384 lines
13 KiB
C++
384 lines
13 KiB
C++
/*
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* Copyright © 2004-2011 Ondra Kamenik
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* Copyright © 2019 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 <https://www.gnu.org/licenses/>.
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*/
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#include <sstream>
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#include <fstream>
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#include "dynare3.hh"
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#include "dynare_exception.hh"
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#include "planner_builder.hh"
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#include "forw_subst_builder.hh"
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#include "utils/cc/exception.hh"
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#include "parser/cc/parser_exception.hh"
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#include "parser/cc/atom_substitutions.hh"
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#include "../tl/cc/tl_exception.hh"
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#include "../kord/kord_exception.hh"
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/**************************************************************************************/
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/* DynareNameList class */
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/**************************************************************************************/
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std::vector<int>
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DynareNameList::selectIndices(const std::vector<std::string> &ns) const
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{
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std::vector<int> res;
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for (const auto &n : ns)
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{
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int j = 0;
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while (j < getNum() && n != getName(j))
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j++;
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if (j == getNum())
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throw DynareException(__FILE__, __LINE__,
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std::string("Couldn't find name for ") + n
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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 std::string &modname, int ord, double sstol, Journal &jr)
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: journal(jr), md(1), ss_tol(sstol)
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{
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std::ifstream f{modname};
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if (f.fail())
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throw DynareException(__FILE__, __LINE__, std::string{"Could not open model file "}+modname);
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std::ostringstream buffer;
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buffer << f.rdbuf();
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std::string contents{buffer.str()};
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try
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{
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model = std::make_unique<ogdyn::DynareParser>(contents, ord);
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}
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catch (const ogp::ParserException &pe)
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{
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// Compute line and column, given the offset in the file
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int line = 1;
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int col = 0;
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size_t i = 0;
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while (i < contents.length() && i < static_cast<size_t>(pe.offset()))
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{
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if (contents[i] == '\n')
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{
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line++;
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col = 0;
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}
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i++;
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col++;
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}
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throw DynareException(pe.message(), modname, line, col);
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}
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ysteady = std::make_unique<Vector>(model->getAtoms().ny());
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dnl = std::make_unique<DynareNameList>(*this);
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denl = std::make_unique<DynareExogNameList>(*this);
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dsnl = std::make_unique<DynareStateNameList>(*this, *dnl, *denl);
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fe = std::make_unique<ogp::FormulaEvaluator>(model->getParser());
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fde = std::make_unique<ogp::FormulaDerEvaluator>(model->getParser());
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writeModelInfo(journal);
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}
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Dynare::Dynare(const std::vector<std::string> &endo,
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const std::vector<std::string> &exo,
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const std::vector<std::string> &par,
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const std::string &equations, int ord,
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double sstol, Journal &jr)
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: journal(jr), md(1), ss_tol(sstol)
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{
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try
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{
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model = std::make_unique<ogdyn::DynareSPModel>(endo, exo, par, equations, ord);
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}
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catch (const ogp::ParserException &pe)
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{
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throw DynareException(pe.message(), pe.offset());
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}
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ysteady = std::make_unique<Vector>(model->getAtoms().ny());
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dnl = std::make_unique<DynareNameList>(*this);
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denl = std::make_unique<DynareExogNameList>(*this);
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dsnl = std::make_unique<DynareStateNameList>(*this, *dnl, *denl);
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fe = std::make_unique<ogp::FormulaEvaluator>(model->getParser());
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fde = std::make_unique<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), md(dynare.md), ss_tol(dynare.ss_tol)
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{
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model = dynare.model->clone();
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ysteady = std::make_unique<Vector>(*(dynare.ysteady));
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dnl = std::make_unique<DynareNameList>(*this);
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denl = std::make_unique<DynareExogNameList>(*this);
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dsnl = std::make_unique<DynareStateNameList>(*this, *dnl, *denl);
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fe = std::make_unique<ogp::FormulaEvaluator>(model->getParser());
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fde = std::make_unique<ogp::FormulaDerEvaluator>(model->getParser());
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}
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void
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Dynare::writeMat(mat_t *fd, const std::string &prefix) const
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{
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getAllEndoNames().writeMat(fd, prefix + "_vars");
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getAllEndoNames().writeMatIndices(fd, prefix);
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getStateNames().writeMat(fd, prefix + "_state_vars");
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getExogNames().writeMat(fd, prefix + "_shocks");
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getExogNames().writeMatIndices(fd, prefix);
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model->getVcov().writeMat(fd, prefix + "_vcov_exo");
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TwoDMatrix aux(1, 1);
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aux.get(0, 0) = nstat();
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aux.writeMat(fd, prefix + "_nstat");
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aux.get(0, 0) = npred();
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aux.writeMat(fd, prefix + "_npred");
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aux.get(0, 0) = nboth();
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aux.writeMat(fd, prefix + "_nboth");
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aux.get(0, 0) = nforw();
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aux.writeMat(fd, prefix + "_nforw");
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}
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void
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Dynare::writeDump(const std::string &basename) const
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{
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std::string fname(basename + ".dump");
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std::ofstream out(fname);
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model->dump_model(out);
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out.close();
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}
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void
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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_cast<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 yₜ=yₜ₊₁=yₜ₋₁, and given shocks xₜ
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void
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Dynare::evaluateSystem(Vector &out, const ConstVector &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, yₜ, y**ₜ₊₁ and at exogenous xₜ, all three
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vectors yym, yy, and yyp have the respective lengths of y*ₜ₋₁, yₜ, y**ₜ₊₁ */
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void
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Dynare::evaluateSystem(Vector &out, const ConstVector &yym, const ConstVector &yy,
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const ConstVector &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
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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
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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
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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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{
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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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{
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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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{
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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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{
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int j = dynare.model->getAtoms().y2outer_endo()[i];
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const std::string &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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{
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int j = dynare.model->getAtoms().y2outer_exo()[i];
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const std::string &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 inserting
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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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{
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auto t = std::make_unique<FSSparseTensor>(iord, atoms.ny()+atoms.nys()+atoms.nyss()+atoms.nexo(), atoms.ny());
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md.insert(std::move(t));
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}
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}
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void
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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
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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
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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
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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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