216 lines
6.0 KiB
C++
216 lines
6.0 KiB
C++
/*
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* Copyright (C) 2007-2009 Dynare Team
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*
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* This file is part of Dynare.
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*
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* Dynare is free software: you can redistribute it and/or modify
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* it under the terms of the GNU General Public License as published by
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* the Free Software Foundation, either version 3 of the License, or
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* (at your option) any later version.
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*
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* Dynare is distributed in the hope that it will be useful,
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* but WITHOUT ANY WARRANTY; without even the implied warranty of
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* MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the
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* GNU General Public License for more details.
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*
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* You should have received a copy of the GNU General Public License
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* along with Dynare. If not, see <http://www.gnu.org/licenses/>.
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*/
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/*
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* This mex file computes A*kron(B,C) or A*kron(B,B) without explicitly building kron(B,C) or kron(B,B), so that
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* one can consider large matrices A, B and/or C, and assuming that A is a the hessian of a dsge model
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* (dynare format). This mex file should not be used outside dr1.m.
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*/
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#include <string.h>
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#include "mex.h"
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#ifdef NO_OPENMP
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#define USE_OMP 0
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#define DEBUG_OMP 0
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#else
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#define USE_OMP 1
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#define DEBUG_OMP 0
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#include <omp.h>
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#endif
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#ifdef MWTYPES_NOT_DEFINED
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typedef int mwIndex;
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typedef int mwSize;
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#endif
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void sparse_hessian_times_B_kronecker_B(mwIndex *isparseA, mwIndex *jsparseA, double *vsparseA,
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double *B, double *D, mwSize mA, mwSize nA, mwSize mB, mwSize nB)
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{
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/*
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** Loop over the columns of kron(B,B) (or of the result matrix D).
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** This loop is splitted into two nested loops because we use the
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** symmetric pattern of the hessian matrix.
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*/
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#if USE_OMP
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#pragma omp parallel for num_threads(atoi(getenv("DYNARE_NUM_THREADS")))
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#endif
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for(int j1B=0; j1B<nB; j1B++)
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{
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#if DEBUG_OMP
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mexPrintf("%d thread number is %d (%d).\n",j1B,omp_get_thread_num(),omp_get_num_threads());
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#endif
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for(unsigned int j2B=j1B; j2B<nB; j2B++)
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{
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unsigned long int jj = j1B*nB+j2B;// column of kron(B,B) index.
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unsigned long int iv =0;
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unsigned int nz_in_column_ii_of_A = 0;
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unsigned int k1 = 0;
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unsigned int k2 = 0;
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/*
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** Loop over the rows of kron(B,B) (column jj).
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*/
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for(unsigned long int ii=0; ii<nA; ii++)
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{
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k1 = jsparseA[ii];
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k2 = jsparseA[ii+1];
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if (k1 < k2)// otherwise column ii of A does not have non zero elements (and there is nothing to compute).
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{
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++nz_in_column_ii_of_A;
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unsigned int i1B = (ii/mB);
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unsigned int i2B = (ii%mB);
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double bb = B[j1B*mB+i1B]*B[j2B*mB+i2B];
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/*
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** Loop over the non zero entries of A(:,ii).
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*/
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for(unsigned int k=k1; k<k2; k++)
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{
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unsigned int kk = isparseA[k];
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D[jj*mA+kk] = D[jj*mA+kk] + bb*vsparseA[iv];
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iv++;
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}
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}
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}
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if (nz_in_column_ii_of_A>0)
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{
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memcpy(&D[(j2B*nB+j1B)*mA],&D[jj*mA],mA*sizeof(double));
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}
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}
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}
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}
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void sparse_hessian_times_B_kronecker_C(mwIndex *isparseA, mwIndex *jsparseA, double *vsparseA,
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double *B, double *C, double *D,
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mwSize mA, mwSize nA, mwSize mB, mwSize nB, mwSize mC, mwSize nC)
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{
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/*
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** Loop over the columns of kron(B,B) (or of the result matrix D).
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*/
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#if USE_OMP
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#pragma omp parallel for num_threads(atoi(getenv("DYNARE_NUM_THREADS")))
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#endif
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for(long int jj=0; jj<nB*nC; jj++)// column of kron(B,C) index.
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{
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// Uncomment the following line to check if all processors are used.
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#if DEBUG_OMP
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mexPrintf("%d thread number is %d (%d).\n",jj,omp_get_thread_num(),omp_get_num_threads());
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#endif
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unsigned int jB = jj/nC;
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unsigned int jC = jj%nC;
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unsigned int k1 = 0;
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unsigned int k2 = 0;
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unsigned long int iv = 0;
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unsigned int nz_in_column_ii_of_A = 0;
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/*
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** Loop over the rows of kron(B,C) (column jj).
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*/
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for(unsigned long int ii=0; ii<nA; ii++)
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{
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k1 = jsparseA[ii];
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k2 = jsparseA[ii+1];
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if (k1 < k2)// otherwise column ii of A does not have non zero elements (and there is nothing to compute).
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{
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++nz_in_column_ii_of_A;
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unsigned int iC = (ii%mB);
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unsigned int iB = (ii/mB);
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double cb = C[jC*mC+iC]*B[jB*mB+iB];
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/*
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** Loop over the non zero entries of A(:,ii).
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*/
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for(unsigned int k=k1; k<k2; k++)
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{
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unsigned int kk = isparseA[k];
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D[jj*mA+kk] = D[jj*mA+kk] + cb*vsparseA[iv];
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iv++;
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}
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}
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}
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}
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}
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void mexFunction( int nlhs, mxArray *plhs[], int nrhs, const mxArray *prhs[] )
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{
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// Check input and output:
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if ( (nrhs > 3) || (nrhs <2) )
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{
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mexErrMsgTxt("Two or Three input arguments required.");
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}
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if (nlhs>1)
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{
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mexErrMsgTxt("Too many output arguments.");
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}
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if (!mxIsSparse(prhs[0]))
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{
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mexErrMsgTxt("First input must be a sparse (dynare) hessian matrix.");
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}
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// Get & Check dimensions (columns and rows):
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mwSize mA, nA, mB, nB, mC, nC;
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mA = mxGetM(prhs[0]);
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nA = mxGetN(prhs[0]);
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mB = mxGetM(prhs[1]);
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nB = mxGetN(prhs[1]);
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if (nrhs == 3)// A*kron(B,C) is to be computed.
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{
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mC = mxGetM(prhs[2]);
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nC = mxGetN(prhs[2]);
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if (mB*mC != nA)
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{
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mexErrMsgTxt("Input dimension error!");
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}
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}
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else// A*kron(B,B) is to be computed.
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{
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if (mB*mB != nA)
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{
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mexErrMsgTxt("Input dimension error!");
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}
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}
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// Get input matrices:
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double *B, *C;
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B = mxGetPr(prhs[1]);
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if (nrhs == 3)
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{
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C = mxGetPr(prhs[2]);
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}
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// Sparse (dynare) hessian matrix.
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mwIndex *isparseA = (mwIndex*)mxGetIr(prhs[0]);
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mwIndex *jsparseA = (mwIndex*)mxGetJc(prhs[0]);
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double *vsparseA = mxGetPr(prhs[0]);
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// Initialization of the ouput:
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double *D;
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if (nrhs == 3)
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{
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plhs[0] = mxCreateDoubleMatrix(mA,nB*nC,mxREAL);
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}
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else
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{
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plhs[0] = mxCreateDoubleMatrix(mA,nB*nB,mxREAL);
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}
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D = mxGetPr(plhs[0]);
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// Computational part:
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if (nrhs == 2)
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{
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sparse_hessian_times_B_kronecker_B(isparseA, jsparseA, vsparseA, B, D, mA, nA, mB, nB);
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}
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else
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{
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sparse_hessian_times_B_kronecker_C(isparseA, jsparseA, vsparseA, B, C, D, mA, nA, mB, nB, mC, nC);
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}
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}
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