692 lines
19 KiB
Plaintext
692 lines
19 KiB
Plaintext
@q $Id: decision_rule.cweb 1896 2008-06-24 04:01:05Z kamenik $ @>
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@q Copyright 2004, Ondra Kamenik @>
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@ Start of {\tt decision\_rule.cpp} file.
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@c
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#include "kord_exception.h"
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#include "decision_rule.h"
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#include "dynamic_model.h"
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#include "SymSchurDecomp.h"
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#include <dynlapack.h>
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#include <limits>
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template <>
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int DRFixPoint<KOrder::fold>::max_iter = 10000;
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template <>
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int DRFixPoint<KOrder::unfold>::max_iter = 10000;
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template <>
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double DRFixPoint<KOrder::fold>::tol = 1.e-10;
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template <>
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double DRFixPoint<KOrder::unfold>::tol = 1.e-10;
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template <>
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int DRFixPoint<KOrder::fold>::max_newton_iter = 50;
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template <>
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int DRFixPoint<KOrder::unfold>::max_newton_iter = 50;
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template <>
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int DRFixPoint<KOrder::fold>::newton_pause = 100;
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template <>
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int DRFixPoint<KOrder::unfold>::newton_pause = 100;
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@#
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@<|FoldDecisionRule| conversion from |UnfoldDecisionRule|@>;
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@<|UnfoldDecisionRule| conversion from |FoldDecisionRule|@>;
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@<|SimResults| destructor@>;
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@<|SimResults::simulate| code1@>;
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@<|SimResults::simulate| code2@>;
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@<|SimResults::addDataSet| code@>;
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@<|SimResults::writeMat4| code1@>;
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@<|SimResults::writeMat4| code2@>;
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@<|SimResultsStats::simulate| code@>;
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@<|SimResultsStats::writeMat4| code@>;
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@<|SimResultsStats::calcMean| code@>;
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@<|SimResultsStats::calcVcov| code@>;
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@<|SimResultsDynamicStats::simulate| code@>;
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@<|SimResultsDynamicStats::writeMat4| code@>;
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@<|SimResultsDynamicStats::calcMean| code@>;
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@<|SimResultsDynamicStats::calcVariance| code@>;
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@<|SimResultsIRF::simulate| code1@>;
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@<|SimResultsIRF::simulate| code2@>;
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@<|SimResultsIRF::calcMeans| code@>;
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@<|SimResultsIRF::calcVariances| code@>;
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@<|SimResultsIRF::writeMat4| code@>;
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@<|RTSimResultsStats::simulate| code1@>;
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@<|RTSimResultsStats::simulate| code2@>;
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@<|RTSimResultsStats::writeMat4| code@>;
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@<|IRFResults| constructor@>;
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@<|IRFResults| destructor@>;
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@<|IRFResults::writeMat4| code@>;
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@<|SimulationWorker::operator()()| code@>;
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@<|SimulationIRFWorker::operator()()| code@>;
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@<|RTSimulationWorker::operator()()| code@>;
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@<|RandomShockRealization::choleskyFactor| code@>;
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@<|RandomShockRealization::schurFactor| code@>;
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@<|RandomShockRealization::get| code@>;
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@<|ExplicitShockRealization| constructor code@>;
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@<|ExplicitShockRealization::get| code@>;
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@<|ExplicitShockRealization::addToShock| code@>;
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@<|GenShockRealization::get| code@>;
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@
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@<|FoldDecisionRule| conversion from |UnfoldDecisionRule|@>=
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FoldDecisionRule::FoldDecisionRule(const UnfoldDecisionRule& udr)
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: DecisionRuleImpl<KOrder::fold>(ctraits<KOrder::fold>::Tpol(udr.nrows(), udr.nvars()),
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udr.ypart, udr.nu, udr.ysteady)
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{
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for (ctraits<KOrder::unfold>::Tpol::const_iterator it = udr.begin();
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it != udr.end(); ++it) {
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insert(new ctraits<KOrder::fold>::Ttensym(*((*it).second)));
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}
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}
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@
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@<|UnfoldDecisionRule| conversion from |FoldDecisionRule|@>=
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UnfoldDecisionRule::UnfoldDecisionRule(const FoldDecisionRule& fdr)
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: DecisionRuleImpl<KOrder::unfold>(ctraits<KOrder::unfold>::Tpol(fdr.nrows(), fdr.nvars()),
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fdr.ypart, fdr.nu, fdr.ysteady)
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{
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for (ctraits<KOrder::fold>::Tpol::const_iterator it = fdr.begin();
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it != fdr.end(); ++it) {
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insert(new ctraits<KOrder::unfold>::Ttensym(*((*it).second)));
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}
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}
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@
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@<|SimResults| destructor@>=
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SimResults::~SimResults()
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{
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for (int i = 0; i < getNumSets(); i++) {
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delete data[i];
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delete shocks[i];
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}
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}
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@ This runs simulations with an output to journal file. Note that we
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report how many simulations had to be thrown out due to Nan or Inf.
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@<|SimResults::simulate| code1@>=
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void SimResults::simulate(int num_sim, const DecisionRule& dr, const Vector& start,
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const TwoDMatrix& vcov, Journal& journal)
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{
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JournalRecordPair paa(journal);
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paa << "Performing " << num_sim << " stochastic simulations for "
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<< num_per << " periods" << endrec;
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simulate(num_sim, dr, start, vcov);
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int thrown = num_sim - data.size();
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if (thrown > 0) {
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JournalRecord rec(journal);
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rec << "I had to throw " << thrown << " simulations away due to Nan or Inf" << endrec;
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}
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}
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@ This runs a given number of simulations by creating
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|SimulationWorker| for each simulation and inserting them to the
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thread group.
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@<|SimResults::simulate| code2@>=
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void SimResults::simulate(int num_sim, const DecisionRule& dr, const Vector& start,
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const TwoDMatrix& vcov)
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{
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std::vector<RandomShockRealization> rsrs;
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rsrs.reserve(num_sim);
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THREAD_GROUP gr;
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for (int i = 0; i < num_sim; i++) {
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RandomShockRealization sr(vcov, system_random_generator.int_uniform());
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rsrs.push_back(sr);
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THREAD* worker = new
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SimulationWorker(*this, dr, DecisionRule::horner,
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num_per, start, rsrs.back());
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gr.insert(worker);
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}
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gr.run();
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}
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@ This adds the data with the realized shocks. If the data is not
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finite, the both data and shocks are thrown away.
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@<|SimResults::addDataSet| code@>=
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bool SimResults::addDataSet(TwoDMatrix* d, ExplicitShockRealization* sr)
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{
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KORD_RAISE_IF(d->nrows() != num_y,
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"Incompatible number of rows for SimResults::addDataSets");
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KORD_RAISE_IF(d->ncols() != num_per,
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"Incompatible number of cols for SimResults::addDataSets");
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if (d->isFinite()) {
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data.push_back(d);
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shocks.push_back(sr);
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return true;
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} else {
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delete d;
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delete sr;
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return false;
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}
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}
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@
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@<|SimResults::writeMat4| code1@>=
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void SimResults::writeMat4(const char* base, const char* lname) const
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{
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char matfile_name[100];
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sprintf(matfile_name, "%s.mat", base);
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FILE* out;
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if (NULL != (out=fopen(matfile_name, "wb"))) {
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writeMat4(out, lname);
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fclose(out);
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}
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}
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@ This save the results as matrices with given prefix and with index
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appended. If there is only one matrix, the index is not appended.
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@<|SimResults::writeMat4| code2@>=
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void SimResults::writeMat4(FILE* fd, const char* lname) const
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{
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char tmp[100];
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for (int i = 0; i < getNumSets(); i++) {
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if (getNumSets() > 1)
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sprintf(tmp, "%s_data%d", lname, i+1);
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else
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sprintf(tmp, "%s_data", lname);
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ConstTwoDMatrix m(*(data[i]));
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m.writeMat4(fd, tmp);
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}
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}
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@
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@<|SimResultsStats::simulate| code@>=
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void SimResultsStats::simulate(int num_sim, const DecisionRule& dr,
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const Vector& start,
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const TwoDMatrix& vcov, Journal& journal)
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{
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SimResults::simulate(num_sim, dr, start, vcov, journal);
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{
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JournalRecordPair paa(journal);
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paa << "Calculating means from the simulations." << endrec;
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calcMean();
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}
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{
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JournalRecordPair paa(journal);
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paa << "Calculating covariances from the simulations." << endrec;
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calcVcov();
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}
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}
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@ Here we do not save the data itself, we save only mean and vcov.
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@<|SimResultsStats::writeMat4| code@>=
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void SimResultsStats::writeMat4(FILE* fd, const char* lname) const
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{
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char tmp[100];
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sprintf(tmp, "%s_mean", lname);
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ConstTwoDMatrix m(num_y, 1, mean.base());
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m.writeMat4(fd, tmp);
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sprintf(tmp, "%s_vcov", lname);
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ConstTwoDMatrix(vcov).writeMat4(fd, tmp);
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}
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@
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@<|SimResultsStats::calcMean| code@>=
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void SimResultsStats::calcMean()
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{
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mean.zeros();
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if (data.size()*num_per > 0) {
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double mult = 1.0/data.size()/num_per;
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for (unsigned int i = 0; i < data.size(); i++) {
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for (int j = 0; j < num_per; j++) {
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ConstVector col(*data[i], j);
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mean.add(mult, col);
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}
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}
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}
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}
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@
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@<|SimResultsStats::calcVcov| code@>=
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void SimResultsStats::calcVcov()
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{
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if (data.size()*num_per > 1) {
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vcov.zeros();
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double mult = 1.0/(data.size()*num_per - 1);
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for (unsigned int i = 0; i < data.size(); i++) {
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const TwoDMatrix& d = *(data[i]);
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for (int j = 0; j < num_per; j++) {
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for (int m = 0; m < num_y; m++) {
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for (int n = m; n < num_y; n++) {
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double s = (d.get(m,j)-mean[m])*(d.get(n,j)-mean[n]);
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vcov.get(m,n) += mult*s;
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if (m != n)
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vcov.get(n,m) += mult*s;
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}
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}
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}
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}
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} else {
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vcov.infs();
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}
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}
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@
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@<|SimResultsDynamicStats::simulate| code@>=
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void SimResultsDynamicStats::simulate(int num_sim, const DecisionRule& dr,
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const Vector& start,
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const TwoDMatrix& vcov, Journal& journal)
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{
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SimResults::simulate(num_sim, dr, start, vcov, journal);
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{
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JournalRecordPair paa(journal);
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paa << "Calculating means of the conditional simulations." << endrec;
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calcMean();
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}
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{
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JournalRecordPair paa(journal);
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paa << "Calculating variances of the conditional simulations." << endrec;
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calcVariance();
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}
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}
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@
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@<|SimResultsDynamicStats::writeMat4| code@>=
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void SimResultsDynamicStats::writeMat4(FILE* fd, const char* lname) const
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{
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char tmp[100];
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sprintf(tmp, "%s_cond_mean", lname);
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ConstTwoDMatrix(mean).writeMat4(fd, tmp);
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sprintf(tmp, "%s_cond_variance", lname);
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ConstTwoDMatrix(variance).writeMat4(fd, tmp);
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}
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@
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@<|SimResultsDynamicStats::calcMean| code@>=
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void SimResultsDynamicStats::calcMean()
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{
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mean.zeros();
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if (data.size() > 0) {
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double mult = 1.0/data.size();
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for (int j = 0; j < num_per; j++) {
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Vector meanj(mean, j);
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for (unsigned int i = 0; i < data.size(); i++) {
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ConstVector col(*data[i], j);
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meanj.add(mult, col);
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}
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}
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}
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}
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@
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@<|SimResultsDynamicStats::calcVariance| code@>=
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void SimResultsDynamicStats::calcVariance()
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{
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if (data.size() > 1) {
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variance.zeros();
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double mult = 1.0/(data.size()-1);
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for (int j = 0; j < num_per; j++) {
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ConstVector meanj(mean, j);
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Vector varj(variance, j);
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for (int i = 0; i < (int)data.size(); i++) {
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Vector col(ConstVector((*data[i]), j));
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col.add(-1.0, meanj);
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for (int k = 0; k < col.length(); k++)
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col[k] = col[k]*col[k];
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varj.add(mult, col);
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}
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}
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} else {
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variance.infs();
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}
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}
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@
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@<|SimResultsIRF::simulate| code1@>=
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void SimResultsIRF::simulate(const DecisionRule& dr, const Vector& start,
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Journal& journal)
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{
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JournalRecordPair paa(journal);
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paa << "Performing " << control.getNumSets() << " IRF simulations for "
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<< num_per << " periods; shock=" << ishock << ", impulse=" << imp << endrec;
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simulate(dr, start);
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int thrown = control.getNumSets() - data.size();
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if (thrown > 0) {
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JournalRecord rec(journal);
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rec << "I had to throw " << thrown
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<< " simulations away due to Nan or Inf" << endrec;
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}
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calcMeans();
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calcVariances();
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}
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@
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@<|SimResultsIRF::simulate| code2@>=
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void SimResultsIRF::simulate(const DecisionRule& dr, const Vector& start)
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{
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THREAD_GROUP gr;
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for (int idata = 0; idata < control.getNumSets(); idata++) {
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THREAD* worker = new
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SimulationIRFWorker(*this, dr, DecisionRule::horner,
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num_per, start, idata, ishock, imp);
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gr.insert(worker);
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}
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gr.run();
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}
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@
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@<|SimResultsIRF::calcMeans| code@>=
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void SimResultsIRF::calcMeans()
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{
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means.zeros();
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if (data.size() > 0) {
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for (unsigned int i = 0; i < data.size(); i++)
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means.add(1.0, *(data[i]));
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means.mult(1.0/data.size());
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}
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}
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@
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@<|SimResultsIRF::calcVariances| code@>=
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void SimResultsIRF::calcVariances()
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{
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if (data.size() > 1) {
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variances.zeros();
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for (unsigned int i = 0; i < data.size(); i++) {
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TwoDMatrix d((const TwoDMatrix&)(*(data[i])));
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d.add(-1.0, means);
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for (int j = 0; j < d.nrows(); j++)
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for (int k = 0; k < d.ncols(); k++)
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variances.get(j,k) += d.get(j,k)*d.get(j,k);
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d.mult(1.0/(data.size()-1));
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}
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} else {
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variances.infs();
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}
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}
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@
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@<|SimResultsIRF::writeMat4| code@>=
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void SimResultsIRF::writeMat4(FILE* fd, const char* lname) const
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{
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char tmp[100];
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sprintf(tmp, "%s_mean", lname);
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means.writeMat4(fd, tmp);
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sprintf(tmp, "%s_var", lname);
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variances.writeMat4(fd, tmp);
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}
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@
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@<|RTSimResultsStats::simulate| code1@>=
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void RTSimResultsStats::simulate(int num_sim, const DecisionRule& dr, const Vector& start,
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const TwoDMatrix& v, Journal& journal)
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{
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JournalRecordPair paa(journal);
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paa << "Performing " << num_sim << " real-time stochastic simulations for "
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<< num_per << " periods" << endrec;
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simulate(num_sim, dr, start, v);
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mean = nc.getMean();
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mean.add(1.0, dr.getSteady());
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nc.getVariance(vcov);
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if (thrown_periods > 0) {
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JournalRecord rec(journal);
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rec << "I had to throw " << thrown_periods << " periods away due to Nan or Inf" << endrec;
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JournalRecord rec1(journal);
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rec1 << "This affected " << incomplete_simulations << " out of "
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<< num_sim << " simulations" << endrec;
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}
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}
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@
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@<|RTSimResultsStats::simulate| code2@>=
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void RTSimResultsStats::simulate(int num_sim, const DecisionRule& dr, const Vector& start,
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const TwoDMatrix& vcov)
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{
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std::vector<RandomShockRealization> rsrs;
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rsrs.reserve(num_sim);
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THREAD_GROUP gr;
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for (int i = 0; i < num_sim; i++) {
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RandomShockRealization sr(vcov, system_random_generator.int_uniform());
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rsrs.push_back(sr);
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THREAD* worker = new
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RTSimulationWorker(*this, dr, DecisionRule::horner,
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num_per, start, rsrs.back());
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gr.insert(worker);
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}
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gr.run();
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}
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@
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@<|RTSimResultsStats::writeMat4| code@>=
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void RTSimResultsStats::writeMat4(FILE* fd, const char* lname)
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{
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char tmp[100];
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sprintf(tmp, "%s_rt_mean", lname);
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ConstTwoDMatrix m(nc.getDim(), 1, mean.base());
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m.writeMat4(fd, tmp);
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sprintf(tmp, "%s_rt_vcov", lname);
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ConstTwoDMatrix(vcov).writeMat4(fd, tmp);
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}
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@
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@<|IRFResults| constructor@>=
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IRFResults::IRFResults(const DynamicModel& mod, const DecisionRule& dr,
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const SimResults& control, const vector<int>& ili,
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Journal& journal)
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: model(mod), irf_list_ind(ili)
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{
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int num_per = control.getNumPer();
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JournalRecordPair pa(journal);
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pa << "Calculating IRFs against control for " << (int)irf_list_ind.size() << " shocks and for "
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<< num_per << " periods" << endrec;
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const TwoDMatrix& vcov = mod.getVcov();
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for (unsigned int ii = 0; ii < irf_list_ind.size(); ii++) {
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int ishock = irf_list_ind[ii];
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double stderror = sqrt(vcov.get(ishock,ishock));
|
|
irf_res.push_back(new SimResultsIRF(control, model.numeq(), num_per,
|
|
ishock, stderror));
|
|
irf_res.push_back(new SimResultsIRF(control, model.numeq(), num_per,
|
|
ishock, -stderror));
|
|
}
|
|
|
|
for (unsigned int ii = 0; ii < irf_list_ind.size(); ii++) {
|
|
irf_res[2*ii]->simulate(dr, model.getSteady(), journal);
|
|
irf_res[2*ii+1]->simulate(dr, model.getSteady(), journal);
|
|
}
|
|
}
|
|
|
|
@
|
|
@<|IRFResults| destructor@>=
|
|
IRFResults::~IRFResults()
|
|
{
|
|
for (unsigned int i = 0; i < irf_res.size(); i++)
|
|
delete irf_res[i];
|
|
}
|
|
|
|
@
|
|
@<|IRFResults::writeMat4| code@>=
|
|
void IRFResults::writeMat4(FILE* fd, const char* prefix) const
|
|
{
|
|
for (unsigned int i = 0; i < irf_list_ind.size(); i++) {
|
|
char tmp[100];
|
|
int ishock = irf_list_ind[i];
|
|
const char* shockname = model.getExogNames().getName(ishock);
|
|
sprintf(tmp, "%s_irfp_%s", prefix, shockname);
|
|
irf_res[2*i]->writeMat4(fd, tmp);
|
|
sprintf(tmp, "%s_irfm_%s", prefix, shockname);
|
|
irf_res[2*i+1]->writeMat4(fd, tmp);
|
|
}
|
|
}
|
|
|
|
@
|
|
@<|SimulationWorker::operator()()| code@>=
|
|
void SimulationWorker::operator()()
|
|
{
|
|
ExplicitShockRealization* esr = new ExplicitShockRealization(sr, np);
|
|
TwoDMatrix* m = dr.simulate(em, np, st, *esr);
|
|
{
|
|
SYNCHRO syn(&res, "simulation");
|
|
res.addDataSet(m, esr);
|
|
}
|
|
}
|
|
|
|
@ Here we create a new instance of |ExplicitShockRealization| of the
|
|
corresponding control, add the impulse, and simulate.
|
|
|
|
@<|SimulationIRFWorker::operator()()| code@>=
|
|
void SimulationIRFWorker::operator()()
|
|
{
|
|
ExplicitShockRealization* esr =
|
|
new ExplicitShockRealization(res.control.getShocks(idata));
|
|
esr->addToShock(ishock, 0, imp);
|
|
TwoDMatrix* m = dr.simulate(em, np, st, *esr);
|
|
m->add(-1.0, res.control.getData(idata));
|
|
{
|
|
SYNCHRO syn(&res, "simulation");
|
|
res.addDataSet(m, esr);
|
|
}
|
|
}
|
|
|
|
@
|
|
@<|RTSimulationWorker::operator()()| code@>=
|
|
void RTSimulationWorker::operator()()
|
|
{
|
|
NormalConj nc(res.nc.getDim());
|
|
const PartitionY& ypart = dr.getYPart();
|
|
int nu = dr.nexog();
|
|
const Vector& ysteady = dr.getSteady();
|
|
|
|
@<initialize vectors and subvectors for simulation@>;
|
|
@<simulate the first real-time period@>;
|
|
@<simulate other real-time periods@>;
|
|
{
|
|
SYNCHRO syn(&res, "rtsimulation");
|
|
res.nc.update(nc);
|
|
if (res.num_per-ip > 0) {
|
|
res.incomplete_simulations++;
|
|
res.thrown_periods += res.num_per-ip;
|
|
}
|
|
}
|
|
}
|
|
|
|
@
|
|
@<initialize vectors and subvectors for simulation@>=
|
|
Vector dyu(ypart.nys()+nu);
|
|
ConstVector ystart_pred(ystart, ypart.nstat, ypart.nys());
|
|
ConstVector ysteady_pred(ysteady, ypart.nstat, ypart.nys());
|
|
Vector dy(dyu, 0, ypart.nys());
|
|
Vector u(dyu, ypart.nys(), nu);
|
|
Vector y(nc.getDim());
|
|
ConstVector ypred(y, ypart.nstat, ypart.nys());
|
|
|
|
@
|
|
@<simulate the first real-time period@>=
|
|
int ip = 0;
|
|
dy = ystart_pred;
|
|
dy.add(-1.0, ysteady_pred);
|
|
sr.get(ip, u);
|
|
dr.eval(em, y, dyu);
|
|
nc.update(y);
|
|
|
|
@
|
|
@<simulate other real-time periods@>=
|
|
while (y.isFinite() && ip < res.num_per) {
|
|
ip++;
|
|
dy = ypred;
|
|
sr.get(ip, u);
|
|
dr.eval(em, y, dyu);
|
|
nc.update(y);
|
|
}
|
|
|
|
@ This calculates factorization $FF^T=V$ in the Cholesky way. It does
|
|
not work for semidefinite matrices.
|
|
|
|
@<|RandomShockRealization::choleskyFactor| code@>=
|
|
void RandomShockRealization::choleskyFactor(const TwoDMatrix& v)
|
|
{
|
|
factor = v;
|
|
lapack_int rows = factor.nrows();
|
|
for (int i = 0; i < rows; i++)
|
|
for (int j = i+1; j < rows; j++)
|
|
factor.get(i,j) = 0.0;
|
|
lapack_int info;
|
|
|
|
dpotrf("L", &rows, factor.base(), &rows, &info);
|
|
KORD_RAISE_IF(info != 0,
|
|
"Info!=0 in RandomShockRealization::choleskyFactor");
|
|
}
|
|
|
|
@ This calculates $FF^T=V$ factorization by symmetric Schur
|
|
decomposition. It works for semidifinite matrices.
|
|
|
|
@<|RandomShockRealization::schurFactor| code@>=
|
|
void RandomShockRealization::schurFactor(const TwoDMatrix& v)
|
|
{
|
|
SymSchurDecomp ssd(v);
|
|
ssd.getFactor(factor);
|
|
}
|
|
|
|
@
|
|
@<|RandomShockRealization::get| code@>=
|
|
void RandomShockRealization::get(int n, Vector& out)
|
|
{
|
|
KORD_RAISE_IF(out.length() != numShocks(),
|
|
"Wrong length of out vector in RandomShockRealization::get");
|
|
Vector d(out.length());
|
|
for (int i = 0; i < d.length(); i++) {
|
|
d[i] = mtwister.normal();
|
|
}
|
|
out.zeros();
|
|
factor.multaVec(out, ConstVector(d));
|
|
}
|
|
|
|
@
|
|
@<|ExplicitShockRealization| constructor code@>=
|
|
ExplicitShockRealization::ExplicitShockRealization(ShockRealization& sr,
|
|
int num_per)
|
|
: shocks(sr.numShocks(), num_per)
|
|
{
|
|
for (int j = 0; j < num_per; j++) {
|
|
Vector jcol(shocks, j);
|
|
sr.get(j, jcol);
|
|
}
|
|
}
|
|
|
|
@
|
|
@<|ExplicitShockRealization::get| code@>=
|
|
void ExplicitShockRealization::get(int n, Vector& out)
|
|
{
|
|
KORD_RAISE_IF(out.length() != numShocks(),
|
|
"Wrong length of out vector in ExplicitShockRealization::get");
|
|
int i = n % shocks.ncols();
|
|
ConstVector icol(shocks, i);
|
|
out = icol;
|
|
}
|
|
|
|
@
|
|
@<|ExplicitShockRealization::addToShock| code@>=
|
|
void ExplicitShockRealization::addToShock(int ishock, int iper, double val)
|
|
{
|
|
KORD_RAISE_IF(ishock < 0 || ishock > numShocks(),
|
|
"Wrong index of shock in ExplicitShockRealization::addToShock");
|
|
int j = iper % shocks.ncols();
|
|
shocks.get(ishock, j) += val;
|
|
}
|
|
|
|
|
|
@
|
|
@<|GenShockRealization::get| code@>=
|
|
void GenShockRealization::get(int n, Vector& out)
|
|
{
|
|
KORD_RAISE_IF(out.length() != numShocks(),
|
|
"Wrong length of out vector in GenShockRealization::get");
|
|
ExplicitShockRealization::get(n, out);
|
|
Vector r(numShocks());
|
|
RandomShockRealization::get(n, r);
|
|
for (int j = 0; j < numShocks(); j++)
|
|
if (! isfinite(out[j]))
|
|
out[j] = r[j];
|
|
}
|
|
|
|
|
|
@ End of {\tt decision\_rule.cpp} file.
|