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Merge branch 'master' into fix-mcmc-algorithm

time-shift
Stéphane Adjemian (Scylla) 2013-11-21 15:42:58 +01:00
parent 1393564701 e49ec69719
commit c0aaabc329
9 changed files with 69 additions and 51 deletions
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2
doc/Makefile.am
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@ -24,7 +24,7 @@ endif
pdf-local: $(PDF_TARGETS)
EXTRA_DIST = guide.tex guide.bbl bibmad.sty bvar-a-la-sims.tex dr.tex dr.bib
EXTRA_DIST = guide.tex guide.bbl bibmad.sty bvar-a-la-sims.tex dr.tex dr.bib dynare.plots
guide.pdf: guide.tex guide.bbl bibmad.sty
$(PDFLATEX) guide

8
doc/dynare.texi
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@ -1070,7 +1070,7 @@ This is the long version of the variable name. Its value is stored in
@example
var c gnp q1 q2;
var(deflator=A) i b;
var c $C$ [long_name=`Consumption'];
var c $C$ (long_name=`Consumption');
@end example
@end deffn
@ -4286,16 +4286,16 @@ The following information will be displayed by the command:
results from posterior optimization (also for maximum likelihood)
@item
marginal log density
marginal log data density
@item
mean and shortest confidence interval from posterior simulation
posterior mean and highest posterior density interval (shortest credible set) from posterior simulation
@item
Metropolis-Hastings convergence graphs that still need to be documented
@item
graphs with prior, posterior and mode
graphs with prior, posterior, and mode
@item
graphs of smoothed shocks, smoothed observation errors, smoothed and historical variables

9
m4/ax_mexopts.m4
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@ -63,7 +63,6 @@ case ${MATLAB_ARCH} in
ax_mexopts_ok="yes"
;;
maci | maci64)
SDKROOT='/Applications/Xcode.app/Contents/Developer/Platforms/MacOSX.platform/Developer/SDKs/MacOSX10.6.sdk'
MACOSX_DEPLOYMENT_TARGET='10.6'
if test "${MATLAB_ARCH}" = "maci"; then
ARCHS='i386'
@ -71,12 +70,12 @@ case ${MATLAB_ARCH} in
ARCHS='x86_64'
fi
MATLAB_DEFS="$MATLAB_DEFS -DNDEBUG"
MATLAB_CFLAGS="-fno-common -no-cpp-precomp -arch $ARCHS -isysroot $SDKROOT -mmacosx-version-min=$MACOSX_DEPLOYMENT_TARGET -fexceptions -O2"
MATLAB_LDFLAGS_NOMAP="-L$MATLAB/bin/${MATLAB_ARCH} -Wl,-twolevel_namespace -undefined error -arch $ARCHS -Wl,-syslibroot,$SDKROOT -mmacosx-version-min=$MACOSX_DEPLOYMENT_TARGET -bundle"
MATLAB_CFLAGS="-fno-common -arch $ARCHS -mmacosx-version-min=$MACOSX_DEPLOYMENT_TARGET -fexceptions"
MATLAB_CXXFLAGS="-fno-common -fexceptions -arch $ARCHS -mmacosx-version-min=$MACOSX_DEPLOYMENT_TARGET"
MATLAB_FFLAGS="-fexceptions -fbackslash -arch $ARCHS"
MATLAB_LDFLAGS_NOMAP="-L$MATLAB/bin/${MATLAB_ARCH} -Wl,-twolevel_namespace -undefined error -arch $ARCHS -mmacosx-version-min=$MACOSX_DEPLOYMENT_TARGET -bundle"
MATLAB_LDFLAGS="$MATLAB_LDFLAGS_NOMAP -Wl,-exported_symbols_list,$(pwd)/$srcdir/mexFunction-MacOSX.map"
MATLAB_LIBS="-lmx -lmex -lmat -lstdc++ -lmwlapack"
MATLAB_CXXFLAGS="-fno-common -no-cpp-precomp -fexceptions -arch $ARCHS -isysroot $SDKROOT -mmacosx-version-min=$MACOSX_DEPLOYMENT_TARGET -O2"
MATLAB_FFLAGS="-fexceptions -fbackslash -arch $ARCHS"
# Starting from MATLAB 7.5, BLAS and LAPACK are in distinct libraries
AX_COMPARE_VERSION([$MATLAB_VERSION], [ge], [7.5], [MATLAB_LIBS="${MATLAB_LIBS} -lmwblas"])
ax_mexopts_ok="yes"

7
matlab/solve_two_boundaries.m
View File

@ -1,4 +1,4 @@
function y = solve_two_boundaries(fname, y, x, params, steady_state, y_index, nze, periods, y_kmin_l, y_kmax_l, is_linear, Block_Num, y_kmin, maxit_, solve_tolf, lambda, cutoff, stack_solve_algo, M, oo)
function [y, oo]= solve_two_boundaries(fname, y, x, params, steady_state, y_index, nze, periods, y_kmin_l, y_kmax_l, is_linear, Block_Num, y_kmin, maxit_, solve_tolf, lambda, cutoff, stack_solve_algo, M, oo)
% Computes the deterministic simulation of a block of equation containing
% both lead and lag variables using relaxation methods
%
@ -32,10 +32,13 @@ function y = solve_two_boundaries(fname, y, x, params, steady_state, y_index, nz
% - 2 GMRES
% - 3 BicGStab
% - 4 Optimal path length
% M [structure] Model description
% oo [structure] Results
%
% OUTPUTS
% y [matrix] All endogenous variables of the model
%
% oo [structure] Results
%
% ALGORITHM
% Newton with LU or GMRES or BicGstab
%

43
preprocessor/DynamicModel.cc
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@ -210,13 +210,15 @@ DynamicModel::writeModelEquationsOrdered_M(const string &dynamic_basename) const
ostringstream tmp_output, tmp1_output, global_output;
expr_t lhs = NULL, rhs = NULL;
BinaryOpNode *eq_node;
ostringstream Uf[symbol_table.endo_nbr()];
ostringstream Ufoss;
vector<string> Uf(symbol_table.endo_nbr(), "");
map<expr_t, int> reference_count;
temporary_terms_t local_temporary_terms;
ofstream output;
int nze, nze_exo, nze_exo_det, nze_other_endo;
vector<int> feedback_variables;
ExprNodeOutputType local_output_type;
Ufoss.str("");
local_output_type = oMatlabDynamicModelSparse;
if (global_temporary_terms)
@ -536,7 +538,9 @@ DynamicModel::writeModelEquationsOrdered_M(const string &dynamic_basename) const
feedback_variables.push_back(variable_ID);
output << " % equation " << equation_ID+1 << " variable : " << sModel
<< " (" << variable_ID+1 << ") " << c_Equation_Type(equ_type) << " symb_id=" << symbol_table.getID(eEndogenous, variable_ID) << endl;
Uf[equation_ID] << " b(" << i+1-block_recursive << "+Per_J_) = -residual(" << i+1-block_recursive << ", it_)";
Ufoss << " b(" << i+1-block_recursive << "+Per_J_) = -residual(" << i+1-block_recursive << ", it_)";
Uf[equation_ID] += Ufoss.str();
Ufoss.str("");
output << " residual(" << i+1-block_recursive << ", it_) = (";
goto end;
default:
@ -708,21 +712,24 @@ DynamicModel::writeModelEquationsOrdered_M(const string &dynamic_basename) const
if (eq >= block_recursive && var >= block_recursive)
{
if (lag == 0)
Uf[eqr] << "+g1(" << eq+1-block_recursive
<< "+Per_J_, " << var+1-block_recursive
<< "+Per_K_)*y(it_, " << varr+1 << ")";
Ufoss << "+g1(" << eq+1-block_recursive
<< "+Per_J_, " << var+1-block_recursive
<< "+Per_K_)*y(it_, " << varr+1 << ")";
else if (lag == 1)
Uf[eqr] << "+g1(" << eq+1-block_recursive
<< "+Per_J_, " << var+1-block_recursive
<< "+Per_y_)*y(it_+1, " << varr+1 << ")";
Ufoss << "+g1(" << eq+1-block_recursive
<< "+Per_J_, " << var+1-block_recursive
<< "+Per_y_)*y(it_+1, " << varr+1 << ")";
else if (lag > 0)
Uf[eqr] << "+g1(" << eq+1-block_recursive
<< "+Per_J_, " << var+1-block_recursive
<< "+y_size*(it_+" << lag-1 << "))*y(it_+" << lag << ", " << varr+1 << ")";
else if (lag < 0)
Uf[eqr] << "+g1(" << eq+1-block_recursive
<< "+Per_J_, " << var+1-block_recursive
<< "+y_size*(it_" << lag-1 << "))*y(it_" << lag << ", " << varr+1 << ")";
Ufoss << "+g1(" << eq+1-block_recursive
<< "+Per_J_, " << var+1-block_recursive
<< "+y_size*(it_+" << lag-1 << "))*y(it_+" << lag << ", " << varr+1 << ")";
else
Ufoss << "+g1(" << eq+1-block_recursive
<< "+Per_J_, " << var+1-block_recursive
<< "+y_size*(it_" << lag-1 << "))*y(it_" << lag << ", " << varr+1 << ")";
Uf[eqr] += Ufoss.str();
Ufoss.str("");
if (lag == 0)
tmp_output << " g1(" << eq+1-block_recursive << "+Per_J_, "
<< var+1-block_recursive << "+Per_K_) = ";
@ -751,7 +758,7 @@ DynamicModel::writeModelEquationsOrdered_M(const string &dynamic_basename) const
for (unsigned int i = 0; i < block_size; i++)
{
if (i >= block_recursive)
output << " " << Uf[getBlockEquationID(block, i)].str() << ";\n";
output << " " << Uf[getBlockEquationID(block, i)] << ";\n";
#ifdef CONDITION
output << " if (fabs(condition(" << i+1 << "))<fabs(u(" << i << "+Per_u_)))\n";
output << " condition(" << i+1 << ")=u(" << i+1 << "+Per_u_);\n";
@ -2043,12 +2050,12 @@ DynamicModel::writeSparseDynamicMFile(const string &dynamic_basename, const stri
mDynamicModelFile << " else\n";
mDynamicModelFile << " blck_num = 1;\n";
mDynamicModelFile << " end;\n";
mDynamicModelFile << " y = solve_two_boundaries('" << dynamic_basename << "_" << block + 1 << "'"
mDynamicModelFile << " [y oo_] = solve_two_boundaries('" << dynamic_basename << "_" << block + 1 << "'"
<<", y, x, params, steady_state, y_index, " << nze
<<", options_.periods, " << max_leadlag_block[block].first
<<", " << max_leadlag_block[block].second
<<", " << blocks_linear[block]
<<", blck_num, y_kmin, options_.simul.maxit, options_.solve_tolf, options_.slowc, " << cutoff << ", options_.stack_solve_algo);\n";
<<", blck_num, y_kmin, options_.simul.maxit, options_.solve_tolf, options_.slowc, " << cutoff << ", options_.stack_solve_algo, M_, oo_);\n";
mDynamicModelFile << " tmp = y(:,M_.block_structure.block(" << block + 1 << ").variable);\n";
mDynamicModelFile << " if any(isnan(tmp) | isinf(tmp))\n";
mDynamicModelFile << " disp(['Inf or Nan value during the resolution of block " << block <<"']);\n";

22
preprocessor/DynareFlex.ll
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@ -69,6 +69,9 @@ string eofbuff;
// Increments location counter for every token read
#define YY_USER_ACTION location_increment(yylloc, yytext);
%}
DATE -?[0-9]+([YyAa]|[Mm]([1-9]|1[0-2])|[Qq][1-4]|[Ww]([1-9]{1}|[1-4][0-9]|5[0-2]))
%%
/* Code put at the beginning of yylex() */
%{
@ -205,7 +208,24 @@ string eofbuff;
<INITIAL>corr {BEGIN DYNARE_STATEMENT; return token::CORR;}
/* Inside of a Dynare statement */
<DYNARE_STATEMENT>dates {dates_parens_nb=0; BEGIN DATES_STATEMENT; yylval->string_val = new string("dates");}
<DYNARE_STATEMENT>{DATE} {
char *yycopy = strdup(yytext);
char *uput = yycopy + yyleng;
unput(')');
unput('\'');
while (uput > yycopy)
unput(*--uput);
unput('\'');
unput('(');
unput('s');
unput('e');
unput('t');
unput('a');
unput('d');
free( yycopy );
}
<DYNARE_STATEMENT>${DATE} { yylloc->step(); *yyout << yytext + 1; }
<DYNARE_STATEMENT>dates {dates_parens_nb=0; BEGIN DATES_STATEMENT; yylval->string_val = new string("dates");}
<DYNARE_STATEMENT>file {return token::FILE;}
<DYNARE_STATEMENT>datafile {return token::DATAFILE;}
<DYNARE_STATEMENT>nobs {return token::NOBS;}

10
preprocessor/Statement.cc
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@ -18,6 +18,7 @@
*/
#include "Statement.hh"
#include <boost/xpressive/xpressive.hpp>
ModFileStructure::ModFileStructure() :
check_present(false),
@ -74,7 +75,14 @@ NativeStatement::NativeStatement(const string &native_statement_arg) :
void
NativeStatement::writeOutput(ostream &output, const string &basename) const
{
output << native_statement << endl;
using namespace boost::xpressive;
string date_regex = "(-?\\d+([YyAa]|[Mm]([1-9]|1[0-2])|[Qq][1-4]|[Ww]([1-9]{1}|[1-4]\\d|5[0-2])))";
sregex regex_lookbehind = sregex::compile("(?<!\\$|\\d|[a-zA-Z]|\\')" + date_regex);
sregex regex_dollar = sregex::compile("(\\$)"+date_regex);
string ns = regex_replace(native_statement, regex_lookbehind, "dates('$&')");
ns = regex_replace(ns, regex_dollar, "$2" ); //replace $DATE with DATE
output << ns << endl;
}
void

2
preprocessor/macro/MacroDriver.hh
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@ -86,8 +86,6 @@ private:
//! If current context is the body of a loop, contains the location of the beginning of the body
Macro::parser::location_type for_body_loc;
//! Temporary variable used for counting parens in dates statement
int dates_parens_nb;
//! Temporary variable used in FOR_BODY mode
string for_body_tmp;
//! Temporary variable used in FOR_BODY mode

17
preprocessor/macro/MacroFlex.ll
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@ -51,7 +51,6 @@ typedef Macro::parser::token token;
%x FOR_BODY
%x THEN_BODY
%x ELSE_BODY
%x COPY_DATE_INFO
%{
// Increments location counter for every token read
@ -61,7 +60,6 @@ typedef Macro::parser::token token;
SPC [ \t]+
EOL (\r)?\n
CONT \\\\
DATE (-[1-9][0-9]*|[0-9]+)([YyAa]|[Mm]([1-9]|1[0-2])|[Qq][1-4]|[Ww]([1-9]{1}|[1-4][0-9]|5[0-2]))
%%
/* Code put at the beginning of yylex() */
@ -89,21 +87,6 @@ DATE (-[1-9][0-9]*|[0-9]+)([YyAa]|[Mm]([1-9]|1[0-2])|[Qq][1-4]|[Ww]([1-9]{1}|[1-
<INITIAL>^{SPC}*@# { yylloc->step(); BEGIN(STMT); }
<INITIAL>@\{ { yylloc->step(); BEGIN(EXPR); }
<INITIAL>{DATE} { yylloc->step(); *yyout << "dates('" << yytext << "')"; }
<INITIAL>${DATE} { yylloc->step(); *yyout << yytext + 1; }
<INITIAL>dates{SPC}*\({SPC}* { yylloc->step(); *yyout << "dates("; dates_parens_nb=1; BEGIN(COPY_DATE_INFO); }
<COPY_DATE_INFO><<EOF>> { driver.error(*yylloc, "Unexpected end of file in dates statement"); }
<COPY_DATE_INFO>{EOL} { yylloc->lines(1); yylloc->step(); }
<COPY_DATE_INFO>\( { yylloc->step(); *yyout << yytext; dates_parens_nb++; }
<COPY_DATE_INFO>\) {
yylloc->step();
*yyout << yytext;
if (--dates_parens_nb == 0)
BEGIN(INITIAL);
}
<COPY_DATE_INFO>. { yylloc->step(); *yyout << yytext; }
<EXPR>\} { BEGIN(INITIAL); return token::EOL; }
<STMT>{CONT}{SPC}*{EOL} { yylloc->lines(1); yylloc->step(); }