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derivative of hessian w.r.t. params.

issue#70
Houtan Bastani 2010-03-11 16:46:19 +01:00
parent 424849830c
commit 673bf79a5e
2 changed files with 46 additions and 1 deletions
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40
DynamicModel.cc
View File

@ -2656,6 +2656,20 @@ DynamicModel::computeParamsDerivatives()
continue;
jacobian_params_derivatives[make_pair(eq, make_pair(var, param))] = d2;
}
for (second_derivatives_type::const_iterator it2 = second_derivatives.begin();
it2 != second_derivatives.end(); it2++)
{
int eq = it2->first.first;
int var1 = it2->first.second.first;
int var2 = it2->first.second.second;
NodeID d1 = it2->second;
NodeID d2 = d1->getDerivative(param);
if (d2 == Zero)
continue;
hessian_params_derivatives[make_pair(eq, make_pair(var1, make_pair(var2, param)))] = d2;
}
}
}
@ -2678,7 +2692,8 @@ void
DynamicModel::writeParamsDerivativesFile(const string &basename) const
{
if (!residuals_params_derivatives.size()
&& !jacobian_params_derivatives.size())
&& !jacobian_params_derivatives.size()
&& !hessian_params_derivatives.size())
return;
string filename = basename + "_params_derivs.m";
@ -2735,6 +2750,29 @@ DynamicModel::writeParamsDerivativesFile(const string &basename) const
paramsDerivsFile << ";" << endl;
}
// Write hessian derivatives
paramsDerivsFile << "gp = zeros(" << equation_number() << ", " << dynJacobianColsNbr << ", "
<< dynJacobianColsNbr << ", " << symbol_table.param_nbr() << ");" << endl;
for (third_derivatives_type::const_iterator it = hessian_params_derivatives.begin();
it != hessian_params_derivatives.end(); it++)
{
int eq = it->first.first;
int var1 = it->first.second.first;
int var2 = it->first.second.second.first;
int param = it->first.second.second.second;
NodeID d2 = it->second;
int var1_col = getDynJacobianCol(var1) + 1;
int var2_col = getDynJacobianCol(var2) + 1;
int param_col = symbol_table.getTypeSpecificID(getSymbIDByDerivID(param)) + 1;
paramsDerivsFile << "hp(" << eq+1 << ", " << var1_col << ", " << var2_col << ", " << param_col << ") = ";
d2->writeOutput(paramsDerivsFile, oMatlabDynamicModel, params_derivs_temporary_terms);
paramsDerivsFile << ";" << endl;
}
paramsDerivsFile.close();
}

7
DynamicModel.hh
View File

@ -71,6 +71,13 @@ private:
*/
second_derivatives_type jacobian_params_derivatives;
//! Derivatives of the hessian w.r. to parameters
/*! First index is equation number, first and second are 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.
*/
third_derivatives_type hessian_params_derivatives;
//! Temporary terms for the file containing parameters dervicatives
temporary_terms_type params_derivs_temporary_terms;