stepan
/
dynare
1
0
Fork 0
Code Issues Pull Requests Packages Projects Releases Wiki Activity

Fixing changes in passing hessian from mex/dll as sparse instead full matrix 

git-svn-id: https://www.dynare.org/svn/dynare/trunk@2795 ac1d8469-bf42-47a9-8791-bf33cf982152
time-shift
george 2009-06-30 07:33:40 +00:00
parent a05fa888b0
commit c0808c9ae9
4 changed files with 93 additions and 68 deletions
Show Stats Download Patch File Download Diff File Expand all files Collapse all files

123
mex/sources/korderpert/src/k_ord_dynare.cpp
View File

@ -40,12 +40,13 @@ class KordpJacobian;
KordpDynare::KordpDynare(const char **endo, int num_endo,
const char **exo, int nexog, int npar, //const char** par,
Vector *ysteady, TwoDMatrix *vcov, Vector *inParams, int nstat,
int npred, int nforw, int nboth, const int jcols, const int nsteps, int norder, //const char* modName,
Journal &jr, DynamicModelDLL &dynamicDLL, double sstol, const vector<int> *var_order,
const TwoDMatrix *llincidence, double criterium)
int npred, int nforw, int nboth, const int jcols, const Vector *nnzd,
const int nsteps, int norder, //const char* modName,
Journal &jr, DynamicModelDLL &dynamicDLL, double sstol,
const vector<int> *var_order, const TwoDMatrix *llincidence, double criterium)
: nStat(nstat), nBoth(nboth), nPred(npred), nForw(nforw), nExog(nexog), nPar(npar),
nYs(npred + nboth), nYss(nboth + nforw), nY(num_endo), nJcols(jcols), nSteps(nsteps), nOrder(norder),
journal(jr), dynamicDLL(dynamicDLL), ySteady(ysteady), vCov(vcov), params(inParams),
nYs(npred + nboth), nYss(nboth + nforw), nY(num_endo), nJcols(jcols), NNZD(nnzd), nSteps(nsteps),
nOrder(norder), journal(jr), dynamicDLL(dynamicDLL), ySteady(ysteady), vCov(vcov), params(inParams),
md(1), dnl(NULL), denl(NULL), dsnl(NULL), ss_tol(sstol), varOrder(var_order),
ll_Incidence(llincidence), qz_criterium(criterium)
{
@ -93,9 +94,9 @@ KordpDynare::KordpDynare(const char **endo, int num_endo,
KordpDynare::KordpDynare(const KordpDynare &dynare)
: nStat(dynare.nStat), nBoth(dynare.nBoth), nPred(dynare.nPred),
nForw(dynare.nForw), nExog(dynare.nExog), nPar(dynare.nPar),
nYs(dynare.nYs), nYss(dynare.nYss), nY(dynare.nY), nJcols(dynare.nJcols),
nSteps(dynare.nSteps), nOrder(dynare.nOrder), journal(dynare.journal),
dynamicDLL(dynare.dynamicDLL), //modName(dynare.modName),
nYs(dynare.nYs), nYss(dynare.nYss), nY(dynare.nY), nJcols(dynare.nJcols),
NNZD(dynare.NNZD), nSteps(dynare.nSteps), nOrder(dynare.nOrder),
journal(dynare.journal), dynamicDLL(dynare.dynamicDLL), //modName(dynare.modName),
ySteady(NULL), params(NULL), vCov(NULL), md(dynare.md),
dnl(NULL), denl(NULL), dsnl(NULL), ss_tol(dynare.ss_tol),
varOrder(dynare.varOrder), ll_Incidence(dynare.ll_Incidence),
@ -202,9 +203,14 @@ KordpDynare::calcDerivatives(const Vector &yy, const Vector &xx)
// Hessian TwoDMatrix *g2;
if (nOrder > 1)
{
//TwoDMatrix *
g2 = new TwoDMatrix(nY, nJcols*nJcols); // generate g2 for Hessian
g2->zeros();
//g2 = new TwoDMatrix(nY, nJcols*nJcols); // generate g2 for Hessian
// generate g2 space for sparse Hessian 3x NNZH = 3x NNZD[1]
g2 = new TwoDMatrix((int) (*NNZD)[1],3);
g2->zeros();
#ifdef DEBUG
mexPrintf(" g2 cols %d rows %d \n", g2->numCols(), g2->numRows());
//g2->print();
#endif
}
Vector &out = *(new Vector(nY));
out.zeros();
@ -243,7 +249,13 @@ KordpDynare::calcDerivatives(const Vector &yy, const Vector &xx)
populateDerivativesContainer(g1, 1, JacobianIndices);
if (nOrder > 1)
{
// ReorderBlocks(g2,JacobianIndices);
// ReorderBlocks(g2,JacobianIndices);
#ifdef DEBUG
mexPrintf(" post dll g2 cols %d rows %d \n", g2->numCols(), g2->numRows());
for (int ii=0;ii<g2->numRows(); ii++)
mexPrintf(" g2[%d]: %d %d %f \n", ii, (int)g2->get(ii,0),(int)g2->get(ii,1),g2->get(ii,2));
//g2->print();
#endif
populateDerivativesContainer(g2, 2, JacobianIndices);
}
@ -294,65 +306,70 @@ KordpDynare::populateDerivativesContainer(TwoDMatrix *g, int ord, const vector<i
{
#ifdef DEBUG
mexPrintf("k_ord_dynare.cpp: populate FSSparseTensor in calcDerivatives: cols=%d , rows=%d\n",
g->ncols(), g->nrows());
mexPrintf("k_ord_dynare.cpp: populate FSSparseTensor in calcDerivatives: ord=%d cols=%d , rows=%d\n",
ord, g->ncols(), g->nrows());
#endif
// model derivatives FSSparseTensor instance
FSSparseTensor *mdTi = (new FSSparseTensor(ord, nJcols, g->nrows()));
IntSequence s(ord, 0);
s[0] = 0;
s[1] = 0;
//s[0] = 0;
//s[1] = 0;
if (ord == 1)
{
for (int i = 0; i < g->ncols(); i++)
{
for (int j = 0; j < g->nrows(); j++)
{
{
for (int j = 0; j < g->nrows(); j++)
{
double x;
if (s[0] < nJcols-nExog)
x = g->get(j, (*vOrder)[s[0]]);
x = g->get(j, (*vOrder)[s[0]]);
else
x = g->get(j, s[0]);
x = g->get(j, s[0]);
if (x != 0.0)
mdTi->insert(s, j, x);
}
s[0]++;
}
mdTi->insert(s, j, x);
}
s[0]++;
}
}
else if (ord == 2)
{
nJcols1 = nJcols-nExog;
vector<int> revOrder(nJcols1);
for (int i = 0; i < nJcols1; i++)
revOrder[*vOrder[i]] = i;
for (int i = 0; i < g->nrows(); i++)
{
int j = g->get(i,0);
int i1 = g->get(i,1);
int s0 = floor(i1/nJcols);
if (s0 < nJcols1)
s[0] = revOrder[s0];
else
s[0] = s0;
if (s1 < nJcols1)
s[1] = revOrder[s1];
else
s[1] = s1;
if (s[1] >= s[0])
{
s.print();
std::cout << s0 << " " << s1 << "\n";
int nJcols1 = nJcols-nExog;
vector<int> revOrder(nJcols1);
for (int i = 0; i < nJcols1; i++)
revOrder[(*vOrder)[i]] = i;
for (int i = 0; i < g->nrows(); i++)
{
int j = (int)g->get(i,0)-1; // hessian indices start with 1
int i1 = (int)g->get(i,1) -1;
int s0 = (int)floor(i1/nJcols);
int s1 = i1- (nJcols*s0);
if (s0 < nJcols1)
s[0] = revOrder[s0];
else
s[0] = s0;
if (s1 < nJcols1)
s[1] = revOrder[s1];
else
s[1] = s1;
if (s[1] >= s[0])
{
double x = g->get(i,2);
mdTi->insert(s, j, x);
}
}
}
mdTi->print();
mdTi->insert(s, j, x);
#ifdef DEBUG
mexPrintf(" s[0]=%d s[1]=%d j=%d x=%f \n", s[0],s[1],j,x);
s.print();
std::cout << s[0] << " " << s[1] << "\n";
#endif
}
}
}
#ifdef DEBUG
mexPrintf("k_ord_dynare.cpp: END populate FSSparseTensor in calcDerivatives: ord=%d \n",ord);
mdTi->print();
#endif
// md container
//md.clear();// this is to be used only for 1st order!!
md.remove(Symmetry(ord));

9
mex/sources/korderpert/src/k_ord_dynare.h
View File

@ -123,7 +123,9 @@ class KordpDynare : public DynamicModel
const int nYs; // ={npred + nboth ; }
const int nYss; // nyss ={ nboth + nforw ; }
const int nY; // = num_endo={ nstat + npred + nboth + nforw ; }
const int nJcols; // no of jacobian columns= nExog+nEndo+nsPred+nsForw
const int nJcols; // no of jacobian columns= nExog+nEndo+nsPred+nsForw
const Vector *NNZD; //the total number of non-zero derivative elements
// where hessian is 2nd : NZZD(order=2)
const int nSteps;
const int nOrder;
Journal &journal;
@ -145,9 +147,10 @@ public:
KordpDynare(const char **endo, int num_endo,
const char **exo, int num_exo, int num_par, //const char** par,
Vector *ySteady, TwoDMatrix *vCov, Vector *params, int nstat, int nPred,
int nforw, int nboth, const int nJcols, const int nSteps, const int ord, //const char* modName,
int nforw, int nboth, const int nJcols, const Vector *NNZD,
const int nSteps, const int ord, //const char* modName,
Journal &jr, DynamicModelDLL &dynamicDLL, double sstol,
const vector<int> *varOrder, const TwoDMatrix *ll_Incidence,
const vector<int> *varOrder, const TwoDMatrix *ll_Incidence,
double qz_criterium);
/** Makes a deep copy of the object. */

24
mex/sources/korderpert/src/k_order_perturbation.cpp
View File

@ -176,8 +176,8 @@ extern "C" {
const int nPar = (int) mxGetScalar(mxFldp);
// it_ should be set to M_.maximum_lag
mxFldp = mxGetField(M_, 0, "maximum_lag");
const int nMax_lag = (int) mxGetScalar(mxFldp);
const int nMax_lag = (int) mxGetScalar(mxFldp);
nPred -= nBoth; // correct nPred for nBoth.
mxFldp = mxGetField(dr, 0, "order_var");
@ -221,7 +221,15 @@ extern "C" {
}
}
#endif
//get NNZH =NNZD(2) = the total number of non-zero Hessian elements
mxFldp = mxGetField(M_, 0, "NNZDerivatives");
dparams = (double *) mxGetData(mxFldp);
Vector *NNZD = new Vector (dparams, (int) mxGetM(mxFldp));
#ifdef DEBUG
mexPrintf("NNZH=%d, \n", (int) (*NNZD)[1]);
#endif
const int jcols = nExog+nEndo+nsPred+nsForw; // Num of Jacobian columns
mexPrintf("k_order_perturbation: jcols= %d .\n", jcols);
@ -300,8 +308,8 @@ extern "C" {
// make KordpDynare object
KordpDynare dynare(endoNamesMX, nEndo, exoNamesMX, nExog, nPar, // paramNames,
ySteady, vCov, modParams, nStat, nPred, nForw, nBoth,
jcols, nSteps, kOrder, journal, dynamicDLL, sstol, var_order_vp,
llincidence, qz_criterium);
jcols, NNZD, nSteps, kOrder, journal, dynamicDLL,
sstol, var_order_vp, llincidence, qz_criterium);
// construct main K-order approximation class
#ifdef DEBUG
@ -626,12 +634,6 @@ DynamicModelDLL::eval(const Vector &y, const TwoDMatrix &x, const Vector *modPa
}
if (g2 != NULL)
{
if (g2->nrows() != length) // dummy
{
delete g2;
g2 = new TwoDMatrix(length, jcols*jcols); // and get a new one
g2->zeros();
}
dg2 = const_cast<double *>(g2->base());
}
dresidual = const_cast<double *>(residual.base());

5
mex/sources/korderpert/src/k_order_test_main.cpp
View File

@ -79,6 +79,9 @@ main(int argc, char *argv[])
};
const int nSteady = 16; //27 //31;//29, 16 (int)mxGetM(mxFldp);
Vector *ySteady = new Vector(dYSparams, nSteady);
double nnzd[3]={ 0,0,0};
const Vector *NNZD = new Vector(nnzd, 3);
//mxFldp = mxGetField(dr, 0,"nstatic" );
const int nStat = 7; //(int)mxGetScalar(mxFldp);
@ -218,7 +221,7 @@ main(int argc, char *argv[])
// make KordpDynare object
KordpDynare dynare(endoNamesMX, nEndo, exoNamesMX, nExog, nPar, // paramNames,
ySteady, vCov, modParams, nStat, nPred, nForw, nBoth,
jcols, nSteps, kOrder, journal, dynamicDLL, sstol, var_order_vp, //var_order
jcols, NNZD, nSteps, kOrder, journal, dynamicDLL, sstol, var_order_vp, //var_order
llincidence, qz_criterium);
#ifdef DEBUG
mexPrintf("k_order_perturbation: Call Approximation constructor \n");