306 lines
12 KiB
C++
306 lines
12 KiB
C++
/*
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* Copyright (C) 2008-2010 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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/******************************************************
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// k_order_perturbation.cpp : Defines the entry point for the k-order perturbation application DLL.
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//
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// called from Dynare dr1_k_order.m, (itself called form resol.m instead of regular dr1.m)
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// if options_.order < 2 % 1st order only
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// [ysteady, ghx_u]=k_order_perturbation(dr,task,M_,options_, oo_ , ['.' mexext]);
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// else % 2nd order
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// [ysteady, ghx_u, g_2]=k_order_perturbation(dr,task,M_,options_, oo_ , ['.' mexext]);
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// inputs:
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// dr, - Dynare structure
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// task, - check or not, not used
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// M_ - Dynare structure
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// options_ - Dynare structure
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// oo_ - Dynare structure
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// ['.' mexext] Matlab dll extension
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// returns:
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// ysteady steady state
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// ghx_u - first order rules packed in one matrix
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// g_2 - 2nd order rules packed in one matrix
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**********************************************************/
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#include "k_ord_dynare.hh"
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#include "dynamic_dll.hh"
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#include <cmath>
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#include <cstring>
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#include <cctype>
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#include <cassert>
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#if defined(MATLAB_MEX_FILE) || defined(OCTAVE_MEX_FILE) // exclude mexFunction for other applications
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//////////////////////////////////////////////////////
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// Convert MATLAB Dynare endo and exo names array to a vector<string> array of string pointers
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// Poblem is that Matlab mx function returns a long string concatenated by columns rather than rows
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// hence a rather low level approach is needed
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///////////////////////////////////////////////////////
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void
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DynareMxArrayToString(const mxArray *mxFldp, const int len, const int width, vector<string> &out)
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{
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char *cNamesCharStr = mxArrayToString(mxFldp);
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out.resize(len);
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for (int i = 0; i < width; i++)
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for (int j = 0; j < len; j++)
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// Allow alphanumeric and underscores "_" only:
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if (isalnum(cNamesCharStr[j+i*len]) || (cNamesCharStr[j+i*len] == '_'))
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out[j] += cNamesCharStr[j+i*len];
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}
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extern "C" {
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// mexFunction: Matlab Inerface point and the main application driver
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void
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mexFunction(int nlhs, mxArray *plhs[],
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int nrhs, const mxArray *prhs[])
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{
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if (nrhs < 5)
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mexErrMsgTxt("Must have at least 5 input parameters.");
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if (nlhs == 0)
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mexErrMsgTxt("Must have at least 1 output parameter.");
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const mxArray *dr = prhs[0];
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const int check_flag = (int) mxGetScalar(prhs[1]);
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const mxArray *M_ = prhs[2];
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const mxArray *options_ = prhs[3];
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const mxArray *oo_ = prhs[4];
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mxArray *mFname = mxGetField(M_, 0, "fname");
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if (!mxIsChar(mFname))
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mexErrMsgTxt("Input must be of type char.");
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string fName = mxArrayToString(mFname);
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const mxArray *mexExt = prhs[5];
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string dfExt = mxArrayToString(mexExt); //Dynamic file extension, e.g.".dll" or .mexw32;
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int kOrder;
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mxArray *mxFldp = mxGetField(options_, 0, "order");
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if (mxIsNumeric(mxFldp))
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kOrder = (int) mxGetScalar(mxFldp);
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else
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kOrder = 1;
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if (kOrder == 1 && nlhs != 1)
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mexErrMsgTxt("k_order_perturbation at order 1 requires exactly 1 argument in output");
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else if (kOrder > 1 && nlhs != kOrder+1)
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mexErrMsgTxt("k_order_perturbation at order > 1 requires exactly order + 1 argument in output");
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double qz_criterium = 1+1e-6;
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mxFldp = mxGetField(options_, 0, "qz_criterium");
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if (mxIsNumeric(mxFldp))
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qz_criterium = (double) mxGetScalar(mxFldp);
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mxFldp = mxGetField(M_, 0, "params");
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double *dparams = (double *) mxGetData(mxFldp);
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int npar = (int) mxGetM(mxFldp);
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Vector modParams(dparams, npar);
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mxFldp = mxGetField(M_, 0, "Sigma_e");
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dparams = (double *) mxGetData(mxFldp);
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npar = (int) mxGetN(mxFldp);
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TwoDMatrix vCov(npar, npar, dparams);
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mxFldp = mxGetField(dr, 0, "ys"); // and not in order of dr.order_var
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dparams = (double *) mxGetData(mxFldp);
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const int nSteady = (int) mxGetM(mxFldp);
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Vector ySteady(dparams, nSteady);
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mxFldp = mxGetField(dr, 0, "nstatic");
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const int nStat = (int) mxGetScalar(mxFldp);
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mxFldp = mxGetField(dr, 0, "npred");
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int nPred = (int) mxGetScalar(mxFldp);
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mxFldp = mxGetField(dr, 0, "nspred");
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const int nsPred = (int) mxGetScalar(mxFldp);
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mxFldp = mxGetField(dr, 0, "nboth");
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const int nBoth = (int) mxGetScalar(mxFldp);
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mxFldp = mxGetField(dr, 0, "nfwrd");
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const int nForw = (int) mxGetScalar(mxFldp);
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mxFldp = mxGetField(dr, 0, "nsfwrd");
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const int nsForw = (int) mxGetScalar(mxFldp);
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mxFldp = mxGetField(M_, 0, "exo_nbr");
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const int nExog = (int) mxGetScalar(mxFldp);
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mxFldp = mxGetField(M_, 0, "endo_nbr");
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const int nEndo = (int) mxGetScalar(mxFldp);
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mxFldp = mxGetField(M_, 0, "param_nbr");
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const int nPar = (int) mxGetScalar(mxFldp);
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// it_ should be set to M_.maximum_lag
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mxFldp = mxGetField(M_, 0, "maximum_lag");
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const int nMax_lag = (int) mxGetScalar(mxFldp);
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nPred -= nBoth; // correct nPred for nBoth.
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mxFldp = mxGetField(dr, 0, "order_var");
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dparams = (double *) mxGetData(mxFldp);
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npar = (int) mxGetM(mxFldp);
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if (npar != nEndo) //(nPar != npar)
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mexErrMsgTxt("Incorrect number of input var_order vars.");
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vector<int> var_order_vp(nEndo);
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for (int v = 0; v < nEndo; v++)
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var_order_vp[v] = (int)(*(dparams++));
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// the lag, current and lead blocks of the jacobian respectively
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mxFldp = mxGetField(M_, 0, "lead_lag_incidence");
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dparams = (double *) mxGetData(mxFldp);
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npar = (int) mxGetN(mxFldp);
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int nrows = (int) mxGetM(mxFldp);
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TwoDMatrix llincidence(nrows, npar, dparams);
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if (npar != nEndo)
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mexErrMsgIdAndTxt("dynare:k_order_perturbation", "Incorrect length of lead lag incidences: ncol=%d != nEndo=%d.", npar, nEndo);
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//get NNZH =NNZD(2) = the total number of non-zero Hessian elements
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mxFldp = mxGetField(M_, 0, "NNZDerivatives");
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dparams = (double *) mxGetData(mxFldp);
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Vector NNZD(dparams, (int) mxGetM(mxFldp));
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if (NNZD[kOrder-1] == -1)
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mexErrMsgTxt("The derivatives were not computed for the required order. Make sure that you used the right order option inside the stoch_simul command");
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const int jcols = nExog+nEndo+nsPred+nsForw; // Num of Jacobian columns
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mxFldp = mxGetField(M_, 0, "var_order_endo_names");
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const int nendo = (int) mxGetM(mxFldp);
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const int widthEndo = (int) mxGetN(mxFldp);
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vector<string> endoNames;
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DynareMxArrayToString(mxFldp, nendo, widthEndo, endoNames);
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mxFldp = mxGetField(M_, 0, "exo_names");
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const int nexo = (int) mxGetM(mxFldp);
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const int widthExog = (int) mxGetN(mxFldp);
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vector<string> exoNames;
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DynareMxArrayToString(mxFldp, nexo, widthExog, exoNames);
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if ((nEndo != nendo) || (nExog != nexo))
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mexErrMsgTxt("Incorrect number of input parameters.");
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/* Fetch time index */
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const int nSteps = 0; // Dynare++ solving steps, for time being default to 0 = deterministic steady state
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const double sstol = 1.e-13; //NL solver tolerance from
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THREAD_GROUP::max_parallel_threads = 2; //params.num_threads;
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try
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{
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// make journal name and journal
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std::string jName(fName); //params.basename);
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jName += ".jnl";
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Journal journal(jName.c_str());
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DynamicModelDLL dynamicDLL(fName, nEndo, jcols, nMax_lag, nExog, dfExt);
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// intiate tensor library
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tls.init(kOrder, nStat+2*nPred+3*nBoth+2*nForw+nExog);
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// make KordpDynare object
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KordpDynare dynare(endoNames, nEndo, exoNames, nExog, nPar,
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ySteady, vCov, modParams, nStat, nPred, nForw, nBoth,
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jcols, NNZD, nSteps, kOrder, journal, dynamicDLL,
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sstol, var_order_vp, llincidence, qz_criterium);
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// construct main K-order approximation class
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Approximation app(dynare, journal, nSteps, false, qz_criterium);
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// run stochastic steady
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app.walkStochSteady();
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//ConstTwoDMatrix ss(app.getSS());
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// open mat file
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std::string matfile(fName); //(params.basename);
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matfile += ".mat";
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FILE *matfd = NULL;
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if (NULL == (matfd = fopen(matfile.c_str(), "wb")))
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mexErrMsgIdAndTxt("dynare:k_order_perturbation", "Couldn't open %s for writing.", matfile.c_str());
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//std::string ss_matrix_name(fName);
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//ss_matrix_name += "_steady_states";
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//ss.writeMat4(matfd, ss_matrix_name.c_str());
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// write the folded decision rule to the Mat-4 file
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app.getFoldDecisionRule().writeMat4(matfd, fName.c_str()); //params.prefix);
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fclose(matfd);
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/* Write derivative outputs into memory map */
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map<string, ConstTwoDMatrix> mm;
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app.getFoldDecisionRule().writeMMap(mm, string());
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// get latest ysteady
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ySteady = dynare.getSteady();
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if (kOrder == 1)
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{
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/* Set the output pointer to the output matrix ysteady. */
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map<string, ConstTwoDMatrix>::const_iterator cit = mm.begin();
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++cit;
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plhs[0] = mxCreateDoubleMatrix((*cit).second.numRows(), (*cit).second.numCols(), mxREAL);
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// Copy Dynare++ matrix into MATLAB matrix
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const ConstVector &vec = (*cit).second.getData();
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assert(vec.skip() == 1);
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memcpy(mxGetPr(plhs[0]), vec.base(), vec.length() * sizeof(double));
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}
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if (kOrder >= 2)
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{
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int ii = 0;
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for (map<string, ConstTwoDMatrix>::const_iterator cit = mm.begin();
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((cit != mm.end()) && (ii < nlhs)); ++cit)
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{
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{
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plhs[ii] = mxCreateDoubleMatrix((*cit).second.numRows(), (*cit).second.numCols(), mxREAL);
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// Copy Dynare++ matrix into MATLAB matrix
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const ConstVector &vec = (*cit).second.getData();
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assert(vec.skip() == 1);
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memcpy(mxGetPr(plhs[ii]), vec.base(), vec.length() * sizeof(double));
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++ii;
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}
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}
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}
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}
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catch (const KordException &e)
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{
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e.print();
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mexErrMsgIdAndTxt("dynare:k_order_perturbation", "Caught Kord exception: %s", e.get_message());
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}
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catch (const TLException &e)
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{
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e.print();
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mexErrMsgIdAndTxt("dynare:k_order_perturbation", "Caught TL exception");
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}
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catch (SylvException &e)
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{
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e.printMessage();
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mexErrMsgIdAndTxt("dynare:k_order_perturbation", "Caught Sylv exception");
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}
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catch (const DynareException &e)
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{
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mexErrMsgIdAndTxt("dynare:k_order_perturbation", "Caught KordDynare exception: %s", e.message());
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}
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catch (const ogu::Exception &e)
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{
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mexErrMsgIdAndTxt("dynare:k_order_perturbation", "Caught general exception: %s", e.message());
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}
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} // end of mexFunction()
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} // end of extern C
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#endif // ifdef MATLAB_MEX_FILE to exclude mexFunction for other applications
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