fix nested parens for params derivatives. closes #1201
Houtan Bastani
parent
a5d3ef21ad
commit
7fb7dd7ccc
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@ -4016,81 +4016,20 @@ DynamicModel::writeParamsDerivativesFile(const string &basename, bool julia) con
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&& !hessian_params_derivatives.size())
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return;
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string filename = julia ? basename + "DynamicParamsDerivs.jl" : basename + "_params_derivs.m";
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ofstream paramsDerivsFile;
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paramsDerivsFile.open(filename.c_str(), ios::out | ios::binary);
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if (!paramsDerivsFile.is_open())
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{
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cerr << "ERROR: Can't open file " << filename << " for writing" << endl;
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exit(EXIT_FAILURE);
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}
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ExprNodeOutputType output_type = (julia ? oJuliaDynamicModel : oMatlabDynamicModel);
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if (!julia)
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paramsDerivsFile << "function [rp, gp, rpp, gpp, hp] = " << basename << "_params_derivs(y, x, params, steady_state, it_, ss_param_deriv, ss_param_2nd_deriv)" << endl
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<< "%" << endl
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<< "% Compute the derivatives of the dynamic model with respect to the parameters" << endl
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<< "% Inputs :" << endl
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<< "% y [#dynamic variables by 1] double vector of endogenous variables in the order stored" << endl
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<< "% in M_.lead_lag_incidence; see the Manual" << endl
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<< "% x [nperiods by M_.exo_nbr] double matrix of exogenous variables (in declaration order)" << endl
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<< "% for all simulation periods" << endl
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<< "% params [M_.param_nbr by 1] double vector of parameter values in declaration order" << endl
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<< "% steady_state [M_.endo_nbr by 1] double vector of steady state values" << endl
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<< "% it_ scalar double time period for exogenous variables for which to evaluate the model" << endl
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<< "% ss_param_deriv [M_.eq_nbr by #params] Jacobian matrix of the steady states values with respect to the parameters" << endl
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<< "% ss_param_2nd_deriv [M_.eq_nbr by #params by #params] Hessian matrix of the steady states values with respect to the parameters" << endl
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<< "%" << endl
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<< "% Outputs:" << endl
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<< "% rp [M_.eq_nbr by #params] double Jacobian matrix of dynamic model equations with respect to parameters " << endl
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<< "% Dynare may prepend or append auxiliary equations, see M_.aux_vars" << endl
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<< "% gp [M_.endo_nbr by #dynamic variables by #params] double Derivative of the Jacobian matrix of the dynamic model equations with respect to the parameters" << endl
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<< "% rows: equations in order of declaration" << endl
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<< "% columns: variables in order stored in M_.lead_lag_incidence" << endl
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<< "% rpp [#second_order_residual_terms by 4] double Hessian matrix of second derivatives of residuals with respect to parameters;" << endl
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<< "% rows: respective derivative term" << endl
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<< "% 1st column: equation number of the term appearing" << endl
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<< "% 2nd column: number of the first parameter in derivative" << endl
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<< "% 3rd column: number of the second parameter in derivative" << endl
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<< "% 4th column: value of the Hessian term" << endl
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<< "% gpp [#second_order_Jacobian_terms by 5] double Hessian matrix of second derivatives of the Jacobian with respect to the parameters;" << endl
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<< "% rows: respective derivative term" << endl
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<< "% 1st column: equation number of the term appearing" << endl
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<< "% 2nd column: column number of variable in Jacobian of the dynamic model" << endl
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<< "% 3rd column: number of the first parameter in derivative" << endl
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<< "% 4th column: number of the second parameter in derivative" << endl
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<< "% 5th column: value of the Hessian term" << endl
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<< "% hp [#first_order_Hessian_terms by 5] double Jacobian matrix of derivatives of the dynamic Hessian with respect to the parameters;" << endl
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<< "% rows: respective derivative term" << endl
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<< "% 1st column: equation number of the term appearing" << endl
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<< "% 2nd column: column number of first variable in Hessian of the dynamic model" << endl
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<< "% 3rd column: column number of second variable in Hessian of the dynamic model" << endl
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<< "% 4th column: number of the parameter in derivative" << endl
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<< "% 5th column: value of the Hessian term" << endl
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<< "%" << endl
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<< "%" << endl
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<< "% Warning : this file is generated automatically by Dynare" << endl
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<< "% from model file (.mod)" << endl << endl;
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else
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paramsDerivsFile << "module " << basename << "DynamicParamsDerivs" << endl
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<< "#" << endl
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<< "# NB: this file was automatically generated by Dynare" << endl
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<< "# from " << basename << ".mod" << endl
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<< "#" << endl
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<< "export params_derivs" << endl << endl
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<< "function params_derivs(y, x, paramssteady_state, it_, "
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<< "ss_param_deriv, ss_param_2nd_deriv)" << endl;
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ostringstream model_local_vars_output; // Used for storing model local vars
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ostringstream model_output; // Used for storing model temp vars and equations
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ostringstream jacobian_output; // Used for storing jacobian equations
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ostringstream hessian_output; // Used for storing Hessian equations
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ostringstream hessian1_output; // Used for storing Hessian equations
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ostringstream third_derivs_output; // Used for storing third order derivatives equations
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ostringstream third_derivs1_output; // Used for storing third order derivatives equations
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deriv_node_temp_terms_t tef_terms;
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writeModelLocalVariables(paramsDerivsFile, output_type, tef_terms);
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writeModelLocalVariables(model_local_vars_output, output_type, tef_terms);
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temporary_terms_t temp_terms_empty;
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writeTemporaryTerms(params_derivs_temporary_terms, temp_terms_empty, paramsDerivsFile, output_type, tef_terms);
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// Write parameter derivative
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paramsDerivsFile << "rp = zeros(" << equation_number() << ", "
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<< symbol_table.param_nbr() << ");" << endl;
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writeTemporaryTerms(params_derivs_temporary_terms, temp_terms_empty, model_output, output_type, tef_terms);
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for (first_derivatives_t::const_iterator it = residuals_params_derivatives.begin();
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it != residuals_params_derivatives.end(); it++)
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@ -4101,16 +4040,12 @@ DynamicModel::writeParamsDerivativesFile(const string &basename, bool julia) con
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int param_col = symbol_table.getTypeSpecificID(getSymbIDByDerivID(param)) + 1;
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paramsDerivsFile << "rp" << LEFT_ARRAY_SUBSCRIPT(output_type) << eq+1 << ", " << param_col
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<< RIGHT_ARRAY_SUBSCRIPT(output_type) << " = ";
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d1->writeOutput(paramsDerivsFile, output_type, params_derivs_temporary_terms, tef_terms);
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paramsDerivsFile << ";" << endl;
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jacobian_output << "rp" << LEFT_ARRAY_SUBSCRIPT(output_type) << eq+1 << ", " << param_col
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<< RIGHT_ARRAY_SUBSCRIPT(output_type) << " = ";
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d1->writeOutput(jacobian_output, output_type, params_derivs_temporary_terms, tef_terms);
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jacobian_output << ";" << endl;
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}
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// Write jacobian derivatives
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paramsDerivsFile << "gp = zeros(" << equation_number() << ", " << dynJacobianColsNbr << ", "
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<< symbol_table.param_nbr() << ");" << endl;
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for (second_derivatives_t::const_iterator it = jacobian_params_derivatives.begin();
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it != jacobian_params_derivatives.end(); it++)
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{
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@ -4122,20 +4057,12 @@ DynamicModel::writeParamsDerivativesFile(const string &basename, bool julia) con
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int var_col = getDynJacobianCol(var) + 1;
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int param_col = symbol_table.getTypeSpecificID(getSymbIDByDerivID(param)) + 1;
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paramsDerivsFile << "gp" << LEFT_ARRAY_SUBSCRIPT(output_type) << eq+1 << ", " << var_col
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<< ", " << param_col << RIGHT_ARRAY_SUBSCRIPT(output_type) << " = ";
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d2->writeOutput(paramsDerivsFile, output_type, params_derivs_temporary_terms, tef_terms);
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paramsDerivsFile << ";" << endl;
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hessian_output << "gp" << LEFT_ARRAY_SUBSCRIPT(output_type) << eq+1 << ", " << var_col
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<< ", " << param_col << RIGHT_ARRAY_SUBSCRIPT(output_type) << " = ";
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d2->writeOutput(hessian_output, output_type, params_derivs_temporary_terms, tef_terms);
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hessian_output << ";" << endl;
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}
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if (!julia)
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// If nargout >= 3...
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paramsDerivsFile << "if nargout >= 3" << endl;
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// Write parameter second derivatives (only if nargout >= 3)
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paramsDerivsFile << "rpp = zeros(" << residuals_params_second_derivatives.size()
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<< ",4);" << endl;
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int i = 1;
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for (second_derivatives_t::const_iterator it = residuals_params_second_derivatives.begin();
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it != residuals_params_second_derivatives.end(); ++it, i++)
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@ -4148,22 +4075,18 @@ DynamicModel::writeParamsDerivativesFile(const string &basename, bool julia) con
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int param1_col = symbol_table.getTypeSpecificID(getSymbIDByDerivID(param1)) + 1;
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int param2_col = symbol_table.getTypeSpecificID(getSymbIDByDerivID(param2)) + 1;
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paramsDerivsFile << "rpp" << LEFT_ARRAY_SUBSCRIPT(output_type) << i << ",1"
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<< RIGHT_ARRAY_SUBSCRIPT(output_type) << "=" << eq+1 << ";" << endl
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<< "rpp" << LEFT_ARRAY_SUBSCRIPT(output_type) << i << ",2"
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<< RIGHT_ARRAY_SUBSCRIPT(output_type) << "=" << param1_col << ";" << endl
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<< "rpp" << LEFT_ARRAY_SUBSCRIPT(output_type) << i << ",3"
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<< RIGHT_ARRAY_SUBSCRIPT(output_type) << "=" << param2_col << ";" << endl
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<< "rpp" << LEFT_ARRAY_SUBSCRIPT(output_type) << i << ",4"
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<< RIGHT_ARRAY_SUBSCRIPT(output_type) << "=";
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d2->writeOutput(paramsDerivsFile, output_type, params_derivs_temporary_terms, tef_terms);
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paramsDerivsFile << ";" << endl;
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hessian1_output << "rpp" << LEFT_ARRAY_SUBSCRIPT(output_type) << i << ",1"
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<< RIGHT_ARRAY_SUBSCRIPT(output_type) << "=" << eq+1 << ";" << endl
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<< "rpp" << LEFT_ARRAY_SUBSCRIPT(output_type) << i << ",2"
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<< RIGHT_ARRAY_SUBSCRIPT(output_type) << "=" << param1_col << ";" << endl
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<< "rpp" << LEFT_ARRAY_SUBSCRIPT(output_type) << i << ",3"
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<< RIGHT_ARRAY_SUBSCRIPT(output_type) << "=" << param2_col << ";" << endl
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<< "rpp" << LEFT_ARRAY_SUBSCRIPT(output_type) << i << ",4"
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<< RIGHT_ARRAY_SUBSCRIPT(output_type) << "=";
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d2->writeOutput(hessian1_output, output_type, params_derivs_temporary_terms, tef_terms);
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hessian1_output << ";" << endl;
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}
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// Write jacobian second derivatives (only if nargout >= 3)
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paramsDerivsFile << "gpp = zeros(" << jacobian_params_second_derivatives.size()
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<< ",5);" << endl;
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i = 1;
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for (third_derivatives_t::const_iterator it = jacobian_params_second_derivatives.begin();
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it != jacobian_params_second_derivatives.end(); ++it, i++)
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@ -4178,28 +4101,20 @@ DynamicModel::writeParamsDerivativesFile(const string &basename, bool julia) con
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int param1_col = symbol_table.getTypeSpecificID(getSymbIDByDerivID(param1)) + 1;
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int param2_col = symbol_table.getTypeSpecificID(getSymbIDByDerivID(param2)) + 1;
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paramsDerivsFile << "gpp" << LEFT_ARRAY_SUBSCRIPT(output_type) << i << ",1"
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<< RIGHT_ARRAY_SUBSCRIPT(output_type) << "=" << eq+1 << ";" << endl
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<< "gpp" << LEFT_ARRAY_SUBSCRIPT(output_type) << i << ",2"
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<< RIGHT_ARRAY_SUBSCRIPT(output_type) << "=" << var_col << ";" << endl
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<< "gpp" << LEFT_ARRAY_SUBSCRIPT(output_type) << i << ",3"
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<< RIGHT_ARRAY_SUBSCRIPT(output_type) << "=" << param1_col << ";" << endl
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<< "gpp" << LEFT_ARRAY_SUBSCRIPT(output_type) << i << ",4"
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<< RIGHT_ARRAY_SUBSCRIPT(output_type) << "=" << param2_col << ";" << endl
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<< "gpp" << LEFT_ARRAY_SUBSCRIPT(output_type) << i << ",5"
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<< RIGHT_ARRAY_SUBSCRIPT(output_type) << "=";
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d2->writeOutput(paramsDerivsFile, output_type, params_derivs_temporary_terms, tef_terms);
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paramsDerivsFile << ";" << endl;
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third_derivs_output << "gpp" << LEFT_ARRAY_SUBSCRIPT(output_type) << i << ",1"
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<< RIGHT_ARRAY_SUBSCRIPT(output_type) << "=" << eq+1 << ";" << endl
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<< "gpp" << LEFT_ARRAY_SUBSCRIPT(output_type) << i << ",2"
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<< RIGHT_ARRAY_SUBSCRIPT(output_type) << "=" << var_col << ";" << endl
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<< "gpp" << LEFT_ARRAY_SUBSCRIPT(output_type) << i << ",3"
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<< RIGHT_ARRAY_SUBSCRIPT(output_type) << "=" << param1_col << ";" << endl
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<< "gpp" << LEFT_ARRAY_SUBSCRIPT(output_type) << i << ",4"
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<< RIGHT_ARRAY_SUBSCRIPT(output_type) << "=" << param2_col << ";" << endl
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<< "gpp" << LEFT_ARRAY_SUBSCRIPT(output_type) << i << ",5"
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<< RIGHT_ARRAY_SUBSCRIPT(output_type) << "=";
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d2->writeOutput(third_derivs_output, output_type, params_derivs_temporary_terms, tef_terms);
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third_derivs_output << ";" << endl;
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}
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if (!julia)
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// If nargout >= 5...
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paramsDerivsFile << "end" << endl
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<< "if nargout >= 5" << endl;
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// Write hessian derivatives (only if nargout >= 5)
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paramsDerivsFile << "hp = zeros(" << hessian_params_derivatives.size() << ",5);" << endl;
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i = 1;
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for (third_derivatives_t::const_iterator it = hessian_params_derivatives.begin();
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it != hessian_params_derivatives.end(); ++it, i++)
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@ -4214,24 +4129,130 @@ DynamicModel::writeParamsDerivativesFile(const string &basename, bool julia) con
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int var2_col = getDynJacobianCol(var2) + 1;
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int param_col = symbol_table.getTypeSpecificID(getSymbIDByDerivID(param)) + 1;
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paramsDerivsFile << "hp" << LEFT_ARRAY_SUBSCRIPT(output_type) << i << ",1"
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<< RIGHT_ARRAY_SUBSCRIPT(output_type) << "=" << eq+1 << ";" << endl
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<< "hp" << LEFT_ARRAY_SUBSCRIPT(output_type) << i << ",2"
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<< RIGHT_ARRAY_SUBSCRIPT(output_type) << "=" << var1_col << ";" << endl
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<< "hp" << LEFT_ARRAY_SUBSCRIPT(output_type) << i << ",3"
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<< RIGHT_ARRAY_SUBSCRIPT(output_type) << "=" << var2_col << ";" << endl
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<< "hp" << LEFT_ARRAY_SUBSCRIPT(output_type) << i << ",4"
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<< RIGHT_ARRAY_SUBSCRIPT(output_type) << "=" << param_col << ";" << endl
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<< "hp" << LEFT_ARRAY_SUBSCRIPT(output_type) << i << ",5"
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<< RIGHT_ARRAY_SUBSCRIPT(output_type) << "=";
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d2->writeOutput(paramsDerivsFile, output_type, params_derivs_temporary_terms, tef_terms);
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paramsDerivsFile << ";" << endl;
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third_derivs1_output << "hp" << LEFT_ARRAY_SUBSCRIPT(output_type) << i << ",1"
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<< RIGHT_ARRAY_SUBSCRIPT(output_type) << "=" << eq+1 << ";" << endl
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<< "hp" << LEFT_ARRAY_SUBSCRIPT(output_type) << i << ",2"
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<< RIGHT_ARRAY_SUBSCRIPT(output_type) << "=" << var1_col << ";" << endl
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<< "hp" << LEFT_ARRAY_SUBSCRIPT(output_type) << i << ",3"
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<< RIGHT_ARRAY_SUBSCRIPT(output_type) << "=" << var2_col << ";" << endl
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<< "hp" << LEFT_ARRAY_SUBSCRIPT(output_type) << i << ",4"
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<< RIGHT_ARRAY_SUBSCRIPT(output_type) << "=" << param_col << ";" << endl
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<< "hp" << LEFT_ARRAY_SUBSCRIPT(output_type) << i << ",5"
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<< RIGHT_ARRAY_SUBSCRIPT(output_type) << "=";
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d2->writeOutput(third_derivs1_output, output_type, params_derivs_temporary_terms, tef_terms);
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third_derivs1_output << ";" << endl;
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}
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if (julia)
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paramsDerivsFile << "(rp, gp, rpp, gpp, hp)" << endl;
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paramsDerivsFile << "end" << endl
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<< "end" << endl;
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string filename = julia ? basename + "DynamicParamsDerivs.jl" : basename + "_params_derivs.m";
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ofstream paramsDerivsFile;
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paramsDerivsFile.open(filename.c_str(), ios::out | ios::binary);
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if (!paramsDerivsFile.is_open())
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{
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cerr << "ERROR: Can't open file " << filename << " for writing" << endl;
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exit(EXIT_FAILURE);
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}
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if (!julia)
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{
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// Check that we don't have more than 32 nested parenthesis because Matlab does not suppor this. See Issue #1201
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map<string, string> tmp_paren_vars;
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bool message_printed = false;
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fixNestedParenthesis(model_output, tmp_paren_vars, message_printed);
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fixNestedParenthesis(model_local_vars_output, tmp_paren_vars, message_printed);
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fixNestedParenthesis(jacobian_output, tmp_paren_vars, message_printed);
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fixNestedParenthesis(hessian_output, tmp_paren_vars, message_printed);
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fixNestedParenthesis(hessian1_output, tmp_paren_vars, message_printed);
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fixNestedParenthesis(third_derivs_output, tmp_paren_vars, message_printed);
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fixNestedParenthesis(third_derivs1_output, tmp_paren_vars, message_printed);
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paramsDerivsFile << "function [rp, gp, rpp, gpp, hp] = " << basename << "_params_derivs(y, x, params, steady_state, it_, ss_param_deriv, ss_param_2nd_deriv)" << endl
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<< "%" << endl
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<< "% Compute the derivatives of the dynamic model with respect to the parameters" << endl
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<< "% Inputs :" << endl
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<< "% y [#dynamic variables by 1] double vector of endogenous variables in the order stored" << endl
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<< "% in M_.lead_lag_incidence; see the Manual" << endl
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<< "% x [nperiods by M_.exo_nbr] double matrix of exogenous variables (in declaration order)" << endl
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<< "% for all simulation periods" << endl
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<< "% params [M_.param_nbr by 1] double vector of parameter values in declaration order" << endl
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<< "% steady_state [M_.endo_nbr by 1] double vector of steady state values" << endl
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<< "% it_ scalar double time period for exogenous variables for which to evaluate the model" << endl
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<< "% ss_param_deriv [M_.eq_nbr by #params] Jacobian matrix of the steady states values with respect to the parameters" << endl
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<< "% ss_param_2nd_deriv [M_.eq_nbr by #params by #params] Hessian matrix of the steady states values with respect to the parameters" << endl
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<< "%" << endl
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<< "% Outputs:" << endl
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<< "% rp [M_.eq_nbr by #params] double Jacobian matrix of dynamic model equations with respect to parameters " << endl
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<< "% Dynare may prepend or append auxiliary equations, see M_.aux_vars" << endl
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<< "% gp [M_.endo_nbr by #dynamic variables by #params] double Derivative of the Jacobian matrix of the dynamic model equations with respect to the parameters" << endl
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<< "% rows: equations in order of declaration" << endl
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<< "% columns: variables in order stored in M_.lead_lag_incidence" << endl
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<< "% rpp [#second_order_residual_terms by 4] double Hessian matrix of second derivatives of residuals with respect to parameters;" << endl
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<< "% rows: respective derivative term" << endl
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<< "% 1st column: equation number of the term appearing" << endl
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<< "% 2nd column: number of the first parameter in derivative" << endl
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<< "% 3rd column: number of the second parameter in derivative" << endl
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<< "% 4th column: value of the Hessian term" << endl
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<< "% gpp [#second_order_Jacobian_terms by 5] double Hessian matrix of second derivatives of the Jacobian with respect to the parameters;" << endl
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<< "% rows: respective derivative term" << endl
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<< "% 1st column: equation number of the term appearing" << endl
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<< "% 2nd column: column number of variable in Jacobian of the dynamic model" << endl
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<< "% 3rd column: number of the first parameter in derivative" << endl
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<< "% 4th column: number of the second parameter in derivative" << endl
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<< "% 5th column: value of the Hessian term" << endl
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<< "% hp [#first_order_Hessian_terms by 5] double Jacobian matrix of derivatives of the dynamic Hessian with respect to the parameters;" << endl
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<< "% rows: respective derivative term" << endl
|
||||
<< "% 1st column: equation number of the term appearing" << endl
|
||||
<< "% 2nd column: column number of first variable in Hessian of the dynamic model" << endl
|
||||
<< "% 3rd column: column number of second variable in Hessian of the dynamic model" << endl
|
||||
<< "% 4th column: number of the parameter in derivative" << endl
|
||||
<< "% 5th column: value of the Hessian term" << endl
|
||||
<< "%" << endl
|
||||
<< "%" << endl
|
||||
<< "% Warning : this file is generated automatically by Dynare" << endl
|
||||
<< "% from model file (.mod)" << endl << endl
|
||||
<< model_local_vars_output.str()
|
||||
<< model_output.str()
|
||||
<< "rp = zeros(" << equation_number() << ", "
|
||||
<< symbol_table.param_nbr() << ");" << endl
|
||||
<< jacobian_output.str()
|
||||
<< "gp = zeros(" << equation_number() << ", " << dynJacobianColsNbr << ", " << symbol_table.param_nbr() << ");" << endl
|
||||
<< hessian_output.str()
|
||||
<< "if nargout >= 3" << endl
|
||||
<< "rpp = zeros(" << residuals_params_second_derivatives.size() << ",4);" << endl
|
||||
<< hessian1_output.str()
|
||||
<< "gpp = zeros(" << jacobian_params_second_derivatives.size() << ",5);" << endl
|
||||
<< third_derivs_output.str()
|
||||
<< "end" << endl
|
||||
<< "if nargout >= 5" << endl
|
||||
<< "hp = zeros(" << hessian_params_derivatives.size() << ",5);" << endl
|
||||
<< third_derivs1_output.str()
|
||||
<< "end" << endl
|
||||
<< "end" << endl;
|
||||
}
|
||||
else
|
||||
paramsDerivsFile << "module " << basename << "DynamicParamsDerivs" << endl
|
||||
<< "#" << endl
|
||||
<< "# NB: this file was automatically generated by Dynare" << endl
|
||||
<< "# from " << basename << ".mod" << endl
|
||||
<< "#" << endl
|
||||
<< "export params_derivs" << endl << endl
|
||||
<< "function params_derivs(y, x, paramssteady_state, it_, "
|
||||
<< "ss_param_deriv, ss_param_2nd_deriv)" << endl
|
||||
<< model_local_vars_output.str()
|
||||
<< model_output.str()
|
||||
<< "rp = zeros(" << equation_number() << ", "
|
||||
<< symbol_table.param_nbr() << ");" << endl
|
||||
<< jacobian_output.str()
|
||||
<< "gp = zeros(" << equation_number() << ", " << dynJacobianColsNbr << ", " << symbol_table.param_nbr() << ");" << endl
|
||||
<< hessian_output.str()
|
||||
<< "rpp = zeros(" << residuals_params_second_derivatives.size() << ",4);" << endl
|
||||
<< hessian1_output.str()
|
||||
<< "gpp = zeros(" << jacobian_params_second_derivatives.size() << ",5);" << endl
|
||||
<< third_derivs_output.str()
|
||||
<< "hp = zeros(" << hessian_params_derivatives.size() << ",5);" << endl
|
||||
<< third_derivs1_output.str()
|
||||
<< "(rp, gp, rpp, gpp, hp)" << endl
|
||||
<< "end" << endl
|
||||
<< "end" << endl;
|
||||
|
||||
paramsDerivsFile.close();
|
||||
}
|
||||
|
||||
|
|
|
|||
|
|
@ -2181,68 +2181,21 @@ StaticModel::writeParamsDerivativesFile(const string &basename, bool julia) cons
|
|||
&& !hessian_params_derivatives.size())
|
||||
return;
|
||||
|
||||
string filename = julia ? basename + "StaticParamsDerivs.jl" : basename + "_static_params_derivs.m";
|
||||
ofstream paramsDerivsFile;
|
||||
paramsDerivsFile.open(filename.c_str(), ios::out | ios::binary);
|
||||
if (!paramsDerivsFile.is_open())
|
||||
{
|
||||
cerr << "ERROR: Can't open file " << filename << " for writing" << endl;
|
||||
exit(EXIT_FAILURE);
|
||||
}
|
||||
|
||||
ExprNodeOutputType output_type = (julia ? oJuliaStaticModel : oMatlabStaticModel);
|
||||
|
||||
if (!julia)
|
||||
paramsDerivsFile << "function [rp, gp, rpp, gpp, hp] = " << basename << "_static_params_derivs(y, x, params)" << endl
|
||||
<< "%" << endl
|
||||
<< "% Status : Computes derivatives of the static model with respect to the parameters" << endl
|
||||
<< "%" << endl
|
||||
<< "% Inputs : " << endl
|
||||
<< "% y [M_.endo_nbr by 1] double vector of endogenous variables in declaration order" << endl
|
||||
<< "% x [M_.exo_nbr by 1] double vector of exogenous variables in declaration order" << endl
|
||||
<< "% params [M_.param_nbr by 1] double vector of parameter values in declaration order" << endl
|
||||
<< "%" << endl
|
||||
<< "% Outputs:" << endl
|
||||
<< "% rp [M_.eq_nbr by #params] double Jacobian matrix of static model equations with respect to parameters " << endl
|
||||
<< "% Dynare may prepend or append auxiliary equations, see M_.aux_vars" << endl
|
||||
<< "% gp [M_.endo_nbr by M_.endo_nbr by #params] double Derivative of the Jacobian matrix of the static model equations with respect to the parameters" << endl
|
||||
<< "% rows: variables in declaration order" << endl
|
||||
<< "% rows: equations in order of declaration" << endl
|
||||
<< "% rpp [#second_order_residual_terms by 4] double Hessian matrix of second derivatives of residuals with respect to parameters;" << endl
|
||||
<< "% rows: respective derivative term" << endl
|
||||
<< "% 1st column: equation number of the term appearing" << endl
|
||||
<< "% 2nd column: number of the first parameter in derivative" << endl
|
||||
<< "% 3rd column: number of the second parameter in derivative" << endl
|
||||
<< "% 4th column: value of the Hessian term" << endl
|
||||
<< "% gpp [#second_order_Jacobian_terms by 5] double Hessian matrix of second derivatives of the Jacobian with respect to the parameters;" << endl
|
||||
<< "% rows: respective derivative term" << endl
|
||||
<< "% 1st column: equation number of the term appearing" << endl
|
||||
<< "% 2nd column: column number of variable in Jacobian of the static model" << endl
|
||||
<< "% 3rd column: number of the first parameter in derivative" << endl
|
||||
<< "% 4th column: number of the second parameter in derivative" << endl
|
||||
<< "% 5th column: value of the Hessian term" << endl
|
||||
<< "%" << endl
|
||||
<< "%" << endl
|
||||
<< "% Warning : this file is generated automatically by Dynare" << endl
|
||||
<< "% from model file (.mod)" << endl << endl;
|
||||
else
|
||||
paramsDerivsFile << "module " << basename << "StaticParamsDerivs" << endl
|
||||
<< "#" << endl
|
||||
<< "# NB: this file was automatically generated by Dynare" << endl
|
||||
<< "# from " << basename << ".mod" << endl
|
||||
<< "#" << endl
|
||||
<< "export params_derivs" << endl << endl
|
||||
<< "function params_derivs(y, x, params)" << endl;
|
||||
ostringstream model_local_vars_output; // Used for storing model local vars
|
||||
ostringstream model_output; // Used for storing model
|
||||
ostringstream jacobian_output; // Used for storing jacobian equations
|
||||
ostringstream hessian_output; // Used for storing Hessian equations
|
||||
ostringstream hessian1_output; // Used for storing Hessian equations
|
||||
ostringstream third_derivs_output; // Used for storing third order derivatives equations
|
||||
ostringstream third_derivs1_output; // Used for storing third order derivatives equations
|
||||
|
||||
deriv_node_temp_terms_t tef_terms;
|
||||
writeModelLocalVariables(paramsDerivsFile, output_type, tef_terms);
|
||||
writeModelLocalVariables(model_local_vars_output, output_type, tef_terms);
|
||||
|
||||
temporary_terms_t temp_terms_empty;
|
||||
writeTemporaryTerms(params_derivs_temporary_terms, temp_terms_empty, paramsDerivsFile, output_type, tef_terms);
|
||||
|
||||
// Write parameter derivative
|
||||
paramsDerivsFile << "rp = zeros(" << equation_number() << ", "
|
||||
<< symbol_table.param_nbr() << ");" << endl;
|
||||
writeTemporaryTerms(params_derivs_temporary_terms, temp_terms_empty, model_output, output_type, tef_terms);
|
||||
|
||||
for (first_derivatives_t::const_iterator it = residuals_params_derivatives.begin();
|
||||
it != residuals_params_derivatives.end(); it++)
|
||||
|
|
@ -2253,17 +2206,13 @@ StaticModel::writeParamsDerivativesFile(const string &basename, bool julia) cons
|
|||
|
||||
int param_col = symbol_table.getTypeSpecificID(getSymbIDByDerivID(param)) + 1;
|
||||
|
||||
paramsDerivsFile << "rp" << LEFT_ARRAY_SUBSCRIPT(output_type)
|
||||
<< eq+1 << ", " << param_col
|
||||
<< RIGHT_ARRAY_SUBSCRIPT(output_type) << " = ";
|
||||
d1->writeOutput(paramsDerivsFile, output_type, params_derivs_temporary_terms, tef_terms);
|
||||
paramsDerivsFile << ";" << endl;
|
||||
jacobian_output << "rp" << LEFT_ARRAY_SUBSCRIPT(output_type)
|
||||
<< eq+1 << ", " << param_col
|
||||
<< RIGHT_ARRAY_SUBSCRIPT(output_type) << " = ";
|
||||
d1->writeOutput(jacobian_output, output_type, params_derivs_temporary_terms, tef_terms);
|
||||
jacobian_output << ";" << endl;
|
||||
}
|
||||
|
||||
// Write jacobian derivatives
|
||||
paramsDerivsFile << "gp = zeros(" << equation_number() << ", " << symbol_table.endo_nbr() << ", "
|
||||
<< symbol_table.param_nbr() << ");" << endl;
|
||||
|
||||
for (second_derivatives_t::const_iterator it = jacobian_params_derivatives.begin();
|
||||
it != jacobian_params_derivatives.end(); it++)
|
||||
{
|
||||
|
|
@ -2275,21 +2224,13 @@ StaticModel::writeParamsDerivativesFile(const string &basename, bool julia) cons
|
|||
int var_col = symbol_table.getTypeSpecificID(getSymbIDByDerivID(var)) + 1;
|
||||
int param_col = symbol_table.getTypeSpecificID(getSymbIDByDerivID(param)) + 1;
|
||||
|
||||
paramsDerivsFile << "gp" << LEFT_ARRAY_SUBSCRIPT(output_type)
|
||||
<< eq+1 << ", " << var_col << ", " << param_col
|
||||
<< RIGHT_ARRAY_SUBSCRIPT(output_type) << " = ";
|
||||
d2->writeOutput(paramsDerivsFile, output_type, params_derivs_temporary_terms, tef_terms);
|
||||
paramsDerivsFile << ";" << endl;
|
||||
hessian_output << "gp" << LEFT_ARRAY_SUBSCRIPT(output_type)
|
||||
<< eq+1 << ", " << var_col << ", " << param_col
|
||||
<< RIGHT_ARRAY_SUBSCRIPT(output_type) << " = ";
|
||||
d2->writeOutput(hessian_output, output_type, params_derivs_temporary_terms, tef_terms);
|
||||
hessian_output << ";" << endl;
|
||||
}
|
||||
|
||||
if (!julia)
|
||||
// If nargout >= 3...
|
||||
paramsDerivsFile << "if nargout >= 3" << endl;
|
||||
|
||||
// Write parameter second derivatives (only if nargout >= 3)
|
||||
paramsDerivsFile << "rpp = zeros(" << residuals_params_second_derivatives.size()
|
||||
<< ",4);" << endl;
|
||||
|
||||
int i = 1;
|
||||
for (second_derivatives_t::const_iterator it = residuals_params_second_derivatives.begin();
|
||||
it != residuals_params_second_derivatives.end(); ++it, i++)
|
||||
|
|
@ -2302,22 +2243,18 @@ StaticModel::writeParamsDerivativesFile(const string &basename, bool julia) cons
|
|||
int param1_col = symbol_table.getTypeSpecificID(getSymbIDByDerivID(param1)) + 1;
|
||||
int param2_col = symbol_table.getTypeSpecificID(getSymbIDByDerivID(param2)) + 1;
|
||||
|
||||
paramsDerivsFile << "rpp" << LEFT_ARRAY_SUBSCRIPT(output_type) << i << ",1"
|
||||
<< RIGHT_ARRAY_SUBSCRIPT(output_type) << "=" << eq+1 << ";" << endl
|
||||
<< "rpp" << LEFT_ARRAY_SUBSCRIPT(output_type) << i << ",2"
|
||||
<< RIGHT_ARRAY_SUBSCRIPT(output_type) << "=" << param1_col << ";" << endl
|
||||
<< "rpp" << LEFT_ARRAY_SUBSCRIPT(output_type) << i << ",3"
|
||||
<< RIGHT_ARRAY_SUBSCRIPT(output_type) << "=" << param2_col << ";" << endl
|
||||
<< "rpp" << LEFT_ARRAY_SUBSCRIPT(output_type) << i << ",4"
|
||||
<< RIGHT_ARRAY_SUBSCRIPT(output_type) << "=";
|
||||
d2->writeOutput(paramsDerivsFile, output_type, params_derivs_temporary_terms, tef_terms);
|
||||
paramsDerivsFile << ";" << endl;
|
||||
hessian1_output << "rpp" << LEFT_ARRAY_SUBSCRIPT(output_type) << i << ",1"
|
||||
<< RIGHT_ARRAY_SUBSCRIPT(output_type) << "=" << eq+1 << ";" << endl
|
||||
<< "rpp" << LEFT_ARRAY_SUBSCRIPT(output_type) << i << ",2"
|
||||
<< RIGHT_ARRAY_SUBSCRIPT(output_type) << "=" << param1_col << ";" << endl
|
||||
<< "rpp" << LEFT_ARRAY_SUBSCRIPT(output_type) << i << ",3"
|
||||
<< RIGHT_ARRAY_SUBSCRIPT(output_type) << "=" << param2_col << ";" << endl
|
||||
<< "rpp" << LEFT_ARRAY_SUBSCRIPT(output_type) << i << ",4"
|
||||
<< RIGHT_ARRAY_SUBSCRIPT(output_type) << "=";
|
||||
d2->writeOutput(hessian1_output, output_type, params_derivs_temporary_terms, tef_terms);
|
||||
hessian1_output << ";" << endl;
|
||||
}
|
||||
|
||||
// Write jacobian second derivatives (only if nargout >= 3)
|
||||
paramsDerivsFile << "gpp = zeros(" << jacobian_params_second_derivatives.size()
|
||||
<< ",5);" << endl;
|
||||
|
||||
i = 1;
|
||||
for (third_derivatives_t::const_iterator it = jacobian_params_second_derivatives.begin();
|
||||
it != jacobian_params_second_derivatives.end(); ++it, i++)
|
||||
|
|
@ -2332,28 +2269,20 @@ StaticModel::writeParamsDerivativesFile(const string &basename, bool julia) cons
|
|||
int param1_col = symbol_table.getTypeSpecificID(getSymbIDByDerivID(param1)) + 1;
|
||||
int param2_col = symbol_table.getTypeSpecificID(getSymbIDByDerivID(param2)) + 1;
|
||||
|
||||
paramsDerivsFile << "gpp" << LEFT_ARRAY_SUBSCRIPT(output_type) << i << ",1"
|
||||
<< RIGHT_ARRAY_SUBSCRIPT(output_type) << "=" << eq+1 << ";" << endl
|
||||
<< "gpp" << LEFT_ARRAY_SUBSCRIPT(output_type) << i << ",2"
|
||||
<< RIGHT_ARRAY_SUBSCRIPT(output_type) << "=" << var_col << ";" << endl
|
||||
<< "gpp" << LEFT_ARRAY_SUBSCRIPT(output_type) << i << ",3"
|
||||
<< RIGHT_ARRAY_SUBSCRIPT(output_type) << "=" << param1_col << ";" << endl
|
||||
<< "gpp" << LEFT_ARRAY_SUBSCRIPT(output_type) << i << ",4"
|
||||
<< RIGHT_ARRAY_SUBSCRIPT(output_type) << "=" << param2_col << ";" << endl
|
||||
<< "gpp" << LEFT_ARRAY_SUBSCRIPT(output_type) << i << ",5"
|
||||
<< RIGHT_ARRAY_SUBSCRIPT(output_type) << "=";
|
||||
d2->writeOutput(paramsDerivsFile, output_type, params_derivs_temporary_terms, tef_terms);
|
||||
paramsDerivsFile << ";" << endl;
|
||||
third_derivs_output << "gpp" << LEFT_ARRAY_SUBSCRIPT(output_type) << i << ",1"
|
||||
<< RIGHT_ARRAY_SUBSCRIPT(output_type) << "=" << eq+1 << ";" << endl
|
||||
<< "gpp" << LEFT_ARRAY_SUBSCRIPT(output_type) << i << ",2"
|
||||
<< RIGHT_ARRAY_SUBSCRIPT(output_type) << "=" << var_col << ";" << endl
|
||||
<< "gpp" << LEFT_ARRAY_SUBSCRIPT(output_type) << i << ",3"
|
||||
<< RIGHT_ARRAY_SUBSCRIPT(output_type) << "=" << param1_col << ";" << endl
|
||||
<< "gpp" << LEFT_ARRAY_SUBSCRIPT(output_type) << i << ",4"
|
||||
<< RIGHT_ARRAY_SUBSCRIPT(output_type) << "=" << param2_col << ";" << endl
|
||||
<< "gpp" << LEFT_ARRAY_SUBSCRIPT(output_type) << i << ",5"
|
||||
<< RIGHT_ARRAY_SUBSCRIPT(output_type) << "=";
|
||||
d2->writeOutput(third_derivs_output, output_type, params_derivs_temporary_terms, tef_terms);
|
||||
third_derivs_output << ";" << endl;
|
||||
}
|
||||
|
||||
if (!julia)
|
||||
// If nargout >= 5...
|
||||
paramsDerivsFile << "end" << endl
|
||||
<< "if nargout >= 5" << endl;
|
||||
|
||||
// Write hessian derivatives (only if nargout >= 5)
|
||||
paramsDerivsFile << "hp = zeros(" << hessian_params_derivatives.size() << ",5);" << endl;
|
||||
|
||||
i = 1;
|
||||
for (third_derivatives_t::const_iterator it = hessian_params_derivatives.begin();
|
||||
it != hessian_params_derivatives.end(); ++it, i++)
|
||||
|
|
@ -2368,23 +2297,120 @@ StaticModel::writeParamsDerivativesFile(const string &basename, bool julia) cons
|
|||
int var2_col = symbol_table.getTypeSpecificID(getSymbIDByDerivID(var2)) + 1;
|
||||
int param_col = symbol_table.getTypeSpecificID(getSymbIDByDerivID(param)) + 1;
|
||||
|
||||
paramsDerivsFile << "hp" << LEFT_ARRAY_SUBSCRIPT(output_type) << i << ",1"
|
||||
<< RIGHT_ARRAY_SUBSCRIPT(output_type) << "=" << eq+1 << ";" << endl
|
||||
<< "hp" << LEFT_ARRAY_SUBSCRIPT(output_type) << i << ",2"
|
||||
<< RIGHT_ARRAY_SUBSCRIPT(output_type) << "=" << var1_col << ";" << endl
|
||||
<< "hp" << LEFT_ARRAY_SUBSCRIPT(output_type) << i << ",3"
|
||||
<< RIGHT_ARRAY_SUBSCRIPT(output_type) << "=" << var2_col << ";" << endl
|
||||
<< "hp" << LEFT_ARRAY_SUBSCRIPT(output_type) << i << ",4"
|
||||
<< RIGHT_ARRAY_SUBSCRIPT(output_type) << "=" << param_col << ";" << endl
|
||||
<< "hp" << LEFT_ARRAY_SUBSCRIPT(output_type) << i << ",5"
|
||||
<< RIGHT_ARRAY_SUBSCRIPT(output_type) << "=";
|
||||
d2->writeOutput(paramsDerivsFile, output_type, params_derivs_temporary_terms, tef_terms);
|
||||
paramsDerivsFile << ";" << endl;
|
||||
third_derivs1_output << "hp" << LEFT_ARRAY_SUBSCRIPT(output_type) << i << ",1"
|
||||
<< RIGHT_ARRAY_SUBSCRIPT(output_type) << "=" << eq+1 << ";" << endl
|
||||
<< "hp" << LEFT_ARRAY_SUBSCRIPT(output_type) << i << ",2"
|
||||
<< RIGHT_ARRAY_SUBSCRIPT(output_type) << "=" << var1_col << ";" << endl
|
||||
<< "hp" << LEFT_ARRAY_SUBSCRIPT(output_type) << i << ",3"
|
||||
<< RIGHT_ARRAY_SUBSCRIPT(output_type) << "=" << var2_col << ";" << endl
|
||||
<< "hp" << LEFT_ARRAY_SUBSCRIPT(output_type) << i << ",4"
|
||||
<< RIGHT_ARRAY_SUBSCRIPT(output_type) << "=" << param_col << ";" << endl
|
||||
<< "hp" << LEFT_ARRAY_SUBSCRIPT(output_type) << i << ",5"
|
||||
<< RIGHT_ARRAY_SUBSCRIPT(output_type) << "=";
|
||||
d2->writeOutput(third_derivs1_output, output_type, params_derivs_temporary_terms, tef_terms);
|
||||
third_derivs1_output << ";" << endl;
|
||||
}
|
||||
|
||||
if (julia)
|
||||
paramsDerivsFile << "(rp, gp, rpp, gpp, hp)" << endl;
|
||||
paramsDerivsFile << "end" << endl
|
||||
<< "end" << endl;
|
||||
|
||||
ofstream paramsDerivsFile;
|
||||
string filename = julia ? basename + "StaticParamsDerivs.jl" : basename + "_static_params_derivs.m";
|
||||
paramsDerivsFile.open(filename.c_str(), ios::out | ios::binary);
|
||||
if (!paramsDerivsFile.is_open())
|
||||
{
|
||||
cerr << "ERROR: Can't open file " << filename << " for writing" << endl;
|
||||
exit(EXIT_FAILURE);
|
||||
}
|
||||
|
||||
if (!julia)
|
||||
{
|
||||
// Check that we don't have more than 32 nested parenthesis because Matlab does not suppor this. See Issue #1201
|
||||
map<string, string> tmp_paren_vars;
|
||||
bool message_printed = false;
|
||||
fixNestedParenthesis(model_output, tmp_paren_vars, message_printed);
|
||||
fixNestedParenthesis(model_local_vars_output, tmp_paren_vars, message_printed);
|
||||
fixNestedParenthesis(jacobian_output, tmp_paren_vars, message_printed);
|
||||
fixNestedParenthesis(hessian_output, tmp_paren_vars, message_printed);
|
||||
fixNestedParenthesis(hessian1_output, tmp_paren_vars, message_printed);
|
||||
fixNestedParenthesis(third_derivs_output, tmp_paren_vars, message_printed);
|
||||
fixNestedParenthesis(third_derivs1_output, tmp_paren_vars, message_printed);
|
||||
|
||||
paramsDerivsFile << "function [rp, gp, rpp, gpp, hp] = " << basename << "_static_params_derivs(y, x, params)" << endl
|
||||
<< "%" << endl
|
||||
<< "% Status : Computes derivatives of the static model with respect to the parameters" << endl
|
||||
<< "%" << endl
|
||||
<< "% Inputs : " << endl
|
||||
<< "% y [M_.endo_nbr by 1] double vector of endogenous variables in declaration order" << endl
|
||||
<< "% x [M_.exo_nbr by 1] double vector of exogenous variables in declaration order" << endl
|
||||
<< "% params [M_.param_nbr by 1] double vector of parameter values in declaration order" << endl
|
||||
<< "%" << endl
|
||||
<< "% Outputs:" << endl
|
||||
<< "% rp [M_.eq_nbr by #params] double Jacobian matrix of static model equations with respect to parameters " << endl
|
||||
<< "% Dynare may prepend or append auxiliary equations, see M_.aux_vars" << endl
|
||||
<< "% gp [M_.endo_nbr by M_.endo_nbr by #params] double Derivative of the Jacobian matrix of the static model equations with respect to the parameters" << endl
|
||||
<< "% rows: variables in declaration order" << endl
|
||||
<< "% rows: equations in order of declaration" << endl
|
||||
<< "% rpp [#second_order_residual_terms by 4] double Hessian matrix of second derivatives of residuals with respect to parameters;" << endl
|
||||
<< "% rows: respective derivative term" << endl
|
||||
<< "% 1st column: equation number of the term appearing" << endl
|
||||
<< "% 2nd column: number of the first parameter in derivative" << endl
|
||||
<< "% 3rd column: number of the second parameter in derivative" << endl
|
||||
<< "% 4th column: value of the Hessian term" << endl
|
||||
<< "% gpp [#second_order_Jacobian_terms by 5] double Hessian matrix of second derivatives of the Jacobian with respect to the parameters;" << endl
|
||||
<< "% rows: respective derivative term" << endl
|
||||
<< "% 1st column: equation number of the term appearing" << endl
|
||||
<< "% 2nd column: column number of variable in Jacobian of the static model" << endl
|
||||
<< "% 3rd column: number of the first parameter in derivative" << endl
|
||||
<< "% 4th column: number of the second parameter in derivative" << endl
|
||||
<< "% 5th column: value of the Hessian term" << endl
|
||||
<< "%" << endl
|
||||
<< "%" << endl
|
||||
<< "% Warning : this file is generated automatically by Dynare" << endl
|
||||
<< "% from model file (.mod)" << endl << endl
|
||||
<< model_local_vars_output.str()
|
||||
<< model_output.str()
|
||||
<< "rp = zeros(" << equation_number() << ", "
|
||||
<< symbol_table.param_nbr() << ");" << endl
|
||||
<< jacobian_output.str()
|
||||
<< "gp = zeros(" << equation_number() << ", " << symbol_table.endo_nbr() << ", "
|
||||
<< symbol_table.param_nbr() << ");" << endl
|
||||
<< hessian_output.str()
|
||||
<< "if nargout >= 3" << endl
|
||||
<< "rpp = zeros(" << residuals_params_second_derivatives.size() << ",4);" << endl
|
||||
<< hessian1_output.str()
|
||||
<< "gpp = zeros(" << jacobian_params_second_derivatives.size() << ",5);" << endl
|
||||
<< third_derivs_output.str()
|
||||
<< "end" << endl
|
||||
<< "if nargout >= 5" << endl
|
||||
<< "hp = zeros(" << hessian_params_derivatives.size() << ",5);" << endl
|
||||
<< third_derivs1_output.str()
|
||||
<< "end" << endl
|
||||
<< "end" << endl;
|
||||
}
|
||||
else
|
||||
paramsDerivsFile << "module " << basename << "StaticParamsDerivs" << endl
|
||||
<< "#" << endl
|
||||
<< "# NB: this file was automatically generated by Dynare" << endl
|
||||
<< "# from " << basename << ".mod" << endl
|
||||
<< "#" << endl
|
||||
<< "export params_derivs" << endl << endl
|
||||
<< "function params_derivs(y, x, params)" << endl
|
||||
<< model_local_vars_output.str()
|
||||
<< model_output.str()
|
||||
<< "rp = zeros(" << equation_number() << ", "
|
||||
<< symbol_table.param_nbr() << ");" << endl
|
||||
<< jacobian_output.str()
|
||||
<< "gp = zeros(" << equation_number() << ", " << symbol_table.endo_nbr() << ", "
|
||||
<< symbol_table.param_nbr() << ");" << endl
|
||||
<< hessian_output.str()
|
||||
<< "rpp = zeros(" << residuals_params_second_derivatives.size() << ",4);" << endl
|
||||
<< hessian1_output.str()
|
||||
<< "gpp = zeros(" << jacobian_params_second_derivatives.size() << ",5);" << endl
|
||||
<< third_derivs_output.str()
|
||||
<< "hp = zeros(" << hessian_params_derivatives.size() << ",5);" << endl
|
||||
<< third_derivs1_output.str()
|
||||
<< "(rp, gp, rpp, gpp, hp)" << endl
|
||||
<< "end" << endl
|
||||
<< "end" << endl;
|
||||
|
||||
paramsDerivsFile.close();
|
||||
}
|
||||
|
|
|
|||
Loading…
Reference in New Issue