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Adding 'ramsey_constraints' block to declare contraints for Ramsey 

problems. Note that LMMCP (solve_algo=10) still doesn't work in all cases.
time-shift
Michel Juillard 2015-05-31 12:18:06 +02:00
parent c97aaad62d
commit c22d31330c
11 changed files with 285 additions and 6 deletions
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18
doc/dynare.texi
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@ -6807,6 +6807,24 @@ instrument.
@end deffn
@deffn Block ramsey_constraints
@anchor{ramsey_constraints}
@descriptionhead
This block lets you define constraints on the variables in the Ramsey
problem. The constraints take the form of a variable, an inequality
operator (@code{>} or @code{<}) and a constant.
@examplehead
@example
ramsey_constraints;
i > 0;
end;
@end example
@end deffn
@deffn Command ramsey_policy [@var{VARIABLE_NAME}@dots{}];
@deffnx Command ramsey_policy (@var{OPTIONS}@dots{}) [@var{VARIABLE_NAME}@dots{}];
@anchor{ramsey_policy}

22
matlab/lmmcp/get_complementarity_conditions.m
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@ -1,4 +1,4 @@
function [lb,ub,eq_index] = get_complementarity_conditions(M)
function [lb,ub,eq_index] = get_complementarity_conditions(M,ramsey_policy)
% Copyright (C) 2014 Dynare Team
%
@ -17,11 +17,27 @@ function [lb,ub,eq_index] = get_complementarity_conditions(M)
% You should have received a copy of the GNU General Public License
% along with Dynare. If not, see <http://www.gnu.org/licenses/>.
etags = M.equations_tags;
ub = inf(M.endo_nbr,1);
lb = -ub;
eq_index = (1:M.endo_nbr)';
if ramsey_policy
if isfield(M,'ramsey_model_constraints')
rc = M.ramsey_model_constraints;
for i = 1:length(rc)
switch rc{i}{2}
case {'>','>='}
lb(rc{i}{1}) = eval(rc{i}{3});
case {'<','<='}
ub(rc{i}{1}) = eval(rc{i}{3});
otherwise
error('Wrong operator in get_complementarity_conditions')
end
eq_index(i) = 1;
end
end
end
etags = M.equations_tags;
for i=1:size(etags,1)
if strcmp(etags{i,2},'mcp')
str = etags{i,3};

2
matlab/perfect-foresight-models/private/simulation_core.m
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@ -66,7 +66,7 @@ else
elseif options_.stack_solve_algo == 7
periods = options_.periods;
if ~isfield(options_.lmmcp,'lb')
[lb,ub,pfm.eq_index] = get_complementarity_conditions(M_);
[lb,ub,pfm.eq_index] = get_complementarity_conditions(M_,options_.ramsey_policy);
options_.lmmcp.lb = repmat(lb,periods,1);
options_.lmmcp.ub = repmat(ub,periods,1);
end

103
preprocessor/ComputingTasks.cc
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@ -397,6 +397,109 @@ RamseyModelStatement::writeOutput(ostream &output, const string &basename, bool
options_list.writeOutput(output);
}
RamseyConstraintsStatement::RamseyConstraintsStatement(const constraints_t &constraints_arg) :
constraints(constraints_arg)
{
}
void
RamseyConstraintsStatement::checkPass(ModFileStructure &mod_file_struct, WarningConsolidation &warnings)
{
if ((mod_file_struct.ramsey_model_present != true) || ( mod_file_struct.ramsey_policy_present != true))
cerr << "ramsey_constraints: can only be used with ramsey_model or ramsey_policy" << endl;
}
void
RamseyConstraintsStatement::writeOutput(ostream &output, const string &basename, bool minimal_workspace) const
{
output << "M_.ramsey_model_constraints = {" << endl;
for (RamseyConstraintsStatement::constraints_t::const_iterator it = constraints.begin(); it != constraints.end(); ++it)
{
if (it != constraints.begin())
output << ", ";
output << "{" << it->endo + 1 << ", '";
switch(it->code)
{
case oLess:
output << '<';
break;
case oGreater:
output << '>';
break;
case oLessEqual:
output << "<=";
break;
case oGreaterEqual:
output << ">=";
break;
default:
cerr << "Ramsey constraints: this shouldn't happen." << endl;
exit(1);
}
output << "', '";
it->expression->writeOutput(output);
output << "'}" << endl;
}
output << "};" << endl;
}
// Statement *
// RamseyConstraintsStatement::cloneAndReindexSymbIds(DataTree &dynamic_datatree, SymbolTable &orig_symbol_table)
// {
// vector<string> errors;
// SymbolList new_symbol_list, new_options_symbol_list;
// OptionsList new_options_list = options_list;
// SymbolTable *new_symbol_table = dynamic_datatree.getSymbolTable();
// vector<string> symbols = symbol_list.get_symbols();
// for (vector<string>::const_iterator it = symbols.begin(); it != symbols.end(); it++)
// try
// {
// new_symbol_table->getID(*it);
// new_symbol_list.addSymbol(*it);
// }
// catch (SymbolTable::UnknownSymbolIDException &e)
// {
// errors.push_back(orig_symbol_table.getName(e.id));
// }
// catch (SymbolTable::UnknownSymbolNameException &e)
// {
// errors.push_back(e.name);
// }
// OptionsList::symbol_list_options_t::const_iterator it = options_list.symbol_list_options.find("instruments");
// if (it != options_list.symbol_list_options.end())
// {
// symbols = it->second.get_symbols();
// for (vector<string>::const_iterator it1 = symbols.begin(); it1 != symbols.end(); it1++)
// try
// {
// new_symbol_table->getID(*it1);
// new_options_symbol_list.addSymbol(*it1);
// }
// catch (SymbolTable::UnknownSymbolIDException &e)
// {
// errors.push_back(orig_symbol_table.getName(e.id));
// }
// catch (SymbolTable::UnknownSymbolNameException &e)
// {
// errors.push_back(e.name);
// }
// new_options_list.symbol_list_options["instruments"] = new_options_symbol_list;
// }
// if (!errors.empty())
// {
// cerr << endl
// << "ERROR: The following vars were used in the ramsey_policy statement(s) but were not declared." << endl
// << " This likely means that you declared them as varexo and that they're not in the model" << endl;
// for (vector<string>::const_iterator it = errors.begin(); it != errors.end(); it++)
// cerr << *it << endl;
// exit(EXIT_FAILURE);
// }
// return new RamseyPolicyStatement(new_symbol_list, options_list);
// }
RamseyPolicyStatement::RamseyPolicyStatement(const SymbolList &symbol_list_arg,
const OptionsList &options_list_arg) :
symbol_list(symbol_list_arg),

18
preprocessor/ComputingTasks.hh
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@ -125,6 +125,24 @@ public:
virtual Statement *cloneAndReindexSymbIds(DataTree &dynamic_datatree, SymbolTable &orig_symbol_table);
};
class RamseyConstraintsStatement : public Statement
{
public:
struct Constraint {
int endo;
BinaryOpcode code;
expr_t expression;
};
typedef vector<Constraint> constraints_t;
private:
const constraints_t constraints;
public:
RamseyConstraintsStatement(const constraints_t &constraints_arg);
virtual void checkPass(ModFileStructure &mod_file_struct, WarningConsolidation &warnings);
virtual void writeOutput(ostream &output, const string &basename, bool minimal_workspace) const;
// virtual Statement *cloneAndReindexSymbIds(DataTree &dynamic_datatree, SymbolTable &orig_symbol_table);
};
class RamseyPolicyStatement : public Statement
{
private:

23
preprocessor/DynareBison.yy
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@ -122,7 +122,7 @@ class ParsingDriver;
%token SHOCKS SHOCK_DECOMPOSITION SIGMA_E SIMUL SIMUL_ALGO SIMUL_SEED ENDOGENOUS_TERMINAL_PERIOD
%token SMOOTHER SMOOTHER2HISTVAL SQUARE_ROOT_SOLVER STACK_SOLVE_ALGO STEADY_STATE_MODEL SOLVE_ALGO SOLVER_PERIODS
%token STDERR STEADY STOCH_SIMUL SURPRISE SYLVESTER SYLVESTER_FIXED_POINT_TOL REGIMES REGIME
%token TEX RAMSEY_MODEL RAMSEY_POLICY PLANNER_DISCOUNT DISCRETIONARY_POLICY DISCRETIONARY_TOL
%token TEX RAMSEY_MODEL RAMSEY_POLICY RAMSEY_CONSTRAINTS PLANNER_DISCOUNT DISCRETIONARY_POLICY DISCRETIONARY_TOL
%token <string_val> TEX_NAME
%token UNIFORM_PDF UNIT_ROOT_VARS USE_DLL USEAUTOCORR GSA_SAMPLE_FILE USE_UNIVARIATE_FILTERS_IF_SINGULARITY_IS_DETECTED
%token VALUES VAR VAREXO VAREXO_DET VAROBS PREDETERMINED_VARIABLES
@ -239,7 +239,8 @@ statement : parameters
| planner_objective
| ramsey_model
| ramsey_policy
| discretionary_policy
| ramsey_constraints
| discretionary_policy
| bvar_density
| bvar_forecast
| sbvar
@ -1903,6 +1904,24 @@ ramsey_policy : RAMSEY_POLICY ';'
{ driver.ramsey_policy(); }
;
ramsey_constraints : RAMSEY_CONSTRAINTS ';' ramsey_constraints_list END ';'
{ driver.add_ramsey_constraints_statement(); }
;
ramsey_constraints_list : ramsey_constraints_list ramsey_constraint
| ramsey_constraint
;
ramsey_constraint : NAME LESS expression ';'
{ driver.ramsey_constraint_add_less($1,$3); }
| NAME GREATER expression ';'
{ driver.ramsey_constraint_add_greater($1,$3); }
| NAME LESS_EQUAL expression ';'
{ driver.ramsey_constraint_add_less_equal($1,$3); }
| NAME GREATER expression ';'
{ driver.ramsey_constraint_add_greater_equal($1,$3); }
;
discretionary_policy : DISCRETIONARY_POLICY ';'
{ driver.discretionary_policy(); }
| DISCRETIONARY_POLICY '(' discretionary_policy_options_list ')' ';'

1
preprocessor/DynareFlex.ll
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@ -199,6 +199,7 @@ DATE -?[0-9]+([YyAa]|[Mm]([1-9]|1[0-2])|[Qq][1-4]|[Ww]([1-9]{1}|[1-4][0-9]|5[0-2
<INITIAL>svar_identification {BEGIN DYNARE_BLOCK; return token::SVAR_IDENTIFICATION;}
<INITIAL>moment_calibration {BEGIN DYNARE_BLOCK; return token::MOMENT_CALIBRATION;}
<INITIAL>irf_calibration {BEGIN DYNARE_BLOCK; return token::IRF_CALIBRATION;}
<INITIAL>ramsey_constraints {BEGIN DYNARE_BLOCK; return token::RAMSEY_CONSTRAINTS;}
/* For the semicolon after an "end" keyword */
<INITIAL>; {return Dynare::parser::token_type (yytext[0]);}

51
preprocessor/ParsingDriver.cc
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@ -2772,3 +2772,54 @@ ParsingDriver::perfect_foresight_solver()
mod_file->addStatement(new PerfectForesightSolverStatement(options_list));
options_list.clear();
}
void
ParsingDriver::add_ramsey_constraints_statement()
{
mod_file->addStatement(new RamseyConstraintsStatement(ramsey_constraints));
ramsey_constraints.clear();
}
void
ParsingDriver::ramsey_constraint_add_less(const string *name, const expr_t rhs)
{
add_ramsey_constraint(name,oLess,rhs);
}
void
ParsingDriver::ramsey_constraint_add_greater(const string *name, const expr_t rhs)
{
add_ramsey_constraint(name,oGreater,rhs);
}
void
ParsingDriver::ramsey_constraint_add_less_equal(const string *name, const expr_t rhs)
{
add_ramsey_constraint(name,oLessEqual,rhs);
}
void
ParsingDriver::ramsey_constraint_add_greater_equal(const string *name, const expr_t rhs)
{
add_ramsey_constraint(name,oGreaterEqual,rhs);
}
void
ParsingDriver::add_ramsey_constraint(const string *name, BinaryOpcode op_code, const expr_t rhs)
{
check_symbol_existence(*name);
int symb_id = mod_file->symbol_table.getID(*name);
SymbolType type = mod_file->symbol_table.getType(symb_id);
if (type != eEndogenous)
error("ramsey_constraints: " + *name + " should be an endogenous variable");
RamseyConstraintsStatement::Constraint C;
C.endo = symb_id;
C.code = op_code;
C.expression = rhs;
ramsey_constraints.push_back(C);
delete name;
}

14
preprocessor/ParsingDriver.hh
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@ -157,6 +157,8 @@ private:
MomentCalibration::constraints_t moment_calibration_constraints;
//! Temporary storage for irf_calibration
IrfCalibration::constraints_t irf_calibration_constraints;
//! Temporary storage for ramsey_constraints
RamseyConstraintsStatement::constraints_t ramsey_constraints;
//! Temporary storage for svar_identification blocks
SvarIdentificationStatement::svar_identification_restrictions_t svar_ident_restrictions;
//! Temporary storage for mapping the equation number to the restrictions within an svar_identification block
@ -506,6 +508,18 @@ public:
void end_planner_objective(expr_t expr);
//! Ramsey model statement
void ramsey_model();
//! Ramsey constraints statement
void add_ramsey_constraints_statement();
//! Ramsey less constraint
void ramsey_constraint_add_less(const string *name, const expr_t rhs);
//! Ramsey greater constraint
void ramsey_constraint_add_greater(const string *name, const expr_t rhs);
//! Ramsey less or equal constraint
void ramsey_constraint_add_less_equal(const string *name, const expr_t rhs);
//! Ramsey greater or equal constraint
void ramsey_constraint_add_greater_equal(const string *name, const expr_t rhs);
//! Ramsey constraint helper function
void add_ramsey_constraint(const string *name, BinaryOpcode op_code, const expr_t rhs);
//! Ramsey policy statement
void ramsey_policy();
//! Discretionary policy statement

1
tests/Makefile.am
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@ -41,6 +41,7 @@ MODFILES = \
optimal_policy/Ramsey/ramsey_ex.mod \
optimal_policy/Ramsey/ramsey_ex_initval_AR2.mod \
optimal_policy/Ramsey/ramsey_ex_aux.mod \
optimal_policy/RamseyConstraints/test1.mod \
discretionary_policy/dennis_1.mod \
initval_file/ramst_initval_file.mod \
ramst_normcdf_and_friends.mod \

38
tests/optimal_policy/RamseyConstraints/test1.mod Normal file
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@ -0,0 +1,38 @@
var i y pi;
varexo e_y e_pi;
parameters beta1 beta2 beta3 lambda1 lambda2 pi_bar;
beta1 = 0.6;
beta2 = 0.25;
beta3 = -0.2;
lambda1 = 0.7;
lambda2 = 0.1;
pi_bar = 2.0;
model;
y = beta1*y(-1) + beta2*y(+1) + beta3*(i-pi(+1)) + e_y;
pi = lambda1*pi(+1) + (1-lambda1)*pi(-1) + lambda2*y + e_pi;
end;
planner_objective (pi-pi_bar)^2 + y^2;
ramsey_model(planner_discount=1.0);
histval;
y(0) = -2.0;
pi(0) = 1.0;
end;
steady;
ramsey_constraints;
i > 0;
end;
perfect_foresight_setup(periods=50);
options_.stack_solve_algo = 7;
options_.solve_algo = 10;
perfect_foresight_solver;
rplot i;