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

preprocessor: replace no_2nd_order_params_derivs with params_deriv_order. #1187

time-shift
Houtan Bastani 2016-05-18 12:26:19 +02:00
parent 253e6c8dfb
commit 6b7a77d5a9
11 changed files with 77 additions and 67 deletions
Show Stats Download Patch File Download Diff File Expand all files Collapse all files

11
doc/dynare.texi
View File

@ -780,9 +780,12 @@ line numbering directives.
Instructs Dynare to no create a logfile of this run in
@file{@var{FILENAME}.log}. The default is to create the logfile.
@item no_2nd_order_params_derivs
Instructs Dynare not to compute the second order derivative of the jacobian or
the derivative of the hessian with respect to the parameters.
@item params_derivs_order=0|1|2
When @ref{identification}, @ref{dynare_sensitivity} (with identification), or
@ref{estimation_cmd} are present, this option is used to limit the order of the
derivatives with respect to the parameters that are calculated by the
preprocessor. @code{0} means no derivatives, @code{1} means first derivatives,
and @code{2} means second derivatives. Default: @code{2}
@item nowarn
Suppresses all warnings.
@ -7514,6 +7517,7 @@ estimation environment is set up.
@node Performing sensitivity analysis
@subsection Performing sensitivity analysis
@anchor{dynare_sensitivity}
@deffn Command dynare_sensitivity ;
@deffnx Command dynare_sensitivity (@var{OPTIONS}@dots{});
@ -7828,6 +7832,7 @@ end;
@node Performing identification analysis
@subsection Performing identification analysis
@anchor{identification}
@deffn Command identification ;
@deffnx Command identification (@var{OPTIONS}@dots{});

8
preprocessor/DynamicModel.cc
View File

@ -3113,11 +3113,11 @@ 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 paramsDerivsOrder,
const eval_context_t &eval_context, bool no_tmp_terms, bool block, bool use_dll,
bool bytecode, bool compute_xrefs)
{
assert(jacobianExo || !(hessian || thirdDerivatives || paramsDerivatives));
assert(jacobianExo || !(hessian || thirdDerivatives || paramsDerivsOrder));
initializeVariablesAndEquations();
@ -3148,10 +3148,10 @@ DynamicModel::computingPass(bool jacobianExo, bool hessian, bool thirdDerivative
computeHessian(vars);
}
if (paramsDerivatives != none)
if (paramsDerivsOrder > 0)
{
cout << " - derivatives of Jacobian/Hessian w.r. to parameters" << endl;
computeParamsDerivatives(paramsDerivatives);
computeParamsDerivatives(paramsDerivsOrder);
if (!no_tmp_terms)
computeParamsDerivativesTemporaryTerms();

4
preprocessor/DynamicModel.hh
View File

@ -208,11 +208,11 @@ public:
\param jacobianExo whether derivatives w.r. to exo and exo_det should be in the Jacobian (derivatives w.r. to endo are always computed)
\param hessian whether 2nd derivatives w.r. to exo, exo_det and endo should be computed (implies jacobianExo = true)
\param thirdDerivatives whether 3rd derivatives w.r. to endo/exo/exo_det should be computed (implies jacobianExo = true)
\param paramsDerivatives whether 2nd derivatives w.r. to a pair (endo/exo/exo_det, parameter) should be computed (implies jacobianExo = true)
\param paramsDerivsOrder order of derivatives w.r. to a pair (endo/exo/exo_det, parameter) to be computed (>0 implies jacobianExo = true)
\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 paramsDerivsOrder,
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;

20
preprocessor/DynareMain.cc
View File

@ -41,7 +41,7 @@ void main2(stringstream &in, string &basename, bool debug, bool clear_all, bool
bool nograph, bool nointeractive, bool parallel, ConfigFile &config_file,
WarningConsolidation &warnings_arg, bool nostrict, bool check_model_changes,
bool minimal_workspace, bool compute_xrefs, FileOutputType output_mode,
LanguageOutputType lang, bool sec_order_param_deriv
LanguageOutputType lang, int params_derivs_order
#if defined(_WIN32) || defined(__CYGWIN32__)
, bool cygwin, bool msvc
#endif
@ -57,7 +57,7 @@ usage()
cerr << "Dynare usage: dynare mod_file [debug] [noclearall] [onlyclearglobals] [savemacro[=macro_file]] [onlymacro] [nolinemacro] [notmpterms] [nolog] [warn_uninit]"
<< " [console] [nograph] [nointeractive] [parallel[=cluster_name]] [conffile=parallel_config_path_and_filename] [parallel_slave_open_mode] [parallel_test]"
<< " [-D<variable>[=<value>]] [-I/path] [nostrict] [fast] [minimal_workspace] [compute_xrefs] [output=dynamic|first|second|third] [language=C|C++|julia]"
<< " [no_2nd_order_params_derivs]"
<< " [params_derivs_order=0|1|2]"
#if defined(_WIN32) || defined(__CYGWIN32__)
<< " [cygwin] [msvc]"
#endif
@ -91,7 +91,7 @@ main(int argc, char **argv)
bool no_line_macro = false;
bool no_log = false;
bool no_warn = false;
bool sec_order_param_deriv = true;
int params_derivs_order = 2;
bool warn_uninit = false;
bool console = false;
bool nograph = false;
@ -121,8 +121,16 @@ main(int argc, char **argv)
debug = true;
else if (!strcmp(argv[arg], "noclearall"))
clear_all = false;
else if (!strcmp(argv[arg], "no_2nd_order_params_derivs"))
sec_order_param_deriv = false;
else if (strlen(argv[arg]) >= 19 && !strncmp(argv[arg], "params_derivs_order", 19))
{
if (strlen(argv[arg]) >= 22 || argv[arg][19] != '=' ||
!(argv[arg][20] == '0' || argv[arg][20] == '1' || argv[arg][20] == '2'))
{
cerr << "Incorrect syntax for params_derivs_order option" << endl;
usage();
}
params_derivs_order = stoi(string(argv[arg] + 20));
}
else if (!strcmp(argv[arg], "onlyclearglobals"))
{
clear_all = false;
@ -322,7 +330,7 @@ main(int argc, char **argv)
main2(macro_output, basename, debug, clear_all, clear_global,
no_tmp_terms, no_log, no_warn, warn_uninit, console, nograph, nointeractive,
parallel, config_file, warnings, nostrict, check_model_changes, minimal_workspace,
compute_xrefs, output_mode, language, sec_order_param_deriv
compute_xrefs, output_mode, language, params_derivs_order
#if defined(_WIN32) || defined(__CYGWIN32__)
, cygwin, msvc
#endif

4
preprocessor/DynareMain2.cc
View File

@ -30,7 +30,7 @@ main2(stringstream &in, string &basename, bool debug, bool clear_all, bool clear
bool nograph, bool nointeractive, bool parallel, ConfigFile &config_file,
WarningConsolidation &warnings, bool nostrict, bool check_model_changes,
bool minimal_workspace, bool compute_xrefs, FileOutputType output_mode,
LanguageOutputType language, bool sec_order_param_deriv
LanguageOutputType language, int params_derivs_order
#if defined(_WIN32) || defined(__CYGWIN32__)
, bool cygwin, bool msvc
#endif
@ -51,7 +51,7 @@ main2(stringstream &in, string &basename, bool debug, bool clear_all, bool clear
mod_file->evalAllExpressions(warn_uninit);
// Do computations
mod_file->computingPass(no_tmp_terms, output_mode, compute_xrefs, sec_order_param_deriv);
mod_file->computingPass(no_tmp_terms, output_mode, compute_xrefs, params_derivs_order);
// Write outputs
if (output_mode != none)

22
preprocessor/ModFile.cc
View File

@ -469,7 +469,7 @@ ModFile::transformPass(bool nostrict)
}
void
ModFile::computingPass(bool no_tmp_terms, FileOutputType output, bool compute_xrefs, bool sec_order_param_deriv)
ModFile::computingPass(bool no_tmp_terms, FileOutputType output, bool compute_xrefs, int params_derivs_order)
{
// Mod file may have no equation (for example in a standalone BVAR estimation)
if (dynamic_model.equation_number() > 0)
@ -489,13 +489,11 @@ 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.estimation_analytic_derivation)
paramsDerivatives = third;
if (mod_file_struct.identification_present || !sec_order_param_deriv)
paramsDerivatives = first;
int paramsDerivsOrder = 0;
if (mod_file_struct.identification_present || mod_file_struct.estimation_analytic_derivation)
paramsDerivsOrder = params_derivs_order;
static_model.computingPass(global_eval_context, no_tmp_terms, static_hessian,
false, paramsDerivatives, block, byte_code);
false, paramsDerivsOrder, block, byte_code);
}
// Set things to compute for dynamic model
if (mod_file_struct.perfect_foresight_solver_present || mod_file_struct.check_present
@ -526,12 +524,10 @@ 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.estimation_analytic_derivation)
paramsDerivatives = third;
if (mod_file_struct.identification_present || !sec_order_param_deriv)
paramsDerivatives = first;
dynamic_model.computingPass(true, hessian, thirdDerivatives, paramsDerivatives, global_eval_context, no_tmp_terms, block, use_dll, byte_code, compute_xrefs);
int paramsDerivsOrder = 0;
if (mod_file_struct.identification_present || mod_file_struct.estimation_analytic_derivation)
paramsDerivsOrder = params_derivs_order;
dynamic_model.computingPass(true, hessian, thirdDerivatives, paramsDerivsOrder, global_eval_context, no_tmp_terms, block, use_dll, byte_code, compute_xrefs);
}
}
else // No computing task requested, compute derivatives up to 2nd order by default

4
preprocessor/ModFile.hh
View File

@ -132,8 +132,8 @@ public:
//! Execute computations
/*! \param no_tmp_terms if true, no temporary terms will be computed in the static and dynamic files */
/*! \param compute_xrefs if true, equation cross references will be computed */
/*! \param sec_order_param_deriv if true, compute second order param derivatives*/
void computingPass(bool no_tmp_terms, FileOutputType output, bool compute_xrefs, bool sec_order_param_deriv);
/*! \param params_derivs_order compute this order of derivs wrt parameters */
void computingPass(bool no_tmp_terms, FileOutputType output, bool compute_xrefs, int params_derivs_order);
//! Writes Matlab/Octave output files
/*!
\param basename The base name used for writing output files. Should be the name of the mod file without its extension

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 paramsDerivsOrder)
{
if (!(paramsDerivatives == first || paramsDerivatives == second || paramsDerivatives == third))
if (!(paramsDerivsOrder == 1 || paramsDerivsOrder == 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 (paramsDerivsOrder == 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 (paramsDerivsOrder == 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 paramsDerivsOrder);
//! 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)

6
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 paramsDerivsOrder, bool block, bool bytecode)
{
initializeVariablesAndEquations();
@ -1095,10 +1095,10 @@ StaticModel::computingPass(const eval_context_t &eval_context, bool no_tmp_terms
computeThirdDerivatives(vars);
}
if (paramsDerivatives != none)
if (paramsDerivsOrder > 0)
{
cout << " - derivatives of Jacobian/Hessian w.r. to parameters" << endl;
computeParamsDerivatives(paramsDerivatives);
computeParamsDerivatives(paramsDerivsOrder);
if (!no_tmp_terms)
computeParamsDerivativesTemporaryTerms();

4
preprocessor/StaticModel.hh
View File

@ -162,9 +162,9 @@ public:
\param eval_context evaluation context for normalization
\param no_tmp_terms if true, no temporary terms will be computed in the static files
\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
\param paramsDerivsOrder order of derivatives w.r. to a pair (endo/exo/exo_det, parameter) to 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 paramsDerivsOrder, 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,