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preprocessor: add aux var/equation when var_model is of order > max lag of its variables in the model block

issue#70
Houtan Bastani 2016-11-25 17:15:13 +01:00 committed by Stéphane Adjemian (Charybdis)
parent f3e4a75aad
commit 3308f252c9
9 changed files with 252 additions and 39 deletions
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4
ComputingTasks.cc
View File

@ -183,9 +183,9 @@ VarModelStatement::VarModelStatement(const SymbolList &symbol_list_arg,
}
void
VarModelStatement::getVarModelNameAndVarList(map<string, SymbolList > &var_model_info)
VarModelStatement::getVarModelNameAndVarList(map<string, pair<SymbolList, int> > &var_model_info)
{
var_model_info[name] = symbol_list;
var_model_info[name] = make_pair(symbol_list, atoi(options_list.num_options.find("var.order")->second.c_str()));
}
void

2
ComputingTasks.hh
View File

@ -122,7 +122,7 @@ public:
const OptionsList &options_list_arg,
const string &name_arg,
const SymbolTable &symbol_table_arg);
void getVarModelNameAndVarList(map<string, SymbolList > &var_model_info);
void getVarModelNameAndVarList(map<string, pair<SymbolList, int> > &var_model_info);
virtual void checkPass(ModFileStructure &mod_file_struct, WarningConsolidation &warnings);
virtual void writeOutput(ostream &output, const string &basename, bool minimal_workspace) const;
void createVarModelMFunction(ostream &output, const map<string, set<int> > &var_expectation_functions_to_write) const;

61
DynamicModel.cc
View File

@ -3198,12 +3198,67 @@ DynamicModel::runTrendTest(const eval_context_t &eval_context)
}
void
DynamicModel::setVarExpectationIndices(map<string, SymbolList > var_model_info)
DynamicModel::setVarExpectationIndices(map<string, pair<SymbolList, int> > var_model_info)
{
for (size_t i = 0; i < equations.size(); i++)
equations[i]->setVarExpectationIndex(var_model_info);
}
void
DynamicModel::addEquationsForVar(map<string, pair<SymbolList, int> > var_model_info)
{
// List of endogenous variables and the minimum lag value that must exist in the model equations
map<string, int> var_endos_and_lags, model_endos_and_lags;
for (map<string, pair<SymbolList, int> >::const_iterator it = var_model_info.begin();
it != var_model_info.end(); it++)
for (size_t i = 0; i < equations.size(); i++)
if (equations[i]->isVarModelReferenced(it->first))
{
vector<string> symbol_list = it->second.first.get_symbols();
int order = it->second.second;
for (vector<string>::const_iterator it1 = symbol_list.begin();
it1 != symbol_list.end(); it1++)
if (order > 2)
if (var_endos_and_lags.find(*it1) != var_endos_and_lags.end())
var_endos_and_lags[*it1] = min(var_endos_and_lags[*it1], -1*order);
else
var_endos_and_lags[*it1] = -1*order;
break;
}
if (var_endos_and_lags.empty())
return;
// Ensure that the minimum lag value exists in the model equations. If not, add an equation for it
for (size_t i = 0; i < equations.size(); i++)
equations[i]->getEndosAndMaxLags(model_endos_and_lags);
int count = 0;
for (map<string, int>::const_iterator it = var_endos_and_lags.begin();
it != var_endos_and_lags.end(); it++)
{
map<string, int>::const_iterator it1 = model_endos_and_lags.find(it->first);
if (it1 == model_endos_and_lags.end())
{
cerr << "ERROR: Variable used in var that is not used in the model: " << it->first << endl;
exit(EXIT_FAILURE);
}
else
if (it->second < it1->second)
{
int symb_id = symbol_table.getID(it->first);
expr_t newvar = AddVariable(symb_id, it->second);
expr_t auxvar = AddVariable(symbol_table.addVarModelEndoLagAuxiliaryVar(symb_id, it->second, newvar), 0);
addEquation(AddEqual(newvar, auxvar), -1);
addAuxEquation(AddEqual(newvar, auxvar));
count++;
}
}
if (count > 0)
cout << "Accounting for var_model lags not in model block: added " << count << " auxiliary variables and equations." << endl;
}
void
DynamicModel::computingPass(bool jacobianExo, bool hessian, bool thirdDerivatives, int paramsDerivsOrder,
const eval_context_t &eval_context, bool no_tmp_terms, bool block, bool use_dll,
@ -4594,8 +4649,8 @@ DynamicModel::substituteLeadLagInternal(aux_var_t type, bool deterministic_model
case avDiffForward:
cout << "forward vars";
break;
case avMultiplier:
cerr << "avMultiplier encountered: impossible case" << endl;
default:
cerr << "DynamicModel::substituteLeadLagInternal: impossible case" << endl;
exit(EXIT_FAILURE);
}
cout << ": added " << neweqs.size() << " auxiliary variables and equations." << endl;

4
DynamicModel.hh
View File

@ -248,7 +248,9 @@ public:
void getNonZeroHessianEquations(map<int, string> &eqs) const;
//! Set indices for var expectation in dynamic model file
void setVarExpectationIndices(map<string, SymbolList> var_model_info);
void setVarExpectationIndices(map<string, pair<SymbolList, int> > var_model_info);
//! Add aux equations (and aux variables) for variables declared in var_model at max order if they don't already exist
void addEquationsForVar(map<string, pair<SymbolList, int> > var_model_info);
//! Adds informations for simulation in a binary file
void Write_Inf_To_Bin_File_Block(const string &dynamic_basename, const string &bin_basename,

120
ExprNode.cc
View File

@ -278,6 +278,11 @@ ExprNode::isVariableNodeEqualTo(SymbolType type_arg, int variable_id, int lag_ar
return false;
}
void
ExprNode::getEndosAndMaxLags(map<string, int> &model_endos_and_lags) const
{
}
NumConstNode::NumConstNode(DataTree &datatree_arg, int id_arg) :
ExprNode(datatree_arg),
id(id_arg)
@ -472,6 +477,11 @@ NumConstNode::isVariableNodeEqualTo(SymbolType type_arg, int variable_id, int la
return false;
}
void
NumConstNode::getEndosAndMaxLags(map<string, int> &model_endos_and_lags) const
{
}
bool
NumConstNode::containsEndogenous(void) const
{
@ -509,10 +519,16 @@ NumConstNode::isInStaticForm() const
}
void
NumConstNode::setVarExpectationIndex(map<string, SymbolList> var_model_info)
NumConstNode::setVarExpectationIndex(map<string, pair<SymbolList, int> > &var_model_info)
{
}
bool
NumConstNode::isVarModelReferenced(const string &model_info_name) const
{
return false;
}
expr_t
NumConstNode::substituteStaticAuxiliaryVariable() const
{
@ -1508,10 +1524,27 @@ VariableNode::isInStaticForm() const
}
void
VariableNode::setVarExpectationIndex(map<string, SymbolList> var_model_info)
VariableNode::setVarExpectationIndex(map<string, pair<SymbolList, int> > &var_model_info)
{
}
bool
VariableNode::isVarModelReferenced(const string &model_info_name) const
{
return false;
}
void
VariableNode::getEndosAndMaxLags(map<string, int> &model_endos_and_lags) const
{
string varname = datatree.symbol_table.getName(symb_id);
if (type == eEndogenous)
if (model_endos_and_lags.find(varname) == model_endos_and_lags.end())
model_endos_and_lags[varname] = min(model_endos_and_lags[varname], lag);
else
model_endos_and_lags[varname] = lag;
}
UnaryOpNode::UnaryOpNode(DataTree &datatree_arg, UnaryOpcode op_code_arg, const expr_t arg_arg, int expectation_information_set_arg, int param1_symb_id_arg, int param2_symb_id_arg) :
ExprNode(datatree_arg),
arg(arg_arg),
@ -2585,11 +2618,23 @@ UnaryOpNode::isInStaticForm() const
}
void
UnaryOpNode::setVarExpectationIndex(map<string, SymbolList> var_model_info)
UnaryOpNode::setVarExpectationIndex(map<string, pair<SymbolList, int> > &var_model_info)
{
arg->setVarExpectationIndex(var_model_info);
}
bool
UnaryOpNode::isVarModelReferenced(const string &model_info_name) const
{
return arg->isVarModelReferenced(model_info_name);
}
void
UnaryOpNode::getEndosAndMaxLags(map<string, int> &model_endos_and_lags) const
{
arg->getEndosAndMaxLags(model_endos_and_lags);
}
expr_t
UnaryOpNode::substituteStaticAuxiliaryVariable() const
{
@ -3894,12 +3939,26 @@ BinaryOpNode::isInStaticForm() const
}
void
BinaryOpNode::setVarExpectationIndex(map<string, SymbolList> var_model_info)
BinaryOpNode::setVarExpectationIndex(map<string, pair<SymbolList, int> > &var_model_info)
{
arg1->setVarExpectationIndex(var_model_info);
arg2->setVarExpectationIndex(var_model_info);
}
bool
BinaryOpNode::isVarModelReferenced(const string &model_info_name) const
{
return arg1->isVarModelReferenced(model_info_name)
|| arg2->isVarModelReferenced(model_info_name);
}
void
BinaryOpNode::getEndosAndMaxLags(map<string, int> &model_endos_and_lags) const
{
arg1->getEndosAndMaxLags(model_endos_and_lags);
arg2->getEndosAndMaxLags(model_endos_and_lags);
}
expr_t
BinaryOpNode::substituteStaticAuxiliaryVariable() const
{
@ -4573,13 +4632,29 @@ TrinaryOpNode::isInStaticForm() const
}
void
TrinaryOpNode::setVarExpectationIndex(map<string, SymbolList> var_model_info)
TrinaryOpNode::setVarExpectationIndex(map<string, pair<SymbolList, int> > &var_model_info)
{
arg1->setVarExpectationIndex(var_model_info);
arg2->setVarExpectationIndex(var_model_info);
arg3->setVarExpectationIndex(var_model_info);
}
bool
TrinaryOpNode::isVarModelReferenced(const string &model_info_name) const
{
return arg1->isVarModelReferenced(model_info_name)
|| arg2->isVarModelReferenced(model_info_name)
|| arg3->isVarModelReferenced(model_info_name);
}
void
TrinaryOpNode::getEndosAndMaxLags(map<string, int> &model_endos_and_lags) const
{
arg1->getEndosAndMaxLags(model_endos_and_lags);
arg2->getEndosAndMaxLags(model_endos_and_lags);
arg3->getEndosAndMaxLags(model_endos_and_lags);
}
expr_t
TrinaryOpNode::substituteStaticAuxiliaryVariable() const
{
@ -4888,12 +4963,28 @@ AbstractExternalFunctionNode::isInStaticForm() const
}
void
AbstractExternalFunctionNode::setVarExpectationIndex(map<string, SymbolList> var_model_info)
AbstractExternalFunctionNode::setVarExpectationIndex(map<string, pair<SymbolList, int> > &var_model_info)
{
for (vector<expr_t>::const_iterator it = arguments.begin(); it != arguments.end(); it++)
(*it)->setVarExpectationIndex(var_model_info);
}
bool
AbstractExternalFunctionNode::isVarModelReferenced(const string &model_info_name) const
{
for (vector<expr_t>::const_iterator it = arguments.begin(); it != arguments.end(); ++it)
if (!(*it)->isVarModelReferenced(model_info_name))
return true;
return false;
}
void
AbstractExternalFunctionNode::getEndosAndMaxLags(map<string, int> &model_endos_and_lags) const
{
for (vector<expr_t>::const_iterator it = arguments.begin(); it != arguments.end(); ++it)
(*it)->getEndosAndMaxLags(model_endos_and_lags);
}
pair<int, expr_t>
AbstractExternalFunctionNode::normalizeEquation(int var_endo, vector<pair<int, pair<expr_t, expr_t> > > &List_of_Op_RHS) const
{
@ -6085,10 +6176,21 @@ VarExpectationNode::isInStaticForm() const
return false;
}
void
VarExpectationNode::setVarExpectationIndex(map<string, SymbolList> var_model_info)
bool
VarExpectationNode::isVarModelReferenced(const string &model_info_name) const
{
vector<string> vs = var_model_info[model_name].get_symbols();;
return model_name == model_info_name;
}
void
VarExpectationNode::getEndosAndMaxLags(map<string, int> &model_endos_and_lags) const
{
}
void
VarExpectationNode::setVarExpectationIndex(map<string, pair<SymbolList, int> > &var_model_info)
{
vector<string> vs = var_model_info[model_name].first.get_symbols();
yidx = find(vs.begin(), vs.end(), datatree.symbol_table.getName(symb_id)) - vs.begin();
}

38
ExprNode.hh
View File

@ -452,8 +452,14 @@ public:
//! Substitute auxiliary variables by their expression in static model
virtual expr_t substituteStaticAuxiliaryVariable() const = 0;
// Add index information for var_model variables
virtual void setVarExpectationIndex(map<string, SymbolList> var_model_info) = 0;
//! Add index information for var_model variables
virtual void setVarExpectationIndex(map<string, pair<SymbolList, int> > &var_model_info) = 0;
//! Returns true if model_info_name is referenced by a VarExpectationNode
virtual bool isVarModelReferenced(const string &model_info_name) const = 0;
//! Fills map
virtual void getEndosAndMaxLags(map<string, int> &model_endos_and_lags) const = 0;
};
//! Object used to compare two nodes (using their indexes)
@ -514,7 +520,9 @@ public:
virtual expr_t cloneDynamic(DataTree &dynamic_datatree) const;
virtual expr_t removeTrendLeadLag(map<int, expr_t> trend_symbols_map) const;
virtual bool isInStaticForm() const;
virtual void setVarExpectationIndex(map<string, SymbolList> var_model_info);
virtual void setVarExpectationIndex(map<string, pair<SymbolList, int> > &var_model_info);
virtual bool isVarModelReferenced(const string &model_info_name) const;
virtual void getEndosAndMaxLags(map<string, int> &model_endos_and_lags) const;
virtual expr_t substituteStaticAuxiliaryVariable() const;
};
@ -581,7 +589,9 @@ public:
virtual expr_t cloneDynamic(DataTree &dynamic_datatree) const;
virtual expr_t removeTrendLeadLag(map<int, expr_t> trend_symbols_map) const;
virtual bool isInStaticForm() const;
virtual void setVarExpectationIndex(map<string, SymbolList> var_model_info);
virtual void setVarExpectationIndex(map<string, pair<SymbolList, int> > &var_model_info);
virtual bool isVarModelReferenced(const string &model_info_name) const;
virtual void getEndosAndMaxLags(map<string, int> &model_endos_and_lags) const;
//! Substitute auxiliary variables by their expression in static model
virtual expr_t substituteStaticAuxiliaryVariable() const;
};
@ -668,7 +678,9 @@ public:
virtual expr_t cloneDynamic(DataTree &dynamic_datatree) const;
virtual expr_t removeTrendLeadLag(map<int, expr_t> trend_symbols_map) const;
virtual bool isInStaticForm() const;
virtual void setVarExpectationIndex(map<string, SymbolList> var_model_info);
virtual void setVarExpectationIndex(map<string, pair<SymbolList, int> > &var_model_info);
virtual bool isVarModelReferenced(const string &model_info_name) const;
virtual void getEndosAndMaxLags(map<string, int> &model_endos_and_lags) const;
//! Substitute auxiliary variables by their expression in static model
virtual expr_t substituteStaticAuxiliaryVariable() const;
};
@ -774,7 +786,9 @@ public:
//! Returns the non-zero hand-side of an equation (that must have a hand side equal to zero)
expr_t getNonZeroPartofEquation() const;
virtual bool isInStaticForm() const;
virtual void setVarExpectationIndex(map<string, SymbolList> var_model_info);
virtual void setVarExpectationIndex(map<string, pair<SymbolList, int> > &var_model_info);
virtual bool isVarModelReferenced(const string &model_info_name) const;
virtual void getEndosAndMaxLags(map<string, int> &model_endos_and_lags) const;
//! Substitute auxiliary variables by their expression in static model
virtual expr_t substituteStaticAuxiliaryVariable() const;
//! Substitute auxiliary variables by their expression in static model auxiliary variable definition
@ -850,7 +864,9 @@ public:
virtual expr_t cloneDynamic(DataTree &dynamic_datatree) const;
virtual expr_t removeTrendLeadLag(map<int, expr_t> trend_symbols_map) const;
virtual bool isInStaticForm() const;
virtual void setVarExpectationIndex(map<string, SymbolList> var_model_info);
virtual void setVarExpectationIndex(map<string, pair<SymbolList, int> > &var_model_info);
virtual bool isVarModelReferenced(const string &model_info_name) const;
virtual void getEndosAndMaxLags(map<string, int> &model_endos_and_lags) const;
//! Substitute auxiliary variables by their expression in static model
virtual expr_t substituteStaticAuxiliaryVariable() const;
};
@ -933,7 +949,9 @@ public:
virtual expr_t cloneDynamic(DataTree &dynamic_datatree) const = 0;
virtual expr_t removeTrendLeadLag(map<int, expr_t> trend_symbols_map) const;
virtual bool isInStaticForm() const;
virtual void setVarExpectationIndex(map<string, SymbolList> var_model_info);
virtual void setVarExpectationIndex(map<string, pair<SymbolList, int> > &var_model_info);
virtual bool isVarModelReferenced(const string &model_info_name) const;
virtual void getEndosAndMaxLags(map<string, int> &model_endos_and_lags) const;
//! Substitute auxiliary variables by their expression in static model
virtual expr_t substituteStaticAuxiliaryVariable() const;
};
@ -1100,7 +1118,9 @@ public:
virtual expr_t detrend(int symb_id, bool log_trend, expr_t trend) const;
virtual expr_t removeTrendLeadLag(map<int, expr_t> trend_symbols_map) const;
virtual bool isInStaticForm() const;
virtual void setVarExpectationIndex(map<string, SymbolList> var_model_info);
virtual void setVarExpectationIndex(map<string, pair<SymbolList, int> > &var_model_info);
virtual bool isVarModelReferenced(const string &model_info_name) const;
virtual void getEndosAndMaxLags(map<string, int> &model_endos_and_lags) const;
virtual expr_t substituteStaticAuxiliaryVariable() const;
};

30
ModFile.cc
View File

@ -335,6 +335,23 @@ ModFile::transformPass(bool nostrict, bool compute_xrefs)
}
}
// Var Model
map<string, pair<SymbolList, int> > var_model_info;
for (vector<Statement *>::const_iterator it = statements.begin();
it != statements.end(); it++)
{
VarModelStatement *vms = dynamic_cast<VarModelStatement *>(*it);
if (vms != NULL)
vms->getVarModelNameAndVarList(var_model_info);
}
if (!var_model_info.empty())
{
dynamic_model.setVarExpectationIndices(var_model_info);
dynamic_model.addEquationsForVar(var_model_info);
}
dynamic_model.fillVarExpectationFunctionsToWrite();
if (symbol_table.predeterminedNbr() > 0)
dynamic_model.transformPredeterminedVariables();
@ -411,19 +428,6 @@ ModFile::transformPass(bool nostrict, bool compute_xrefs)
exit(EXIT_FAILURE);
}
// Var Model
map<string, SymbolList > var_model_info;
for (vector<Statement *>::const_iterator it = statements.begin();
it != statements.end(); it++)
{
VarModelStatement *vms = dynamic_cast<VarModelStatement *>(*it);
if (vms != NULL)
vms->getVarModelNameAndVarList(var_model_info);
}
if (!var_model_info.empty())
dynamic_model.setVarExpectationIndices(var_model_info);
dynamic_model.fillVarExpectationFunctionsToWrite();
// Freeze the symbol table
symbol_table.freeze();

26
SymbolTable.cc
View File

@ -352,6 +352,7 @@ SymbolTable::writeOutput(ostream &output) const throw (NotYetFrozenException)
break;
case avEndoLag:
case avExoLag:
case avVarModel:
output << "M_.aux_vars(" << i+1 << ").orig_index = " << getTypeSpecificID(aux_vars[i].get_orig_symb_id())+1 << ";" << endl
<< "M_.aux_vars(" << i+1 << ").orig_lead_lag = " << aux_vars[i].get_orig_lead_lag() << ";" << endl;
break;
@ -472,6 +473,7 @@ SymbolTable::writeCOutput(ostream &output) const throw (NotYetFrozenException)
break;
case avEndoLag:
case avExoLag:
case avVarModel:
output << "av[" << i << "].orig_index = " << getTypeSpecificID(aux_vars[i].get_orig_symb_id()) << ";" << endl
<< "av[" << i << "].orig_lead_lag = " << aux_vars[i].get_orig_lead_lag() << ";" << endl;
break;
@ -564,6 +566,7 @@ SymbolTable::writeCCOutput(ostream &output) const throw (NotYetFrozenException)
break;
case avEndoLag:
case avExoLag:
case avVarModel:
output << "av" << i << ".orig_index = " << getTypeSpecificID(aux_vars[i].get_orig_symb_id()) << ";" << endl
<< "av" << i << ".orig_lead_lag = " << aux_vars[i].get_orig_lead_lag() << ";" << endl;
break;
@ -683,6 +686,28 @@ SymbolTable::addExpectationAuxiliaryVar(int information_set, int index, expr_t e
return symb_id;
}
int
SymbolTable::addVarModelEndoLagAuxiliaryVar(int orig_symb_id, int orig_lead_lag, expr_t expr_arg) throw (AlreadyDeclaredException, FrozenException)
{
int symb_id;
ostringstream varname;
varname << "AUX_VARMODEL_" << orig_symb_id << "_" << -orig_lead_lag;
try
{
symb_id = addSymbol(varname.str(), eEndogenous);
}
catch (AlreadyDeclaredException &e)
{
cerr << "ERROR: you should rename your variable called " << varname.str() << ", this name is internally used by Dynare" << endl;
exit(EXIT_FAILURE);
}
aux_vars.push_back(AuxVarInfo(symb_id, avVarModel, orig_symb_id, orig_lead_lag, 0, 0, expr_arg));
return symb_id;
}
int
SymbolTable::addMultiplierAuxiliaryVar(int index) throw (FrozenException)
{
@ -980,6 +1005,7 @@ SymbolTable::writeJuliaOutput(ostream &output) const throw (NotYetFrozenExceptio
break;
case avEndoLag:
case avExoLag:
case avVarModel:
output << getTypeSpecificID(aux_vars[i].get_orig_symb_id()) + 1 << ", "
<< aux_vars[i].get_orig_lead_lag() << ", NaN, NaN";
break;

6
SymbolTable.hh
View File

@ -42,7 +42,8 @@ enum aux_var_t
avExoLag = 3, //!< Substitute for exo lags >= 2
avExpectation = 4, //!< Substitute for Expectation Operator
avDiffForward = 5, //!< Substitute for the differentiate of a forward variable
avMultiplier = 6 //!< Multipliers for FOC of Ramsey Problem
avMultiplier = 6, //!< Multipliers for FOC of Ramsey Problem
avVarModel = 7 //!< Variable for var_model with order > abs(min_lag()) present in model
};
//! Information on some auxiliary variables
@ -251,6 +252,9 @@ public:
Throws an exception if match not found.
*/
int searchAuxiliaryVars(int orig_symb_id, int orig_lead_lag) const throw (SearchFailedException);
//! Adds an auxiliary variable when var_model is used with an order that is greater in absolute value
//! than the largest lag present in the model.
int addVarModelEndoLagAuxiliaryVar(int orig_symb_id, int orig_lead_lag, expr_t expr_arg) throw (AlreadyDeclaredException, FrozenException);
//! Returns the number of auxiliary variables
int AuxVarsSize() const { return aux_vars.size(); };
//! Retruns expr_node for an auxiliary variable