit 6192a6a776
11 changed files with 99 additions and 49 deletions
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30
preprocessor/ComputingTasks.cc
View File

@ -637,6 +637,21 @@ DynareSensitivityStatement::checkPass(ModFileStructure &mod_file_struct, Warning
if (it != options_list.num_options.end()
&& it->second == "1")
mod_file_struct.identification_present = true;
it = options_list.num_options.find("params_derivs_order");
mod_file_struct.params_deriv_order = -1;
if (it != options_list.num_options.end())
if (it->second == "0")
mod_file_struct.params_deriv_order = 0;
else if (it->second == "1")
mod_file_struct.params_deriv_order = 1;
else if (it->second == "2")
mod_file_struct.params_deriv_order = 2;
else
{
cerr << "ERROR: Valid values for params_deriv_order option are 0, 1, 2" << endl;
exit(EXIT_FAILURE);
}
}
void
@ -1553,6 +1568,21 @@ void
IdentificationStatement::checkPass(ModFileStructure &mod_file_struct, WarningConsolidation &warnings)
{
mod_file_struct.identification_present = true;
OptionsList::num_options_t::const_iterator it = options_list.num_options.find("params_derivs_order");
mod_file_struct.params_deriv_order = -1;
if (it != options_list.num_options.end())
if (it->second == "0")
mod_file_struct.params_deriv_order = 0;
else if (it->second == "1")
mod_file_struct.params_deriv_order = 1;
else if (it->second == "2")
mod_file_struct.params_deriv_order = 2;
else
{
cerr << "ERROR: Valid values for params_derivs_order option are 0, 1, 2" << endl;
exit(EXIT_FAILURE);
}
}
void

4
preprocessor/DynamicModel.cc
View File

@ -3113,7 +3113,7 @@ DynamicModel::runTrendTest(const eval_context_t &eval_context)
}
void
DynamicModel::computingPass(bool jacobianExo, bool hessian, bool thirdDerivatives, FileOutputType paramsDerivatives,
DynamicModel::computingPass(bool jacobianExo, bool hessian, bool thirdDerivatives, int paramsDerivatives,
const eval_context_t &eval_context, bool no_tmp_terms, bool block, bool use_dll,
bool bytecode, bool compute_xrefs)
{
@ -3148,7 +3148,7 @@ DynamicModel::computingPass(bool jacobianExo, bool hessian, bool thirdDerivative
computeHessian(vars);
}
if (paramsDerivatives != none)
if (paramsDerivatives != 0)
{
cout << " - derivatives of Jacobian/Hessian w.r. to parameters" << endl;
computeParamsDerivatives(paramsDerivatives);

2
preprocessor/DynamicModel.hh
View File

@ -212,7 +212,7 @@ public:
\param eval_context evaluation context for normalization
\param no_tmp_terms if true, no temporary terms will be computed in the dynamic files
*/
void computingPass(bool jacobianExo, bool hessian, bool thirdDerivatives, FileOutputType paramsDerivatives,
void computingPass(bool jacobianExo, bool hessian, bool thirdDerivatives, int paramsDerivatives,
const eval_context_t &eval_context, bool no_tmp_terms, bool block, bool use_dll, bool bytecode, bool compute_xrefs);
//! Writes model initialization and lead/lag incidence matrix to output
void writeOutput(ostream &output, const string &basename, bool block, bool byte_code, bool use_dll, int order, bool estimation_present, bool compute_xrefs, bool julia) const;

5
preprocessor/DynareBison.yy
View File

@ -86,7 +86,7 @@ class ParsingDriver;
%token AIM_SOLVER ANALYTIC_DERIVATION ANALYTIC_DERIVATION_MODE AR AUTOCORR TARB_MODE_COMPUTE
%token BAYESIAN_IRF BETA_PDF BLOCK USE_CALIBRATION USE_TARB TARB_NEW_BLOCK_PROBABILITY SILENT_OPTIMIZER
%token BVAR_DENSITY BVAR_FORECAST NODECOMPOSITION DR_DISPLAY_TOL HUGE_NUMBER
%token BVAR_PRIOR_DECAY BVAR_PRIOR_FLAT BVAR_PRIOR_LAMBDA TARB_OPTIM
%token BVAR_PRIOR_DECAY BVAR_PRIOR_FLAT BVAR_PRIOR_LAMBDA TARB_OPTIM PARAMS_DERIVS_ORDER
%token BVAR_PRIOR_MU BVAR_PRIOR_OMEGA BVAR_PRIOR_TAU BVAR_PRIOR_TRAIN
%token BVAR_REPLIC BYTECODE ALL_VALUES_REQUIRED PROPOSAL_DISTRIBUTION
%token CALIB_SMOOTHER CHANGE_TYPE CHECK CONDITIONAL_FORECAST CONDITIONAL_FORECAST_PATHS CONF_SIG CONSTANT CONTROLLED_VAREXO CORR COVAR CUTOFF CYCLE_REDUCTION LOGARITHMIC_REDUCTION
@ -1914,6 +1914,7 @@ identification_option : o_ar
| o_prior_trunc
| o_analytic_derivation
| o_analytic_derivation_mode
| o_params_derivs_order
;
model_comparison : MODEL_COMPARISON mc_filename_list ';'
@ -2398,6 +2399,7 @@ dynare_sensitivity_option : o_gsa_identification
| o_lik_init
| o_analytic_derivation
| o_analytic_derivation_mode
| o_params_derivs_order
;
shock_decomposition_options_list : shock_decomposition_option COMMA shock_decomposition_options_list
@ -3113,6 +3115,7 @@ o_data_obs_nbr : DATA_OBS_NBR EQUAL INT_NUMBER { driver.option_num("ms.forecast_
o_discretionary_tol: DISCRETIONARY_TOL EQUAL non_negative_number { driver.option_num("discretionary_tol",$3); };
o_analytic_derivation : ANALYTIC_DERIVATION { driver.option_num("analytic_derivation", "1"); }
o_analytic_derivation_mode : ANALYTIC_DERIVATION_MODE EQUAL signed_number { driver.option_num("analytic_derivation_mode", $3); }
o_params_derivs_order : PARAMS_DERIVS_ORDER EQUAL INT_NUMBER { driver.option_num("params_derivs_order", $3); }
o_endogenous_prior : ENDOGENOUS_PRIOR { driver.option_num("endogenous_prior", "1"); }
o_use_univariate_filters_if_singularity_is_detected : USE_UNIVARIATE_FILTERS_IF_SINGULARITY_IS_DETECTED EQUAL INT_NUMBER { driver.option_num("use_univariate_filters_if_singularity_is_detected", $3); }
o_mcmc_jumping_covariance : MCMC_JUMPING_COVARIANCE EQUAL HESSIAN

1
preprocessor/DynareFlex.ll
View File

@ -345,6 +345,7 @@ DATE -?[0-9]+([YyAa]|[Mm]([1-9]|1[0-2])|[Qq][1-4]|[Ww]([1-9]{1}|[1-4][0-9]|5[0-2
<DYNARE_STATEMENT>first_deriv_provided {return token::FIRST_DERIV_PROVIDED;}
<DYNARE_STATEMENT>second_deriv_provided {return token::SECOND_DERIV_PROVIDED;}
<DYNARE_STATEMENT>freq {return token::FREQ;}
<DYNARE_STATEMENT>params_derivs_order {return token::PARAMS_DERIVS_ORDER;}
<DYNARE_STATEMENT>monthly {return token::MONTHLY; }
<DYNARE_STATEMENT>quarterly {return token::QUARTERLY; }
<DYNARE_STATEMENT>initial_year {return token::INITIAL_YEAR;}

34
preprocessor/ModFile.cc
View File

@ -489,11 +489,18 @@ ModFile::computingPass(bool no_tmp_terms, FileOutputType output, bool compute_xr
const bool static_hessian = mod_file_struct.identification_present
|| mod_file_struct.estimation_analytic_derivation;
FileOutputType paramsDerivatives = none;
if (mod_file_struct.identification_present)
paramsDerivatives = first;
if (mod_file_struct.estimation_analytic_derivation)
paramsDerivatives = third;
int paramsDerivatives = 0;
if (mod_file_struct.identification_present || mod_file_struct.estimation_analytic_derivation)
switch (mod_file_struct.params_deriv_order)
{
case 0:
case 1:
case 2:
paramsDerivatives = mod_file_struct.params_deriv_order;
break;
default:
paramsDerivatives = 2;
}
static_model.computingPass(global_eval_context, no_tmp_terms, static_hessian,
false, paramsDerivatives, block, byte_code);
}
@ -526,11 +533,18 @@ ModFile::computingPass(bool no_tmp_terms, FileOutputType output, bool compute_xr
bool thirdDerivatives = mod_file_struct.order_option == 3
|| mod_file_struct.estimation_analytic_derivation
|| output == third;
FileOutputType paramsDerivatives = none;
if (mod_file_struct.identification_present)
paramsDerivatives = first;
if (mod_file_struct.estimation_analytic_derivation)
paramsDerivatives = third;
int paramsDerivatives = 0;
if (mod_file_struct.identification_present || mod_file_struct.estimation_analytic_derivation)
switch (mod_file_struct.params_deriv_order)
{
case 0:
case 1:
case 2:
paramsDerivatives = mod_file_struct.params_deriv_order;
break;
default:
paramsDerivatives = 2;
}
dynamic_model.computingPass(true, hessian, thirdDerivatives, paramsDerivatives, global_eval_context, no_tmp_terms, block, use_dll, byte_code, compute_xrefs);
}
}

59
preprocessor/ModelTree.cc
View File

@ -1657,9 +1657,9 @@ ModelTree::sparseHelper(int order, ostream &output, int row_nb, int col_nb, Expr
}
void
ModelTree::computeParamsDerivatives(FileOutputType paramsDerivatives)
ModelTree::computeParamsDerivatives(int paramsDerivatives)
{
if (!(paramsDerivatives == first || paramsDerivatives == second || paramsDerivatives == third))
if (!(paramsDerivatives == 1 || paramsDerivatives == 2))
return;
set<int> deriv_id_set;
addAllParamDerivId(deriv_id_set);
@ -1677,7 +1677,7 @@ ModelTree::computeParamsDerivatives(FileOutputType paramsDerivatives)
residuals_params_derivatives[make_pair(eq, param)] = d1;
}
if (paramsDerivatives == second || paramsDerivatives == third)
if (paramsDerivatives == 2)
for (first_derivatives_t::const_iterator it2 = residuals_params_derivatives.begin();
it2 != residuals_params_derivatives.end(); it2++)
{
@ -1704,35 +1704,36 @@ ModelTree::computeParamsDerivatives(FileOutputType paramsDerivatives)
jacobian_params_derivatives[make_pair(eq, make_pair(var, param))] = d2;
}
if (paramsDerivatives == second || paramsDerivatives == third)
for (second_derivatives_t::const_iterator it2 = jacobian_params_derivatives.begin();
it2 != jacobian_params_derivatives.end(); it2++)
{
int eq = it2->first.first;
int var = it2->first.second.first;
int param1 = it2->first.second.second;
expr_t d1 = it2->second;
if (paramsDerivatives == 2)
{
for (second_derivatives_t::const_iterator it2 = jacobian_params_derivatives.begin();
it2 != jacobian_params_derivatives.end(); it2++)
{
int eq = it2->first.first;
int var = it2->first.second.first;
int param1 = it2->first.second.second;
expr_t d1 = it2->second;
expr_t d2 = d1->getDerivative(param);
if (d2 == Zero)
continue;
jacobian_params_second_derivatives[make_pair(eq, make_pair(var, make_pair(param1, param)))] = d2;
}
expr_t d2 = d1->getDerivative(param);
if (d2 == Zero)
continue;
jacobian_params_second_derivatives[make_pair(eq, make_pair(var, make_pair(param1, param)))] = d2;
}
if (paramsDerivatives == third)
for (second_derivatives_t::const_iterator it2 = second_derivatives.begin();
it2 != second_derivatives.end(); it2++)
{
int eq = it2->first.first;
int var1 = it2->first.second.first;
int var2 = it2->first.second.second;
expr_t d1 = it2->second;
for (second_derivatives_t::const_iterator it2 = second_derivatives.begin();
it2 != second_derivatives.end(); it2++)
{
int eq = it2->first.first;
int var1 = it2->first.second.first;
int var2 = it2->first.second.second;
expr_t d1 = it2->second;
expr_t d2 = d1->getDerivative(param);
if (d2 == Zero)
continue;
hessian_params_derivatives[make_pair(eq, make_pair(var1, make_pair(var2, param)))] = d2;
}
expr_t d2 = d1->getDerivative(param);
if (d2 == Zero)
continue;
hessian_params_derivatives[make_pair(eq, make_pair(var1, make_pair(var2, param)))] = d2;
}
}
}
}

2
preprocessor/ModelTree.hh
View File

@ -177,7 +177,7 @@ protected:
/*! \param vars the derivation IDs w.r. to which derive the 2nd derivatives */
void computeThirdDerivatives(const set<int> &vars);
//! Computes derivatives of the Jacobian and Hessian w.r. to parameters
void computeParamsDerivatives(FileOutputType paramsDerivatives);
void computeParamsDerivatives(int paramsDerivatives);
//! Write derivative of an equation w.r. to a variable
void writeDerivative(ostream &output, int eq, int symb_id, int lag, ExprNodeOutputType output_type, const temporary_terms_t &temporary_terms) const;
//! Computes temporary terms (for all equations and derivatives)

5
preprocessor/Statement.hh
View File

@ -1,5 +1,5 @@
/*
* Copyright (C) 2006-2015 Dynare Team
* Copyright (C) 2006-2016 Dynare Team
*
* This file is part of Dynare.
*
@ -122,7 +122,8 @@ public:
int orig_eq_nbr;
//! Stores the number of equations added to the Ramsey model
int ramsey_eq_nbr;
//! Stores the order of parameter derivatives to take
int params_deriv_order;
};
class Statement

4
preprocessor/StaticModel.cc
View File

@ -1047,7 +1047,7 @@ StaticModel::collect_first_order_derivatives_endogenous()
}
void
StaticModel::computingPass(const eval_context_t &eval_context, bool no_tmp_terms, bool hessian, bool thirdDerivatives, FileOutputType paramsDerivatives, bool block, bool bytecode)
StaticModel::computingPass(const eval_context_t &eval_context, bool no_tmp_terms, bool hessian, bool thirdDerivatives, int paramsDerivatives, bool block, bool bytecode)
{
initializeVariablesAndEquations();
@ -1095,7 +1095,7 @@ StaticModel::computingPass(const eval_context_t &eval_context, bool no_tmp_terms
computeThirdDerivatives(vars);
}
if (paramsDerivatives != none)
if (paramsDerivatives != 0)
{
cout << " - derivatives of Jacobian/Hessian w.r. to parameters" << endl;
computeParamsDerivatives(paramsDerivatives);

2
preprocessor/StaticModel.hh
View File

@ -164,7 +164,7 @@ public:
\param hessian whether 2nd derivatives w.r. to exo, exo_det and endo should be computed
\param paramsDerivatives whether 2nd derivatives w.r. to a pair (endo/exo/exo_det, parameter) should be computed
*/
void computingPass(const eval_context_t &eval_context, bool no_tmp_terms, bool hessian, bool thirdDerivatices, FileOutputType paramsDerivatives, bool block, bool bytecode);
void computingPass(const eval_context_t &eval_context, bool no_tmp_terms, bool hessian, bool thirdDerivatices, int paramsDerivatives, bool block, bool bytecode);
//! Adds informations for simulation in a binary file for a block decomposed model
void Write_Inf_To_Bin_File_Block(const string &static_basename, const string &bin_basename, const int &num,