stepan
/
preprocessor
1
0
Fork 0
Code Issues Pull Requests Packages Projects Releases Wiki Activity

Added new routine for the dynamic model (only computes the jacobian).

issue#70
Stéphane Adjemian(Charybdis) 2018-03-02 11:27:52 +01:00
parent 7c9c83fba1
commit 84c6bf5daf
1 changed files with 48 additions and 28 deletions
Show Stats Download Patch File Download Diff File Expand all files Collapse all files

76
src/DynamicModel.cc
View File

@ -2494,27 +2494,29 @@ DynamicModel::writeDynamicModel(ostream &DynamicOutput, bool use_dll, bool julia
}
else
{
ostringstream comments;
comments << "## Function Arguments" << endl
<< endl
<< "## Input" << endl
<< " 1 y: Array{Float64, num_dynamic_vars, 1} Vector of endogenous variables in the order stored" << endl
<< " in model_.lead_lag_incidence; see the manual" << endl
<< " 2 x: Array{Float64, nperiods, length(model_.exo)} Matrix of exogenous variables (in declaration order)" << endl
<< " for all simulation periods" << endl
<< " 3 params: Array{Float64, length(model_.param), 1} Vector of parameter values in declaration order" << endl
<< " 4 steady_state:" << endl
<< " 5 it_: Int Time period for exogenous variables for which to evaluate the model" << endl
<< endl
<< "## Output" << endl
<< " 6 residual: Array(Float64, model_.eq_nbr, 1) Vector of residuals of the dynamic model equations in" << endl
<< " order of declaration of the equations." << endl;
ostringstream comments0;
comments0 << "## Function Arguments" << endl
<< endl
<< "## Input" << endl
<< " 1 y: Array{Float64, num_dynamic_vars, 1} Vector of endogenous variables in the order stored" << endl
<< " in model_.lead_lag_incidence; see the manual" << endl
<< " 2 x: Array{Float64, nperiods, length(model_.exo)} Matrix of exogenous variables (in declaration order)" << endl
<< " for all simulation periods" << endl
<< " 3 params: Array{Float64, length(model_.param), 1} Vector of parameter values in declaration order" << endl
<< " 4 steady_state:" << endl
<< " 5 it_: Int Time period for exogenous variables for which to evaluate the model" << endl
<< endl;
ostringstream comments1;
comments1 << comments0.str() << endl;
comments0 << "## Output" << endl
<< " 6 residual: Array(Float64, model_.eq_nbr, 1) Vector of residuals of the dynamic model equations in" << endl
<< " order of declaration of the equations." << endl;
DynamicOutput << "function dynamic!(y::Vector{Float64}, x::Matrix{Float64}, "
<< "params::Vector{Float64}," << endl
<< " steady_state::Vector{Float64}, it_::Int, "
<< "residual::Vector{Float64})" << endl
<< "#=" << endl << comments.str() << "=#" << endl
<< "#=" << endl << comments0.str() << "=#" << endl
<< " @assert length(y)+size(x, 2) == " << dynJacobianColsNbr << endl
<< " @assert length(params) == " << symbol_table.param_nbr() << endl
<< " @assert length(residual) == " << nrows << endl
@ -2530,11 +2532,11 @@ DynamicModel::writeDynamicModel(ostream &DynamicOutput, bool use_dll, bool julia
<< "residual::Vector{Float64}," << endl
<< " g1::Matrix{Float64})" << endl;
comments << " 7 g1: Array(Float64, model_.eq_nbr, num_dynamic_vars) Jacobian matrix of the dynamic model equations;" << endl
<< " rows: equations in order of declaration" << endl
<< " columns: variables in order stored in model_.lead_lag_incidence" << endl;
comments0 << " 7 g1: Array(Float64, model_.eq_nbr, num_dynamic_vars) Jacobian matrix of the dynamic model equations;" << endl
<< " rows: equations in order of declaration" << endl
<< " columns: variables in order stored in model_.lead_lag_incidence" << endl;
DynamicOutput << "#=" << endl << comments.str() << "=#" << endl
DynamicOutput << "#=" << endl << comments0.str() << "=#" << endl
<< " @assert size(g1) == (" << nrows << ", " << dynJacobianColsNbr << ")" << endl
<< " fill!(g1, 0.0)" << endl
<< " dynamic!(y, x, params, steady_state, it_, residual)" << endl
@ -2547,14 +2549,32 @@ DynamicModel::writeDynamicModel(ostream &DynamicOutput, bool use_dll, bool julia
<< "function dynamic!(y::Vector{Float64}, x::Matrix{Float64}, "
<< "params::Vector{Float64}," << endl
<< " steady_state::Vector{Float64}, it_::Int, "
<< "g1::Matrix{Float64})" << endl;
comments1 << " 6 g1: Array(Float64, model_.eq_nbr, num_dynamic_vars) Jacobian matrix of the dynamic model equations;" << endl
<< " rows: equations in order of declaration" << endl
<< " columns: variables in order stored in model_.lead_lag_incidence" << endl;
DynamicOutput << "#=" << endl << comments1.str() << "=#" << endl
<< " @assert size(g1) == (" << nrows << ", " << dynJacobianColsNbr << ")" << endl
<< " fill!(g1, 0.0)" << endl
<< model_local_vars_output.str()
<< " #" << endl
<< " # Jacobian matrix" << endl
<< " #" << endl
<< jacobian_output.str()
<< "end" << endl << endl
<< "function dynamic!(y::Vector{Float64}, x::Matrix{Float64}, "
<< "params::Vector{Float64}," << endl
<< " steady_state::Vector{Float64}, it_::Int, "
<< "residual::Vector{Float64}," << endl
<< " g1::Matrix{Float64}, g2::Matrix{Float64})" << endl;
comments << " 8 g2: spzeros(model_.eq_nbr, (num_dynamic_vars)^2) Hessian matrix of the dynamic model equations;" << endl
<< " rows: equations in order of declaration" << endl
<< " columns: variables in order stored in model_.lead_lag_incidence" << endl;
comments0 << " 8 g2: spzeros(model_.eq_nbr, (num_dynamic_vars)^2) Hessian matrix of the dynamic model equations;" << endl
<< " rows: equations in order of declaration" << endl
<< " columns: variables in order stored in model_.lead_lag_incidence" << endl;
DynamicOutput << "#=" << endl << comments.str() << "=#" << endl
DynamicOutput << "#=" << endl << comments0.str() << "=#" << endl
<< " @assert size(g2) == (" << nrows << ", " << hessianColsNbr << ")" << endl
<< " fill!(g2, 0.0)" << endl
<< " dynamic!(y, x, params, steady_state, it_, residual, g1)" << endl;
@ -2574,11 +2594,11 @@ DynamicModel::writeDynamicModel(ostream &DynamicOutput, bool use_dll, bool julia
<< "residual::Vector{Float64}," << endl
<< " g1::Matrix{Float64}, g2::Matrix{Float64}, g3::Matrix{Float64})" << endl;
comments << " 9 g3: spzeros(model_.eq_nbr, (num_dynamic_vars)^3) Third order derivative matrix of the dynamic model equations;" << endl
<< " rows: equations in order of declaration" << endl
<< " columns: variables in order stored in model_.lead_lag_incidence" << endl;
comments0 << " 9 g3: spzeros(model_.eq_nbr, (num_dynamic_vars)^3) Third order derivative matrix of the dynamic model equations;" << endl
<< " rows: equations in order of declaration" << endl
<< " columns: variables in order stored in model_.lead_lag_incidence" << endl;
DynamicOutput << "#=" << endl << comments.str() << "=#" << endl
DynamicOutput << "#=" << endl << comments0.str() << "=#" << endl
<< " @assert size(g3) == (" << nrows << ", " << ncols << ")" << endl
<< " fill!(g3, 0.0)" << endl
<< " dynamic!(y, x, params, steady_state, it_, residual, g1, g2)" << endl;