365 lines
11 KiB
C++
365 lines
11 KiB
C++
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#include "dynare3.h"
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#include "dynare_exception.h"
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#include "planner_builder.h"
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#include "forw_subst_builder.h"
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#include "utils/cc/memory_file.h"
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#include "utils/cc/exception.h"
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#include "parser/cc/parser_exception.h"
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#include "parser/cc/atom_substitutions.h"
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#include "../tl/cc/tl_exception.h"
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#include "../kord/kord_exception.h"
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#ifndef DYNVERSION
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#define DYNVERSION "unknown"
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#endif
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/**************************************************************************************/
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/* DynareNameList class */
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/**************************************************************************************/
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vector<int> DynareNameList::selectIndices(const vector<const char*>& ns) const
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{
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vector<int> res;
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for (unsigned int i = 0; i < ns.size(); i++) {
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int j = 0;
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while (j < getNum() && strcmp(getName(j), ns[i]) != 0)
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j++;
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if (j == getNum())
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throw DynareException(__FILE__, __LINE__,
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string("Couldn't find name for ") + ns[i] +
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" in DynareNameList::selectIndices");
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res.push_back(j);
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}
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return res;
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}
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/**************************************************************************************/
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/* Dynare class */
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/**************************************************************************************/
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Dynare::Dynare(const char* modname, int ord, double sstol, Journal& jr)
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: journal(jr), model(NULL), ysteady(NULL), md(1), dnl(NULL), denl(NULL), dsnl(NULL),
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fe(NULL), fde(NULL), ss_tol(sstol)
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{
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// make memory file
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ogu::MemoryFile mf(modname);
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if (mf.exists()) {
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try {
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model = new ogdyn::DynareParser(mf.base(), mf.length(), ord);
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} catch (const ogp::ParserException& pe) {
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int line;
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int col;
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mf.line_and_col(pe.offset(), line, col);
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throw DynareException(pe.message(), modname, line, col);
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}
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ysteady = new Vector(model->getAtoms().ny());
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dnl = new DynareNameList(*this);
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denl = new DynareExogNameList(*this);
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dsnl = new DynareStateNameList(*this, *dnl, *denl);
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fe = new ogp::FormulaEvaluator(model->getParser());
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fde = new ogp::FormulaDerEvaluator(model->getParser());
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writeModelInfo(journal);
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} else {
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throw DynareException(__FILE__, __LINE__, string("Could not open model file ")+modname);
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}
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}
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Dynare::Dynare(const char** endo, int num_endo,
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const char** exo, int num_exo,
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const char** par, int num_par,
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const char* equations, int len, int ord,
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double sstol, Journal& jr)
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: journal(jr), model(NULL), ysteady(NULL), md(1), dnl(NULL), denl(NULL), dsnl(NULL),
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fe(NULL), fde(NULL), ss_tol(sstol)
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{
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try {
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model = new ogdyn::DynareSPModel(endo, num_endo, exo, num_exo, par, num_par,
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equations, len, ord);
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} catch (const ogp::ParserException& pe) {
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throw DynareException(pe.message(), pe.offset());
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}
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ysteady = new Vector(model->getAtoms().ny());
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dnl = new DynareNameList(*this);
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denl = new DynareExogNameList(*this);
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dsnl = new DynareStateNameList(*this, *dnl, *denl);
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fe = new ogp::FormulaEvaluator(model->getParser());
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fde = new ogp::FormulaDerEvaluator(model->getParser());
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writeModelInfo(journal);
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}
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Dynare::Dynare(const Dynare& dynare)
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: journal(dynare.journal), model(NULL),
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ysteady(NULL), md(dynare.md),
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dnl(NULL), denl(NULL), dsnl(NULL), fe(NULL), fde(NULL),
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ss_tol(dynare.ss_tol)
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{
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model = dynare.model->clone();
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ysteady = new Vector(*(dynare.ysteady));
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dnl = new DynareNameList(*this);
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denl = new DynareExogNameList(*this);
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dsnl = new DynareStateNameList(*this, *dnl, *denl);
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fe = new ogp::FormulaEvaluator(model->getParser());
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fde = new ogp::FormulaDerEvaluator(model->getParser());
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}
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Dynare::~Dynare()
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{
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if (model)
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delete model;
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if (ysteady)
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delete ysteady;
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if (dnl)
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delete dnl;
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if (dsnl)
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delete dsnl;
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if (denl)
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delete denl;
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if (fe)
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delete fe;
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if (fde)
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delete fde;
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}
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void Dynare::writeMat(mat_t* fd, const char* prefix) const
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{
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char tmp[100];
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sprintf(tmp, "%s_vars", prefix);
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getAllEndoNames().writeMat(fd, tmp);
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getAllEndoNames().writeMatIndices(fd, prefix);
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sprintf(tmp, "%s_state_vars", prefix);
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getStateNames().writeMat(fd, tmp);
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sprintf(tmp, "%s_shocks", prefix);
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getExogNames().writeMat(fd, tmp);
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getExogNames().writeMatIndices(fd, prefix);
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sprintf(tmp, "%s_vcov_exo", prefix);
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model->getVcov().writeMat(fd, tmp);
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TwoDMatrix aux(1,1);
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sprintf(tmp, "%s_nstat", prefix);
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aux.get(0,0) = nstat();
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aux.writeMat(fd, tmp);
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sprintf(tmp, "%s_npred", prefix);
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aux.get(0,0) = npred();
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aux.writeMat(fd, tmp);
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sprintf(tmp, "%s_nboth", prefix);
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aux.get(0,0) = nboth();
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aux.writeMat(fd, tmp);
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sprintf(tmp, "%s_nforw", prefix);
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aux.get(0,0) = nforw();
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aux.writeMat(fd, tmp);
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}
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void Dynare::writeDump(const std::string& basename) const
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{
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std::string fname(basename);
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fname += ".dump";
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std::ofstream out(fname.c_str());
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model->dump_model(out);
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out.close();
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}
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void Dynare::solveDeterministicSteady(Vector& steady)
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{
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JournalRecordPair pa(journal);
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pa << "Non-linear solver for deterministic steady state" << endrec;
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steady = (const Vector&) model->getInit();
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DynareVectorFunction dvf(*this);
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DynareJacobian dj(*this);
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ogu::NLSolver nls(dvf, dj, 500, ss_tol, journal);
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int iter;
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if (! nls.solve(steady, iter))
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throw DynareException(__FILE__, __LINE__,
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"Could not obtain convergence in non-linear solver");
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}
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// evaluate system at given y_t=y_{t+1}=y_{t-1}, and given shocks x_t
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void Dynare::evaluateSystem(Vector& out, const Vector& yy, const Vector& xx)
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{
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ConstVector yym(yy, nstat(), nys());
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ConstVector yyp(yy, nstat()+npred(), nyss());
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evaluateSystem(out, yym, yy, yyp, xx);
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}
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// evaluate system at given y^*_{t-1}, y_t, y^{**}_{t+1} and at
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// exogenous x_t, all three vectors yym, yy, and yyp have the
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// respective lengths of y^*_{t-1}, y_t, y^{**}_{t+1}
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void Dynare::evaluateSystem(Vector& out, const Vector& yym, const Vector& yy,
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const Vector& yyp, const Vector& xx)
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{
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ogdyn::DynareAtomValues dav(model->getAtoms(), model->getParams(), yym, yy, yyp, xx);
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DynareEvalLoader del(model->getAtoms(), out);
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fe->eval(dav, del);
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}
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void Dynare::calcDerivatives(const Vector& yy, const Vector& xx)
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{
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ConstVector yym(yy, nstat(), nys());
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ConstVector yyp(yy, nstat()+npred(), nyss());
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ogdyn::DynareAtomValues dav(model->getAtoms(), model->getParams(), yym, yy, yyp, xx);
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DynareDerEvalLoader ddel(model->getAtoms(), md, model->getOrder());
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for (int iord = 1; iord <= model->getOrder(); iord++)
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fde->eval(dav, ddel, iord);
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}
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void Dynare::calcDerivativesAtSteady()
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{
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Vector xx(nexog());
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xx.zeros();
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calcDerivatives(*ysteady, xx);
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}
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void Dynare::writeModelInfo(Journal& jr) const
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{
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// write info on variables
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{
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JournalRecordPair rp(journal);
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rp << "Information on variables" << endrec;
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JournalRecord rec1(journal);
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rec1 << "Number of endogenous: " << ny() << endrec;
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JournalRecord rec2(journal);
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rec2 << "Number of exogenous: " << nexog() << endrec;
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JournalRecord rec3(journal);
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rec3 << "Number of static: " << nstat() << endrec;
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JournalRecord rec4(journal);
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rec4 << "Number of predetermined: " << npred()+nboth() << endrec;
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JournalRecord rec5(journal);
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rec5 << "Number of forward looking: " << nforw()+nboth() << endrec;
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JournalRecord rec6(journal);
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rec6 << "Number of both: " << nboth() << endrec;
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}
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// write info on planner variables
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const ogdyn::PlannerInfo* pinfo = model->get_planner_info();
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if (pinfo) {
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JournalRecordPair rp(journal);
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rp << "Information on planner variables" << endrec;
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JournalRecord rec1(journal);
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rec1 << "Number of Lagrange multipliers: " << pinfo->num_lagrange_mults << endrec;
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JournalRecord rec2(journal);
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rec2 << "Number of auxiliary variables: " << pinfo->num_aux_variables << endrec;
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JournalRecord rec3(journal);
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rec3 << "Number of new terms in the tree: " << pinfo->num_new_terms << endrec;
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}
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// write info on forward substitutions
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const ogdyn::ForwSubstInfo* finfo = model->get_forw_subst_info();
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if (finfo) {
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JournalRecordPair rp(journal);
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rp << "Information on forward substitutions" << endrec;
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JournalRecord rec1(journal);
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rec1 << "Number of affected equations: " << finfo->num_affected_equations << endrec;
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JournalRecord rec2(journal);
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rec2 << "Number of substituted terms: " << finfo->num_subst_terms << endrec;
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JournalRecord rec3(journal);
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rec3 << "Number of auxiliary variables: " << finfo->num_aux_variables << endrec;
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JournalRecord rec4(journal);
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rec4 << "Number of new terms in the tree: " << finfo->num_new_terms << endrec;
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}
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// write info on substitutions
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const ogp::SubstInfo* sinfo = model->get_subst_info();
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if (sinfo) {
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JournalRecordPair rp(journal);
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rp << "Information on substitutions" << endrec;
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JournalRecord rec1(journal);
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rec1 << "Number of substitutions: " << sinfo->num_substs << endrec;
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}
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}
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DynareNameList::DynareNameList(const Dynare& dynare)
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{
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for (int i = 0; i < dynare.ny(); i++) {
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int j = dynare.model->getAtoms().y2outer_endo()[i];
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const char* name = dynare.model->getAtoms().get_endovars()[j];
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names.push_back(name);
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}
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}
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DynareStateNameList::DynareStateNameList(const Dynare& dynare, const DynareNameList& dnl,
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const DynareExogNameList& denl)
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{
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for (int i = 0; i < dynare.nys(); i++)
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names.push_back(dnl.getName(i+dynare.nstat()));
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for (int i = 0; i < dynare.nexog(); i++)
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names.push_back(denl.getName(i));
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}
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DynareExogNameList::DynareExogNameList(const Dynare& dynare)
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{
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for (int i = 0; i < dynare.nexog(); i++) {
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int j = dynare.model->getAtoms().y2outer_exo()[i];
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const char* name = dynare.model->getAtoms().get_exovars()[j];
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names.push_back(name);
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}
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}
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DynareEvalLoader::DynareEvalLoader(const ogp::FineAtoms& a, Vector& out)
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: Vector(out)
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{
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if (a.ny() != out.length())
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throw DynareException(__FILE__, __LINE__, "Wrong length of out vector in DynareEvalLoader constructor");
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}
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/** This clears the container of model derivatives and initializes it
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* inserting empty sparse tensors up to the given order. */
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DynareDerEvalLoader::DynareDerEvalLoader(const ogp::FineAtoms& a,
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TensorContainer<FSSparseTensor>& mod_ders,
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int order)
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: atoms(a), md(mod_ders)
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{
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md.clear();
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for (int iord = 1; iord <= order; iord++) {
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FSSparseTensor* t = new FSSparseTensor(iord, atoms.ny()+atoms.nys()+atoms.nyss()+atoms.nexo(), atoms.ny());
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md.insert(t);
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}
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}
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void DynareDerEvalLoader::load(int i, int iord, const int* vars, double res)
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{
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FSSparseTensor* t = md.get(Symmetry(iord));
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IntSequence s(iord, 0);
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for (int j = 0; j < iord; j++)
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s[j] = atoms.get_pos_of_all(vars[j]);
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t->insert(s, i, res);
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}
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DynareJacobian::DynareJacobian(Dynare& dyn)
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: Jacobian(dyn.ny()), d(dyn)
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{
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zeros();
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}
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void DynareJacobian::eval(const Vector& yy)
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{
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ogdyn::DynareSteadyAtomValues
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dav(d.getModel().getAtoms(), d.getModel().getParams(), yy);
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zeros();
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d.fde->eval(dav, *this, 1);
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}
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void DynareJacobian::load(int i, int iord, const int* vars, double res)
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{
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if (iord != 1)
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throw DynareException(__FILE__, __LINE__,
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"Derivative order different from order=1 in DynareJacobian::load");
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int t = vars[0];
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int j = d.getModel().getAtoms().get_pos_of_all(t);
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if (j < d.nyss())
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get(i, j+d.nstat()+d.npred()) += res;
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else if (j < d.nyss()+d.ny())
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get(i, j-d.nyss()) += res;
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else if (j < d.nyss()+d.ny()+d.nys())
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get(i, j-d.nyss()-d.ny()+d.nstat()) += res;
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}
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void DynareVectorFunction::eval(const ConstVector& in, Vector& out)
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{
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check_for_eval(in, out);
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Vector xx(d.nexog());
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xx.zeros();
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d.evaluateSystem(out, in, xx);
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}
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