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preprocessor: only compute first order derivatives w.r.t. parameters with identification. closes #1187

time-shift
Houtan Bastani 2016-05-12 12:02:34 +02:00
parent 89667ea8da
commit 9d26ab46e9
8 changed files with 65 additions and 52 deletions
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2
preprocessor/ComputingTasks.cc
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@ -1253,7 +1253,7 @@ PlannerObjectiveStatement::getPlannerObjective() const
void
PlannerObjectiveStatement::computingPass()
{
model_tree->computingPass(eval_context_t(), false, true, true, false, false, false);
model_tree->computingPass(eval_context_t(), false, true, true, none, false, false);
}
void

6
preprocessor/DynamicModel.cc
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@ -3113,7 +3113,7 @@ DynamicModel::runTrendTest(const eval_context_t &eval_context)
}
void
DynamicModel::computingPass(bool jacobianExo, bool hessian, bool thirdDerivatives, bool paramsDerivatives,
DynamicModel::computingPass(bool jacobianExo, bool hessian, bool thirdDerivatives, FileOutputType paramsDerivatives,
const eval_context_t &eval_context, bool no_tmp_terms, bool block, bool use_dll,
bool bytecode, bool compute_xrefs)
{
@ -3148,10 +3148,10 @@ DynamicModel::computingPass(bool jacobianExo, bool hessian, bool thirdDerivative
computeHessian(vars);
}
if (paramsDerivatives)
if (paramsDerivatives != none)
{
cout << " - derivatives of Jacobian/Hessian w.r. to parameters" << endl;
computeParamsDerivatives();
computeParamsDerivatives(paramsDerivatives);
if (!no_tmp_terms)
computeParamsDerivativesTemporaryTerms();

2
preprocessor/DynamicModel.hh
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@ -212,7 +212,7 @@ public:
\param eval_context evaluation context for normalization
\param no_tmp_terms if true, no temporary terms will be computed in the dynamic files
*/
void computingPass(bool jacobianExo, bool hessian, bool thirdDerivatives, bool paramsDerivatives,
void computingPass(bool jacobianExo, bool hessian, bool thirdDerivatives, FileOutputType paramsDerivatives,
const eval_context_t &eval_context, bool no_tmp_terms, bool block, bool use_dll, bool bytecode, bool compute_xrefs);
//! Writes model initialization and lead/lag incidence matrix to output
void writeOutput(ostream &output, const string &basename, bool block, bool byte_code, bool use_dll, int order, bool estimation_present, bool compute_xrefs, bool julia) const;

17
preprocessor/ModFile.cc
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@ -489,8 +489,11 @@ ModFile::computingPass(bool no_tmp_terms, FileOutputType output, bool compute_xr
const bool static_hessian = mod_file_struct.identification_present
|| mod_file_struct.estimation_analytic_derivation;
const bool paramsDerivatives = mod_file_struct.identification_present
|| mod_file_struct.estimation_analytic_derivation;
FileOutputType paramsDerivatives = none;
if (mod_file_struct.identification_present)
paramsDerivatives = first;
if (mod_file_struct.estimation_analytic_derivation)
paramsDerivatives = third;
static_model.computingPass(global_eval_context, no_tmp_terms, static_hessian,
false, paramsDerivatives, block, byte_code);
}
@ -502,7 +505,7 @@ ModFile::computingPass(bool no_tmp_terms, FileOutputType output, bool compute_xr
|| mod_file_struct.calib_smoother_present)
{
if (mod_file_struct.perfect_foresight_solver_present)
dynamic_model.computingPass(true, false, false, false, global_eval_context, no_tmp_terms, block, use_dll, byte_code, compute_xrefs);
dynamic_model.computingPass(true, false, false, none, global_eval_context, no_tmp_terms, block, use_dll, byte_code, compute_xrefs);
else
{
if (mod_file_struct.stoch_simul_present
@ -523,12 +526,16 @@ ModFile::computingPass(bool no_tmp_terms, FileOutputType output, bool compute_xr
bool thirdDerivatives = mod_file_struct.order_option == 3
|| mod_file_struct.estimation_analytic_derivation
|| output == third;
bool paramsDerivatives = mod_file_struct.identification_present || mod_file_struct.estimation_analytic_derivation;
FileOutputType paramsDerivatives = none;
if (mod_file_struct.identification_present)
paramsDerivatives = first;
if (mod_file_struct.estimation_analytic_derivation)
paramsDerivatives = third;
dynamic_model.computingPass(true, hessian, thirdDerivatives, paramsDerivatives, global_eval_context, no_tmp_terms, block, use_dll, byte_code, compute_xrefs);
}
}
else // No computing task requested, compute derivatives up to 2nd order by default
dynamic_model.computingPass(true, true, false, false, global_eval_context, no_tmp_terms, block, use_dll, byte_code, compute_xrefs);
dynamic_model.computingPass(true, true, false, none, global_eval_context, no_tmp_terms, block, use_dll, byte_code, compute_xrefs);
}
for (vector<Statement *>::iterator it = statements.begin();

77
preprocessor/ModelTree.cc
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@ -1657,8 +1657,10 @@ ModelTree::sparseHelper(int order, ostream &output, int row_nb, int col_nb, Expr
}
void
ModelTree::computeParamsDerivatives()
ModelTree::computeParamsDerivatives(FileOutputType paramsDerivatives)
{
if (!(paramsDerivatives == first || paramsDerivatives == second || paramsDerivatives == third))
return;
set<int> deriv_id_set;
addAllParamDerivId(deriv_id_set);
@ -1675,18 +1677,19 @@ ModelTree::computeParamsDerivatives()
residuals_params_derivatives[make_pair(eq, param)] = d1;
}
for (first_derivatives_t::const_iterator it2 = residuals_params_derivatives.begin();
it2 != residuals_params_derivatives.end(); it2++)
{
int eq = it2->first.first;
int param1 = it2->first.second;
expr_t d1 = it2->second;
if (paramsDerivatives == second || paramsDerivatives == third)
for (first_derivatives_t::const_iterator it2 = residuals_params_derivatives.begin();
it2 != residuals_params_derivatives.end(); it2++)
{
int eq = it2->first.first;
int param1 = it2->first.second;
expr_t d1 = it2->second;
expr_t d2 = d1->getDerivative(param);
if (d2 == Zero)
continue;
residuals_params_second_derivatives[make_pair(eq, make_pair(param1, param))] = d2;
}
expr_t d2 = d1->getDerivative(param);
if (d2 == Zero)
continue;
residuals_params_second_derivatives[make_pair(eq, make_pair(param1, param))] = d2;
}
for (first_derivatives_t::const_iterator it2 = first_derivatives.begin();
it2 != first_derivatives.end(); it2++)
@ -1701,33 +1704,35 @@ ModelTree::computeParamsDerivatives()
jacobian_params_derivatives[make_pair(eq, make_pair(var, param))] = d2;
}
for (second_derivatives_t::const_iterator it2 = jacobian_params_derivatives.begin();
it2 != jacobian_params_derivatives.end(); it2++)
{
int eq = it2->first.first;
int var = it2->first.second.first;
int param1 = it2->first.second.second;
expr_t d1 = it2->second;
if (paramsDerivatives == second || paramsDerivatives == third)
for (second_derivatives_t::const_iterator it2 = jacobian_params_derivatives.begin();
it2 != jacobian_params_derivatives.end(); it2++)
{
int eq = it2->first.first;
int var = it2->first.second.first;
int param1 = it2->first.second.second;
expr_t d1 = it2->second;
expr_t d2 = d1->getDerivative(param);
if (d2 == Zero)
continue;
jacobian_params_second_derivatives[make_pair(eq, make_pair(var, make_pair(param1, param)))] = d2;
}
expr_t d2 = d1->getDerivative(param);
if (d2 == Zero)
continue;
jacobian_params_second_derivatives[make_pair(eq, make_pair(var, make_pair(param1, param)))] = d2;
}
for (second_derivatives_t::const_iterator it2 = second_derivatives.begin();
it2 != second_derivatives.end(); it2++)
{
int eq = it2->first.first;
int var1 = it2->first.second.first;
int var2 = it2->first.second.second;
expr_t d1 = it2->second;
if (paramsDerivatives == third)
for (second_derivatives_t::const_iterator it2 = second_derivatives.begin();
it2 != second_derivatives.end(); it2++)
{
int eq = it2->first.first;
int var1 = it2->first.second.first;
int var2 = it2->first.second.second;
expr_t d1 = it2->second;
expr_t d2 = d1->getDerivative(param);
if (d2 == Zero)
continue;
hessian_params_derivatives[make_pair(eq, make_pair(var1, make_pair(var2, param)))] = d2;
}
expr_t d2 = d1->getDerivative(param);
if (d2 == Zero)
continue;
hessian_params_derivatives[make_pair(eq, make_pair(var1, make_pair(var2, param)))] = d2;
}
}
}

5
preprocessor/ModelTree.hh
View File

@ -1,5 +1,5 @@
/*
* Copyright (C) 2003-2015 Dynare Team
* Copyright (C) 2003-2016 Dynare Team
*
* This file is part of Dynare.
*
@ -29,6 +29,7 @@ using namespace std;
#include <ostream>
#include "DataTree.hh"
#include "ExtendedPreprocessorTypes.hh"
//! Vector describing equations: BlockSimulationType, if BlockSimulationType == EVALUATE_s then a expr_t on the new normalized equation
typedef vector<pair<EquationType, expr_t > > equation_type_and_normalized_equation_t;
@ -176,7 +177,7 @@ protected:
/*! \param vars the derivation IDs w.r. to which derive the 2nd derivatives */
void computeThirdDerivatives(const set<int> &vars);
//! Computes derivatives of the Jacobian and Hessian w.r. to parameters
void computeParamsDerivatives();
void computeParamsDerivatives(FileOutputType paramsDerivatives);
//! Write derivative of an equation w.r. to a variable
void writeDerivative(ostream &output, int eq, int symb_id, int lag, ExprNodeOutputType output_type, const temporary_terms_t &temporary_terms) const;
//! Computes temporary terms (for all equations and derivatives)

6
preprocessor/StaticModel.cc
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@ -1047,7 +1047,7 @@ StaticModel::collect_first_order_derivatives_endogenous()
}
void
StaticModel::computingPass(const eval_context_t &eval_context, bool no_tmp_terms, bool hessian, bool thirdDerivatives, bool paramsDerivatives, bool block, bool bytecode)
StaticModel::computingPass(const eval_context_t &eval_context, bool no_tmp_terms, bool hessian, bool thirdDerivatives, FileOutputType paramsDerivatives, bool block, bool bytecode)
{
initializeVariablesAndEquations();
@ -1095,10 +1095,10 @@ StaticModel::computingPass(const eval_context_t &eval_context, bool no_tmp_terms
computeThirdDerivatives(vars);
}
if (paramsDerivatives)
if (paramsDerivatives != none)
{
cout << " - derivatives of Jacobian/Hessian w.r. to parameters" << endl;
computeParamsDerivatives();
computeParamsDerivatives(paramsDerivatives);
if (!no_tmp_terms)
computeParamsDerivativesTemporaryTerms();

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