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

second derivatives of model equations w.r.t. parameters.

time-shift
Houtan Bastani 2010-03-16 10:15:19 +01:00
parent b291f4fcf7
commit eb4efa59ac
2 changed files with 42 additions and 1 deletions
Show Stats Download Patch File Download Diff File Expand all files Collapse all files

36
preprocessor/DynamicModel.cc
View File

@ -2644,6 +2644,19 @@ DynamicModel::computeParamsDerivatives()
residuals_params_derivatives[make_pair(eq, param)] = d1;
}
for (first_derivatives_type::const_iterator it2 = residuals_params_derivatives.begin();
it2 != residuals_params_derivatives.end(); it2++)
{
int eq = it2->first.first;
int param1 = it2->first.second;
NodeID d1 = it2->second;
NodeID d2 = d1->getDerivative(param);
if (d2 == Zero)
continue;
residuals_params_second_derivatives[make_pair(eq, make_pair(param1, param))] = d2;
}
for (first_derivatives_type::const_iterator it2 = first_derivatives.begin();
it2 != first_derivatives.end(); it2++)
{
@ -2706,6 +2719,7 @@ void
DynamicModel::writeParamsDerivativesFile(const string &basename) const
{
if (!residuals_params_derivatives.size()
&& !residuals_params_second_derivatives.size()
&& !jacobian_params_derivatives.size()
&& !jacobian_params_second_derivatives.size()
&& !hessian_params_derivatives.size())
@ -2720,7 +2734,7 @@ DynamicModel::writeParamsDerivativesFile(const string &basename) const
cerr << "ERROR: Can't open file " << filename << " for writing" << endl;
exit(EXIT_FAILURE);
}
paramsDerivsFile << "function [rp, gp, gpp, hp] = " << basename << "_params_derivs(y, x, params, it_)" << endl
paramsDerivsFile << "function [rp, rpp, gp, gpp, hp] = " << basename << "_params_derivs(y, x, params, it_)" << endl
<< "%" << endl
<< "% Warning : this file is generated automatically by Dynare" << endl
<< "% from model file (.mod)" << endl << endl;
@ -2745,6 +2759,26 @@ DynamicModel::writeParamsDerivativesFile(const string &basename) const
paramsDerivsFile << ";" << endl;
}
// Write parameter second derivatives
paramsDerivsFile << "rpp = zeros(" << equation_number() << ", " << symbol_table.param_nbr() << ", "
<< symbol_table.param_nbr() << ");" << endl;
for (second_derivatives_type::const_iterator it = residuals_params_second_derivatives.begin();
it != residuals_params_second_derivatives.end(); it++)
{
int eq = it->first.first;
int param1 = it->first.second.first;
int param2 = it->first.second.second;
NodeID d2 = it->second;
int param1_col = symbol_table.getTypeSpecificID(getSymbIDByDerivID(param1)) + 1;
int param2_col = symbol_table.getTypeSpecificID(getSymbIDByDerivID(param2)) + 1;
paramsDerivsFile << "rpp(" << eq+1 << ", " << param1_col << ", " << param2_col << ") = ";
d2->writeOutput(paramsDerivsFile, oMatlabDynamicModel, params_derivs_temporary_terms);
paramsDerivsFile << ";" << endl;
}
// Write jacobian derivatives
paramsDerivsFile << "gp = zeros(" << equation_number() << ", " << dynJacobianColsNbr << ", "
<< symbol_table.param_nbr() << ");" << endl;

7
preprocessor/DynamicModel.hh
View File

@ -64,6 +64,13 @@ private:
*/
first_derivatives_type residuals_params_derivatives;
//! Second derivatives of the residuals w.r. to parameters
/*! First index is equation number, second and third indeces are parameters.
Only non-null derivatives are stored in the map.
Parameter indices are those of the getDerivID() method.
*/
second_derivatives_type residuals_params_second_derivatives;
//! Derivatives of the jacobian w.r. to parameters
/*! First index is equation number, second is endo/exo/exo_det variable, and third is parameter.
Only non-null derivatives are stored in the map.