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Added derivatives of dynamic model residuals with respect to parameters 

git-svn-id: https://www.dynare.org/svn/dynare/trunk@2902 ac1d8469-bf42-47a9-8791-bf33cf982152
issue#70
sebastien 2009-09-08 08:06:06 +00:00
parent 2e267b9afa
commit 155828bc48
2 changed files with 47 additions and 8 deletions
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46
DynamicModel.cc
View File

@ -2678,6 +2678,14 @@ DynamicModel::computeParamsDerivatives()
int param = it->second;
for (int eq = 0; eq < (int) equations.size(); eq++)
{
NodeID d1 = equations[eq]->getDerivative(param);
if (d1 == Zero)
continue;
residuals_params_derivatives[make_pair(eq, param)] = d1;
}
for (first_derivatives_type::const_iterator it2 = first_derivatives.begin();
it2 != first_derivatives.end(); it2++)
{
@ -2688,7 +2696,7 @@ DynamicModel::computeParamsDerivatives()
NodeID d2 = d1->getDerivative(param);
if (d2 == Zero)
continue;
params_derivatives[make_pair(eq, make_pair(var, param))] = d2;
jacobian_params_derivatives[make_pair(eq, make_pair(var, param))] = d2;
}
}
}
@ -2699,15 +2707,20 @@ DynamicModel::computeParamsDerivativesTemporaryTerms()
map<NodeID, int> reference_count;
params_derivs_temporary_terms.clear();
for (second_derivatives_type::iterator it = params_derivatives.begin();
it != params_derivatives.end(); it++)
for (first_derivatives_type::iterator it = residuals_params_derivatives.begin();
it != residuals_params_derivatives.end(); it++)
it->second->computeTemporaryTerms(reference_count, params_derivs_temporary_terms, true);
for (second_derivatives_type::iterator it = jacobian_params_derivatives.begin();
it != jacobian_params_derivatives.end(); it++)
it->second->computeTemporaryTerms(reference_count, params_derivs_temporary_terms, true);
}
void
DynamicModel::writeParamsDerivativesFile(const string &basename) const
{
if (!params_derivatives.size())
if (!residuals_params_derivatives.size()
&& !jacobian_params_derivatives.size())
return;
string filename = basename + "_params_derivs.m";
@ -2719,7 +2732,7 @@ DynamicModel::writeParamsDerivativesFile(const string &basename) const
cerr << "ERROR: Can't open file " << filename << " for writing" << endl;
exit(EXIT_FAILURE);
}
paramsDerivsFile << "function gp = " << basename << "_params_derivs(y, x, params, it_)" << endl
paramsDerivsFile << "function [rp, gp] = " << basename << "_params_derivs(y, x, params, it_)" << endl
<< "%" << endl
<< "% Warning : this file is generated automatically by Dynare" << endl
<< "% from model file (.mod)" << endl << endl;
@ -2727,11 +2740,30 @@ DynamicModel::writeParamsDerivativesFile(const string &basename) const
writeTemporaryTerms(params_derivs_temporary_terms, paramsDerivsFile, oMatlabDynamicModel);
// Write parameter derivative
paramsDerivsFile << "rp = zeros(" << equation_number() << ", "
<< symbol_table.param_nbr() << ");" << endl;
for (first_derivatives_type::const_iterator it = residuals_params_derivatives.begin();
it != residuals_params_derivatives.end(); it++)
{
int eq = it->first.first;
int param = it->first.second;
NodeID d1 = it->second;
int param_col = symbol_table.getTypeSpecificID(getSymbIDByDerivID(param)) + 1;
paramsDerivsFile << "rp(" << eq+1 << ", " << param_col << ") = ";
d1->writeOutput(paramsDerivsFile, oMatlabDynamicModel, params_derivs_temporary_terms);
paramsDerivsFile << ";" << endl;
}
// Write jacobian derivatives
paramsDerivsFile << "gp = zeros(" << equation_number() << ", " << dynJacobianColsNbr << ", "
<< symbol_table.param_nbr() << ");" << endl;
for (second_derivatives_type::const_iterator it = params_derivatives.begin();
it != params_derivatives.end(); it++)
for (second_derivatives_type::const_iterator it = jacobian_params_derivatives.begin();
it != jacobian_params_derivatives.end(); it++)
{
int eq = it->first.first;
int var = it->first.second.first;

9
DynamicModel.hh
View File

@ -60,12 +60,19 @@ private:
/*! Set by computeDerivID() and computeDynJacobianCols() */
int dynJacobianColsNbr;
//! Derivatives of the residuals w.r. to parameters
/*! First index is equation number, second is parameter.
Only non-null derivatives are stored in the map.
Parameter indices are those of the getDerivID() method.
*/
first_derivatives_type residuals_params_derivatives;
//! Derivatives of the jacobian w.r. to parameters
/*! First index is equation number, second is endo/exo/exo_det variable, and third is parameter.
Only non-null derivatives are stored in the map.
Variable and parameter indices are those of the getDerivID() method.
*/
second_derivatives_type params_derivatives;
second_derivatives_type jacobian_params_derivatives;
//! Temporary terms for the file containing parameters dervicatives
temporary_terms_type params_derivs_temporary_terms;