111 lines
3.1 KiB
C++
111 lines
3.1 KiB
C++
/*
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* Copyright (C) 2013-2017 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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#include <string>
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#include "Vector.hh"
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#include "static_dll.hh"
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#include <gsl/gsl_vector.h>
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#include <gsl/gsl_multiroots.h>
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class SteadyStateSolver
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{
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private:
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StaticModelDLL static_dll;
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size_t n_endo;
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Vector residual; // Will be discarded, only used by df()
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Matrix g1; // Temporary buffer for computing transpose
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struct params
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{
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StaticModelDLL *static_dll;
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const double *deepParams;
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size_t n_params;
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const double *x;
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size_t n_exo;
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Vector *residual;
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Matrix *g1;
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};
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static int static_f(const gsl_vector *yy, void *p, gsl_vector *F);
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static int static_df(const gsl_vector *yy, void *p, gsl_matrix *J);
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static int static_fdf(const gsl_vector *yy, void *p, gsl_vector *F, gsl_matrix *J);
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const static double tolerance;
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const static size_t max_iterations = 1000;
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public:
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class SteadyStateException
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{
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public:
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std::string message;
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SteadyStateException(const std::string &message_arg) : message(message_arg)
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{
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}
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};
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SteadyStateSolver(const std::string &basename, size_t n_endo_arg);
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template <class Vec1, class Mat, class Vec2>
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void
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compute(Vec1 &steadyState, const Mat &Mx, const Vec2 &deepParams) throw (SteadyStateException)
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{
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assert(steadyState.getStride() == 1);
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assert(deepParams.getStride() == 1);
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assert(Mx.getLd() == Mx.getRows());
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assert(steadyState.getSize() == n_endo);
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gsl_vector_view ss = gsl_vector_view_array(steadyState.getData(), n_endo);
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params p = { &static_dll, deepParams.getData(), deepParams.getSize(), Mx.getData(), Mx.getCols(), &residual, &g1 };
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gsl_multiroot_function_fdf f = {&static_f, &static_df, &static_fdf,
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n_endo, &p};
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const gsl_multiroot_fdfsolver_type *T = gsl_multiroot_fdfsolver_hybridsj;
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gsl_multiroot_fdfsolver *s = gsl_multiroot_fdfsolver_alloc(T, n_endo);
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gsl_multiroot_fdfsolver_set(s, &f, &ss.vector);
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int status;
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size_t iter = 0;
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do
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{
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iter++;
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status = gsl_multiroot_fdfsolver_iterate(s);
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if (status)
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break;
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status = gsl_multiroot_test_residual(s->f, tolerance);
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}
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while (status == GSL_CONTINUE && iter < max_iterations);
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if (status != GSL_SUCCESS)
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throw SteadyStateException(std::string(gsl_strerror(status)));
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gsl_vector_memcpy(&ss.vector, gsl_multiroot_fdfsolver_root(s));
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gsl_multiroot_fdfsolver_free(s);
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}
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};
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