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Added routines for steady state computation (julia).

time-shift
Stéphane Adjemian (Hermes) 2016-06-13 11:58:43 +02:00
parent f21367797c
commit 9ca893ca1d
7 changed files with 187 additions and 11 deletions
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3
julia/DynareModel.jl
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@ -18,8 +18,7 @@ module DynareModel
# along with Dynare. If not, see <http://www.gnu.org/licenses/>.
##
export Endo, Exo, ExoDet, Param, dynare_model
export Model, Endo, Exo, ExoDet, Param, dynare_model
abstract Atom

2
julia/DynareOptions.jl
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@ -19,7 +19,7 @@ module DynareOptions
##
export dynare_options
export Options, dynare_options
type Options
dynare_version::ASCIIString

5
julia/DynareOutput.jl
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@ -18,8 +18,7 @@ module DynareOutput
# along with Dynare. If not, see <http://www.gnu.org/licenses/>.
##
export dynare_output
export Ouput, dynare_output
type Output
dynare_version::ASCIIString
@ -28,7 +27,7 @@ type Output
end
function dynare_output()
return Output("", # dynare_version
return Output("", # dynare_version
Array(Float64, 0), # steady_state
Array(Float64, 0) # exo_steady_state
)

96
julia/SteadyState.jl Normal file
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@ -0,0 +1,96 @@
module SteadyState
##
# Copyright (C) 2016 Dynare Team
#
# This file is part of Dynare.
#
# Dynare is free software: you can redistribute it and/or modify
# it under the terms of the GNU General Public License as published by
# the Free Software Foundation, either version 3 of the License, or
# (at your option) any later version.
#
# Dynare is distributed in the hope that it will be useful,
# but WITHOUT ANY WARRANTY; without even the implied warranty of
# MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the
# GNU General Public License for more details.
#
# You should have received a copy of the GNU General Public License
# along with Dynare. If not, see <http://www.gnu.org/licenses/>.
##
using NLsolve
import DynareModel.Model
import DynareOutput.Output
export steady, steady!
export steady_state, steady_state!
function steady(model::Model, oo::Output)
if model.analytical_steady_state || model.user_written_analytical_steady_state
steadystate = zeros(length(model.endo))
model.steady_state(steadystate, oo.exo_steady_state, model.params)
return steadystate
else
error("You have to provide a closed form solution for the steady state, or declare a guess\nfor the steady state as a third input argument.")
end
end
function steady!(model::Model, oo::Output)
if model.analytical_steady_state || model.user_written_analytical_steady_state
model.steady_state(oo.steady_state, oo.exo_steady_state, model.params)
return
else
error("You have to provide a closed form solution for the steady state, or declare a guess\nfor the steady state as a third input argument.")
end
end
function steady(model::Model, oo::Output, yinit::Vector{Float64})
ojectivefunction!(y::Vector{Float64}, fval::Vector{Float64}, fjac::Array{Float64}) = model.static(y, oo.exo_steady_state, model.params, fval, fjac)
r = nlsolve(only_fg!(ojectivefunction!), yinit, show_trace=false)
if converged(r)
return r.zero
else
return fill(nan(Float64), length(yinit))
end
end
function steady!(model::Model, oo::Output, yinit::Vector{Float64})
ojectivefunction!(y::Vector{Float64}, fval::Vector{Float64}, fjac::Array{Float64}) = model.static(y, oo.exo_steady_state, model.params, fval, fjac)
r = nlsolve(only_fg!(ojectivefunction!), yinit, show_trace=false)
if converged(r)
oo.steady_state = r.zero
else
oo.steady_state = fill(nan(Float64), length(yinit))
end
end
function steady_state(model::Model, oo::Output)
ys = steady(model, oo)
display_steady_state(model, oo, ys)
end
function steady_state!(model::Model, oo::Output)
steady!(model, oo)
display_steady_state(model, oo, oo.steady_state)
end
function display_steady_state(model::Model, oo::Output, ys::Vector{Float64})
println("\n\nSTEADY STATE:\n")
for i = 1:length(model.endo)
println(string(model.endo[i].name, " = ", ys[i]))
end
end
function issteadystate(model::Model, oo::Output, ys::Vector{Float64})
residuals = zeros(Float64, length(ys))
compute_static_model_residuals!(model, oo, ys, residuals)
return maximum(abs(residuals))<1e-6
end
function compute_static_model_residuals!(model::Model, oo::Output, ys::Vector{Float64}, residuals::Vector{Float64})
model.static(ys, oo.exo_steady_state, model.params, residuals)
end
end

7
preprocessor/ModFile.cc
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@ -1104,11 +1104,12 @@ ModFile::writeExternalFilesJulia(const string &basename, FileOutputType output)
<< "#" << endl
<< "# NB: this file was automatically generated by Dynare" << endl
<< "# from " << basename << ".mod" << endl
<< "#" << endl
<< "#" << endl << endl
<< "using DynareModel" << endl
<< "using DynareOptions" << endl
<< "using DynareOutput" << endl
<< "using DynareOutput" << endl << endl
<< "using Utils" << endl
<< "using SteadyState" << endl << endl
<< "using " << basename << "Static" << endl
<< "using " << basename << "Dynamic" << endl
<< "if isfile(\"" << basename << "SteadyState.jl" "\")" << endl
@ -1197,7 +1198,7 @@ ModFile::writeExternalFilesJulia(const string &basename, FileOutputType output)
<< " using " << basename << "DynamicParamsDerivs" << endl
<< " model_.dynamic_params_derivs = " << basename << "DynamicParamsDerivs.params_derivs" << endl
<< "end" << endl
<< "end" << endl;
<< "end" << endl;
jlOutputFile.close();
cout << "done" << endl;
}

81
tests/julia/rbc/test1.jl
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@ -10,4 +10,83 @@ importall Dynare
@dynare "rbc1.mod"
print(model_.fname)
importall SteadyState
# First call to the steady state routine (analytical)
@time SteadyState.steady!(model_, oo_)
# First call to the steady state routine (analytical)
@time SteadyState.steady!(model_, oo_)
paramsinit = copy(model_.params);
yinit = deepcopy(oo_.steady_state)
y_init = copy(yinit)
y_init[1] = 1.1*yinit[1]
y_init[2] = 0.9*yinit[2]
# First call to the steady state routine (numerical)
println("First call to the numerical steady state routine")
@time SteadyState.steady!(model_, oo_, yinit)
# Check results
@assert maximum(abs(oo_.steady_state-yinit))<1e-9
y_init = copy(yinit)
yinit[1] = 1.1*yinit[1]
yinit[2] = 0.9*yinit[2]
# Second call to the steady state routine (numerical)
println("Second call to the numerical steady state routine")
@time SteadyState.steady!(model_, oo_, yinit)
# change alpha
println("Change α")
model_.params[4] = max(min(1.0, model_.params[4]*1.2), 0.0)
ys = SteadyState.steady(model_, oo_)
y_init = copy(yinit)
@time SteadyState.steady!(model_, oo_, y_init)
y_init = copy(yinit)
@time SteadyState.steady!(model_, oo_, y_init)
@assert maximum(abs(oo_.steady_state-ys))<1e-9
# change delta
println("Change δ")
model_.params[6] = max(min(1.0, model_.params[6]*1.2), 0.0)
ys = SteadyState.steady(model_, oo_)
y_init = copy(yinit)
@time SteadyState.steady!(model_, oo_, y_init)
y_init = copy(yinit)
@time SteadyState.steady!(model_, oo_, y_init)
@assert maximum(abs(oo_.steady_state-ys))<1e-9
# change beta
println("Change β")
model_.params[1] = max(min(1-1e-6, model_.params[1]*0.99), 0.0)
ys = SteadyState.steady(model_, oo_)
y_init = copy(yinit)
@time SteadyState.steady!(model_, oo_, y_init)
y_init = copy(yinit)
@time SteadyState.steady!(model_, oo_, y_init)
@assert maximum(abs(oo_.steady_state-ys))<1e-9
# change tau
println("Change τ")
model_.params[3] /= 1.5
ys = SteadyState.steady(model_, oo_)
y_init = copy(yinit)
@time SteadyState.steady!(model_, oo_, y_init)
y_init = copy(yinit)
@time SteadyState.steady!(model_, oo_, y_init)
@assert maximum(abs(oo_.steady_state-ys))<1e-9
# change Epsilon
println("Change ϵ")
model_.params[5] *= 1.5
ys = SteadyState.steady(model_, oo_)
y_init = copy(yinit)
@time SteadyState.steady!(model_, oo_, y_init)
y_init = copy(yinit)
@time SteadyState.steady!(model_, oo_, y_init)
@assert maximum(abs(oo_.steady_state-ys))<1e-9

4
tests/julia/rbc/test2.jl
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@ -11,4 +11,6 @@ importall Dynare
@dynare "rbc2.mod"
print(model_.fname)
importall SteadyState
steady!(model_, oo_)