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Merge pull request #340 from FerhatMihoubi/master 

last commits
time-shift
Stéphane Adjemian 2013-03-22 12:37:36 -07:00
parent 214ff84429 33bac21c33
commit a5e9c7bef4
24 changed files with 7602 additions and 3030 deletions
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8
matlab/load_csv_file_data.m
View File

@ -107,12 +107,20 @@ fclose(fid);
% Set newline code (ok for *nix, check for mac and windows)
if isunix
newline_code = 10;
elseif ispc
newline_code = 13;
elseif ismac
newline_code = 10;
else
error('readcsv:: Not implemented for your OS!')
end
% Get the positions of the end-of-line code;
end_of_line_locations = find(bfile==newline_code);
if ispc && isempty(end_of_line_locations)
newline_code=10;
end_of_line_locations = find(bfile==newline_code);
end;
tmp = find(bfile==newline_code);
% Get the number of lines in the file.

20
matlab/read_variables.m
View File

@ -102,6 +102,26 @@ switch (extension)
end
dyn_data_01(:,dyn_i_01) = dyn_tmp_01;
end
case '.csv'
[freq,init,data,varlist] = load_csv_file_data(fullname);
disp('size(data)');
size(data)
% for i=1:length(varlist)
% if isnan(varlist)
% varlist(1,i) = ' ';
% end
% end
%var_names_01 = deblank(var_names_01);
for dyn_i_01=1:var_size_01
iv = strmatch(deblank(var_names_01(dyn_i_01,:)),varlist,'exact') + 1;
dyn_tmp_01 = [data(2:end,iv)]';
if length(dyn_tmp_01) > dyn_size_01 && dyn_size_01 > 0
cd(old_pwd)
error('data size is too large')
end
dyn_data_01(:,dyn_i_01) = dyn_tmp_01;
end
otherwise
cd(old_pwd)
error(['Unsupported extension for datafile: ' extension])

109
matlab/solve_two_boundaries.m
View File

@ -74,69 +74,11 @@ g1=spalloc( Blck_size*periods, Jacobian_Size, nze*periods);
reduced = 0;
while ~(cvg==1 || iter>maxit_),
[r, y, g1, g2, g3, b]=feval(fname, y, x, params, steady_state, periods, 0, y_kmin, Blck_size);
% fjac = zeros(Blck_size, Blck_size*(y_kmin_l+1+y_kmax_l));
% disp(['Blck_size=' int2str(Blck_size) ' size(y_index)=' int2str(size(y_index,2))]);
% dh = max(abs(y(y_kmin+1-y_kmin_l:y_kmin+1+y_kmax_l, y_index)),options_.gstep*ones(y_kmin_l+1+y_kmax_l, Blck_size))*eps^(1/3);
% fvec = r;
% %for i = y_kmin+1-y_kmin_l:y_kmin+1+y_kmax_l
% i = y_kmin+1;
% i
% for j = 1:Blck_size
% ydh = y ;
% ydh(i, y_index(j)) = ydh(i, y_index(j)) + dh(i, j) ;
% if(j==11 && i==2)
% disp(['y(i,y_index(11)=' int2str(y_index(11)) ')= ' num2str(y(i,y_index(11))) ' ydh(i, y_index(j))=' num2str(ydh(i, y_index(j))) ' dh(i,j)= ' num2str(dh(i,j))]);
% end;
% [t, y1, g11, g21, g31, b1]=feval(fname, ydh, x, params, periods, 0, y_kmin, Blck_size);
% fjac(:,j+(i-(y_kmin+1-y_kmin_l))*Blck_size) = (t(:, 1+y_kmin) - fvec(:, 1+y_kmin))./dh(i, j) ;
% if(j==11 && i==2)
% disp(['fjac(:,' int2str(j+(i-(y_kmin+1-y_kmin_l))*Blck_size) ')=']);
% disp([num2str(fjac(:,j+(i-(y_kmin+1-y_kmin_l))*Blck_size))]);
% end;
% end;
% % end
% %diff = g1(1:Blck_size, 1:Blck_size*(y_kmin_l+1+y_kmax_l)) -fjac;
% diff = g1(1:Blck_size, y_kmin_l*Blck_size+1:(y_kmin_l+1)*Blck_size) -fjac(1:Blck_size, y_kmin_l*Blck_size+1:(y_kmin_l+1)*Blck_size);
% disp(diff);
% [c_max, i_c_max] = max(abs(diff));
% [l_c_max, i_r_max] = max(c_max);
% disp(['maximum element row=' int2str(i_c_max(i_r_max)) ' and column=' int2str(i_r_max) ' value = ' num2str(l_c_max)]);
% equation = i_c_max(i_r_max);
% variable = i_r_max;
% variable
% disp(['equation ' int2str(equation) ' and variable ' int2str(y_index(mod(variable, Blck_size))) ' ' M_.endo_names(y_index(mod(variable, Blck_size)), :)]);
% disp(['g1(' int2str(equation) ', ' int2str(variable) ')=' num2str(g1(equation, y_kmin_l*Blck_size+variable),'%3.10f') ' fjac(' int2str(equation) ', ' int2str(variable) ')=' num2str(fjac(equation, y_kmin_l*Blck_size+variable), '%3.10f')]);
% return;
% for i=1:periods;
% disp([sprintf('%5.14f ',[T9025(i) T1149(i) T11905(i)])]);
% end;
% return;
%residual = r(:,y_kmin+1:y_kmin+1+y_kmax_l);
%num2str(residual,' %1.6f')
%jac_ = g1(1:(y_kmin)*Blck_size, 1:(y_kmin+1+y_kmax_l)*Blck_size);
%jac_
preconditioner = 2;
g1a=g1(:, y_kmin*Blck_size+1:(periods+y_kmin)*Blck_size);
term1 = g1(:, 1:y_kmin_l*Blck_size)*reshape(y(1+y_kmin-y_kmin_l:y_kmin,y_index)',1,y_kmin_l*Blck_size)';
term2 = g1(:, (periods+y_kmin_l)*Blck_size+1:(periods+y_kmin_l+y_kmax_l)*Blck_size)*reshape(y(periods+y_kmin+1:periods+y_kmin+y_kmax_l,y_index)',1,y_kmax_l*Blck_size)';
b = b - term1 - term2;
% fid = fopen(['result' num2str(iter)],'w');
% fg1a = full(g1a);
% fprintf(fid,'%d\n',size(fg1a,1));
% fprintf(fid,'%d\n',size(fg1a,2));
% fprintf(fid,'%5.14f\n',fg1a);
% fprintf(fid,'%d\n',size(b,1));
% fprintf(fid,'%5.14f\n',b);
% fclose(fid);
% return;
%ipconfigb_ = b(1:(1+y_kmin)*Blck_size);
%b_
[max_res, max_indx]=max(max(abs(r')));
if(~isreal(r))
max_res = (-max_res^2)^0.5;
@ -255,7 +197,33 @@ while ~(cvg==1 || iter>maxit_),
elseif(stack_solve_algo==2),
flag1=1;
while(flag1>0)
[L1, U1]=luinc(g1a,luinc_tol);
if preconditioner == 2
[L1, U1]=luinc(g1a,luinc_tol);
elseif preconditioner == 3
Size = Blck_size;
gss1 = g1a(Size + 1: 2*Size,Size + 1: 2*Size) + g1a(Size + 1: 2*Size,2*Size+1: 3*Size);
[L1, U1]=lu(gss1);
L(1:Size,1:Size) = L1;
U(1:Size,1:Size) = U1;
gss2 = g1a(Size + 1: 2*Size,1: Size) + g1a(Size + 1: 2*Size,Size+1: 2*Size) + g1a(Size + 1: 2*Size,2*Size+1: 3*Size);
[L2, U2]=lu(gss2);
L(Size+1:(periods-1)*Size,Size+1:(periods-1)*Size) = kron(eye(periods-2), L2);
U(Size+1:(periods-1)*Size,Size+1:(periods-1)*Size) = kron(eye(periods-2), U2);
gss2 = g1a(Size + 1: 2*Size,1: Size) + g1a(Size + 1: 2*Size,Size+1: 2*Size);
[L3, U3]=lu(gss2);
L((periods-1)*Size+1:periods*Size,(periods-1)*Size+1:periods*Size) = L3;
U((periods-1)*Size+1:periods*Size,(periods-1)*Size+1:periods*Size) = U3;
L1 = L;
U1 = U;
elseif preconditioner == 4
Size = Blck_size;
gss1 = g1a(1: 3*Size, 1: 3*Size);
[L, U] = lu(gss1);
L1 = kron(eye(ceil(periods/3)),L);
U1 = kron(eye(ceil(periods/3)),U);
L1 = L1(1:periods * Size, 1:periods * Size);
U1 = U1(1:periods * Size, 1:periods * Size);
end;
[za,flag1] = gmres(g1a,b,Blck_size,1e-6,Blck_size*periods,L1,U1);
if (flag1>0 || reduced)
if(flag1==1)
@ -276,8 +244,25 @@ while ~(cvg==1 || iter>maxit_),
elseif(stack_solve_algo==3),
flag1=1;
while(flag1>0)
[L1, U1]=luinc(g1a,luinc_tol);
[za,flag1] = bicgstab(g1a,b,1e-7,Blck_size*periods,L1,U1);
if (preconditioner == 3)
Size = Blck_size;
gss0 = g1a(Size + 1: 2*Size,1: Size) + g1a(Size + 1: 2*Size,Size+1: 2*Size) + g1a(Size + 1: 2*Size,2*Size+1: 3*Size);
[L1, U1]=lu(gss0);
P1 = eye(size(gss0));
Q1 = eye(size(gss0));
L = kron(eye(periods),L1);
U = kron(eye(periods),U1);
P = kron(eye(periods),P1);
Q = kron(eye(periods),Q1);
[za,flag1] = bicgstab1(g1a,b,1e-7,Blck_size*periods,L,U, P, Q);
else
Size = Blck_size;
gss0 = g1a(Size + 1: 2*Size,1: Size) + g1a(Size + 1: 2*Size,Size+1: 2*Size) + g1a(Size + 1: 2*Size,2*Size+1: 3*Size);
[L1, U1]=lu(gss0);
L1 = kron(eye(periods),L1);
U1 = kron(eye(periods),U1);
[za,flag1] = bicgstab(g1a,b,1e-7,Blck_size*periods,L1,U1);
end;
if (flag1>0 || reduced)
if(flag1==1)
disp(['Error in simul: No convergence inside BICGSTAB after ' num2str(periods*10,'%6d') ' iterations, in block' num2str(Block_Size,'%3d')]);

4
mex/build/bytecode.am
View File

@ -1,6 +1,6 @@
noinst_PROGRAMS = bytecode
bytecode_CPPFLAGS = $(AM_CPPFLAGS) -I$(top_srcdir)/../../sources/bytecode -I$(top_srcdir)/../../../preprocessor
bytecode_CPPFLAGS = $(AM_CPPFLAGS) -I$(top_srcdir)/../../sources -I$(top_srcdir)/../../sources/bytecode -I$(top_srcdir)/../../../preprocessor
TOPDIR = $(top_srcdir)/../../sources/bytecode
@ -9,8 +9,10 @@ nodist_bytecode_SOURCES = \
$(TOPDIR)/Interpreter.cc \
$(TOPDIR)/Mem_Mngr.cc \
$(TOPDIR)/SparseMatrix.cc \
$(TOPDIR)/Evaluate.cc \
$(TOPDIR)/Interpreter.hh \
$(TOPDIR)/Mem_Mngr.hh \
$(TOPDIR)/SparseMatrix.hh \
$(TOPDIR)/Evaluate.hh \
$(TOPDIR)/ErrorHandling.hh

181
mex/sources/block_kalman_filter/block_kalman_filter.cc
View File

@ -26,10 +26,13 @@
#endif
#include "block_kalman_filter.h"
using namespace std;
//#define BLAS
#define DIRECT
#define BLAS
//#define CUBLAS
#ifdef CUBLAS
#include <cuda_runtime.h>
#include <cublas_v2.h>
#endif
void
mexDisp(mxArray* P)
{
@ -157,7 +160,7 @@ BlockKalmanFilter::BlockKalmanFilter(int nlhs, mxArray *plhs[], int nrhs, const
if (missing_observations)
{
if (! mxIsCell (prhs[0]))
DYN_MEX_FUNC_ERR_MSG_TXT("the first input argument of block_missing_observations_kalman_filter must be a Call Array.");
DYN_MEX_FUNC_ERR_MSG_TXT("the first input argument of block_missing_observations_kalman_filter must be a Cell Array.");
pdata_index = prhs[0];
if (! mxIsDouble (prhs[1]))
DYN_MEX_FUNC_ERR_MSG_TXT("the second input argument of block_missing_observations_kalman_filter must be a scalar.");
@ -234,14 +237,13 @@ BlockKalmanFilter::BlockKalmanFilter(int nlhs, mxArray *plhs[], int nrhs, const
*a = mxGetPr(pa);
tmp_a = (double*)mxMalloc(n * sizeof(double));
dF = 0.0; // det(F).
p_tmp = mxCreateDoubleMatrix(n, n_state, mxREAL);
*tmp = mxGetPr(p_tmp);
p_tmp1 = mxCreateDoubleMatrix(n, n_shocks, mxREAL);
tmp1 = mxGetPr(p_tmp1);
t = 0; // Initialization of the time index.
plik = mxCreateDoubleMatrix(smpl, 1, mxREAL);
lik = mxGetPr(plik);
Inf = mxGetInf();
Inf = mxGetInf();
LIK = 0.0; // Default value of the log likelihood.
notsteady = true; // Steady state flag.
F_singular = true;
@ -287,6 +289,22 @@ BlockKalmanFilter::BlockKalmanFilter(int nlhs, mxArray *plhs[], int nrhs, const
iw = (lapack_int*)mxMalloc(pp * sizeof(lapack_int));
ipiv = (lapack_int*)mxMalloc(pp * sizeof(lapack_int));
info = 0;
#ifdef BLAS || CUBLAS
p_tmp = mxCreateDoubleMatrix(n, n, mxREAL);
*tmp = mxGetPr(p_tmp);
p_P_t_t1 = mxCreateDoubleMatrix(n, n, mxREAL);
*P_t_t1 = mxGetPr(p_P_t_t1);
pK = mxCreateDoubleMatrix(n, n, mxREAL);
*K = mxGetPr(pK);
p_K_P = mxCreateDoubleMatrix(n, n, mxREAL);
*K_P = mxGetPr(p_K_P);
oldK = (double*)mxMalloc(n * n * sizeof(double));
*P_mf = (double*)mxMalloc(n * n * sizeof(double));
for (int i = 0; i < n * n; i++)
oldK[i] = Inf;
#else
p_tmp = mxCreateDoubleMatrix(n, n_state, mxREAL);
*tmp = mxGetPr(p_tmp);
p_P_t_t1 = mxCreateDoubleMatrix(n_state, n_state, mxREAL);
*P_t_t1 = mxGetPr(p_P_t_t1);
pK = mxCreateDoubleMatrix(n, pp, mxREAL);
@ -297,6 +315,7 @@ BlockKalmanFilter::BlockKalmanFilter(int nlhs, mxArray *plhs[], int nrhs, const
*P_mf = (double*)mxMalloc(n * pp * sizeof(double));
for (int i = 0; i < n * pp; i++)
oldK[i] = Inf;
#endif
}
void
@ -424,17 +443,17 @@ BlockKalmanFilter::block_kalman_filter(int nlhs, mxArray *plhs[], double *P_mf,
}
/* Computes the norm of iF */
double anorm = dlange("1", &size_d_index, &size_d_index, iF, &size_d_index, w);
/* Computes the norm of iF */
double anorm = dlange("1", &size_d_index, &size_d_index, iF, &size_d_index, w);
//mexPrintf("anorm = %f\n",anorm);
/* Modifies F in place with a LU decomposition */
dgetrf(&size_d_index, &size_d_index, iF, &size_d_index, ipiv, &info);
if (info != 0) fprintf(stderr, "dgetrf failure with error %d\n", (int) info);
/* Modifies F in place with a LU decomposition */
dgetrf(&size_d_index, &size_d_index, iF, &size_d_index, ipiv, &info);
if (info != 0) mexPrintf("dgetrf failure with error %d\n", (int) info);
/* Computes the reciprocal norm */
dgecon("1", &size_d_index, iF, &size_d_index, &anorm, &rcond, w, iw, &info);
if (info != 0) fprintf(stderr, "dgecon failure with error %d\n", (int) info);
/* Computes the reciprocal norm */
dgecon("1", &size_d_index, iF, &size_d_index, &anorm, &rcond, w, iw, &info);
if (info != 0) mexPrintf("dgecon failure with error %d\n", (int) info);
if (rcond < kalman_tol)
if (not_all_abs_F_bellow_crit(F, size_d_index * size_d_index, kalman_tol)) //~all(abs(F(:))<kalman_tol)
@ -506,7 +525,7 @@ BlockKalmanFilter::block_kalman_filter(int nlhs, mxArray *plhs[], double *P_mf,
//iF = inv(F);
//int lwork = 4/*2*/* pp;
dgetri(&size_d_index, iF, &size_d_index, ipiv, w, &lw, &info);
if (info != 0) fprintf(stderr, "dgetri failure with error %d\n", (int) info);
if (info != 0) mexPrintf("dgetri failure with error %d\n", (int) info);
//lik(t) = log(dF)+transpose(v)*iF*v;
#ifdef USE_OMP
@ -628,14 +647,126 @@ BlockKalmanFilter::block_kalman_filter(int nlhs, mxArray *plhs[], double *P_mf,
double one = 1.0;
double zero = 0.0;
memcpy(P, QQ, n * n *sizeof(double));
dsymm("R", "U", &n, &n,
&one, P_t_t1, &n,
T, &n, &zero,
tmp, &n);
dgemm("N", "T", &n, &n,
&n, &one, tmp, &n,
T, &n, &one,
P, &n);
blas_int n_b = n;
/*mexPrintf("sizeof(n_b)=%d, n_b=%d, sizeof(n)=%d, n=%d\n",sizeof(n_b),n_b,sizeof(n),n);
mexEvalString("drawnow;");*/
dsymm("R", "U", &n_b, &n_b,
&one, P_t_t1, &n_b,
T, &n_b, &zero,
tmp, &n_b);
dgemm("N", "T", &n_b, &n_b,
&n_b, &one, tmp, &n_b,
T, &n_b, &one,
P, &n_b);
#else
#ifdef CUBLAS
for (int i = 0; i < n; i++)
for (int j = i; j < n; j++)
{
double res = 0.0;
//int j_pp = j * pp;
for (int k = 0; k < size_d_index; k++)
res += K[i + k * n] * P_mf[k + j * size_d_index];
K_P[i * n + j] = K_P[j * n + i] = res;
}
//#pragma omp parallel for shared(P, K_P, P_t_t1)
for (int i = size_d_index; i < n; i++)
for (int j = i; j < n; j++)
{
unsigned int k = i * n + j;
P_t_t1[j * n + i] = P_t_t1[k] = P[k] - K_P[k];
}
mexPrintf("CudaBLAS\n");
mexEvalString("drawnow;");
double one = 1.0;
double zero = 0.0;
cublasStatus_t status;
cublasHandle_t handle;
status = cublasCreate(&handle);
if (status != CUBLAS_STATUS_SUCCESS)
{
mexPrintf("!!!! CUBLAS initialization error\n");
return false;
}
/*int device;
cudaGetDevice(&device);*/
int n2 = n * n;
double* d_A = 0;
double* d_B = 0;
double* d_C = 0;
double* d_D = 0;
// Allocate device memory for the matrices
if (cudaMalloc((void**)&d_A, n2 * sizeof(double)) != cudaSuccess)
{
mexPrintf("!!!! device memory allocation error (allocate A)\n");
return false;
}
if (cudaMalloc((void**)&d_B, n2 * sizeof(d_B[0])) != cudaSuccess)
{
mexPrintf("!!!! device memory allocation error (allocate B)\n");
return false;
}
if (cudaMalloc((void**)&d_C, n2 * sizeof(d_C[0])) != cudaSuccess)
{
mexPrintf("!!!! device memory allocation error (allocate C)\n");
return false;
}
if (cudaMalloc((void**)&d_D, n2 * sizeof(d_D[0])) != cudaSuccess)
{
mexPrintf("!!!! device memory allocation error (allocate D)\n");
return false;
}
// Initialize the device matrices with the host matrices
status = cublasSetVector(n2, sizeof(P_t_t1[0]), P_t_t1, 1, d_A, 1);
if (status != CUBLAS_STATUS_SUCCESS)
{
mexPrintf("!!!! device access error (write A)\n");
return false;
}
status = cublasSetVector(n2, sizeof(T[0]), T, 1, d_B, 1);
if (status != CUBLAS_STATUS_SUCCESS)
{
mexPrintf("!!!! device access error (write B)\n");
return false;
}
status = cublasSetVector(n2, sizeof(tmp[0]), tmp, 1, d_C, 1);
if (status != CUBLAS_STATUS_SUCCESS)
{
mexPrintf("!!!! device access error (write C)\n");
return false;
}
mexPrintf("just before calling\n");
mexEvalString("drawnow;");
status = cublasSetVector(n2, sizeof(QQ[0]), QQ, 1, d_D, 1);
if (status != CUBLAS_STATUS_SUCCESS)
{
mexPrintf("!!!! device access error (write D)\n");
return false;
}
// Performs operation using plain C code
cublasDsymm(handle, CUBLAS_SIDE_RIGHT, CUBLAS_FILL_MODE_UPPER, n, n,
&one, d_A, n,
d_B, n, &zero,
d_C, n);
/*dgemm("N", "T", &n_b, &n_b,
&n_b, &one, tmp, &n_b,
T, &n_b, &one,
P, &n_b);*/
cublasDgemm(handle, CUBLAS_OP_N, CUBLAS_OP_T, n, n,
n, &one, d_C, n,
d_B, n, &one,
d_D, n);
//double_symm(n, &one, h_A, h_B, &zero, h_C);
status = cublasGetVector(n2, sizeof(P[0]), d_D, 1, P, 1);
if (status != CUBLAS_STATUS_SUCCESS)
{
mexPrintf("!!!! device access error (read P)\n");
return false;
}
#else
#ifdef USE_OMP
#pragma omp parallel for shared(K_P) num_threads(atoi(getenv("DYNARE_NUM_THREADS")))
@ -717,7 +848,7 @@ BlockKalmanFilter::block_kalman_filter(int nlhs, mxArray *plhs[], double *P_mf,
P[i + j * n] = P[j + i * n];
}
#endif
#endif
if (t >= no_more_missing_observations)
{
double max_abs = 0.0;

253
mex/sources/bytecode/ErrorHandling.hh
View File

@ -23,24 +23,138 @@
#include <cstring>
#include <iostream>
#include <sstream>
#include <map>
#define BYTE_CODE
#include "CodeInterpreter.hh"
#ifdef DEBUG_EX
# include <math>
# include <math.h>
# include "mex_interface.hh"
#endif
#ifdef OCTAVE_MEX_FILE
# define CHAR_LENGTH 1
#else
# define CHAR_LENGTH 2
#endif
#ifdef _MSC_VER
#include <limits>
#define M_E 2.71828182845904523536
#define M_LOG2E 1.44269504088896340736
#define M_LOG10E 0.434294481903251827651
#define M_LN2 0.693147180559945309417
#define M_LN10 2.30258509299404568402
#define M_PI 3.14159265358979323846
#define M_PI_2 1.57079632679489661923
#define M_PI_4 0.785398163397448309616
#define M_1_PI 0.318309886183790671538
#define M_2_PI 0.636619772367581343076
#define M_1_SQRTPI 0.564189583547756286948
#define M_2_SQRTPI 1.12837916709551257390
#define M_SQRT2 1.41421356237309504880
#define M_SQRT_2 0.707106781186547524401
#define NAN numeric_limits<double>::quiet_NaN()
#define isnan(x) _isnan(x)
#define isinf(x) (!_finite(x))
#define fpu_error(x) (isinf(x) || isnan(x))
class MSVCpp_missings
{
public:
inline double
asinh(double x) const
{
if(x==0.0)
return 0.0;
double ax = abs(x);
return log(x+ax*sqrt(1.+1./(ax*ax)));
}
inline double
acosh(double x) const
{
if(x==0.0)
return 0.0;
double ax = abs(x);
return log(x+ax*sqrt(1.-1./(ax*ax)));
}
inline double
atanh(double x) const
{
return log((1+x)/(1-x))/2;
}
inline double
erf(double x) const
{
const double a1 = -1.26551223, a2 = 1.00002368,
a3 = 0.37409196, a4 = 0.09678418,
a5 = -0.18628806, a6 = 0.27886807,
a7 = -1.13520398, a8 = 1.48851587,
a9 = -0.82215223, a10 = 0.17087277;
double v = 1;
double z = abs(x);
if (z <= 0)
return v;
double t = 1 / (1 + 0.5 * z);
v = t*exp((-z*z) +a1+t*(a2+t*(a3+t*(a4+t*(a5+t*(a6+t*(a7+t*(a8+t*(a9+t*a10)))))))));
if (x < 0)
v = 2 - v;
return 1 - v;
}
inline double
nearbyint(double x) const
{
return floor(x + 0.5);
}
inline double
fmax(double x, double y) const
{
if (x > y)
return x;
else
return y;
}
inline double
fmin(double x, double y) const
{
if (x < y)
return x;
else
return y;
}
};
#endif
//#define DEBUG
using namespace std;
const int NO_ERROR_ON_EXIT = 0;
const int ERROR_ON_EXIT = 1;
typedef vector<pair<Tags, void * > > code_liste_type;
typedef code_liste_type::const_iterator it_code_type;
class GeneralExceptionHandling
{
string ErrorMsg;
public:
#ifdef _MSC_VER_
~GeneralExceptionHandling()
{
FreeLibrary(hinstLib);
};
#endif
GeneralExceptionHandling(string ErrorMsg_arg) : ErrorMsg(ErrorMsg_arg)
{
};
@ -121,6 +235,16 @@ public:
};
};
class UserExceptionHandling : public GeneralExceptionHandling
{
double value;
public:
UserExceptionHandling() : GeneralExceptionHandling("Fatal error in bytecode:")
{
completeErrorMsg(" User break\n");
};
};
class FatalExceptionHandling : public GeneralExceptionHandling
{
public:
@ -133,16 +257,40 @@ public:
};
};
class ErrorMsg
struct s_plan
{
string var, exo;
int var_num, exo_num;
vector<pair<int, double> > per_value;
};
#ifdef MATLAB_MEX_FILE
extern "C" bool utIsInterruptPending();
#else
#include <octave/oct.h>
#include <octave/unwind-prot.h>
#endif
#ifdef _MSC_VER
class ErrorMsg : public MSVCpp_missings
#else
class ErrorMsg
#endif
{
private:
bool is_load_variable_list;
public:
double *y, *ya;
int y_size;
double *T;
int nb_row_xd, nb_row_x, y_size;
int nb_row_xd, nb_row_x;
int y_kmin, y_kmax, periods;
double *x, *params;
double *u, *y, *ya;
double *u;
double *steady_y, *steady_x;
double *g2, *g1, *r;
double *g2, *g1, *r, *res;
vector<s_plan> splan, spfplan;
vector<mxArray *> jacobian_block, jacobian_other_endo_block, jacobian_exo_block, jacobian_det_exo_block;
map<unsigned int, double> TEF;
map<pair<unsigned int, unsigned int>, double > TEFD;
@ -150,11 +298,12 @@ public:
ExpressionType EQN_type;
it_code_type it_code_expr;
unsigned int nb_endo, nb_exo, nb_param;
/*unsigned int*/size_t nb_endo, nb_exo, nb_param;
char *P_endo_names, *P_exo_names, *P_param_names;
unsigned int endo_name_length, exo_name_length, param_name_length;
size_t/*unsigned int*/ endo_name_length, exo_name_length, param_name_length;
unsigned int EQN_equation, EQN_block, EQN_block_number;
unsigned int EQN_dvar1, EQN_dvar2, EQN_dvar3;
vector<pair<string, pair<SymbolType, unsigned int> > > Variable_list;
inline
ErrorMsg()
@ -169,6 +318,7 @@ public:
nb_param = mxGetM(mxGetFieldByNumber(M_, 0, mxGetFieldNumber(M_, "param_names")));
param_name_length = mxGetN(mxGetFieldByNumber(M_, 0, mxGetFieldNumber(M_, "param_names")));
P_param_names = (char *) mxGetPr(mxGetFieldByNumber(M_, 0, mxGetFieldNumber(M_, "param_names")));
is_load_variable_list = false;
}
inline string
@ -184,9 +334,9 @@ public:
else
{
if (str[i] == '$')
pos1 = temp.length();
pos1 = int(temp.length());
else
pos2 = temp.length();
pos2 = int(temp.length());
if (pos1 >= 0 && pos2 >= 0)
{
tmp_n.erase(pos1, pos2-pos1+1);
@ -199,6 +349,50 @@ public:
return temp;
}
inline void
load_variable_list()
{
ostringstream res;
for (unsigned int variable_num = 0; variable_num < (unsigned int)nb_endo; variable_num++)
{
for (unsigned int i = 0; i < endo_name_length; i++)
if (P_endo_names[CHAR_LENGTH*(variable_num+i*nb_endo)] != ' ')
res << P_endo_names[CHAR_LENGTH*(variable_num+i*nb_endo)];
Variable_list.push_back(make_pair(res.str(), make_pair(eEndogenous, variable_num)));
}
for (unsigned int variable_num = 0; variable_num < (unsigned int)nb_exo; variable_num++)
{
for (unsigned int i = 0; i < exo_name_length; i++)
if (P_exo_names[CHAR_LENGTH*(variable_num+i*nb_exo)] != ' ')
res << P_exo_names[CHAR_LENGTH*(variable_num+i*nb_exo)];
Variable_list.push_back(make_pair(res.str(), make_pair(eExogenous, variable_num)));
}
}
inline int
get_ID(const string variable_name, SymbolType *variable_type)
{
if (!is_load_variable_list)
{
load_variable_list();
is_load_variable_list = true;
}
size_t n = Variable_list.size();
int i = 0;
bool notfound = true;
while (notfound && i < n)
{
if (variable_name == Variable_list[i].first)
{
notfound = false;
*variable_type = Variable_list[i].second.first;
return Variable_list[i].second.second;
}
i++;
}
return(-1);
}
inline string
get_variable(const SymbolType variable_type, const unsigned int variable_num) const
{
@ -293,7 +487,6 @@ public:
break;
default:
return ("???");
break;
}
else
switch (EQN_type)
@ -342,7 +535,6 @@ public:
break;
default:
return ("???");
break;
}
it_code_type it_code_ret;
Error_loc << endl << add_underscore_to_fpe(" " + print_expression(it_code_expr, evaluate, size, block_num, steady_state, Per_u_, it_, it_code_ret, true));
@ -378,6 +570,12 @@ public:
while (go_on)
{
#ifdef OCTAVE_MEX_FILE
OCTAVE_QUIT;
#else
if ( utIsInterruptPending() )
throw UserExceptionHandling();
#endif
switch (it_code->first)
{
case FNUMEXPR:
@ -441,7 +639,9 @@ public:
case eParameter:
var = ((FLDV_ *) it_code->second)->get_pos();
#ifdef DEBUG
mexPrintf("FLDV_ Param var=%d", var);
mexPrintf("FLDV_ Param var=%d\n", var);
mexPrintf("get_variable(eParameter, var)=%s\n",get_variable(eParameter, var).c_str());
mexEvalString("drawnow;");
#endif
Stack.push(get_variable(eParameter, var));
if (compute)
@ -451,7 +651,10 @@ public:
var = ((FLDV_ *) it_code->second)->get_pos();
lag = ((FLDV_ *) it_code->second)->get_lead_lag();
#ifdef DEBUG
mexPrintf("FLDV_ endo var=%d, lag=%d", var, lag);
mexPrintf("FLDV_ endo var=%d, lag=%d\n", var, lag);
mexPrintf("get_variable(eEndogenous, var)=%s, compute=%d\n",get_variable(eEndogenous, var).c_str(), compute);
mexPrintf("it_=%d, lag=%d, y_size=%d, var=%d, y=%x\n", it_, lag, y_size, var, y);
mexEvalString("drawnow;");
#endif
tmp_out.str("");
if (lag > 0)
@ -1250,7 +1453,7 @@ public:
Stack.pop();
if (compute)
{
int derivOrder = nearbyint(Stackf.top());
int derivOrder = int(nearbyint(Stackf.top()));
Stackf.pop();
if (fabs(v1f) < NEAR_ZERO && v2f > 0
&& derivOrder > v2f
@ -1570,7 +1773,11 @@ public:
}
tmp_out.str("");
tmp_out << function_name << "(";
#ifndef _MSC_VER
string ss[nb_input_arguments];
#else
vector<string> ss(nb_input_arguments);
#endif
for (unsigned int i = 0; i < nb_input_arguments; i++)
{
ss[nb_input_arguments-i-1] = Stack.top();
@ -1624,7 +1831,11 @@ public:
tmp_out.str("");
tmp_out << function_name << "(";
tmp_out << arg_func_name.c_str() << ", " << fc->get_row() << ", {";
#ifndef _MSC_VER
string ss[nb_add_input_arguments];
#else
vector<string> ss(nb_input_arguments);
#endif
for (unsigned int i = 0; i < nb_add_input_arguments; i++)
{
ss[nb_add_input_arguments-i-1] = Stack.top();
@ -1655,7 +1866,11 @@ public:
}
tmp_out.str("");
tmp_out << function_name << "(";
#ifndef _MSC_VER
string ss[nb_input_arguments];
#else
vector<string> ss(nb_input_arguments);
#endif
for (unsigned int i = 0; i < nb_input_arguments; i++)
{
ss[nb_input_arguments-i-1] = Stack.top();
@ -1708,7 +1923,11 @@ public:
tmp_out.str("");
tmp_out << function_name << "(";
tmp_out << arg_func_name.c_str() << ", " << fc->get_row() << ", " << fc->get_col() << ", {";
#ifndef _MSC_VER
string ss[nb_add_input_arguments];
#else
vector<string> ss(nb_input_arguments);
#endif
for (unsigned int i = 0; i < nb_add_input_arguments; i++)
{
ss[nb_add_input_arguments-i-1] = Stack.top();
@ -1739,7 +1958,11 @@ public:
}
tmp_out.str("");
tmp_out << function_name << "(";
#ifndef _MSC_VER
string ss[nb_input_arguments];
#else
vector<string> ss(nb_input_arguments);
#endif
for (unsigned int i = 0; i < nb_input_arguments; i++)
{
ss[nb_input_arguments-i-1] = Stack.top();
@ -1965,7 +2188,7 @@ public:
it_code++;
}
#ifdef DEBUG
mexPrintf("print_expression end\n"); mexEvalString("drawnow;");
mexPrintf("print_expression end tmp_out.str().c_str()=%s\n", tmp_out.str().c_str()); mexEvalString("drawnow;");
#endif
it_code_ret = it_code;
return (tmp_out.str());

1789
mex/sources/bytecode/Evaluate.cc Normal file
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97
mex/sources/bytecode/Evaluate.hh Normal file
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@ -0,0 +1,97 @@
/*
* Copyright (C) 2007-2012 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/>.
*/
#ifndef EVALUATE_HH_INCLUDED
#define EVALUATE_HH_INCLUDED
#include <stack>
#include <vector>
#include <string>
#include <cmath>
#define BYTE_CODE
#include "CodeInterpreter.hh"
#ifdef LINBCG
# include "linbcg.hh"
#endif
#ifndef DEBUG_EX
# include <dynmex.h>
#else
# include "mex_interface.hh"
#endif
#include "ErrorHandling.hh"
#define pow_ pow
class Evaluate : public ErrorMsg
{
private:
unsigned int EQN_dvar1, EQN_dvar2, EQN_dvar3;
int EQN_lag1, EQN_lag2, EQN_lag3;
protected:
mxArray *GlobalTemporaryTerms;
it_code_type start_code, end_code;
double pow1(double a, double b);
double divide(double a, double b);
double log1(double a);
double log10_1(double a);
void evaluate_over_periods(const bool forward);
void solve_simple_one_periods();
void solve_simple_over_periods(const bool forward);
void compute_block_time(const int Per_u_, const bool evaluate, const bool no_derivatives);
code_liste_type code_liste;
it_code_type it_code;
int Block_Count, Per_u_, Per_y_;
int it_;
int maxit_, size_of_direction;
double *direction;
double solve_tolf;
bool GaussSeidel;
map<pair<pair<int, int>, int>, int> IM_i;
int equation, derivative_equation, derivative_variable;
string filename;
int stack_solve_algo, solve_algo;
bool global_temporary_terms;
bool print, print_error;
double res1, res2, max_res;
int max_res_idx;
vector<Block_contain_type> Block_Contain;
int size;
int *index_vara;
bool print_it, forward;
int minimal_solving_periods;
int type, block_num, symbol_table_endo_nbr, Block_List_Max_Lag, Block_List_Max_Lead, u_count_int, block;
string file_name, bin_base_name;
bool Gaussian_Elimination, is_linear;
public:
bool steady_state;
Evaluate();
Evaluate(const int y_size_arg, const int y_kmin_arg, const int y_kmax_arg, const bool print_it_arg, const bool steady_state_arg, const int periods_arg, const int minimal_solving_periods_arg);
//typedef void (Interpreter::*InterfpreterMemFn)(const int block_num, const int size, const bool steady_state, int it);
void set_block(const int size_arg, const int type_arg, string file_name_arg, string bin_base_name_arg, const int block_num_arg,
const bool is_linear_arg, const int symbol_table_endo_nbr_arg, const int Block_List_Max_Lag_arg, const int Block_List_Max_Lead_arg, const int u_count_int_arg, const int block_arg);
void evaluate_complete(const bool no_derivatives);
bool compute_complete(const bool no_derivatives, double &res1, double &res2, double &max_res, int &max_res_idx);
void compute_complete_2b(const bool no_derivatives, double *_res1, double *_res2, double *_max_res, int *_max_res_idx);
bool compute_complete(double lambda, double *crit);
};
#endif

2436
mex/sources/bytecode/Interpreter.cc
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54
mex/sources/bytecode/Interpreter.hh
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@ -27,6 +27,7 @@
#define BYTE_CODE
#include "CodeInterpreter.hh"
#include "SparseMatrix.hh"
#include "Evaluate.hh"
#ifdef LINBCG
# include "linbcg.hh"
#endif
@ -40,50 +41,29 @@
using namespace std;
#define pow_ pow
class Interpreter : public SparseMatrix
class Interpreter : public dynSparseMatrix
{
private:
unsigned int EQN_dvar1, EQN_dvar2, EQN_dvar3;
int EQN_lag1, EQN_lag2, EQN_lag3;
mxArray *GlobalTemporaryTerms;
protected:
double pow1(double a, double b);
double divide(double a, double b);
double log1(double a);
double log10_1(double a);
void compute_block_time(int Per_u_, bool evaluate, int block_num, int size, bool steady_state);
void evaluate_a_block(const int size, const int type, string bin_basename, bool steady_state, int block_num,
const bool is_linear = false, const int symbol_table_endo_nbr = 0, const int Block_List_Max_Lag = 0, const int Block_List_Max_Lead = 0, const int u_count_int = 0, int block = -1);
int simulate_a_block(const int size, const int type, string file_name, string bin_basename, bool Gaussian_Elimination, bool steady_state, bool print_it, int block_num,
const bool is_linear = false, const int symbol_table_endo_nbr = 0, const int Block_List_Max_Lag = 0, const int Block_List_Max_Lead = 0, const int u_count_int = 0);
void print_a_block(const int size, const int type, string bin_basename, bool steady_state, int block_num,
const bool is_linear, const int symbol_table_endo_nbr, const int Block_List_Max_Lag,
const int Block_List_Max_Lead, const int u_count_int, int block);
void SingularDisplay(int Per_u_, bool evaluate, int Block_Count, int size, bool steady_state, it_code_type begining);
vector<Block_contain_type> Block_Contain;
code_liste_type code_liste;
it_code_type it_code;
int Block_Count, Per_u_, Per_y_;
int it_, maxit_, size_of_direction;
double solve_tolf;
bool GaussSeidel;
map<pair<pair<int, int>, int>, int> IM_i;
int equation, derivative_equation, derivative_variable;
string filename;
int minimal_solving_periods;
int stack_solve_algo, solve_algo;
bool global_temporary_terms;
bool print, print_error;
void evaluate_a_block();
int simulate_a_block();
void print_a_block();
public:
~Interpreter();
Interpreter(double *params_arg, double *y_arg, double *ya_arg, double *x_arg, double *steady_y_arg, double *steady_x_arg,
double *direction_arg, int y_size_arg, int nb_row_x_arg,
int nb_row_xd_arg, int periods_arg, int y_kmin_arg, int y_kmax_arg, int maxit_arg_, double solve_tolf_arg, int size_o_direction_arg,
double slowc_arg, int y_decal_arg, double markowitz_c_arg, string &filename_arg, int minimal_solving_periods_arg, int stack_solve_algo_arg, int solve_algo_arg,
bool global_temporary_terms_arg, bool print_arg, bool print_error_arg, mxArray *GlobalTemporaryTerms_arg);
bool compute_blocks(string file_name, string bin_basename, bool steady_state, bool evaluate, int block, int &nb_blocks, bool print_it);
double *direction_arg, size_t y_size_arg,
size_t nb_row_x_arg, size_t nb_row_xd_arg, int periods_arg, int y_kmin_arg, int y_kmax_arg,
int maxit_arg_, double solve_tolf_arg, size_t size_of_direction_arg, double slowc_arg, int y_decal_arg, double markowitz_c_arg,
string &filename_arg, int minimal_solving_periods_arg, int stack_solve_algo_arg, int solve_algo_arg,
bool global_temporary_terms_arg, bool print_arg, bool print_error_arg, mxArray *GlobalTemporaryTerms_arg,
bool steady_state_arg, bool print_it_arg
#ifdef CUDA
, const int CUDA_device, cublasHandle_t cublas_handle_arg, cusparseHandle_t cusparse_handle_arg, cusparseMatDescr_t descr_arg
#endif
);
bool compute_blocks(string file_name, string bin_basename, bool evaluate, int block, int &nb_blocks);
inline mxArray *
get_jacob(int block_num)
{

4474
mex/sources/bytecode/SparseMatrix.cc
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133
mex/sources/bytecode/SparseMatrix.hh
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@ -19,21 +19,62 @@
#ifndef SPARSEMATRIX_HH_INCLUDED
#define SPARSEMATRIX_HH_INCLUDED
#define PRINTF_ printf
#include <fstream>
#include <stack>
#include <cmath>
#include <map>
#include <ctime>
#include "dynblas.h"
#if !(defined _MSC_VER)
#include "dynumfpack.h"
#endif
#ifdef OCTAVE_MEX_FILE
# define CHAR_LENGTH 1
#else
# define CHAR_LENGTH 2
#ifdef CUDA
#include "cuda.h"
#include "cuda_runtime_api.h"
#include "cublas_v2.h"
#include "cusparse_v2.h"
#endif
#include "Mem_Mngr.hh"
#include "ErrorHandling.hh"
//#include "Interpreter.hh"
#include "Evaluate.hh"
#define cudaChk(x, y) \
{ \
cudaError_t cuda_error = x; \
if (cuda_error != cudaSuccess) \
{ \
ostringstream tmp; \
tmp << y; \
throw FatalExceptionHandling(tmp.str()); \
} \
};
#define cusparseChk(x, y) \
{ \
cusparseStatus_t cusparse_status = x; \
if (cusparse_status != CUSPARSE_STATUS_SUCCESS) \
{ \
ostringstream tmp; \
tmp << y; \
throw FatalExceptionHandling(tmp.str()); \
} \
};
#define cublasChk(x, y) \
{ \
cublasStatus_t cublas_status = x; \
if (cublas_status != CUBLAS_STATUS_SUCCESS) \
{ \
ostringstream tmp; \
tmp << y; \
throw FatalExceptionHandling(tmp.str()); \
} \
};
#define NEW_ALLOC
#define MARKOVITZ
@ -53,41 +94,76 @@ const int IFLDZ = 4;
const int IFMUL = 5;
const int IFSTP = 6;
const int IFADD = 7;
const double eps = 1e-10;
const double eps = 1e-15;
const double very_big = 1e24;
const int alt_symbolic_count_max = 1;
const double mem_increasing_factor = 1.1;
class SparseMatrix : public ErrorMsg
class dynSparseMatrix : public Evaluate
{
public:
SparseMatrix();
void Simulate_Newton_Two_Boundaries(int blck, int y_size, int it_, int y_kmin, int y_kmax, int Size, int periods, bool print_it, bool cvg, int &iter, int minimal_solving_periods, int stack_solve_algo, unsigned int endo_name_length, char *P_endo_names) /*throw(ErrorHandlingException)*/;
bool Simulate_Newton_One_Boundary(int blck, int y_size, int it_, int y_kmin, int y_kmax, int Size, bool print_it, bool cvg, int &iter, bool steady_state, int stack_solve_algo, int solve_algo);
void Direct_Simulate(int blck, int y_size, int it_, int y_kmin, int y_kmax, int Size, int periods, bool print_it, int iter);
#if (defined _MSC_VER)
typedef int64_t SuiteSparse_long;
#endif
dynSparseMatrix();
dynSparseMatrix(const int y_size_arg, const int y_kmin_arg, const int y_kmax_arg, const bool print_it_arg, const bool steady_state_arg, const int periods_arg, const int minimal_solving_periods_arg
#ifdef CUDA
,const int CUDA_device_arg, cublasHandle_t cublas_handle_arg, cusparseHandle_t cusparse_handle_arg, cusparseMatDescr_t descr_arg
#endif
);
void Simulate_Newton_Two_Boundaries(int blck, int y_size, int y_kmin, int y_kmax, int Size, int periods, bool cvg, int minimal_solving_periods, int stack_solve_algo, unsigned int endo_name_length, char *P_endo_names);
void Simulate_Newton_One_Boundary(bool forward);
void fixe_u(double **u, int u_count_int, int max_lag_plus_max_lead_plus_1);
void Read_SparseMatrix(string file_name, const int Size, int periods, int y_kmin, int y_kmax, bool steady_state, bool two_boundaries, int stack_solve_algo, int solve_algo);
void Read_SparseMatrix(string file_name, const int Size, int periods, int y_kmin, int y_kmax, bool two_boundaries, int stack_solve_algo, int solve_algo);
void Read_file(string file_name, int periods, int u_size1, int y_size, int y_kmin, int y_kmax, int &nb_endo, int &u_count, int &u_count_init, double *u);
void Singular_display(int block, int Size, bool steady_state, it_code_type it_code);
double g0, gp0, glambda2, try_at_iteration;
void Singular_display(int block, int Size);
void End_Solver();
double g0, gp0, glambda2;
int try_at_iteration;
private:
void Init_GE(int periods, int y_kmin, int y_kmax, int Size, map<pair<pair<int, int>, int>, int> &IM);
void Init_Matlab_Sparse(int periods, int y_kmin, int y_kmax, int Size, map<pair<pair<int, int>, int>, int> &IM, mxArray *A_m, mxArray *b_m, mxArray *x0_m);
void Init_UMFPACK_Sparse(int periods, int y_kmin, int y_kmax, int Size, map<pair<pair<int, int>, int>, int> &IM, SuiteSparse_long **Ap, SuiteSparse_long **Ai, double **Ax, double **b, mxArray *x0_m);
#ifdef CUDA
void Init_CUDA_Sparse(int periods, int y_kmin, int y_kmax, int Size, map<pair<pair<int, int>, int>, int> &IM, int **Ap, int **Ai, double **Ax, int **Ap_tild, int **Ai_tild, double **A_tild, double **b, double **x0, mxArray *x0_m, int *nnz, int *nnz_tild, int preconditioner);
#endif
void Init_Matlab_Sparse_Simple(int Size, map<pair<pair<int, int>, int>, int> &IM, mxArray *A_m, mxArray *b_m, bool &zero_solution, mxArray *x0_m);
void Init_UMFPACK_Sparse_Simple(int Size, map<pair<pair<int, int>, int>, int> &IM, SuiteSparse_long **Ap, SuiteSparse_long **Ai, double **Ax, double **b, bool &zero_solution, mxArray *x0_m);
void Init_CUDA_Sparse_Simple(int Size, map<pair<pair<int, int>, int>, int> &IM, SuiteSparse_long **Ap, SuiteSparse_long **Ai, double **Ax, double **b, double **x0, bool &zero_solution, mxArray *x0_m);
void Simple_Init(int Size, std::map<std::pair<std::pair<int, int>, int>, int> &IM, bool &zero_solution);
void End_GE(int Size);
bool mnbrak(double *ax, double *bx, double *cx, double *fa, double *fb, double *fc);
bool golden(double ax, double bx, double cx, double tol, double solve_tolf, double *xmin);
void Solve_ByteCode_Symbolic_Sparse_GaussianElimination(int Size, bool symbolic, int Block_number);
bool Solve_ByteCode_Sparse_GaussianElimination(int Size, int blck, bool steady_state, int it_);
bool Solve_ByteCode_Sparse_GaussianElimination(int Size, int blck, int it_);
void Solve_Matlab_Relaxation(mxArray *A_m, mxArray *b_m, unsigned int Size, double slowc_l, bool is_two_boundaries, int it_);
void Solve_Matlab_LU_UMFPack(mxArray *A_m, mxArray *b_m, int Size, double slowc_l, bool is_two_boundaries, int it_);
void Solve_Matlab_GMRES(mxArray *A_m, mxArray *b_m, int Size, double slowc, int block, bool is_two_boundaries, int it_, bool steady_state, mxArray *x0_m);
void Solve_Matlab_BiCGStab(mxArray *A_m, mxArray *b_m, int Size, double slowc, int block, bool is_two_boundaries, int it_, mxArray *x0_m, bool steady_state);
void Solve_LU_UMFPack(mxArray *A_m, mxArray *b_m, int Size, double slowc_l, bool is_two_boundaries, int it_);
void Solve_LU_UMFPack(SuiteSparse_long *Ap, SuiteSparse_long *Ai, double *Ax, double *b, int n, int Size, double slowc_l, bool is_two_boundaries, int it_);
void End_Matlab_LU_UMFPack();
#ifdef CUDA
void Solve_CUDA_BiCGStab_Free(double* tmp_vect_host, double* p, double* r, double* v, double* s, double* t, double* y_, double* z, double* tmp_,
int* Ai, double* Ax, int* Ap, double* x0, double* b, double* A_tild, int* A_tild_i, int* A_tild_p,
cusparseSolveAnalysisInfo_t infoL, cusparseSolveAnalysisInfo_t infoU,
cusparseMatDescr_t descrL, cusparseMatDescr_t descrU, int preconditioner);
int Solve_CUDA_BiCGStab(int *Ap, int *Ai, double *Ax, int *Ap_tild, int *Ai_tild, double *A_tild, double *b, double *x0, int n, int Size, double slowc_l, bool is_two_boundaries, int it_, int nnz, int nnz_tild, int preconditioner, int max_iterations, int block);
#endif
void Solve_Matlab_GMRES(mxArray *A_m, mxArray *b_m, int Size, double slowc, int block, bool is_two_boundaries, int it_, mxArray *x0_m);
void Solve_Matlab_BiCGStab(mxArray *A_m, mxArray *b_m, int Size, double slowc, int block, bool is_two_boundaries, int it_, mxArray *x0_m, int precond);
void Check_and_Correct_Previous_Iteration(int block_num, int y_size, int size, double crit_opt_old);
bool Simulate_One_Boundary(int blck, int y_size, int y_kmin, int y_kmax, int Size, bool cvg);
bool solve_linear(const int block_num, const int y_size, const int y_kmin, const int y_kmax, const int size, const int iter);
void solve_non_linear(const int block_num, const int y_size, const int y_kmin, const int y_kmax, const int size);
string preconditioner_print_out(string s, int preconditioner);
bool compare(int *save_op, int *save_opa, int *save_opaa, int beg_t, int periods, long int nop4, int Size
#ifdef PROFILER
, long int *ndiv, long int *nsub
#endif
);
void Grad_f_product(int n, mxArray *b_m, double* vectr, mxArray *A_m, SuiteSparse_long *Ap, SuiteSparse_long *Ai, double* Ax, double *b);
void Insert(const int r, const int c, const int u_index, const int lag_index);
void Delete(const int r, const int c);
int At_Row(int r, NonZeroElem **first);
@ -102,7 +178,8 @@ private:
void Delete_u(int pos);
void Clear_u();
void Print_u();
void CheckIt(int y_size, int y_kmin, int y_kmax, int Size, int periods, int iter);
void *Symbolic, *Numeric ;
void CheckIt(int y_size, int y_kmin, int y_kmax, int Size, int periods);
void Check_the_Solution(int periods, int y_kmin, int y_kmax, int Size, double *u, int *pivot, int *b);
int complete(int beg_t, int Size, int periods, int *b);
void bksub(int tbreak, int last_period, int Size, double slowc_l
@ -118,12 +195,18 @@ private:
mxArray *Sparse_substract_SA_SB(mxArray *A_m, mxArray *B_m);
mxArray *Sparse_substract_A_SB(mxArray *A_m, mxArray *B_m);
mxArray *substract_A_B(mxArray *A_m, mxArray *B_m);
#ifdef CUDA
int CUDA_device;
cublasHandle_t cublas_handle;
cusparseHandle_t cusparse_handle;
cusparseMatDescr_t CUDA_descr;
#endif
protected:
stack<double> Stack;
int nb_prologue_table_u, nb_first_table_u, nb_middle_table_u, nb_last_table_u;
int nb_prologue_table_y, nb_first_table_y, nb_middle_table_y, nb_last_table_y;
int middle_count_loop;
char type;
//char type;
fstream SaveCode;
string filename;
int max_u, min_u;
@ -154,19 +237,19 @@ protected:
int u_count_alloc, u_count_alloc_save;
vector<double *> jac;
double *jcb;
double res1, res2, max_res;
int max_res_idx;
double slowc, slowc_save, prev_slowc_save, markowitz_c;
int y_decal;
int *index_vara, *index_equa;
int *index_equa;
int u_count, tbreak_g;
int iter;
double *direction;
int start_compare;
int restart;
bool error_not_printed;
double g_lambda1, g_lambda2, gp_0;
double lu_inc_tol;
//private:
SuiteSparse_long *Ap_save, *Ai_save;
double *Ax_save, *b_save;
mxArray *A_m_save, *b_m_save;
};
#endif

121
mex/sources/bytecode/SparseMatrix_kernel.cu Normal file
View File

@ -0,0 +1,121 @@
/*
* Copyright (C) 2007-2012 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/>.
*/
#ifndef SPARMATRIX_KERNEL
#define SPARMATRIX_KERNEL
// Kernel definition of vector division
__global__ void
VecDiv(double* A, double* B, double* C, int n)
{
int i = blockIdx.x * 1024 + threadIdx.x;
if (i < n)
C[i] = (B[i] != 0.0 ? A[i] / B[i] : A[i]);
}
__global__ void
VecAdd(double* res, double* r, double alpha, double* x, int n)
{
int i = blockIdx.x * 1024 + threadIdx.x;
if (i < n)
res[i] = r[i] + alpha * x[i];
}
__global__ void
VecInc(double* res, double alpha, double* x, int n)
{
int i = blockIdx.x * 1024 + threadIdx.x;
if (i < n)
res[i] += alpha * x[i];
}
__global__ void
update_x(double* x, double alpha, double* y, double omega, double *z)
{
int i = threadIdx.x;
x[i] += alpha * y[i] + omega * z[i];
}
__global__ void
Get_LU_dim(int *n, int* A_tild_i, int *A_tild_p, int *nnz_l, int *nnz_u)
{
nnz_u[0] = 0;
nnz_l[0] = 0;
for (int i = 0; i < n[0]; i++)
{
for (int j = A_tild_p[i]; j < A_tild_p[i+1]; j++)
{
if (A_tild_i[j] < i)
nnz_l[0]++;
else if (A_tild_i[j] == i)
{
nnz_u[0]++;
//nnz_l[0]++;
}
else
nnz_u[0]++;
}
}
}
__global__ void
Get_LU1_dim(int* n, int *nnz_l, int *nnz_u)
{
nnz_u[0] = 3+n[0];
nnz_l[0] = 1+n[0];
}
__global__ void
Get_L_and_U(int *n, double* A_tild_x, int* A_tild_i, int *A_tild_p, double* Lx, int* Li, int *Lp, double* Ux, int* Ui, int* Up)
{
int nnz_u = 0, nnz_l = 0;
Lp[0] = 0;
Up[0] = 0;
for (int i = 0; i < n[0]; i++)
{
for (int j = A_tild_p[i]; j < A_tild_p[i+1]; j++)
{
if (A_tild_i[j] < i)
{
Lx[nnz_l] = A_tild_x[j];
Li[nnz_l] = A_tild_i[j];
nnz_l++;
}
else if (A_tild_i[j] == i)
{
Ux[nnz_u] = A_tild_x[j];
Lx[nnz_l] = 1.0;
Li[nnz_l] = Ui[nnz_u] = A_tild_i[j];
nnz_u++;
//nnz_l++;
}
else
{
Ux[nnz_u] = A_tild_x[j];
Ui[nnz_u] = A_tild_i[j];
nnz_u++;
}
}
Lp[i+1] = nnz_l;
Up[i+1] = nnz_u;
}
}
#endif

669
mex/sources/bytecode/bytecode.cc
View File

@ -18,12 +18,18 @@
*/
#include <cstring>
#include "Interpreter.hh"
#include "ErrorHandling.hh"
#include <ctime>
#include <math.h>
#ifdef DEBUG_EX
using namespace std;
# include <sstream>
string
Get_Argument(const char *argv)
{
@ -33,14 +39,17 @@ Get_Argument(const char *argv)
#else
void (*prev_fn)(int);
string
Get_Argument(const mxArray *prhs)
{
const mxArray *mxa = prhs;
int buflen = mxGetM(mxa) * mxGetN(mxa) + 1;
mwSize buflen = mwSize(mxGetM(mxa) * mxGetN(mxa) + 1);
char *first_argument;
first_argument = (char *) mxCalloc(buflen, sizeof(char));
int status = mxGetString(mxa, first_argument, buflen);
size_t status = mxGetString(mxa, first_argument, buflen);
if (status != 0)
mexWarnMsgTxt("Not enough space. The first argument is truncated.");
string f(first_argument);
@ -49,6 +58,178 @@ Get_Argument(const mxArray *prhs)
}
#endif
//#include <windows.h>
#include <stdio.h>
#ifdef CUDA
int
GPU_Test_and_Info(cublasHandle_t *cublas_handle, cusparseHandle_t *cusparse_handle, cusparseMatDescr_t *descr)
{
cudaDeviceProp deviceProp;
int device_count, device, version, version_max = 0;
cublasStatus_t cublas_status;
cudaError_t cuda_error;
*descr=0;
/* ask cuda how many devices it can find */
cudaGetDeviceCount(&device_count);
if (device_count < 1)
{
/* if it couldn't find any fail out */
ostringstream tmp;
tmp << " Unable to find a CUDA device. Unable to implement CUDA solvers\n";
throw FatalExceptionHandling(tmp.str());
}
else
{
mexPrintf("-----------------------------------------\n");
for (int i = 0; i < device_count; i++)
{
cudaSetDevice(i);
// Statistics about the GPU device
cuda_error = cudaGetDeviceProperties(&deviceProp, i);
if (cuda_error != cudaSuccess)
{
ostringstream tmp;
tmp << " bytecode cudaGetDeviceProperties failed\n";
throw FatalExceptionHandling(tmp.str());
}
mexPrintf("> GPU device %d: \"%s\" has:\n - %d Multi-Processors,\n - %d threads per multiprocessor,\n", i, deviceProp.name, deviceProp.multiProcessorCount, deviceProp.maxThreadsPerMultiProcessor);
mexEvalString("drawnow;");
version = (deviceProp.major * 0x10 + deviceProp.minor);
if (version >= version_max)
{
device = i;
version_max = version;
}
mexPrintf(" - %4.2fMhz clock rate,\n - %2.0fMb of memory,\n - %d.%d compute capabilities.\n", double(deviceProp.clockRate) / (1024 * 1024), double(deviceProp.totalGlobalMem) / (1024 * 1024), deviceProp.major, deviceProp.minor);
mexEvalString("drawnow;");
}
}
mexPrintf("> Device %d selected\n", device);
mexEvalString("drawnow;");
cuda_error = cudaSetDevice(device);
if (cuda_error != cudaSuccess)
{
ostringstream tmp;
tmp << " bytecode cudaSetDevice failed\n";
throw FatalExceptionHandling(tmp.str());
}
if(version_max < 0x11)
{
ostringstream tmp;
tmp << " bytecode requires a minimum CUDA compute 1.1 capability\n";
cudaDeviceReset();
throw FatalExceptionHandling(tmp.str());
}
// Initialize CuBlas library
cublas_status = cublasCreate(cublas_handle);
if (cublas_status != CUBLAS_STATUS_SUCCESS)
{
ostringstream tmp;
switch(cublas_status)
{
case CUBLAS_STATUS_NOT_INITIALIZED:
tmp << " the CUBLAS initialization failed.\n";
break;
case CUBLAS_STATUS_ALLOC_FAILED:
tmp << " the resources could not be allocated.\n";
break;
default:
tmp << " unknown error during the initialization of cusparse library.\n";
}
throw FatalExceptionHandling(tmp.str());
}
// Initialize the CuSparse library
cusparseStatus_t cusparse_status;
cusparse_status = cusparseCreate(cusparse_handle);
if (cusparse_status != CUSPARSE_STATUS_SUCCESS)
{
ostringstream tmp;
switch(cusparse_status)
{
case CUSPARSE_STATUS_NOT_INITIALIZED:
tmp << " the CUDA Runtime initialization failed.\n";
break;
case CUSPARSE_STATUS_ALLOC_FAILED:
tmp << " the resources could not be allocated.\n";
break;
case CUSPARSE_STATUS_ARCH_MISMATCH:
tmp << " the device compute capability (CC) is less than 1.1. The CC of at least 1.1 is required.\n";
break;
default:
tmp << " unknown error during the initialization of cusparse library.\n";
}
throw FatalExceptionHandling(tmp.str());
}
// Create and setup matrix descriptor
cusparse_status = cusparseCreateMatDescr(descr);
if (cusparse_status != CUSPARSE_STATUS_SUCCESS)
{
ostringstream tmp;
tmp << " Matrix descriptor initialization failed\n";
throw FatalExceptionHandling(tmp.str());
}
cusparseSetMatType(*descr, CUSPARSE_MATRIX_TYPE_GENERAL);
cusparseSetMatIndexBase(*descr, CUSPARSE_INDEX_BASE_ZERO);
mexPrintf("> Driver version:\n");
int cuda_version;
cuda_error = cudaDriverGetVersion(&cuda_version);
if (cuda_error != cudaSuccess)
{
ostringstream tmp;
tmp << " cudaGetVersion has failed\n";
throw FatalExceptionHandling(tmp.str());
}
mexPrintf(" - CUDA version %5.3f\n", double(cuda_version) / 1000);
int cublas_version;
cublas_status = cublasGetVersion(*cublas_handle, &cublas_version);
if (cublas_status != CUBLAS_STATUS_SUCCESS)
{
ostringstream tmp;
tmp << " cublasGetVersion has failed\n";
throw FatalExceptionHandling(tmp.str());
}
mexPrintf(" - CUBLAS version %5.3f\n", double(cublas_version) / 1000);
int cusparse_version;
cusparse_status = cusparseGetVersion(*cusparse_handle, &cusparse_version);
if (cusparse_status != CUSPARSE_STATUS_SUCCESS)
{
ostringstream tmp;
tmp << " cusparseGetVersion has failed\n";
throw FatalExceptionHandling(tmp.str());
}
mexPrintf(" - CUSPARSE version %5.3f\n", double(cusparse_version) / 1000);
mexPrintf("-----------------------------------------\n");
return device;
}
void
GPU_close(cublasHandle_t cublas_handle, cusparseHandle_t cusparse_handle, cusparseMatDescr_t descr)
{
cublasChk(cublasDestroy(cublas_handle),"in bytecode cublasDestroy failed\n");
cusparseChk(cusparseDestroyMatDescr(descr), "in bytecode cusparseDestroyMatDescr failed\n");
cusparseChk(cusparseDestroy(cusparse_handle),"in bytecode cusparseDestroy failed\n");
}
#endif
string
deblank(string x)
{
for(int i = 0; i < x.length(); i++)
if (x[i] == ' ')
x.erase(i--, 1);
return x;
}
void
Get_Arguments_and_global_variables(int nrhs,
#ifndef DEBUG_EX
@ -57,10 +238,10 @@ Get_Arguments_and_global_variables(int nrhs,
const char *prhs[],
#endif
int &count_array_argument,
double *yd[], unsigned int &row_y, unsigned int &col_y,
double *xd[], unsigned int &row_x, unsigned int &col_x,
double *params[],
double *steady_yd[], unsigned int &steady_row_y, unsigned int &steady_col_y,
double *yd[], size_t &row_y, size_t &col_y,
double *xd[], size_t &row_x, size_t &col_x,
double *params[],
double *steady_yd[], size_t &steady_row_y, size_t &steady_col_y,
unsigned int &periods,
#ifndef DEBUG_EX
mxArray *block_structur[],
@ -69,8 +250,10 @@ Get_Arguments_and_global_variables(int nrhs,
mxArray *M_[], mxArray *oo_[], mxArray *options_[], bool &global_temporary_terms,
bool &print,
bool &print_error,
mxArray *GlobalTemporaryTerms[])
mxArray *GlobalTemporaryTerms[],
string *plan_struct_name, string *pfplan_struct_name)
{
size_t pos;
#ifdef DEBUG_EX
for (int i = 2; i < nrhs; i++)
#else
@ -101,7 +284,7 @@ Get_Arguments_and_global_variables(int nrhs,
steady_col_y = mxGetN(prhs[i]);
break;
case 4:
periods = mxGetScalar(prhs[i]);
periods = int(mxGetScalar(prhs[i]));
break;
case 5:
*block_structur = mxDuplicateArray(prhs[i]);
@ -111,7 +294,7 @@ Get_Arguments_and_global_variables(int nrhs,
*GlobalTemporaryTerms = mxDuplicateArray(prhs[i]);
break;
default:
//mexPrintf("Unknown argument count_array_argument=%d\n",count_array_argument);
mexPrintf("Unknown argument count_array_argument=%d\n",count_array_argument);
break;
}
count_array_argument++;
@ -132,16 +315,34 @@ Get_Arguments_and_global_variables(int nrhs,
print_error = false;
else
{
int pos = Get_Argument(prhs[i]).find("block");
if (pos != (int) string::npos)
;
if ((pos = Get_Argument(prhs[i]).find("block")) != (int) string::npos)
{
int pos1 = Get_Argument(prhs[i]).find("=", pos+5);
size_t pos1 = Get_Argument(prhs[i]).find("=", pos+5);
if (pos1 != (int) string::npos)
pos = pos1 + 1;
else
pos += 5;
block = atoi(Get_Argument(prhs[i]).substr(pos, string::npos).c_str())-1;
}
else if ((pos = Get_Argument(prhs[i]).find("pfplan")) != (int) string::npos)
{
size_t pos1 = Get_Argument(prhs[i]).find("=", pos+6);
if (pos1 != (int) string::npos)
pos = pos1 + 1;
else
pos += 6;
*pfplan_struct_name = deblank(Get_Argument(prhs[i]).substr(pos, string::npos));
}
else if ((pos = Get_Argument(prhs[i]).find("plan")) != (int) string::npos)
{
size_t pos1 = Get_Argument(prhs[i]).find("=", pos+4);
if (pos1 != (int) string::npos)
pos = pos1 + 1;
else
pos += 4;
*plan_struct_name = deblank(Get_Argument(prhs[i]).substr(pos, string::npos));
}
else
{
ostringstream tmp;
@ -185,6 +386,7 @@ Get_Arguments_and_global_variables(int nrhs,
}
}
#ifdef DEBUG_EX
int
main(int nrhs, const char *prhs[])
@ -203,9 +405,9 @@ main(int nrhs, const char *prhs[])
char *plhs[1];
load_global((char *) prhs[1]);
#endif
//ErrorHandlingException error_handling;
unsigned int i, row_y = 0, col_y = 0, row_x = 0, col_x = 0, nb_row_xd = 0;
unsigned int steady_row_y, steady_col_y;
mxArray *plan_struct = NULL, *pfplan_struct = NULL;
size_t i, row_y = 0, col_y = 0, row_x = 0, col_x = 0, nb_row_xd = 0;
size_t steady_row_y, steady_col_y;
int y_kmin = 0, y_kmax = 0, y_decal = 0;
unsigned int periods = 1;
double *direction;
@ -218,13 +420,22 @@ main(int nrhs, const char *prhs[])
bool global_temporary_terms = false;
bool print = false, print_error = true, print_it = false;
double *steady_yd = NULL, *steady_xd = NULL;
string plan, pfplan;
vector<s_plan> splan, spfplan;
#ifdef CUDA
int CUDA_device = -1;
cublasHandle_t cublas_handle;
cusparseHandle_t cusparse_handle;
cusparseMatDescr_t descr;
#endif
try
{
Get_Arguments_and_global_variables(nrhs, prhs, count_array_argument,
&yd, row_y, col_y,
&xd, row_x, col_x,
&params,
&params,
&steady_yd, steady_row_y, steady_col_y,
periods,
#ifndef DEBUG_EX
@ -232,123 +443,401 @@ main(int nrhs, const char *prhs[])
#endif
steady_state, evaluate, block,
&M_, &oo_, &options_, global_temporary_terms,
print, print_error, &GlobalTemporaryTerms);
print, print_error, &GlobalTemporaryTerms,
&plan, &pfplan);
}
catch (GeneralExceptionHandling &feh)
{
DYN_MEX_FUNC_ERR_MSG_TXT(feh.GetErrorMsg().c_str());
}
if (!count_array_argument)
params = mxGetPr(mxGetFieldByNumber(M_, 0, mxGetFieldNumber(M_, "params")));
{
int field = mxGetFieldNumber(M_, "params");
if (field < 0)
DYN_MEX_FUNC_ERR_MSG_TXT("params is not a field of M_");
params = mxGetPr(mxGetFieldByNumber(M_, 0, field));
}
ErrorMsg emsg;
if (plan.length()>0)
{
mxArray* plan_struct = mexGetVariable("base", plan.c_str());
if (plan_struct == NULL)
{
string tmp = plan;
tmp.insert(0,"Can't find the plan: ");
DYN_MEX_FUNC_ERR_MSG_TXT(tmp.c_str());
}
size_t n_plan = mxGetN(plan_struct);
splan.resize(n_plan);
for (int i = 0; i < n_plan; i++)
{
splan[i].var = "";
splan[i].exo = "";
mxArray* tmp = mxGetField(plan_struct, i, "exo");
if (tmp)
{
char name [100];
mxGetString(tmp, name, 100);
splan[i].var = name;
SymbolType variable_type;
int exo_num = emsg.get_ID(name, &variable_type);
if (variable_type == eExogenous || variable_type == eExogenousDet)
splan[i].var_num = exo_num;
else
{
string tmp = name;
tmp.insert(0,"the variable '");
tmp.append("' defined as var in plan is not an exogenous or a deterministic exogenous\n");
DYN_MEX_FUNC_ERR_MSG_TXT(tmp.c_str());
}
}
tmp = mxGetField(plan_struct, i, "var");
if (tmp)
{
char name [100];
mxGetString(tmp, name, 100);
splan[i].exo = name;
SymbolType variable_type;
int exo_num = emsg.get_ID(name, &variable_type);
if (variable_type == eEndogenous)
splan[i].exo_num = exo_num;
else
{
string tmp = name;
tmp.insert(0,"the variable '");
tmp.append("' defined as exo in plan is not an endogenous variable\n");
DYN_MEX_FUNC_ERR_MSG_TXT(tmp.c_str());
}
}
tmp = mxGetField(plan_struct, i, "per_value");
if (tmp)
{
size_t num_shocks = mxGetM(tmp);
(splan[i]).per_value.resize(num_shocks);
double * per_value = mxGetPr(tmp);
for (int j = 0; j < num_shocks; j++)
(splan[i]).per_value[j] = make_pair(ceil(per_value[j]), per_value[j + num_shocks]);
}
}
int i;
for (vector<s_plan>::iterator it = splan.begin(); it != splan.end(); it++)
{
mexPrintf("----------------------------------------------------------------------------------------------------\n");
mexPrintf("suprise n°%d\n", i+1);
if (it->exo.length())
mexPrintf(" plan fliping var=%s (%d) exo=%s (%d) for the following periods and with the following values:\n", it->var.c_str(), it->var_num, it->exo.c_str(), it->exo_num);
else
mexPrintf(" plan shocks on var=%s for the following periods and with the following values:\n", it->var.c_str());
for (vector<pair<int, double> >::iterator it1 = it->per_value.begin(); it1 != it->per_value.end(); it1++)
{
mexPrintf(" %3d %10.5f\n",it1->first, it1->second);
}
i++;
}
}
if (pfplan.length()>0)
{
pfplan_struct = mexGetVariable("base", pfplan.c_str());
if (!pfplan_struct)
{
string tmp = pfplan;
tmp.insert(0,"Can't find the pfplan: ");
DYN_MEX_FUNC_ERR_MSG_TXT(tmp.c_str());
}
size_t n_plan = mxGetN(pfplan_struct);
spfplan.resize(n_plan);
for (int i = 0; i < n_plan; i++)
{
spfplan[i].var = "";
spfplan[i].exo = "";
mxArray* tmp = mxGetField(pfplan_struct, i, "var");
if (tmp)
{
char name [100];
mxGetString(tmp, name, 100);
spfplan[i].var = name;
SymbolType variable_type;
int exo_num = emsg.get_ID(name, &variable_type);
if (variable_type == eExogenous || variable_type == eExogenousDet)
splan[i].var_num = exo_num;
else
{
string tmp = name;
tmp.insert(0,"the variable '");
tmp.append("' defined as var in pfplan is not an exogenous or a deterministic exogenous\n");
DYN_MEX_FUNC_ERR_MSG_TXT(tmp.c_str());
}
}
tmp = mxGetField(pfplan_struct, i, "exo");
if (tmp)
{
char name [100];
mxGetString(tmp, name, 100);
spfplan[i].exo = name;
SymbolType variable_type;
int exo_num = emsg.get_ID(name, &variable_type);
if (variable_type == eEndogenous)
spfplan[i].exo_num = exo_num;
else
{
string tmp = name;
tmp.insert(0,"the variable '");
tmp.append("' defined as exo in pfplan is not an endogenous variable\n");
DYN_MEX_FUNC_ERR_MSG_TXT(tmp.c_str());
}
}
tmp = mxGetField(pfplan_struct, i, "per_value");
if (tmp)
{
size_t num_shocks = mxGetM(tmp);
double * per_value = mxGetPr(tmp);
(spfplan[i]).per_value.resize(num_shocks);
for (int j = 0; j < num_shocks; j++)
spfplan[i].per_value[j] = make_pair(ceil(per_value[j]), per_value[j+ num_shocks]);
}
}
int i;
for (vector<s_plan>::iterator it = spfplan.begin(); it != spfplan.end(); it++)
{
mexPrintf("----------------------------------------------------------------------------------------------------\n");
mexPrintf("perfect foresight n°%d\n", i+1);
if (it->exo.length())
mexPrintf(" plan flipping var=%s (%d) exo=%s (%d) for the following periods and with the following values:\n", it->var.c_str(), it->var_num, it->exo.c_str(), it->exo_num);
else
mexPrintf(" plan shocks on var=%s (%d) for the following periods and with the following values:\n", it->var.c_str(), it->var_num);
for (vector<pair<int, double> >::iterator it1 = it->per_value.begin(); it1 != it->per_value.end(); it1++)
{
mexPrintf(" %3d %10.5f\n",it1->first, it1->second);
}
i++;
}
}
int field_steady_state = mxGetFieldNumber(oo_, "steady_state");
if (field_steady_state < 0)
DYN_MEX_FUNC_ERR_MSG_TXT("steady_state is not a field of oo_");
int field_exo_steady_state = mxGetFieldNumber(oo_, "exo_steady_state");
if (field_exo_steady_state < 0)
DYN_MEX_FUNC_ERR_MSG_TXT("exo_steady_state is not a field of oo_");
if (!steady_state)
{
int field_endo_simul = mxGetFieldNumber(oo_, "endo_simul");
if (field_endo_simul < 0)
DYN_MEX_FUNC_ERR_MSG_TXT("endo_simul is not a field of oo_");
int field_exo_simul = mxGetFieldNumber(oo_, "exo_simul");
if (field_exo_simul < 0)
DYN_MEX_FUNC_ERR_MSG_TXT("exo_simul is not a field of oo_");
if (!count_array_argument)
{
yd = mxGetPr(mxGetFieldByNumber(oo_, 0, mxGetFieldNumber(oo_, "endo_simul")));
row_y = mxGetM(mxGetFieldByNumber(oo_, 0, mxGetFieldNumber(oo_, "endo_simul")));
col_y = mxGetN(mxGetFieldByNumber(oo_, 0, mxGetFieldNumber(oo_, "endo_simul")));
xd = mxGetPr(mxGetFieldByNumber(oo_, 0, mxGetFieldNumber(oo_, "exo_simul")));
row_x = mxGetM(mxGetFieldByNumber(oo_, 0, mxGetFieldNumber(oo_, "exo_simul")));
col_x = mxGetN(mxGetFieldByNumber(oo_, 0, mxGetFieldNumber(oo_, "exo_simul")));
mxArray* endo_sim_arr = mxGetFieldByNumber(oo_, 0, field_endo_simul);
yd = mxGetPr(endo_sim_arr);
row_y = mxGetM(endo_sim_arr);
col_y = mxGetN(endo_sim_arr);
mxArray* exo_sim_arr = mxGetFieldByNumber(oo_, 0, field_exo_simul);
xd = mxGetPr(exo_sim_arr);
row_x = mxGetM(exo_sim_arr);
col_x = mxGetN(exo_sim_arr);
nb_row_xd = row_x;
}
int field = mxGetFieldNumber(M_, "maximum_lag");
if (field >= 0)
y_kmin = int (floor(*(mxGetPr(mxGetFieldByNumber(M_, 0, field)))));
else
DYN_MEX_FUNC_ERR_MSG_TXT("maximum_lag is not a field of M_");
field = mxGetFieldNumber(M_, "maximum_lead");
if (field >= 0)
y_kmax = int (floor(*(mxGetPr(mxGetFieldByNumber(M_, 0, field)))));
else
DYN_MEX_FUNC_ERR_MSG_TXT("maximum_lead is not a field of M_");
field = mxGetFieldNumber(M_, "maximum_endo_lag");
if (field >= 0)
y_decal = max(0, y_kmin-int (floor(*(mxGetPr(mxGetFieldByNumber(M_, 0, field))))));
else
DYN_MEX_FUNC_ERR_MSG_TXT("maximum_endo_lag is not a field of M_");
y_kmin = int (floor(*(mxGetPr(mxGetFieldByNumber(M_, 0, mxGetFieldNumber(M_, "maximum_lag"))))));
y_kmax = int (floor(*(mxGetPr(mxGetFieldByNumber(M_, 0, mxGetFieldNumber(M_, "maximum_lead"))))));
y_decal = max(0, y_kmin-int (floor(*(mxGetPr(mxGetFieldByNumber(M_, 0, mxGetFieldNumber(M_, "maximum_endo_lag")))))));
if (!count_array_argument)
periods = int (floor(*(mxGetPr(mxGetFieldByNumber(options_, 0, mxGetFieldNumber(options_, "periods"))))));
{
int field = mxGetFieldNumber(options_, "periods");
if (field >= 0)
periods = int (floor(*(mxGetPr(mxGetFieldByNumber(options_, 0, field)))));
else
DYN_MEX_FUNC_ERR_MSG_TXT("options_ is not a field of options_");
}
if (!steady_yd )
{
steady_yd = mxGetPr(mxGetFieldByNumber(oo_, 0, mxGetFieldNumber(oo_, "steady_state")));
steady_row_y = mxGetM(mxGetFieldByNumber(oo_, 0, mxGetFieldNumber(oo_, "steady_state")));
steady_col_y = mxGetN(mxGetFieldByNumber(oo_, 0, mxGetFieldNumber(oo_, "steady_state")));;
mxArray* steady_state_arr = mxGetFieldByNumber(oo_, 0, field_steady_state);
steady_yd = mxGetPr(steady_state_arr);
steady_row_y = mxGetM(steady_state_arr);
steady_col_y = mxGetN(steady_state_arr);
}
steady_xd = mxGetPr(mxGetFieldByNumber(oo_, 0, mxGetFieldNumber(oo_, "exo_steady_state")));
steady_xd = mxGetPr(mxGetFieldByNumber(oo_, 0, field_exo_steady_state));
}
else
{
if (!count_array_argument)
{
yd = mxGetPr(mxGetFieldByNumber(oo_, 0, mxGetFieldNumber(oo_, "steady_state")));
row_y = mxGetM(mxGetFieldByNumber(oo_, 0, mxGetFieldNumber(oo_, "steady_state")));
col_y = mxGetN(mxGetFieldByNumber(oo_, 0, mxGetFieldNumber(oo_, "steady_state")));;
mxArray* steady_state_arr = mxGetFieldByNumber(oo_, 0, field_steady_state);
yd = mxGetPr(steady_state_arr);
row_y = mxGetM(steady_state_arr);
col_y = mxGetN(steady_state_arr);
xd = mxGetPr(mxGetFieldByNumber(oo_, 0, mxGetFieldNumber(oo_, "exo_steady_state")));
row_x = mxGetM(mxGetFieldByNumber(oo_, 0, mxGetFieldNumber(oo_, "exo_steady_state")));
col_x = mxGetN(mxGetFieldByNumber(oo_, 0, mxGetFieldNumber(oo_, "exo_steady_state")));
mxArray* exo_steady_state_arr = mxGetFieldByNumber(oo_, 0, field_exo_steady_state);
xd = mxGetPr(exo_steady_state_arr);
row_x = mxGetM(exo_steady_state_arr);
col_x = mxGetN(exo_steady_state_arr);
nb_row_xd = row_x;
}
}
int verbose= int(*mxGetPr((mxGetFieldByNumber(options_, 0, mxGetFieldNumber(options_, "verbosity")))));
int field = mxGetFieldNumber(options_, "verbosity");
int verbose = 0;
if (field >= 0)
verbose = int(*mxGetPr((mxGetFieldByNumber(options_, 0, field))));
else
DYN_MEX_FUNC_ERR_MSG_TXT("verbosity is not a field of options_");
if (verbose)
print_it = true;
int maxit_ = int (floor(*(mxGetPr(mxGetFieldByNumber(options_, 0, mxGetFieldNumber(options_, "maxit_"))))));
double slowc = double (*(mxGetPr(mxGetFieldByNumber(options_, 0, mxGetFieldNumber(options_, "slowc")))));
double markowitz_c = double (*(mxGetPr(mxGetFieldByNumber(options_, 0, mxGetFieldNumber(options_, "markowitz")))));
int minimal_solving_periods = int (*(mxGetPr(mxGetFieldByNumber(options_, 0, mxGetFieldNumber(options_, "minimal_solving_periods")))));
int stack_solve_algo = int (*(mxGetPr(mxGetFieldByNumber(options_, 0, mxGetFieldNumber(options_, "stack_solve_algo")))));
field = mxGetFieldNumber(options_, "maxit_");
if (field < 0)
DYN_MEX_FUNC_ERR_MSG_TXT("maxit_ is not a field of options_");
int maxit_ = int (floor(*(mxGetPr(mxGetFieldByNumber(options_, 0, field)))));
field = mxGetFieldNumber(options_, "slowc");
if (field < 0)
DYN_MEX_FUNC_ERR_MSG_TXT("slows is not a field of options_");
double slowc = double (*(mxGetPr(mxGetFieldByNumber(options_, 0, field))));
field = mxGetFieldNumber(options_, "markowitz");
if (field < 0)
DYN_MEX_FUNC_ERR_MSG_TXT("markowitz is not a field of options_");
double markowitz_c = double (*(mxGetPr(mxGetFieldByNumber(options_, 0, field))));
field = mxGetFieldNumber(options_, "minimal_solving_periods");
if (field < 0)
DYN_MEX_FUNC_ERR_MSG_TXT("minimal_solving_periods is not a field of options_");
int minimal_solving_periods = int (*(mxGetPr(mxGetFieldByNumber(options_, 0, field))));
field = mxGetFieldNumber(options_, "stack_solve_algo");
if (field < 0)
DYN_MEX_FUNC_ERR_MSG_TXT("stack_solve_algo is not a field of options_");
int stack_solve_algo = int (*(mxGetPr(mxGetFieldByNumber(options_, 0, field))));
int solve_algo;
double solve_tolf;
if (steady_state)
{
solve_algo = int (*(mxGetPr(mxGetFieldByNumber(options_, 0, mxGetFieldNumber(options_, "solve_algo")))));
solve_tolf = *(mxGetPr(mxGetFieldByNumber(options_, 0, mxGetFieldNumber(options_, "solve_tolf"))));
int field = mxGetFieldNumber(options_, "solve_algo");
if (field >= 0)
solve_algo = int (*(mxGetPr(mxGetFieldByNumber(options_, 0, field))));
else
DYN_MEX_FUNC_ERR_MSG_TXT("solve_algo is not a field of options_");
field = mxGetFieldNumber(options_, "solve_tolf");
if (field >= 0)
solve_tolf = *(mxGetPr(mxGetFieldByNumber(options_, 0, field)));
else
DYN_MEX_FUNC_ERR_MSG_TXT("solve_tolf is not a field of options_");
}
else
{
solve_algo = stack_solve_algo;
mxArray *dynatol = mxGetFieldByNumber(options_, 0, mxGetFieldNumber(options_, "dynatol"));
solve_tolf= *mxGetPr((mxGetFieldByNumber(dynatol, 0, mxGetFieldNumber(dynatol, "f"))));
int field = mxGetFieldNumber(options_, "dynatol");
mxArray *dynatol;
if (field >= 0)
dynatol = mxGetFieldByNumber(options_, 0, field);
else
DYN_MEX_FUNC_ERR_MSG_TXT("dynatol is not a field of options_");
field = mxGetFieldNumber(dynatol, "f");
if (field >= 0)
solve_tolf= *mxGetPr((mxGetFieldByNumber(dynatol, 0, field)));
else
DYN_MEX_FUNC_ERR_MSG_TXT("f is not a field of options_.dynatol");
}
mxArray *mxa = mxGetFieldByNumber(M_, 0, mxGetFieldNumber(M_, "fname"));
int buflen = mxGetM(mxa) * mxGetN(mxa) + 1;
field = mxGetFieldNumber(M_, "fname");
mxArray *mxa;
if (field >= 0)
mxa = mxGetFieldByNumber(M_, 0, field);
else
DYN_MEX_FUNC_ERR_MSG_TXT("fname is not a field of M_");
size_t buflen = mxGetM(mxa) * mxGetN(mxa) + 1;
char *fname;
fname = (char *) mxCalloc(buflen+1, sizeof(char));
int status = mxGetString(mxa, fname, buflen);
size_t status = mxGetString(mxa, fname, int(buflen));
fname[buflen] = ' ';
if (status != 0)
mexWarnMsgTxt("Not enough space. Filename is truncated.");
string file_name = fname;
int size_of_direction = col_y*row_y*sizeof(double);
double *y = (double *) mxMalloc(size_of_direction);
double *ya = (double *) mxMalloc(size_of_direction);
direction = (double *) mxMalloc(size_of_direction);
memset(direction, 0, size_of_direction);
double *x = (double *) mxMalloc(col_x*row_x*sizeof(double));
for (i = 0; i < row_x*col_x; i++)
x[i] = double (xd[i]);
for (i = 0; i < row_y*col_y; i++)
{
y[i] = double (yd[i]);
ya[i] = double (yd[i]);
}
int y_size = row_y;
int nb_row_x = row_x;
clock_t t0 = clock();
Interpreter interprete(params, y, ya, x, steady_yd, steady_xd, direction, y_size, nb_row_x, nb_row_xd, periods, y_kmin, y_kmax, maxit_, solve_tolf, size_of_direction, slowc, y_decal, markowitz_c, file_name, minimal_solving_periods, stack_solve_algo, solve_algo, global_temporary_terms, print, print_error, GlobalTemporaryTerms);
string f(fname);
mxFree(fname);
int nb_blocks = 0;
double *pind;
bool no_error = true;
#ifdef CUDA
try
{
interprete.compute_blocks(f, f, steady_state, evaluate, block, nb_blocks,print_it);
if (stack_solve_algo == 7 && !steady_state)
CUDA_device = GPU_Test_and_Info(&cublas_handle, &cusparse_handle, &descr);
}
catch (GeneralExceptionHandling &feh)
{
DYN_MEX_FUNC_ERR_MSG_TXT(feh.GetErrorMsg().c_str());
}
#else
if (stack_solve_algo == 7 && !steady_state)
DYN_MEX_FUNC_ERR_MSG_TXT("bytecode has not been compiled with CUDA option. Bytecode Can't use options_.stack_solve_algo=7\n");
#endif
size_t size_of_direction = col_y*row_y*sizeof(double);
double *y = (double *) mxMalloc(size_of_direction);
double *ya = (double *) mxMalloc(size_of_direction);
direction = (double *) mxMalloc(size_of_direction);
memset(direction, 0, size_of_direction);
double *x = (double *) mxMalloc(col_x*row_x*sizeof(double));
#ifdef USE_OMP
#pragma omp parallel for num_threads(atoi(getenv("DYNARE_NUM_THREADS")))
#endif
for (i = 0; i < row_x*col_x; i++)
{
x[i] = double (xd[i]);
}
#ifdef USE_OMP
#pragma omp parallel for num_threads(atoi(getenv("DYNARE_NUM_THREADS")))
#endif
for (i = 0; i < row_y*col_y; i++)
{
y[i] = double (yd[i]);
ya[i] = double (yd[i]);
}
size_t y_size = row_y;
size_t nb_row_x = row_x;
clock_t t0 = clock();
Interpreter interprete(params, y, ya, x, steady_yd, steady_xd, direction, y_size, nb_row_x, nb_row_xd, periods, y_kmin, y_kmax, maxit_, solve_tolf, size_of_direction, slowc, y_decal,
markowitz_c, file_name, minimal_solving_periods, stack_solve_algo, solve_algo, global_temporary_terms, print, print_error, GlobalTemporaryTerms, steady_state,
print_it
#ifdef CUDA
, CUDA_device, cublas_handle, cusparse_handle, descr
#endif
);
string f(fname);
mxFree(fname);
int nb_blocks = 0;
double *pind;
bool no_error = true;
try
{
interprete.compute_blocks(f, f, evaluate, block, nb_blocks);
}
catch (GeneralExceptionHandling &feh)
{
DYN_MEX_FUNC_ERR_MSG_TXT(feh.GetErrorMsg().c_str());
}
#ifdef CUDA
if (stack_solve_algo == 7 && !steady_state)
GPU_close(cublas_handle, cusparse_handle, descr);
#endif
clock_t t1 = clock();
if (!steady_state && !evaluate && no_error && print)
@ -370,14 +859,14 @@ main(int nrhs, const char *prhs[])
if (evaluate)
{
vector<double> residual = interprete.get_residual();
plhs[1] = mxCreateDoubleMatrix(residual.size()/col_y, col_y, mxREAL);
plhs[1] = mxCreateDoubleMatrix(int(residual.size()/double(col_y)), int(col_y), mxREAL);
pind = mxGetPr(plhs[1]);
for (i = 0; i < residual.size(); i++)
pind[i] = residual[i];
}
else
{
plhs[1] = mxCreateDoubleMatrix(row_y, col_y, mxREAL);
plhs[1] = mxCreateDoubleMatrix(int(row_y), int(col_y), mxREAL);
pind = mxGetPr(plhs[1]);
for (i = 0; i < row_y*col_y; i++)
pind[i] = y[i];
@ -385,7 +874,7 @@ main(int nrhs, const char *prhs[])
}
else
{
plhs[1] = mxCreateDoubleMatrix(row_y, col_y, mxREAL);
plhs[1] = mxCreateDoubleMatrix(int(row_y), int(col_y), mxREAL);
pind = mxGetPr(plhs[1]);
if (evaluate)
{
@ -409,7 +898,7 @@ main(int nrhs, const char *prhs[])
jacob_exo_field_number = 1;
jacob_exo_det_field_number = 2;
jacob_other_endo_field_number = 3;
mwSize dims[1] = {nb_blocks };
mwSize dims[1] = {(mwSize)nb_blocks };
plhs[2] = mxCreateStructArray(1, dims, 4, field_names);
}
else if (!mxIsStruct(block_structur))
@ -456,15 +945,15 @@ main(int nrhs, const char *prhs[])
}
if (nlhs > 3)
{
plhs[3] = mxCreateDoubleMatrix(row_y, col_y, mxREAL);
plhs[3] = mxCreateDoubleMatrix(int(row_y), int(col_y), mxREAL);
pind = mxGetPr(plhs[3]);
for (i = 0; i < row_y*col_y; i++)
pind[i] = y[i];
if (nlhs > 4)
{
mxArray *GlobalTemporaryTerms = interprete.get_Temporary_Terms();
unsigned int nb_temp_terms = mxGetM(GlobalTemporaryTerms);
plhs[4] = mxCreateDoubleMatrix(nb_temp_terms, 1, mxREAL);
size_t nb_temp_terms = mxGetM(GlobalTemporaryTerms);
plhs[4] = mxCreateDoubleMatrix(int(nb_temp_terms), 1, mxREAL);
pind = mxGetPr(plhs[4]);
double *tt = mxGetPr(GlobalTemporaryTerms);
for (i = 0; i < nb_temp_terms; i++)
@ -486,4 +975,8 @@ main(int nrhs, const char *prhs[])
mxFree(ya);
if (direction)
mxFree(direction);
#ifdef _MSC_VER_
/*fFreeResult =*/ FreeLibrary(hinstLib);
#endif
return;
}

2
mex/sources/dynblas.h
View File

@ -41,7 +41,7 @@ typedef ptrdiff_t blas_int;
typedef int blas_int;
#endif
#if defined(MATLAB_MEX_FILE) && defined(_WIN32)
#if defined(MATLAB_MEX_FILE) && defined(_WIN32) && !defined(_MSC_VER)
# define FORTRAN_WRAPPER(x) x
#else
# define FORTRAN_WRAPPER(x) x ## _

122
mex/sources/dynumfpack.h Normal file
View File

@ -0,0 +1,122 @@
/*
* Defines the prototypes for BLAS Fortran functions.
*
* Also defines a typedef blas_int to be used for all integers passed to BLAS
* functions.
*
* When used in the context of a MATLAB MEX file, you must define MATLAB_MEX_FILE
* and MATLAB_VERSION (for version 7.4, define it to 0x0704).
*
*
* Copyright (C) 2009-2011 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/>.
*/
#ifndef _DYNUMFPACK_H
#define _DYNUMFPACK_H
/* Starting from version 7.8, MATLAB BLAS expects ptrdiff_t arguments for integers */
#if defined(MATLAB_MEX_FILE) && MATLAB_VERSION >= 0x0708
# ifdef __cplusplus
# include <cstddef>
# else
# include <stddef.h>
# endif
#endif
/*
#if defined(MATLAB_MEX_FILE) && defined(_WIN32) && !defined(_MSC_VER)
# define FORTRAN_WRAPPER(x) x
#else
# define FORTRAN_WRAPPER(x) x
#endif
*/
#ifdef __cplusplus
extern "C" {
#endif
/* -------------------------------------------------------------------------- */
/* size of Info and Control arrays */
/* -------------------------------------------------------------------------- */
/* These might be larger in future versions, since there are only 3 unused
* entries in Info, and no unused entries in Control. */
#define UMFPACK_INFO 90
#define UMFPACK_CONTROL 20
/* used in all UMFPACK_report_* routines: */
#define UMFPACK_PRL 0 /* print level */
/* returned by all routines that use Info: */
#define UMFPACK_OK (0)
#define UMFPACK_STATUS 0 /* UMFPACK_OK, or other result */
typedef long long int SuiteSparse_long;
#define umfpack_dl_defaults FORTRAN_WRAPPER(umfpack_dl_defaults)
void umfpack_dl_defaults(double Control[UMFPACK_CONTROL]);
#define umfpack_dl_symbolic FORTRAN_WRAPPER(umfpack_dl_symbolic)
SuiteSparse_long umfpack_dl_symbolic(SuiteSparse_long n_row, SuiteSparse_long n_col,
const SuiteSparse_long Ap [ ], const SuiteSparse_long Ai [ ],
const double Ax [ ], void **Symbolic,
const double Control [UMFPACK_CONTROL], double Info [UMFPACK_INFO]);
#define umfpack_dl_numeric FORTRAN_WRAPPER(umfpack_dl_numeric)
SuiteSparse_long umfpack_dl_numeric(const SuiteSparse_long Ap [ ], const SuiteSparse_long Ai [ ],
const double Ax [ ], void *Symbolic, void **Numeric,
const double Control [UMFPACK_CONTROL], double Info [UMFPACK_INFO]);
#define umfpack_dl_solve FORTRAN_WRAPPER(umfpack_dl_solve)
SuiteSparse_long umfpack_dl_solve(SuiteSparse_long sys, const SuiteSparse_long Ap [ ],
const SuiteSparse_long Ai [ ], const double Ax [ ],
double X [ ], const double B [ ], void *Numeric,
const double Control [UMFPACK_CONTROL], double Info [UMFPACK_INFO]);
#define umfpack_dl_report_info FORTRAN_WRAPPER(umfpack_dl_report_info)
void umfpack_dl_report_info(const double Control [UMFPACK_CONTROL],
const double Info [UMFPACK_INFO]);
#define umfpack_dl_report_status FORTRAN_WRAPPER(umfpack_dl_report_status)
void umfpack_dl_report_status(const double Control [UMFPACK_CONTROL],
SuiteSparse_long status);
#define umfpack_dl_free_symbolic FORTRAN_WRAPPER(umfpack_dl_free_symbolic)
void umfpack_dl_free_symbolic(void **Symbolic);
#define umfpack_dl_free_numeric FORTRAN_WRAPPER(umfpack_dl_free_numeric)
void umfpack_dl_free_numeric(void **Numeric);
#define umfpack_dl_load_symbolic FORTRAN_WRAPPER(umfpack_dl_load_symbolic )
SuiteSparse_long umfpack_dl_load_symbolic (void **Symbolic, char *filename) ;
#define umfpack_dl_load_numeric FORTRAN_WRAPPER(umfpack_dl_load_numeric )
SuiteSparse_long umfpack_dl_load_numeric (void **Numeric, char *filename) ;
#define umfpack_dl_save_symbolic FORTRAN_WRAPPER(umfpack_dl_save_symbolic )
SuiteSparse_long umfpack_dl_save_symbolic (void *Symbolic, char *filename) ;
#define umfpack_dl_save_numeric FORTRAN_WRAPPER(umfpack_dl_save_numeric )
SuiteSparse_long umfpack_dl_save_numeric (void *Numeric, char *filename) ;
#ifdef __cplusplus
} /* extern "C" */
#endif
#endif /* DYNUMFPACK */

6
preprocessor/CodeInterpreter.hh
View File

@ -1232,7 +1232,7 @@ public:
CompileCode.write(reinterpret_cast<char *>(&row), sizeof(row));
CompileCode.write(reinterpret_cast<char *>(&col), sizeof(col));
CompileCode.write(reinterpret_cast<char *>(&function_type), sizeof(function_type));
int size = func_name.size();
size_t size = func_name.size();
CompileCode.write(reinterpret_cast<char *>(&size), sizeof(int));
const char *name = func_name.c_str();
CompileCode.write(reinterpret_cast<const char *>(name), func_name.size());
@ -1607,7 +1607,7 @@ class CodeLoad
private:
uint8_t *code;
unsigned int nb_blocks;
vector<unsigned int> begin_block;
vector<size_t> begin_block;
public:
inline unsigned int
@ -1616,7 +1616,7 @@ public:
return nb_blocks;
};
unsigned int inline
size_t inline
get_begin_block(int block)
{
return begin_block[block];

13
preprocessor/DynamicModel.cc
View File

@ -3715,6 +3715,19 @@ DynamicModel::testTrendDerivativesEqualToZero(const eval_context_t &eval_context
}
}
void
DynamicModel::print_trend_vars()
{
for (trend_symbols_map_t::const_iterator it = nonstationary_symbols_map.begin();
it != nonstationary_symbols_map.end(); it++)
{
cout << "it->first:" << symbol_table.getName(it->first) << " ";
it->second->print_deflator();
cout << endl;
}
}
void
DynamicModel::writeParamsDerivativesFile(const string &basename) const
{

1
preprocessor/DynamicModel.hh
View File

@ -230,6 +230,7 @@ public:
virtual int getDerivID(int symb_id, int lag) const throw (UnknownDerivIDException);
virtual int getDynJacobianCol(int deriv_id) const throw (UnknownDerivIDException);
virtual void addAllParamDerivId(set<int> &deriv_id_set);
void print_trend_vars();
//! Returns true indicating that this is a dynamic model
virtual bool

64
preprocessor/ExprNode.cc
View File

@ -175,6 +175,64 @@ ExprNode::writeExternalFunctionOutput(ostream &output, ExprNodeOutputType output
// Nothing to do
}
void
ExprNode::print_deflator()
{
}
void
VariableNode::print_deflator()
{
cout << datatree.symbol_table.getName(symb_id);
}
void
UnaryOpNode::print_deflator()
{
arg->print_deflator();
}
void
BinaryOpNode::print_deflator()
{
arg1->print_deflator();
arg2->print_deflator();
}
void
TrinaryOpNode::print_deflator()
{
arg1->print_deflator();
arg2->print_deflator();
arg3->print_deflator();
}
void
ExternalFunctionNode::print_deflator()
{
}
void
FirstDerivExternalFunctionNode::print_deflator()
{
}
void
SecondDerivExternalFunctionNode::print_deflator()
{
}
void
ExprNode::compileExternalFunctionOutput(ostream &CompileCode, unsigned int &instruction_number,
bool lhs_rhs, const temporary_terms_t &temporary_terms,
@ -297,6 +355,12 @@ NumConstNode::collectTemporary_terms(const temporary_terms_t &temporary_terms, t
temporary_terms_inuse.insert(idx);
}
void
NumConstNode::print_deflator()
{
}
void
NumConstNode::writeOutput(ostream &output, ExprNodeOutputType output_type,
const temporary_terms_t &temporary_terms,

9
preprocessor/ExprNode.hh
View File

@ -284,6 +284,7 @@ public:
//! Returns the relative period of the most forward term in this expression
/*! A negative value means that the expression contains only lagged variables */
virtual int maxLead() const = 0;
virtual void print_deflator();
//! Returns a new expression where all the leads/lags have been shifted backwards by the same amount
/*!
@ -455,6 +456,7 @@ public:
virtual expr_t detrend(int symb_id, expr_t trend) const;
virtual expr_t cloneDynamic(DataTree &dynamic_datatree) const;
virtual expr_t removeTrendLeadLag(map<int, expr_t> trend_symbols_map) const;
virtual void print_deflator();
};
//! Symbol or variable node
@ -483,6 +485,7 @@ public:
virtual double eval(const eval_context_t &eval_context) const throw (EvalException, EvalExternalFunctionException);
virtual void compile(ostream &CompileCode, unsigned int &instruction_number, bool lhs_rhs, const temporary_terms_t &temporary_terms, const map_idx_t &map_idx, bool dynamic, bool steady_dynamic, deriv_node_temp_terms_t &tef_terms) const;
virtual expr_t toStatic(DataTree &static_datatree) const;
virtual void print_deflator();
SymbolType
get_type() const
{
@ -554,6 +557,7 @@ public:
virtual void collectTemporary_terms(const temporary_terms_t &temporary_terms, temporary_terms_inuse_t &temporary_terms_inuse, int Curr_Block) const;
static double eval_opcode(UnaryOpcode op_code, double v) throw (EvalException, EvalExternalFunctionException);
virtual double eval(const eval_context_t &eval_context) const throw (EvalException, EvalExternalFunctionException);
virtual void print_deflator();
virtual void compile(ostream &CompileCode, unsigned int &instruction_number, bool lhs_rhs, const temporary_terms_t &temporary_terms, const map_idx_t &map_idx, bool dynamic, bool steady_dynamic, deriv_node_temp_terms_t &tef_terms) const;
//! Returns operand
expr_t
@ -633,6 +637,7 @@ public:
virtual double eval(const eval_context_t &eval_context) const throw (EvalException, EvalExternalFunctionException);
virtual void compile(ostream &CompileCode, unsigned int &instruction_number, bool lhs_rhs, const temporary_terms_t &temporary_terms, const map_idx_t &map_idx, bool dynamic, bool steady_dynamic, deriv_node_temp_terms_t &tef_terms) const;
virtual expr_t Compute_RHS(expr_t arg1, expr_t arg2, int op, int op_type) const;
virtual void print_deflator();
//! Returns first operand
expr_t
get_arg1() const
@ -733,6 +738,7 @@ public:
virtual int maxEndoLag() const;
virtual int maxExoLag() const;
virtual int maxLead() const;
virtual void print_deflator();
virtual expr_t decreaseLeadsLags(int n) const;
virtual expr_t substituteEndoLeadGreaterThanTwo(subst_table_t &subst_table, vector<BinaryOpNode *> &neweqs, bool deterministic_model) const;
//! Creates another TrinaryOpNode with the same opcode, but with a possibly different datatree and arguments
@ -797,6 +803,7 @@ public:
bool lhs_rhs, const temporary_terms_t &temporary_terms,
const map_idx_t &map_idx, bool dynamic, bool steady_dynamic,
deriv_node_temp_terms_t &tef_terms) const;
virtual void print_deflator();
virtual void compile(ostream &CompileCode, unsigned int &instruction_number, bool lhs_rhs, const temporary_terms_t &temporary_terms, const map_idx_t &map_idx, bool dynamic, bool steady_dynamic, deriv_node_temp_terms_t &tef_terms) const;
virtual expr_t toStatic(DataTree &static_datatree) const;
@ -855,6 +862,7 @@ public:
bool lhs_rhs, const temporary_terms_t &temporary_terms,
const map_idx_t &map_idx, bool dynamic, bool steady_dynamic,
deriv_node_temp_terms_t &tef_terms) const;
virtual void print_deflator();
};
class SecondDerivExternalFunctionNode : public ExternalFunctionNode
@ -880,6 +888,7 @@ public:
virtual void writeExternalFunctionOutput(ostream &output, ExprNodeOutputType output_type,
const temporary_terms_t &temporary_terms,
deriv_node_temp_terms_t &tef_terms) const;
virtual void print_deflator();
};
#endif

5
preprocessor/ModFile.cc
View File

@ -107,6 +107,7 @@ ModFile::addStatementAtFront(Statement *st)
void
ModFile::checkPass()
{
dynamic_model.print_trend_vars();
for (vector<Statement *>::iterator it = statements.begin();
it != statements.end(); it++)
(*it)->checkPass(mod_file_struct, warnings);
@ -374,8 +375,8 @@ ModFile::computingPass(bool no_tmp_terms)
// Mod file may have no equation (for example in a standalone BVAR estimation)
if (dynamic_model.equation_number() > 0)
{
if (nonstationary_variables)
trend_dynamic_model.runTrendTest(global_eval_context);
/*if (nonstationary_variables)
trend_dynamic_model.runTrendTest(global_eval_context);*/
// Compute static model and its derivatives
dynamic_model.toStatic(static_model);

23
preprocessor/ModelTree.cc
View File

@ -1002,14 +1002,21 @@ ModelTree::computeJacobian(const set<int> &vars)
{
for (set<int>::const_iterator it = vars.begin();
it != vars.end(); it++)
for (int eq = 0; eq < (int) equations.size(); eq++)
{
expr_t d1 = equations[eq]->getDerivative(*it);
if (d1 == Zero)
continue;
first_derivatives[make_pair(eq, *it)] = d1;
++NNZDerivatives[0];
}
{
int prev_deriv = NNZDerivatives[0];
for (int eq = 0; eq < (int) equations.size(); eq++)
{
expr_t d1 = equations[eq]->getDerivative(*it);
if (d1 == Zero)
continue;
first_derivatives[make_pair(eq, *it)] = d1;
++NNZDerivatives[0];
}
if (NNZDerivatives[0] == prev_deriv)
{
cout << "the derivatives w.r. to " << symbol_table.getName(*it) << " is always equal to 0\n";
}
}
}
void

39
tests/conditional_forecasts/fs2000_cal.mod
View File

@ -13,6 +13,7 @@ rho = 0.7;
psi = 0.787;
del = 0.02;
//model(block, bytecode);
model;
dA = exp(gam+e_a);
log(m) = (1-rho)*log(mst) + rho*log(m(-1))+e_m;
@ -56,19 +57,39 @@ steady;
check;
stoch_simul(irf=0);
//stoch_simul(irf=0);
conditional_forecast_paths;
var gp_obs;
periods 1 2:5;
//values 0.05;
//values 0.98 1.00797;
values 0.98 0.99;
//expectation perfect_foresight;
var gy_obs;
periods 1 2 3:5;
values 0.01 -0.02 0;
var gp_obs;
periods 1:5;
values 0.05;
//values 0.01 -0.02 0;
//values 0.85 0.85 0.95;
values 0.95 0.95 0.99;
//expectation perfect_foresight;
end;
conditional_forecast(parameter_set=calibration, controlled_varexo=(e_a,e_m));
options_.stack_solve_algo = 0;
options_.maxit_ = 50;
if ~(exist('OCTAVE_VERSION') && octave_ver_less_than('3.4.0'))
plot_conditional_forecast(periods=10) gy_obs gp_obs;
end
conditional_forecast(parameter_set=calibration, controlled_varexo=(e_m,e_a), simulation_type = deterministic);
/*shocks;
var e_a;
periods 1 2 3 4 5;
values -0.0109 -0.0122 -0.0137 -0.0154 -0.0173;
var e_m;
periods 1 2 3 4 5;
values -0.1242 -0.0386 -0.0392 -0.0398 -0.0405;
end;
simul(periods=40);*/
rplot gy_obs;
rplot gp_obs;
//if ~(exist('OCTAVE_VERSION') && octave_ver_less_than('3.4.0'))
//plot_conditional_forecast(periods=10) gy_obs gp_obs;
//end