357 lines
12 KiB
C++
357 lines
12 KiB
C++
/*
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* Copyright (C) 2008-2014 Dynare Team
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*
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* This file is part of Dynare.
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*
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* Dynare is free software: you can redistribute it and/or modify
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* it under the terms of the GNU General Public License as published by
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* the Free Software Foundation, either version 3 of the License, or
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* (at your option) any later version.
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*
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* Dynare is distributed in the hope that it will be useful,
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* but WITHOUT ANY WARRANTY; without even the implied warranty of
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* MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the
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* GNU General Public License for more details.
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*
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* You should have received a copy of the GNU General Public License
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* along with Dynare. If not, see <http://www.gnu.org/licenses/>.
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*/
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// GP, based on work by O.Kamenik
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#include <vector>
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#include "first_order.h"
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#include "dynamic_abstract_class.hh"
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#include <cmath>
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#include <sstream>
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#include "memory_file.h"
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#include <iostream>
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#include <fstream>
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/**************************************************************************************/
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/* Dynare DynamicModel class */
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/**************************************************************************************/
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KordpDynare::KordpDynare(const vector<string> &endo, int num_endo,
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const vector<string> &exo, int nexog, int npar,
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Vector &ysteady, TwoDMatrix &vcov, Vector &inParams, int nstat,
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int npred, int nforw, int nboth, const int jcols, const Vector &nnzd,
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const int nsteps, int norder,
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Journal &jr, DynamicModelAC *dynamicModelFile_arg, double sstol,
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const vector<int> &var_order, const TwoDMatrix &llincidence, double criterium) throw (TLException) :
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nStat(nstat), nBoth(nboth), nPred(npred), nForw(nforw), nExog(nexog), nPar(npar),
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nYs(npred + nboth), nYss(nboth + nforw), nY(num_endo), nJcols(jcols), NNZD(nnzd), nSteps(nsteps),
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nOrder(norder), journal(jr), ySteady(ysteady), params(inParams), vCov(vcov),
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md(1), dnl(*this, endo), denl(*this, exo), dsnl(*this, dnl, denl), ss_tol(sstol), varOrder(var_order),
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ll_Incidence(llincidence), qz_criterium(criterium), g1p(NULL),
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g2p(NULL), g3p(NULL), dynamicModelFile(dynamicModelFile_arg)
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{
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ReorderDynareJacobianIndices();
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// Initialise ModelDerivativeContainer(*this, this->md, nOrder);
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for (int iord = 1; iord <= nOrder; iord++)
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md.insert(new FSSparseTensor(iord, nY+nYs+nYss+nExog, nY));
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}
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KordpDynare::KordpDynare(const vector<string> &endo, int num_endo,
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const vector<string> &exo, int nexog, int npar,
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Vector &ysteady, TwoDMatrix &vcov, Vector &inParams, int nstat,
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int npred, int nforw, int nboth, const int jcols, const Vector &nnzd,
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const int nsteps, int norder,
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Journal &jr, DynamicModelAC *dynamicModelFile_arg, double sstol,
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const vector<int> &var_order, const TwoDMatrix &llincidence, double criterium,
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TwoDMatrix *g1_arg, TwoDMatrix *g2_arg, TwoDMatrix *g3_arg) throw (TLException) :
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nStat(nstat), nBoth(nboth), nPred(npred), nForw(nforw), nExog(nexog), nPar(npar),
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nYs(npred + nboth), nYss(nboth + nforw), nY(num_endo), nJcols(jcols), NNZD(nnzd), nSteps(nsteps),
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nOrder(norder), journal(jr), ySteady(ysteady), params(inParams), vCov(vcov),
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md(1), dnl(*this, endo), denl(*this, exo), dsnl(*this, dnl, denl), ss_tol(sstol), varOrder(var_order),
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ll_Incidence(llincidence), qz_criterium(criterium),
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g1p(g1_arg), g2p(g2_arg), g3p(g3_arg), dynamicModelFile(dynamicModelFile_arg)
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{
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ReorderDynareJacobianIndices();
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// Initialise ModelDerivativeContainer(*this, this->md, nOrder);
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for (int iord = 1; iord <= nOrder; iord++)
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md.insert(new FSSparseTensor(iord, nY+nYs+nYss+nExog, nY));
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}
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KordpDynare::~KordpDynare()
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{
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// No need to manually delete tensors in "md", they are deleted by the TensorContainer destructor
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}
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void
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KordpDynare::solveDeterministicSteady()
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{
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JournalRecordPair pa(journal);
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pa << "Non-linear solver for deterministic steady state By-passed " << endrec;
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}
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void
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KordpDynare::evaluateSystem(Vector &out, const Vector &yy, const Vector &xx) throw (DynareException)
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{
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// This method is only called when checking the residuals at steady state (Approximation::check), so return zero residuals
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out.zeros();
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}
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void
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KordpDynare::evaluateSystem(Vector &out, const Vector &yym, const Vector &yy,
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const Vector &yyp, const Vector &xx) throw (DynareException)
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{
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// This method is only called when checking the residuals at steady state (Approximation::check), so return zero residuals
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out.zeros();
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}
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/************************************************
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* this is main derivative calculation functin that indirectly calls dynamic.dll
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* which performs actual calculation and reorders
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***************************************************/
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void
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KordpDynare::calcDerivativesAtSteady() throw (DynareException)
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{
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if (g1p == NULL)
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{
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g1p = new TwoDMatrix(nY, nJcols);
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g1p->zeros();
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if (nOrder > 1)
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{
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// allocate space for sparse Hessian
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g2p = new TwoDMatrix((int) NNZD[1], 3);
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g2p->zeros();
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}
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if (nOrder > 2)
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{
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g3p = new TwoDMatrix((int) NNZD[2], 3);
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g3p->zeros();
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}
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Vector xx(nexog());
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xx.zeros();
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Vector out(nY);
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out.zeros();
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Vector llxSteady(nJcols-nExog);
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LLxSteady(ySteady, llxSteady);
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dynamicModelFile->eval(llxSteady, xx, params, ySteady, out, g1p, g2p, g3p);
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}
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populateDerivativesContainer(*g1p, 1, JacobianIndices);
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delete g1p;
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if (nOrder > 1)
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{
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populateDerivativesContainer(*g2p, 2, JacobianIndices);
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delete g2p;
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}
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if (nOrder > 2)
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{
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populateDerivativesContainer(*g3p, 3, JacobianIndices);
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delete g3p;
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}
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}
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/*******************************************************************************
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* populateDerivatives to sparse Tensor and fit it in the Derivatives Container
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*******************************************************************************/
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void
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KordpDynare::populateDerivativesContainer(const TwoDMatrix &g, int ord, const vector<int> &vOrder)
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{
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// model derivatives FSSparseTensor instance
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FSSparseTensor *mdTi = (new FSSparseTensor(ord, nJcols, nY));
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IntSequence s(ord, 0);
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if (ord == 1)
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{
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for (int i = 0; i < g.ncols(); i++)
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{
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for (int j = 0; j < g.nrows(); j++)
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{
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double x;
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if (s[0] < nJcols-nExog)
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x = g.get(j, vOrder[s[0]]);
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else
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x = g.get(j, s[0]);
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if (x != 0.0)
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mdTi->insert(s, j, x);
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}
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s[0]++;
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}
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}
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else if (ord == 2)
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{
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int nJcols1 = nJcols-nExog;
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vector<int> revOrder(nJcols1);
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for (int i = 0; i < nJcols1; i++)
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revOrder[vOrder[i]] = i;
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for (int i = 0; i < g.nrows(); i++)
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{
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int j = (int) g.get(i, 0)-1; // hessian indices start with 1
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int i1 = (int) g.get(i, 1) -1;
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if (j < 0 || i1 < 0)
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continue; // Discard empty entries (see comment in DynamicModelAC::unpackSparseMatrix())
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int s0 = i1 / nJcols;
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int s1 = i1 % nJcols;
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if (s0 < nJcols1)
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s[0] = revOrder[s0];
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else
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s[0] = s0;
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if (s1 < nJcols1)
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s[1] = revOrder[s1];
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else
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s[1] = s1;
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if (s[1] >= s[0])
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{
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double x = g.get(i, 2);
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mdTi->insert(s, j, x);
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}
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}
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}
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else if (ord == 3)
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{
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int nJcols1 = nJcols-nExog;
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int nJcols2 = nJcols*nJcols;
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vector<int> revOrder(nJcols1);
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for (int i = 0; i < nJcols1; i++)
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revOrder[vOrder[i]] = i;
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for (int i = 0; i < g.nrows(); i++)
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{
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int j = (int) g.get(i, 0)-1;
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int i1 = (int) g.get(i, 1) -1;
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if (j < 0 || i1 < 0)
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continue; // Discard empty entries (see comment in DynamicModelAC::unpackSparseMatrix())
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int s0 = i1 / nJcols2;
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int i2 = i1 % nJcols2;
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int s1 = i2 / nJcols;
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int s2 = i2 % nJcols;
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if (s0 < nJcols1)
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s[0] = revOrder[s0];
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else
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s[0] = s0;
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if (s1 < nJcols1)
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s[1] = revOrder[s1];
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else
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s[1] = s1;
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if (s2 < nJcols1)
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s[2] = revOrder[s2];
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else
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s[2] = s2;
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double x = g.get(i, 2);
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if (s.isSorted())
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mdTi->insert(s, j, x);
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}
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}
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// md container
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md.remove(Symmetry(ord));
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md.insert(mdTi);
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// No need to delete mdTi, it will be deleted by TensorContainer destructor
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}
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/*********************************************************
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* LLxSteady()
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* returns ySteady extended with leads and lags suitable for
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* passing to <model>_dynamic DLL
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*************************************************************/
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void
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KordpDynare::LLxSteady(const Vector &yS, Vector &llxSteady) throw (DynareException, TLException)
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{
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if ((nJcols-nExog) == yS.length())
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throw DynareException(__FILE__, __LINE__, "ySteady already of right size");
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// create temporary square 2D matrix size nEndo x nEndo (sparse)
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// for the lag, current and lead blocks of the jacobian
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if (llxSteady.length() != nJcols-nExog)
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throw DynareException(__FILE__, __LINE__, "llxSteady has wrong size");
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for (int ll_row = 0; ll_row < ll_Incidence.nrows(); ll_row++)
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{
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// populate (non-sparse) vector with ysteady values
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for (int i = 0; i < nY; i++)
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{
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if (ll_Incidence.get(ll_row, i))
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llxSteady[((int) ll_Incidence.get(ll_row, i))-1] = yS[i];
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}
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}
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}
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/************************************
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* Reorder DynareJacobianIndices of variables in a vector according to
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* given int * varOrder together with lead & lag incidence matrix and
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* any the extra columns for exogenous vars, and then,
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* reorders its blocks given by the varOrder and the Dynare++ expectations:
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* extra nboth+ npred (t-1) lags
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* varOrder
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static:
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pred
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both
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forward
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* extra both + nforw (t+1) leads, and
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* extra exogen
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* so to match the jacobian organisation expected by the Appoximation class
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both + nforw (t+1) leads
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static
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pred
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both
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forward
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nboth+ npred (t-1) lags
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exogen
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************************************/
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void
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KordpDynare::ReorderDynareJacobianIndices() throw (TLException)
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{
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// create temporary square 2D matrix size nEndo x nEndo (sparse)
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// for the lag, current and lead blocks of the jacobian
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JacobianIndices.resize(nJcols);
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vector <int> tmp(nY);
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int i, j, rjoff = nJcols-nExog-1;
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for (int ll_row = 0; ll_row < ll_Incidence.nrows(); ll_row++)
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{
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// reorder in orde-var order & populate temporary nEndo (sparse) vector with
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// the lag, current and lead blocks of the jacobian respectively
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for (i = 0; i < nY; i++)
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tmp[i] = ((int) ll_Incidence.get(ll_row, varOrder[i]-1));
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// write the reordered blocks back to the jacobian
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// in reverse order
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for (j = nY-1; j >= 0; j--)
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if (tmp[j])
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{
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JacobianIndices[rjoff] = tmp[j] -1;
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rjoff--;
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if (rjoff < 0)
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break;
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}
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}
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//add the indices for the nExog exogenous jacobians
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for (j = nJcols-nExog; j < nJcols; j++)
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JacobianIndices[j] = j;
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}
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/**************************************************************************************/
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/* DynareNameList class */
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/**************************************************************************************/
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DynareNameList::DynareNameList(const KordpDynare &dynare, const vector<string> &names_arg) : names(names_arg)
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{
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}
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DynareStateNameList::DynareStateNameList(const KordpDynare &dynare, const DynareNameList &dnl,
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const DynareNameList &denl)
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{
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for (int i = 0; i < dynare.nys(); i++)
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names.push_back(string(dnl.getName(i+dynare.nstat())));
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for (int i = 0; i < dynare.nexog(); i++)
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names.push_back(string(denl.getName(i)));
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}
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