Merge pull request #1156 from MichelJuillard/auxiliary
Auxiliary variables in static modeltime-shift
MichelJuillard
commit
6e514b7d1b
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@ -143,8 +143,8 @@ end
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% the auxiliary variables before the Lagrange multipliers are treated
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% as ordinary endogenous variables
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aux_eq = [1:orig_endo_aux_nbr, orig_endo_aux_nbr+orig_eq_nbr+1:size(fJ,1)];
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A = fJ(aux_eq,orig_endo_aux_nbr+1:end);
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y = res(aux_eq);
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A = fJ(1:orig_endo_aux_nbr,orig_endo_nbr+find(aux_vars_type==6));
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y = res(1:orig_endo_aux_nbr);
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mult = -A\y;
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resids1 = y+A*mult;
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@ -125,7 +125,7 @@ function [ys,params,info] = evaluate_steady_state(ys_init,M,options,oo,steadysta
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%check whether steady state really solves the model
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resids = evaluate_static_model(ys,exo_ss,params,M,options);
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n_multipliers=M.endo_nbr-M.orig_endo_nbr;
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n_multipliers=M.orig_eq_nbr;
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nan_indices_multiplier=find(isnan(resids(1:n_multipliers)));
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nan_indices=find(isnan(resids(n_multipliers+1:end)));
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@ -196,9 +196,12 @@ function [ys,params,info] = evaluate_steady_state(ys_init,M,options,oo,steadysta
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elseif (options.bytecode == 0 && options.block == 0)
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if options.linear == 0
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% non linear model
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[ys,check] = dynare_solve([M.fname '_static'],...
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static_model = str2func([M.fname '_static']);
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[ys,check] = dynare_solve(@static_problem,...
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ys_init,...
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options, exo_ss, params);
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options, exo_ss, params,...
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M.orig_endo_nbr,...
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static_model);
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else
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% linear model
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fh_static = str2func([M.fname '_static']);
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@ -294,3 +297,8 @@ function [ys,params,info] = evaluate_steady_state(ys_init,M,options,oo,steadysta
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info(2) = NaN;
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return
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end
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function [resids,jac] = static_problem(y,x,params,nvar,fh_static_model)
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[r,j] = fh_static_model(y,x,params);
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resids = r(1:nvar);
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jac = j(1:nvar,1:nvar);
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@ -130,26 +130,19 @@ else
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dyssdtheta=zeros(length(oo_.dr.ys),M_.param_nbr);
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d2yssdtheta=zeros(length(oo_.dr.ys),M_.param_nbr,M_.param_nbr);
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[residual, gg1] = feval([M_.fname,'_static'],oo_.dr.ys, oo_.exo_steady_state', M_.params);
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df = feval([M_.fname,'_params_derivs'],yy0, repmat(oo_.exo_steady_state',[M_.maximum_exo_lag+M_.maximum_exo_lead+1]), ...
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M_.params, oo_.dr.ys, 1, dyssdtheta, d2yssdtheta);
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df = feval([M_.fname,'_static_params_derivs'],oo_.dr.ys, repmat(oo_.exo_steady_state',[M_.maximum_exo_lag+M_.maximum_exo_lead+1]), ...
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M_.params);
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dyssdtheta = -gg1\df;
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if nargout>5,
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[residual, gg1, gg2] = feval([M_.fname,'_static'],oo_.dr.ys, oo_.exo_steady_state', M_.params);
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[residual, g1, g2, g3] = feval([M_.fname,'_dynamic'],yy0, oo_.exo_steady_state', ...
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M_.params, oo_.dr.ys, 1);
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[nr, nc]=size(g2);
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[nr, nc]=size(gg2);
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[df, gp, d2f] = feval([M_.fname,'_params_derivs'],yy0, oo_.exo_steady_state', ...
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M_.params, oo_.dr.ys, 1, dyssdtheta*0, d2yssdtheta);
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[df, gpx, d2f] = feval([M_.fname,'_static_params_derivs'],oo_.dr.ys, oo_.exo_steady_state', ...
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M_.params);%, oo_.dr.ys, 1, dyssdtheta*0, d2yssdtheta);
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d2f = get_all_resid_2nd_derivs(d2f,length(oo_.dr.ys),M_.param_nbr);
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gpx = zeros(nr,nr,M_.param_nbr);
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for j=1:nr,
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for i=1:nr,
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inx = I == i;
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gpx(j,i,:)=sum(gp(j,inx,:),2);
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end
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end
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% d2f = d2f(:,indx,indx);
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if isempty(find(gg2)),
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for j=1:M_.param_nbr,
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d2yssdtheta(:,:,j) = -gg1\d2f(:,:,j);
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@ -196,9 +189,9 @@ else
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M_.params, oo_.dr.ys, 1, dyssdtheta,d2yssdtheta);
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[residual, g1, g2 ] = feval([M_.fname,'_dynamic'],yy0, repmat(oo_.exo_steady_state',[M_.maximum_exo_lag+M_.maximum_exo_lead+1,1]), ...
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M_.params, oo_.dr.ys, 1);
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[nr, nc]=size(g2);
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end
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[nr, nc]=size(g2);
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nc = sqrt(nc);
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Hss = dyssdtheta(oo_.dr.order_var,indx);
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dyssdtheta = dyssdtheta(I,:);
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@ -215,7 +215,7 @@ ExprNode::createEndoLeadAuxiliaryVarForMyself(subst_table_t &subst_table, vector
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it = subst_table.find(orig_expr);
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if (it == subst_table.end())
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{
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int symb_id = datatree.symbol_table.addEndoLeadAuxiliaryVar(orig_expr->idx);
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int symb_id = datatree.symbol_table.addEndoLeadAuxiliaryVar(orig_expr->idx, substexpr);
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neweqs.push_back(dynamic_cast<BinaryOpNode *>(datatree.AddEqual(datatree.AddVariable(symb_id, 0), substexpr)));
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substexpr = datatree.AddVariable(symb_id, +1);
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assert(dynamic_cast<VariableNode *>(substexpr) != NULL);
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@ -251,7 +251,7 @@ ExprNode::createExoLeadAuxiliaryVarForMyself(subst_table_t &subst_table, vector<
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it = subst_table.find(orig_expr);
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if (it == subst_table.end())
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{
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int symb_id = datatree.symbol_table.addExoLeadAuxiliaryVar(orig_expr->idx);
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int symb_id = datatree.symbol_table.addExoLeadAuxiliaryVar(orig_expr->idx, substexpr);
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neweqs.push_back(dynamic_cast<BinaryOpNode *>(datatree.AddEqual(datatree.AddVariable(symb_id, 0), substexpr)));
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substexpr = datatree.AddVariable(symb_id, +1);
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assert(dynamic_cast<VariableNode *>(substexpr) != NULL);
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@ -502,6 +502,13 @@ NumConstNode::isInStaticForm() const
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return true;
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}
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expr_t
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NumConstNode::substituteStaticAuxiliaryVariable() const
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{
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return const_cast<NumConstNode *>(this);
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}
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VariableNode::VariableNode(DataTree &datatree_arg, int symb_id_arg, int lag_arg) :
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ExprNode(datatree_arg),
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symb_id(symb_id_arg),
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@ -836,6 +843,22 @@ VariableNode::writeOutput(ostream &output, ExprNodeOutputType output_type,
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}
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}
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expr_t
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VariableNode::substituteStaticAuxiliaryVariable() const
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{
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if (type == eEndogenous)
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{
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try
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{
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return datatree.symbol_table.getAuxiliaryVarsExprNode(symb_id)->substituteStaticAuxiliaryVariable();
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}
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catch (SymbolTable::SearchFailedException &e)
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{
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}
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}
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return const_cast<VariableNode *>(this);
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}
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double
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VariableNode::eval(const eval_context_t &eval_context) const throw (EvalException, EvalExternalFunctionException)
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{
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@ -1217,7 +1240,7 @@ VariableNode::substituteEndoLagGreaterThanTwo(subst_table_t &subst_table, vector
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it = subst_table.find(orig_expr);
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if (it == subst_table.end())
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{
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int aux_symb_id = datatree.symbol_table.addEndoLagAuxiliaryVar(symb_id, cur_lag+1);
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int aux_symb_id = datatree.symbol_table.addEndoLagAuxiliaryVar(symb_id, cur_lag+1, substexpr);
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neweqs.push_back(dynamic_cast<BinaryOpNode *>(datatree.AddEqual(datatree.AddVariable(aux_symb_id, 0), substexpr)));
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substexpr = datatree.AddVariable(aux_symb_id, -1);
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subst_table[orig_expr] = substexpr;
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@ -1290,7 +1313,7 @@ VariableNode::substituteExoLag(subst_table_t &subst_table, vector<BinaryOpNode *
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it = subst_table.find(orig_expr);
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if (it == subst_table.end())
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{
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int aux_symb_id = datatree.symbol_table.addExoLagAuxiliaryVar(symb_id, cur_lag+1);
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int aux_symb_id = datatree.symbol_table.addExoLagAuxiliaryVar(symb_id, cur_lag+1, substexpr);
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neweqs.push_back(dynamic_cast<BinaryOpNode *>(datatree.AddEqual(datatree.AddVariable(aux_symb_id, 0), substexpr)));
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substexpr = datatree.AddVariable(aux_symb_id, -1);
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subst_table[orig_expr] = substexpr;
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@ -1339,7 +1362,8 @@ VariableNode::differentiateForwardVars(const vector<string> &subset, subst_table
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diffvar = const_cast<VariableNode *>(it->second);
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else
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{
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int aux_symb_id = datatree.symbol_table.addDiffForwardAuxiliaryVar(symb_id);
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int aux_symb_id = datatree.symbol_table.addDiffForwardAuxiliaryVar(symb_id, datatree.AddMinus(datatree.AddVariable(symb_id, 0),
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datatree.AddVariable(symb_id, -1)));
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neweqs.push_back(dynamic_cast<BinaryOpNode *>(datatree.AddEqual(datatree.AddVariable(aux_symb_id, 0), datatree.AddMinus(datatree.AddVariable(symb_id, 0),
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datatree.AddVariable(symb_id, -1)))));
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diffvar = datatree.AddVariable(aux_symb_id, 1);
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@ -2533,6 +2557,16 @@ UnaryOpNode::isInStaticForm() const
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return arg->isInStaticForm();
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}
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expr_t
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UnaryOpNode::substituteStaticAuxiliaryVariable() const
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{
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expr_t argsubst = arg->substituteStaticAuxiliaryVariable();
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if (op_code == oExpectation)
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return argsubst;
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else
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return buildSimilarUnaryOpNode(argsubst, datatree);
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}
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BinaryOpNode::BinaryOpNode(DataTree &datatree_arg, const expr_t arg1_arg,
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BinaryOpcode op_code_arg, const expr_t arg2_arg) :
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ExprNode(datatree_arg),
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@ -3820,6 +3854,21 @@ BinaryOpNode::isInStaticForm() const
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return arg1->isInStaticForm() && arg2->isInStaticForm();
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}
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expr_t
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BinaryOpNode::substituteStaticAuxiliaryVariable() const
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{
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expr_t arg1subst = arg1->substituteStaticAuxiliaryVariable();
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expr_t arg2subst = arg2->substituteStaticAuxiliaryVariable();
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return buildSimilarBinaryOpNode(arg1subst, arg2subst, datatree);
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}
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expr_t
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BinaryOpNode::substituteStaticAuxiliaryDefinition() const
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{
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expr_t arg2subst = arg2->substituteStaticAuxiliaryVariable();
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return buildSimilarBinaryOpNode(arg1, arg2subst, datatree);
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}
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TrinaryOpNode::TrinaryOpNode(DataTree &datatree_arg, const expr_t arg1_arg,
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TrinaryOpcode op_code_arg, const expr_t arg2_arg, const expr_t arg3_arg) :
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ExprNode(datatree_arg),
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@ -4471,6 +4520,15 @@ TrinaryOpNode::isInStaticForm() const
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return arg1->isInStaticForm() && arg2->isInStaticForm() && arg3->isInStaticForm();
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}
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expr_t
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TrinaryOpNode::substituteStaticAuxiliaryVariable() const
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{
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expr_t arg1subst = arg1->substituteStaticAuxiliaryVariable();
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expr_t arg2subst = arg2->substituteStaticAuxiliaryVariable();
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expr_t arg3subst = arg3->substituteStaticAuxiliaryVariable();
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return buildSimilarTrinaryOpNode(arg1subst, arg2subst, arg3subst, datatree);
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}
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AbstractExternalFunctionNode::AbstractExternalFunctionNode(DataTree &datatree_arg,
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int symb_id_arg,
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const vector<expr_t> &arguments_arg) :
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@ -4815,6 +4873,15 @@ AbstractExternalFunctionNode::containsExternalFunction() const
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return true;
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}
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expr_t
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AbstractExternalFunctionNode::substituteStaticAuxiliaryVariable() const
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{
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vector<expr_t> arguments_subst;
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for (vector<expr_t>::const_iterator it = arguments.begin(); it != arguments.end(); it++)
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arguments_subst.push_back((*it)->substituteStaticAuxiliaryVariable());
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return buildSimilarExternalFunctionNode(arguments_subst, datatree);
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}
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ExternalFunctionNode::ExternalFunctionNode(DataTree &datatree_arg,
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int symb_id_arg,
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const vector<expr_t> &arguments_arg) :
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@ -442,6 +442,9 @@ public:
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//! Returns true if the expression is in static form (no lead, no lag, no expectation, no STEADY_STATE)
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virtual bool isInStaticForm() const = 0;
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//! Substitute auxiliary variables by their expression in static model
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virtual expr_t substituteStaticAuxiliaryVariable() const = 0;
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};
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//! Object used to compare two nodes (using their indexes)
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@ -501,6 +504,7 @@ public:
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virtual expr_t cloneDynamic(DataTree &dynamic_datatree) const;
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virtual expr_t removeTrendLeadLag(map<int, expr_t> trend_symbols_map) const;
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virtual bool isInStaticForm() const;
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virtual expr_t substituteStaticAuxiliaryVariable() const;
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};
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//! Symbol or variable node
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@ -565,6 +569,8 @@ public:
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virtual expr_t cloneDynamic(DataTree &dynamic_datatree) const;
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virtual expr_t removeTrendLeadLag(map<int, expr_t> trend_symbols_map) const;
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virtual bool isInStaticForm() const;
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//! Substitute auxiliary variables by their expression in static model
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virtual expr_t substituteStaticAuxiliaryVariable() const;
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};
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//! Unary operator node
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@ -648,6 +654,8 @@ public:
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virtual expr_t cloneDynamic(DataTree &dynamic_datatree) const;
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virtual expr_t removeTrendLeadLag(map<int, expr_t> trend_symbols_map) const;
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virtual bool isInStaticForm() const;
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//! Substitute auxiliary variables by their expression in static model
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virtual expr_t substituteStaticAuxiliaryVariable() const;
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};
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//! Binary operator node
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@ -750,6 +758,10 @@ public:
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//! Returns the non-zero hand-side of an equation (that must have a hand side equal to zero)
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expr_t getNonZeroPartofEquation() const;
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virtual bool isInStaticForm() const;
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//! Substitute auxiliary variables by their expression in static model
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virtual expr_t substituteStaticAuxiliaryVariable() const;
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//! Substitute auxiliary variables by their expression in static model auxiliary variable definition
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virtual expr_t substituteStaticAuxiliaryDefinition() const;
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};
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//! Trinary operator node
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@ -820,6 +832,8 @@ public:
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virtual expr_t cloneDynamic(DataTree &dynamic_datatree) const;
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virtual expr_t removeTrendLeadLag(map<int, expr_t> trend_symbols_map) const;
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virtual bool isInStaticForm() const;
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//! Substitute auxiliary variables by their expression in static model
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virtual expr_t substituteStaticAuxiliaryVariable() const;
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};
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//! External function node
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@ -899,6 +913,8 @@ public:
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virtual expr_t cloneDynamic(DataTree &dynamic_datatree) const = 0;
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virtual expr_t removeTrendLeadLag(map<int, expr_t> trend_symbols_map) const;
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virtual bool isInStaticForm() const;
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//! Substitute auxiliary variables by their expression in static model
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virtual expr_t substituteStaticAuxiliaryVariable() const;
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};
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class ExternalFunctionNode : public AbstractExternalFunctionNode
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@ -39,8 +39,7 @@ ModFile::ModFile(WarningConsolidation &warnings_arg)
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static_model(symbol_table, num_constants, external_functions_table),
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steady_state_model(symbol_table, num_constants, external_functions_table, static_model),
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linear(false), block(false), byte_code(false), use_dll(false), no_static(false),
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differentiate_forward_vars(false),
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nonstationary_variables(false), orig_eqn_nbr(0), ramsey_eqn_nbr(0),
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differentiate_forward_vars(false), nonstationary_variables(false),
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param_used_with_lead_lag(false), warnings(warnings_arg)
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{
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}
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@ -345,7 +344,7 @@ ModFile::transformPass(bool nostrict)
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dynamic_model.removeTrendVariableFromEquations();
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}
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orig_eqn_nbr = dynamic_model.equation_number();
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mod_file_struct.orig_eq_nbr = dynamic_model.equation_number();
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if (mod_file_struct.ramsey_model_present)
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{
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StaticModel *planner_objective = NULL;
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@ -364,7 +363,7 @@ ModFile::transformPass(bool nostrict)
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dynamic_model.cloneDynamic(ramsey_FOC_equations_dynamic_model);
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ramsey_FOC_equations_dynamic_model.computeRamseyPolicyFOCs(*planner_objective);
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ramsey_FOC_equations_dynamic_model.replaceMyEquations(dynamic_model);
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ramsey_eqn_nbr = dynamic_model.equation_number() - orig_eqn_nbr;
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mod_file_struct.ramsey_eq_nbr = dynamic_model.equation_number() - mod_file_struct.orig_eq_nbr;
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}
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if (mod_file_struct.stoch_simul_present
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@ -446,7 +445,7 @@ ModFile::transformPass(bool nostrict)
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cout << "Found " << dynamic_model.equation_number() << " equation(s)." << endl;
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else
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{
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cout << "Found " << orig_eqn_nbr << " equation(s)." << endl;
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cout << "Found " << mod_file_struct.orig_eq_nbr << " equation(s)." << endl;
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cout << "Found " << dynamic_model.equation_number() << " FOC equation(s) for Ramsey Problem." << endl;
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}
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@ -748,9 +747,9 @@ ModFile::writeOutputFiles(const string &basename, bool clear_all, bool clear_glo
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if (block && !byte_code)
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mOutputFile << "addpath " << basename << ";" << endl;
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|
||||
mOutputFile << "M_.orig_eq_nbr = " << orig_eqn_nbr << ";" << endl
|
||||
mOutputFile << "M_.orig_eq_nbr = " << mod_file_struct.orig_eq_nbr << ";" << endl
|
||||
<< "M_.eq_nbr = " << dynamic_model.equation_number() << ";" << endl
|
||||
<< "M_.ramsey_eq_nbr = " << ramsey_eqn_nbr << ";" << endl;
|
||||
<< "M_.ramsey_eq_nbr = " << mod_file_struct.ramsey_eq_nbr << ";" << endl;
|
||||
|
||||
if (dynamic_model.equation_number() > 0)
|
||||
{
|
||||
|
|
@ -1133,9 +1132,9 @@ ModFile::writeExternalFilesJulia(const string &basename, FileOutputType output)
|
|||
<< symbol_table.exo_nbr() << ")" << endl
|
||||
<< "model.correlation_matrix = ones(Float64, " << symbol_table.exo_nbr() << ", "
|
||||
<< symbol_table.exo_nbr() << ")" << endl
|
||||
<< "model.orig_eq_nbr = " << orig_eqn_nbr << endl
|
||||
<< "model.orig_eq_nbr = " << mod_file_struct.orig_eq_nbr << endl
|
||||
<< "model.eq_nbr = " << dynamic_model.equation_number() << endl
|
||||
<< "model.ramsey_eq_nbr = " << ramsey_eqn_nbr << endl;
|
||||
<< "model.ramsey_eq_nbr = " << mod_file_struct.ramsey_eq_nbr << endl;
|
||||
|
||||
if (mod_file_struct.calibrated_measurement_errors)
|
||||
jlOutputFile << "model.h = zeros(Float64,"
|
||||
|
|
|
|||
|
|
@ -101,12 +101,6 @@ public:
|
|||
/*! Filled using initval blocks and parameters initializations */
|
||||
eval_context_t global_eval_context;
|
||||
|
||||
//! Stores the original number of equations in the model_block
|
||||
int orig_eqn_nbr;
|
||||
|
||||
//! Stores the number of equations added to the Ramsey model
|
||||
int ramsey_eqn_nbr;
|
||||
|
||||
//! Parameter used with lead/lag
|
||||
bool param_used_with_lead_lag;
|
||||
|
||||
|
|
|
|||
|
|
@ -91,7 +91,7 @@ public:
|
|||
bool bayesian_irf_present;
|
||||
//! Whether there is a data statement present
|
||||
bool estimation_data_statement_present;
|
||||
//! Last chain number for Markov Switching statement
|
||||
//! Last chain number for Markov Switching statement2
|
||||
int last_markov_switching_chain;
|
||||
//! Whether a calib_smoother statement is present
|
||||
bool calib_smoother_present;
|
||||
|
|
@ -118,6 +118,11 @@ public:
|
|||
bool ms_dsge_present;
|
||||
//! Whether occbin is present
|
||||
bool occbin_option;
|
||||
//! Stores the original number of equations in the model_block
|
||||
int orig_eq_nbr;
|
||||
//! Stores the number of equations added to the Ramsey model
|
||||
int ramsey_eq_nbr;
|
||||
|
||||
};
|
||||
|
||||
class Statement
|
||||
|
|
|
|||
|
|
@ -1051,12 +1051,31 @@ StaticModel::computingPass(const eval_context_t &eval_context, bool no_tmp_terms
|
|||
{
|
||||
initializeVariablesAndEquations();
|
||||
|
||||
vector<BinaryOpNode *> neweqs;
|
||||
for (unsigned int eq = 0; eq < equations.size() - aux_equations.size(); eq++)
|
||||
{
|
||||
expr_t eq_tmp = equations[eq]->substituteStaticAuxiliaryVariable();
|
||||
neweqs.push_back(dynamic_cast<BinaryOpNode *>(eq_tmp->toStatic(*this)));
|
||||
}
|
||||
|
||||
for (unsigned int eq = 0; eq < aux_equations.size(); eq++)
|
||||
{
|
||||
expr_t eq_tmp = aux_equations[eq]->substituteStaticAuxiliaryDefinition();
|
||||
neweqs.push_back(dynamic_cast<BinaryOpNode *>(eq_tmp->toStatic(*this)));
|
||||
}
|
||||
|
||||
equations.clear();
|
||||
copy(neweqs.begin(),neweqs.end(),back_inserter(equations));
|
||||
// Compute derivatives w.r. to all endogenous, and possibly exogenous and exogenous deterministic
|
||||
set<int> vars;
|
||||
|
||||
for (int i = 0; i < symbol_table.endo_nbr(); i++)
|
||||
vars.insert(getDerivID(symbol_table.getID(eEndogenous, i), 0));
|
||||
|
||||
{
|
||||
int id = symbol_table.getID(eEndogenous, i);
|
||||
// if (!symbol_table.isAuxiliaryVariableButNotMultiplier(id))
|
||||
vars.insert(getDerivID(id, 0));
|
||||
}
|
||||
|
||||
// Launch computations
|
||||
cout << "Computing static model derivatives:" << endl
|
||||
<< " - order 1" << endl;
|
||||
|
|
@ -1076,7 +1095,7 @@ StaticModel::computingPass(const eval_context_t &eval_context, bool no_tmp_terms
|
|||
computeThirdDerivatives(vars);
|
||||
}
|
||||
|
||||
if (paramsDerivatives)
|
||||
if (paramsDerivatives)
|
||||
{
|
||||
cout << " - derivatives of Jacobian/Hessian w.r. to parameters" << endl;
|
||||
computeParamsDerivatives();
|
||||
|
|
@ -1720,7 +1739,7 @@ StaticModel::writeStaticFile(const string &basename, bool block, bool bytecode,
|
|||
writeStaticJuliaFile(basename);
|
||||
else
|
||||
writeStaticMFile(basename);
|
||||
writeAuxVarRecursiveDefinitions(basename, julia);
|
||||
writeSetAuxiliaryVariables(basename, julia);
|
||||
}
|
||||
|
||||
void
|
||||
|
|
@ -2080,8 +2099,9 @@ StaticModel::writeAuxVarInitval(ostream &output, ExprNodeOutputType output_type)
|
|||
}
|
||||
}
|
||||
|
||||
void StaticModel::writeAuxVarRecursiveDefinitions(const string &basename, const bool julia) const
|
||||
void StaticModel::writeSetAuxiliaryVariables(const string &basename, const bool julia) const
|
||||
{
|
||||
|
||||
string func_name = basename + "_set_auxiliary_variables";
|
||||
string filename = julia ? func_name + ".jl" : func_name + ".m";
|
||||
string comment = julia ? "#" : "%";
|
||||
|
|
@ -2108,10 +2128,17 @@ void StaticModel::writeAuxVarRecursiveDefinitions(const string &basename, const
|
|||
if (dynamic_cast<ExprNode *>(aux_equations[i])->containsExternalFunction())
|
||||
dynamic_cast<ExprNode *>(aux_equations[i])->writeExternalFunctionOutput(output, oMatlabStaticModel,
|
||||
temporary_terms, tef_terms);
|
||||
writeAuxVarRecursiveDefinitions(output, oMatlabStaticModel);
|
||||
}
|
||||
|
||||
void
|
||||
StaticModel::writeAuxVarRecursiveDefinitions(ostream &output, ExprNodeOutputType output_type) const
|
||||
{
|
||||
deriv_node_temp_terms_t tef_terms;
|
||||
temporary_terms_t temporary_terms;
|
||||
for (int i = 0; i < (int) aux_equations.size(); i++)
|
||||
{
|
||||
dynamic_cast<ExprNode *>(aux_equations[i])->writeOutput(output, oMatlabStaticModel, temporary_terms, tef_terms);
|
||||
dynamic_cast<ExprNode *>(aux_equations[i]->substituteStaticAuxiliaryDefinition())->writeOutput(output, output_type, temporary_terms, tef_terms);
|
||||
output << ";" << endl;
|
||||
}
|
||||
}
|
||||
|
|
|
|||
|
|
@ -183,7 +183,8 @@ public:
|
|||
void writeAuxVarInitval(ostream &output, ExprNodeOutputType output_type) const;
|
||||
|
||||
//! Writes definition of the auxiliary variables in a .m or .jl file
|
||||
void writeAuxVarRecursiveDefinitions(const string &basename, const bool julia) const;
|
||||
void writeSetAuxiliaryVariables(const string &basename, const bool julia) const;
|
||||
void writeAuxVarRecursiveDefinitions(ostream &output, ExprNodeOutputType output_type) const;
|
||||
|
||||
virtual int getDerivID(int symb_id, int lag) const throw (UnknownDerivIDException);
|
||||
virtual void addAllParamDerivId(set<int> &deriv_id_set);
|
||||
|
|
|
|||
|
|
@ -161,7 +161,7 @@ SteadyStateModel::writeSteadyStateFile(const string &basename, bool ramsey_model
|
|||
output << " % Auxiliary equations" << endl;
|
||||
else
|
||||
output << " # Auxiliary equations" << endl;
|
||||
static_model.writeAuxVarInitval(output, output_type);
|
||||
static_model.writeAuxVarRecursiveDefinitions(output, output_type);
|
||||
|
||||
if (!julia)
|
||||
output << " check_=0;" << endl;
|
||||
|
|
|
|||
|
|
@ -26,14 +26,14 @@
|
|||
|
||||
AuxVarInfo::AuxVarInfo(int symb_id_arg, aux_var_t type_arg, int orig_symb_id_arg, int orig_lead_lag_arg,
|
||||
int equation_number_for_multiplier_arg, int information_set_arg,
|
||||
expr_t expectation_expr_node_arg) :
|
||||
expr_t expr_node_arg) :
|
||||
symb_id(symb_id_arg),
|
||||
type(type_arg),
|
||||
orig_symb_id(orig_symb_id_arg),
|
||||
orig_lead_lag(orig_lead_lag_arg),
|
||||
equation_number_for_multiplier(equation_number_for_multiplier_arg),
|
||||
information_set(information_set_arg),
|
||||
expectation_expr_node(expectation_expr_node_arg)
|
||||
expr_node(expr_node_arg)
|
||||
{
|
||||
}
|
||||
|
||||
|
|
@ -333,7 +333,7 @@ SymbolTable::writeOutput(ostream &output) const throw (NotYetFrozenException)
|
|||
output << "M_.aux_vars(" << i+1 << ").orig_expr = '\\mathbb{E}_{t"
|
||||
<< (aux_vars[i].get_information_set() < 0 ? "" : "+")
|
||||
<< aux_vars[i].get_information_set() << "}(";
|
||||
aux_vars[i].get_expectation_expr_node()->writeOutput(output, oLatexDynamicModel);
|
||||
aux_vars[i].get_expr_node()->writeOutput(output, oLatexDynamicModel);
|
||||
output << ")';" << endl;
|
||||
break;
|
||||
}
|
||||
|
|
@ -520,7 +520,7 @@ SymbolTable::writeCCOutput(ostream &output) const throw (NotYetFrozenException)
|
|||
}
|
||||
|
||||
int
|
||||
SymbolTable::addLeadAuxiliaryVarInternal(bool endo, int index) throw (FrozenException)
|
||||
SymbolTable::addLeadAuxiliaryVarInternal(bool endo, int index, expr_t expr_arg) throw (FrozenException)
|
||||
{
|
||||
ostringstream varname;
|
||||
if (endo)
|
||||
|
|
@ -539,13 +539,13 @@ SymbolTable::addLeadAuxiliaryVarInternal(bool endo, int index) throw (FrozenExce
|
|||
exit(EXIT_FAILURE);
|
||||
}
|
||||
|
||||
aux_vars.push_back(AuxVarInfo(symb_id, (endo ? avEndoLead : avExoLead), 0, 0, 0, 0, NULL));
|
||||
aux_vars.push_back(AuxVarInfo(symb_id, (endo ? avEndoLead : avExoLead), 0, 0, 0, 0, expr_arg));
|
||||
|
||||
return symb_id;
|
||||
}
|
||||
|
||||
int
|
||||
SymbolTable::addLagAuxiliaryVarInternal(bool endo, int orig_symb_id, int orig_lead_lag) throw (FrozenException)
|
||||
SymbolTable::addLagAuxiliaryVarInternal(bool endo, int orig_symb_id, int orig_lead_lag, expr_t expr_arg) throw (FrozenException)
|
||||
{
|
||||
ostringstream varname;
|
||||
if (endo)
|
||||
|
|
@ -565,37 +565,37 @@ SymbolTable::addLagAuxiliaryVarInternal(bool endo, int orig_symb_id, int orig_le
|
|||
exit(EXIT_FAILURE);
|
||||
}
|
||||
|
||||
aux_vars.push_back(AuxVarInfo(symb_id, (endo ? avEndoLag : avExoLag), orig_symb_id, orig_lead_lag, 0, 0, NULL));
|
||||
aux_vars.push_back(AuxVarInfo(symb_id, (endo ? avEndoLag : avExoLag), orig_symb_id, orig_lead_lag, 0, 0, expr_arg));
|
||||
|
||||
return symb_id;
|
||||
}
|
||||
|
||||
int
|
||||
SymbolTable::addEndoLeadAuxiliaryVar(int index) throw (FrozenException)
|
||||
SymbolTable::addEndoLeadAuxiliaryVar(int index, expr_t expr_arg) throw (FrozenException)
|
||||
{
|
||||
return addLeadAuxiliaryVarInternal(true, index);
|
||||
return addLeadAuxiliaryVarInternal(true, index, expr_arg);
|
||||
}
|
||||
|
||||
int
|
||||
SymbolTable::addEndoLagAuxiliaryVar(int orig_symb_id, int orig_lead_lag) throw (FrozenException)
|
||||
SymbolTable::addEndoLagAuxiliaryVar(int orig_symb_id, int orig_lead_lag, expr_t expr_arg) throw (FrozenException)
|
||||
{
|
||||
return addLagAuxiliaryVarInternal(true, orig_symb_id, orig_lead_lag);
|
||||
return addLagAuxiliaryVarInternal(true, orig_symb_id, orig_lead_lag, expr_arg);
|
||||
}
|
||||
|
||||
int
|
||||
SymbolTable::addExoLeadAuxiliaryVar(int index) throw (FrozenException)
|
||||
SymbolTable::addExoLeadAuxiliaryVar(int index, expr_t expr_arg) throw (FrozenException)
|
||||
{
|
||||
return addLeadAuxiliaryVarInternal(false, index);
|
||||
return addLeadAuxiliaryVarInternal(false, index, expr_arg);
|
||||
}
|
||||
|
||||
int
|
||||
SymbolTable::addExoLagAuxiliaryVar(int orig_symb_id, int orig_lead_lag) throw (FrozenException)
|
||||
SymbolTable::addExoLagAuxiliaryVar(int orig_symb_id, int orig_lead_lag, expr_t expr_arg) throw (FrozenException)
|
||||
{
|
||||
return addLagAuxiliaryVarInternal(false, orig_symb_id, orig_lead_lag);
|
||||
return addLagAuxiliaryVarInternal(false, orig_symb_id, orig_lead_lag, expr_arg);
|
||||
}
|
||||
|
||||
int
|
||||
SymbolTable::addExpectationAuxiliaryVar(int information_set, int index, expr_t exp_arg) throw (FrozenException)
|
||||
SymbolTable::addExpectationAuxiliaryVar(int information_set, int index, expr_t expr_arg) throw (FrozenException)
|
||||
{
|
||||
ostringstream varname;
|
||||
int symb_id;
|
||||
|
|
@ -613,7 +613,7 @@ SymbolTable::addExpectationAuxiliaryVar(int information_set, int index, expr_t e
|
|||
exit(EXIT_FAILURE);
|
||||
}
|
||||
|
||||
aux_vars.push_back(AuxVarInfo(symb_id, avExpectation, 0, 0, 0, information_set, exp_arg));
|
||||
aux_vars.push_back(AuxVarInfo(symb_id, avExpectation, 0, 0, 0, information_set, expr_arg));
|
||||
|
||||
return symb_id;
|
||||
}
|
||||
|
|
@ -640,7 +640,7 @@ SymbolTable::addMultiplierAuxiliaryVar(int index) throw (FrozenException)
|
|||
}
|
||||
|
||||
int
|
||||
SymbolTable::addDiffForwardAuxiliaryVar(int orig_symb_id) throw (FrozenException)
|
||||
SymbolTable::addDiffForwardAuxiliaryVar(int orig_symb_id, expr_t expr_arg) throw (FrozenException)
|
||||
{
|
||||
ostringstream varname;
|
||||
int symb_id;
|
||||
|
|
@ -656,7 +656,7 @@ SymbolTable::addDiffForwardAuxiliaryVar(int orig_symb_id) throw (FrozenException
|
|||
exit(EXIT_FAILURE);
|
||||
}
|
||||
|
||||
aux_vars.push_back(AuxVarInfo(symb_id, avDiffForward, orig_symb_id, 0, 0, 0, NULL));
|
||||
aux_vars.push_back(AuxVarInfo(symb_id, avDiffForward, orig_symb_id, 0, 0, 0, expr_arg));
|
||||
return symb_id;
|
||||
}
|
||||
|
||||
|
|
@ -670,6 +670,22 @@ SymbolTable::searchAuxiliaryVars(int orig_symb_id, int orig_lead_lag) const thro
|
|||
throw SearchFailedException(orig_symb_id, orig_lead_lag);
|
||||
}
|
||||
|
||||
expr_t
|
||||
SymbolTable::getAuxiliaryVarsExprNode(int symb_id) const throw (SearchFailedException)
|
||||
// throw exception if it is a Lagrange multiplier
|
||||
{
|
||||
for (size_t i = 0; i < aux_vars.size(); i++)
|
||||
if (aux_vars[i].get_symb_id() == symb_id)
|
||||
{
|
||||
expr_t expr_node = aux_vars[i].get_expr_node();
|
||||
if (expr_node != NULL)
|
||||
return expr_node;
|
||||
else
|
||||
throw SearchFailedException(symb_id);
|
||||
}
|
||||
throw SearchFailedException(symb_id);
|
||||
}
|
||||
|
||||
void
|
||||
SymbolTable::markPredetermined(int symb_id) throw (UnknownSymbolIDException, FrozenException)
|
||||
{
|
||||
|
|
@ -770,6 +786,15 @@ SymbolTable::isAuxiliaryVariable(int symb_id) const
|
|||
return false;
|
||||
}
|
||||
|
||||
bool
|
||||
SymbolTable::isAuxiliaryVariableButNotMultiplier(int symb_id) const
|
||||
{
|
||||
for (int i = 0; i < (int) aux_vars.size(); i++)
|
||||
if (aux_vars[i].get_symb_id() == symb_id && aux_vars[i].get_type() != avMultiplier)
|
||||
return true;
|
||||
return false;
|
||||
}
|
||||
|
||||
set<int>
|
||||
SymbolTable::getOrigEndogenous() const
|
||||
{
|
||||
|
|
@ -862,7 +887,7 @@ SymbolTable::writeJuliaOutput(ostream &output) const throw (NotYetFrozenExceptio
|
|||
output << "NaN, NaN, NaN, \"\\mathbb{E}_{t"
|
||||
<< (aux_vars[i].get_information_set() < 0 ? "" : "+")
|
||||
<< aux_vars[i].get_information_set() << "}(";
|
||||
aux_vars[i].get_expectation_expr_node()->writeOutput(output, oLatexDynamicModel);
|
||||
aux_vars[i].get_expr_node()->writeOutput(output, oLatexDynamicModel);
|
||||
output << ")\"";
|
||||
break;
|
||||
}
|
||||
|
|
|
|||
|
|
@ -55,16 +55,16 @@ private:
|
|||
int orig_lead_lag; //!< Lead/lag of the endo of the original model represented by this aux var. Only used for avEndoLag and avExoLag.
|
||||
int equation_number_for_multiplier; //!< Stores the original constraint equation number associated with this aux var. Only used for avMultiplier.
|
||||
int information_set; //! Argument of expectation operator. Only used for avExpectation.
|
||||
expr_t expectation_expr_node; //! Argument of expectation operator. Only used for avExpectation.
|
||||
expr_t expr_node; //! Auxiliary variable definition
|
||||
public:
|
||||
AuxVarInfo(int symb_id_arg, aux_var_t type_arg, int orig_symb_id, int orig_lead_lag, int equation_number_for_multiplier_arg, int information_set_arg, expr_t expectation_expr_node_arg);
|
||||
AuxVarInfo(int symb_id_arg, aux_var_t type_arg, int orig_symb_id, int orig_lead_lag, int equation_number_for_multiplier_arg, int information_set_arg, expr_t expr_node_arg);
|
||||
int get_symb_id() const { return symb_id; };
|
||||
aux_var_t get_type() const { return type; };
|
||||
int get_orig_symb_id() const { return orig_symb_id; };
|
||||
int get_orig_lead_lag() const { return orig_lead_lag; };
|
||||
int get_equation_number_for_multiplier() const { return equation_number_for_multiplier; };
|
||||
int get_information_set() const { return information_set; };
|
||||
expr_t get_expectation_expr_node() const { return expectation_expr_node; } ;
|
||||
expr_t get_expr_node() const { return expr_node; } ;
|
||||
};
|
||||
|
||||
//! Stores the symbol table
|
||||
|
|
@ -177,18 +177,21 @@ public:
|
|||
class SearchFailedException
|
||||
{
|
||||
public:
|
||||
int orig_symb_id, orig_lead_lag;
|
||||
int orig_symb_id, orig_lead_lag, symb_id;
|
||||
SearchFailedException(int orig_symb_id_arg, int orig_lead_lag_arg) : orig_symb_id(orig_symb_id_arg),
|
||||
orig_lead_lag(orig_lead_lag_arg)
|
||||
{
|
||||
}
|
||||
SearchFailedException(int symb_id_arg) : symb_id(symb_id_arg)
|
||||
{
|
||||
}
|
||||
};
|
||||
|
||||
private:
|
||||
//! Factorized code for adding aux lag variables
|
||||
int addLagAuxiliaryVarInternal(bool endo, int orig_symb_id, int orig_lead_lag) throw (FrozenException);
|
||||
int addLagAuxiliaryVarInternal(bool endo, int orig_symb_id, int orig_lead_lag, expr_t arg) throw (FrozenException);
|
||||
//! Factorized code for adding aux lead variables
|
||||
int addLeadAuxiliaryVarInternal(bool endo, int index) throw (FrozenException);
|
||||
int addLeadAuxiliaryVarInternal(bool endo, int index, expr_t arg) throw (FrozenException);
|
||||
|
||||
public:
|
||||
//! Add a symbol
|
||||
|
|
@ -201,24 +204,24 @@ public:
|
|||
/*!
|
||||
\param[in] index Used to construct the variable name
|
||||
\return the symbol ID of the new symbol */
|
||||
int addEndoLeadAuxiliaryVar(int index) throw (FrozenException);
|
||||
int addEndoLeadAuxiliaryVar(int index, expr_t arg) throw (FrozenException);
|
||||
//! Adds an auxiliary variable for endogenous with lag >= 2
|
||||
/*!
|
||||
\param[in] orig_symb_id symbol ID of the endogenous declared by the user that this new variable will represent
|
||||
\param[in] orig_lead_lag lag value such that this new variable will be equivalent to orig_symb_id(orig_lead_lag)
|
||||
\return the symbol ID of the new symbol */
|
||||
int addEndoLagAuxiliaryVar(int orig_symb_id, int orig_lead_lag) throw (FrozenException);
|
||||
int addEndoLagAuxiliaryVar(int orig_symb_id, int orig_lead_lag, expr_t arg) throw (FrozenException);
|
||||
//! Adds an auxiliary variable for endogenous with lead >= 1
|
||||
/*!
|
||||
\param[in] index Used to construct the variable name
|
||||
\return the symbol ID of the new symbol */
|
||||
int addExoLeadAuxiliaryVar(int index) throw (FrozenException);
|
||||
int addExoLeadAuxiliaryVar(int index, expr_t arg) throw (FrozenException);
|
||||
//! Adds an auxiliary variable for exogenous with lag >= 1
|
||||
/*!
|
||||
\param[in] orig_symb_id symbol ID of the exogenous declared by the user that this new variable will represent
|
||||
\param[in] orig_lead_lag lag value such that this new variable will be equivalent to orig_symb_id(orig_lead_lag)
|
||||
\return the symbol ID of the new symbol */
|
||||
int addExoLagAuxiliaryVar(int orig_symb_id, int orig_lead_lag) throw (FrozenException);
|
||||
int addExoLagAuxiliaryVar(int orig_symb_id, int orig_lead_lag, expr_t arg) throw (FrozenException);
|
||||
//! Adds an auxiliary variable for the expectation operator
|
||||
/*!
|
||||
\param[in] information_set information set (possibly negative) of the expectation operator
|
||||
|
|
@ -237,7 +240,7 @@ public:
|
|||
\param[in] orig_symb_id The symb_id of the forward variable
|
||||
\return the symbol ID of the new symbol
|
||||
*/
|
||||
int addDiffForwardAuxiliaryVar(int orig_symb_id) throw (FrozenException);
|
||||
int addDiffForwardAuxiliaryVar(int orig_symb_id, expr_t arg) throw (FrozenException);
|
||||
//! Searches auxiliary variables which are substitutes for a given symbol_id and lead/lag
|
||||
/*!
|
||||
The search is only performed among auxiliary variables of endo/exo lag.
|
||||
|
|
@ -247,6 +250,8 @@ public:
|
|||
int searchAuxiliaryVars(int orig_symb_id, int orig_lead_lag) const throw (SearchFailedException);
|
||||
//! Returns the number of auxiliary variables
|
||||
int AuxVarsSize() const { return aux_vars.size(); };
|
||||
//! Retruns expr_node for an auxiliary variable
|
||||
expr_t getAuxiliaryVarsExprNode(int symb_id) const throw (SearchFailedException);
|
||||
//! Tests if symbol already exists
|
||||
inline bool exists(const string &name) const;
|
||||
//! Get symbol name (by ID)
|
||||
|
|
@ -320,6 +325,8 @@ public:
|
|||
set <int> getEndogenous() const;
|
||||
//! Is a given symbol an auxiliary variable
|
||||
bool isAuxiliaryVariable(int symb_id) const;
|
||||
//! Is a given symbol an auxiliary variable but not a Lagrange multiplier
|
||||
bool isAuxiliaryVariableButNotMultiplier(int symb_id) const;
|
||||
//! Get list of endogenous variables without aux vars
|
||||
set <int> getOrigEndogenous() const;
|
||||
};
|
||||
|
|
|
|||
Loading…
Reference in New Issue