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Remove symmetric elements in 3rd model derivatives

time-shift
Sébastien Villemot 2019-06-17 16:17:49 +02:00
parent 67e7323cf0
commit ec05451d1a
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GPG Key ID: 2CECE9350ECEBE4A
4 changed files with 50 additions and 4 deletions
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1
matlab/get_first_order_solution_params_deriv.m
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@ -384,6 +384,7 @@ elseif (kronflag == 0 || kronflag == 1)
d2g1_full = sparse(endo_nbr*yy0ex0_nbr, param_nbr*param_nbr); %initialize
dyy0ex0 = sparse([dyy0; zeros(yy0ex0_nbr-yy0_nbr,param_nbr)]); %Jacobian (wrt model parameters) of steady state of dynamic (endogenous and auxiliary) and exogenous variables
g3 = unfold_g3(g3, yy0ex0_nbr);
g3_tmp = reshape(g3,[endo_nbr*yy0ex0_nbr*yy0ex0_nbr yy0ex0_nbr]);
d2g1_part4_left = sparse(endo_nbr*yy0ex0_nbr*yy0ex0_nbr,param_nbr);
for j = 1:param_nbr

45
matlab/unfold_g3.m Normal file
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@ -0,0 +1,45 @@
function g3_unfolded = unfold_g3(g3, ny)
% Given the 3rd order derivatives stored in a sparse matrix and without
% symmetric elements (as returned by the static/dynamic files) and the number
% of (static or dynamic )variables in the jacobian, returns
% an unfolded version of the same matrix (i.e. with symmetric elements).
% Copyright (C) 2019 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/>.
[i, j, v] = find(g3);
i_unfolded = [];
j_unfolded = [];
v_unfolded = [];
for k = 1:length(v)
l1 = rem(j(k)-1, ny);
j2 = floor((j(k)-1)/ny);
l2 = rem(j2, ny);
l3 = floor(j2/ny);
p = unique(perms([l1 l2 l3]), 'rows');
np = rows(p);
i_unfolded = [i_unfolded; repmat(i(k), np, 1)];
j_unfolded = [j_unfolded; 1 + p(:,1) + ny*(p(:,2) + ny*p(:,3))];
v_unfolded = [v_unfolded; repmat(v(k), np, 1)];
end
g3_unfolded = sparse(i_unfolded, j_unfolded, v_unfolded, size(g3, 1), size(g3, 2));

6
mex/sources/k_order_perturbation/k_ord_dynare.cc
View File

@ -130,9 +130,9 @@ KordpDynare::populateDerivativesContainer(int ord)
i1 /= nJcols;
}
if ((ord == 2 || ord == 3) && !s.isSorted())
continue; // Skip symmetric elements (only needed at order 2 and 3)
else if (ord > 3)
if (ord == 2 && !s.isSorted())
continue; // Skip symmetric elements (only needed at order 2)
else if (ord > 2)
s.sort(); // For higher order, canonicalize the multi-index
double x = g.get(i, 2);

2
preprocessor

@ -1 +1 @@
Subproject commit 33c2f9b88bb7c4477479fa6f553f001b299911ee
Subproject commit 271a57980847fb0b7c4d5c0f78e339f21ec847ad