write Hessians of static and dynamic functions more efficiently
parent
1c27ff3cc4
commit
046bc44e8a
|
@ -2157,35 +2157,50 @@ DynamicModel::writeDynamicModel(ostream &DynamicOutput, bool use_dll, bool julia
|
|||
int col_nb = id1 * dynJacobianColsNbr + id2;
|
||||
int col_nb_sym = id2 * dynJacobianColsNbr + id1;
|
||||
|
||||
sparseHelper(2, hessian_output, k, 0, output_type);
|
||||
hessian_output << "=" << eq + 1 << ";" << endl;
|
||||
|
||||
sparseHelper(2, hessian_output, k, 1, output_type);
|
||||
hessian_output << "=" << col_nb + 1 << ";" << endl;
|
||||
|
||||
sparseHelper(2, hessian_output, k, 2, output_type);
|
||||
hessian_output << "=";
|
||||
d2->writeOutput(hessian_output, output_type, temporary_terms, tef_terms);
|
||||
hessian_output << ";" << endl;
|
||||
|
||||
k++;
|
||||
|
||||
// Treating symetric elements
|
||||
if (id1 != id2)
|
||||
ostringstream for_sym;
|
||||
if (output_type == oJuliaDynamicModel)
|
||||
{
|
||||
for_sym << "g1[" << eq + 1 << "," << col_nb + 1 << "]";
|
||||
hessian_output << " @inbounds " << for_sym.str() << " = ";
|
||||
d2->writeOutput(hessian_output, output_type, temporary_terms, tef_terms);
|
||||
hessian_output << endl;
|
||||
}
|
||||
else
|
||||
{
|
||||
sparseHelper(2, hessian_output, k, 0, output_type);
|
||||
hessian_output << "=" << eq + 1 << ";" << endl;
|
||||
|
||||
sparseHelper(2, hessian_output, k, 1, output_type);
|
||||
hessian_output << "=" << col_nb_sym + 1 << ";" << endl;
|
||||
hessian_output << "=" << col_nb + 1 << ";" << endl;
|
||||
|
||||
sparseHelper(2, hessian_output, k, 2, output_type);
|
||||
hessian_output << "=";
|
||||
sparseHelper(2, hessian_output, k-1, 2, output_type);
|
||||
d2->writeOutput(hessian_output, output_type, temporary_terms, tef_terms);
|
||||
hessian_output << ";" << endl;
|
||||
|
||||
k++;
|
||||
}
|
||||
|
||||
// Treating symetric elements
|
||||
if (id1 != id2)
|
||||
if (output_type == oJuliaDynamicModel)
|
||||
hessian_output << " @inbounds g1[" << eq + 1 << "," << col_nb_sym + 1 << "] = "
|
||||
<< for_sym.str() << endl;
|
||||
else
|
||||
{
|
||||
sparseHelper(2, hessian_output, k, 0, output_type);
|
||||
hessian_output << "=" << eq + 1 << ";" << endl;
|
||||
|
||||
sparseHelper(2, hessian_output, k, 1, output_type);
|
||||
hessian_output << "=" << col_nb_sym + 1 << ";" << endl;
|
||||
|
||||
sparseHelper(2, hessian_output, k, 2, output_type);
|
||||
hessian_output << "=";
|
||||
sparseHelper(2, hessian_output, k-1, 2, output_type);
|
||||
hessian_output << ";" << endl;
|
||||
|
||||
k++;
|
||||
}
|
||||
}
|
||||
|
||||
// Writing third derivatives
|
||||
|
@ -2379,14 +2394,12 @@ DynamicModel::writeDynamicModel(ostream &DynamicOutput, bool use_dll, bool julia
|
|||
<< " # g2: sparse zeros " << nrows << " x " << hessianColsNbr << endl
|
||||
<< " #" << endl << endl
|
||||
<< " dynamic!(y, x, params, steady_state, it_, residual, g1)" << endl
|
||||
<< model_output.str()
|
||||
<< " #" << endl
|
||||
<< " # Hessian matrix" << endl
|
||||
<< " #" << endl;
|
||||
if (second_derivatives.size())
|
||||
DynamicOutput << model_output.str()
|
||||
<< " v2 = zeros(" << NNZDerivatives[1] << ",3);" << endl
|
||||
<< hessian_output.str()
|
||||
<< " g2 = sparse(v2(:,1),v2(:,2),v2(:,3)," << nrows << "," << hessianColsNbr << ");" << endl;
|
||||
DynamicOutput << hessian_output.str();
|
||||
|
||||
// Initialize g3 matrix
|
||||
int ncols = hessianColsNbr * dynJacobianColsNbr;
|
||||
|
|
|
@ -1233,35 +1233,50 @@ StaticModel::writeStaticModel(ostream &StaticOutput, bool use_dll, bool julia) c
|
|||
int col_nb = tsid1*symbol_table.endo_nbr()+tsid2;
|
||||
int col_nb_sym = tsid2*symbol_table.endo_nbr()+tsid1;
|
||||
|
||||
sparseHelper(2, hessian_output, k, 0, output_type);
|
||||
hessian_output << "=" << eq + 1 << ";" << endl;
|
||||
|
||||
sparseHelper(2, hessian_output, k, 1, output_type);
|
||||
hessian_output << "=" << col_nb + 1 << ";" << endl;
|
||||
|
||||
sparseHelper(2, hessian_output, k, 2, output_type);
|
||||
hessian_output << "=";
|
||||
d2->writeOutput(hessian_output, output_type, temporary_terms, tef_terms);
|
||||
hessian_output << ";" << endl;
|
||||
|
||||
k++;
|
||||
|
||||
// Treating symetric elements
|
||||
if (symb_id1 != symb_id2)
|
||||
ostringstream for_sym;
|
||||
if (output_type == oJuliaDynamicModel)
|
||||
{
|
||||
for_sym << "g1[" << eq + 1 << "," << col_nb + 1 << "]";
|
||||
hessian_output << " @inbounds " << for_sym.str() << " = ";
|
||||
d2->writeOutput(hessian_output, output_type, temporary_terms, tef_terms);
|
||||
hessian_output << endl;
|
||||
}
|
||||
else
|
||||
{
|
||||
sparseHelper(2, hessian_output, k, 0, output_type);
|
||||
hessian_output << "=" << eq + 1 << ";" << endl;
|
||||
|
||||
sparseHelper(2, hessian_output, k, 1, output_type);
|
||||
hessian_output << "=" << col_nb_sym + 1 << ";" << endl;
|
||||
hessian_output << "=" << col_nb + 1 << ";" << endl;
|
||||
|
||||
sparseHelper(2, hessian_output, k, 2, output_type);
|
||||
hessian_output << "=";
|
||||
sparseHelper(2, hessian_output, k-1, 2, output_type);
|
||||
d2->writeOutput(hessian_output, output_type, temporary_terms, tef_terms);
|
||||
hessian_output << ";" << endl;
|
||||
|
||||
k++;
|
||||
}
|
||||
|
||||
// Treating symetric elements
|
||||
if (symb_id1 != symb_id2)
|
||||
if (output_type == oJuliaDynamicModel)
|
||||
hessian_output << " @inbounds g1[" << eq + 1 << "," << col_nb_sym + 1 << "] = "
|
||||
<< for_sym.str() << endl;
|
||||
else
|
||||
{
|
||||
sparseHelper(2, hessian_output, k, 0, output_type);
|
||||
hessian_output << "=" << eq + 1 << ";" << endl;
|
||||
|
||||
sparseHelper(2, hessian_output, k, 1, output_type);
|
||||
hessian_output << "=" << col_nb_sym + 1 << ";" << endl;
|
||||
|
||||
sparseHelper(2, hessian_output, k, 2, output_type);
|
||||
hessian_output << "=";
|
||||
sparseHelper(2, hessian_output, k-1, 2, output_type);
|
||||
hessian_output << ";" << endl;
|
||||
|
||||
k++;
|
||||
}
|
||||
}
|
||||
|
||||
// Writing third derivatives
|
||||
|
@ -1453,16 +1468,13 @@ StaticModel::writeStaticModel(ostream &StaticOutput, bool use_dll, bool julia) c
|
|||
<< " # g2: sparse zeros " << equations.size() << " x " << g2ncols << endl
|
||||
<< " #" << endl << endl
|
||||
<< " static!(y, x, params, residual, g1)" << endl
|
||||
<< model_output.str()
|
||||
<< " #" << endl
|
||||
<< " # Hessian matrix" << endl
|
||||
<< " #" << endl;
|
||||
|
||||
if (second_derivatives.size())
|
||||
StaticOutput << model_output.str()
|
||||
<< " v2 = zeros(" << NNZDerivatives[1] << ",3);" << endl
|
||||
<< hessian_output.str()
|
||||
<< " g2 = sparse(v2(:,1),v2(:,2),v2(:,3)," << equations.size() << ","
|
||||
<< g2ncols << ");" << endl;
|
||||
StaticOutput << hessian_output.str();
|
||||
|
||||
// Initialize g3 matrix
|
||||
int ncols = hessianColsNbr * JacobianColsNbr;
|
||||
|
@ -1486,7 +1498,7 @@ StaticModel::writeStaticModel(ostream &StaticOutput, bool use_dll, bool julia) c
|
|||
|
||||
if (third_derivatives.size())
|
||||
StaticOutput << model_output.str()
|
||||
<< " v3 = zeros(" << NNZDerivatives[2] << ",3);" << endl
|
||||
<< " v3 = Array(Float64, " << NNZDerivatives[2] << ", 3)" << endl
|
||||
<< third_derivatives_output.str()
|
||||
<< " g3 = sparse(v3(:,1),v3(:,2),v3(:,3)," << nrows << "," << ncols << ");"
|
||||
<< endl;
|
||||
|
|
Loading…
Reference in New Issue