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write third derivatives of static and dynamic functions more efficiently

issue#70
Houtan Bastani 2015-08-20 14:41:15 +02:00
parent 3419772879
commit 87ddbce87b
2 changed files with 94 additions and 70 deletions
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80
DynamicModel.cc
View File

@ -2221,18 +2221,30 @@ DynamicModel::writeDynamicModel(ostream &DynamicOutput, bool use_dll, bool julia
// Reference column number for the g3 matrix
int ref_col = id1 * hessianColsNbr + id2 * dynJacobianColsNbr + id3;
sparseHelper(3, third_derivatives_output, k, 0, output_type);
third_derivatives_output << "=" << eq + 1 << ";" << endl;
ostringstream for_sym;
if (output_type == oJuliaDynamicModel)
{
for_sym << "g3[" << eq + 1 << "," << ref_col + 1 << "]";
third_derivatives_output << " @inbounds " << for_sym.str() << " = ";
d3->writeOutput(third_derivatives_output, output_type, temporary_terms, tef_terms);
third_derivatives_output << endl;
}
else
{
sparseHelper(3, third_derivatives_output, k, 0, output_type);
third_derivatives_output << "=" << eq + 1 << ";" << endl;
sparseHelper(3, third_derivatives_output, k, 1, output_type);
third_derivatives_output << "=" << ref_col + 1 << ";" << endl;
sparseHelper(3, third_derivatives_output, k, 1, output_type);
third_derivatives_output << "=" << ref_col + 1 << ";" << endl;
sparseHelper(3, third_derivatives_output, k, 2, output_type);
third_derivatives_output << "=";
d3->writeOutput(third_derivatives_output, output_type, temporary_terms, tef_terms);
third_derivatives_output << ";" << endl;
sparseHelper(3, third_derivatives_output, k, 2, output_type);
third_derivatives_output << "=";
d3->writeOutput(third_derivatives_output, output_type, temporary_terms, tef_terms);
third_derivatives_output << ";" << endl;
}
// Compute the column numbers for the 5 other permutations of (id1,id2,id3) and store them in a set (to avoid duplicates if two indexes are equal)
// Compute the column numbers for the 5 other permutations of (id1,id2,id3)
// and store them in a set (to avoid duplicates if two indexes are equal)
set<int> cols;
cols.insert(id1 * hessianColsNbr + id3 * dynJacobianColsNbr + id2);
cols.insert(id2 * hessianColsNbr + id1 * dynJacobianColsNbr + id3);
@ -2243,20 +2255,24 @@ DynamicModel::writeDynamicModel(ostream &DynamicOutput, bool use_dll, bool julia
int k2 = 1; // Keeps the offset of the permutation relative to k
for (set<int>::iterator it2 = cols.begin(); it2 != cols.end(); it2++)
if (*it2 != ref_col)
{
sparseHelper(3, third_derivatives_output, k+k2, 0, output_type);
third_derivatives_output << "=" << eq + 1 << ";" << endl;
if (output_type == oJuliaDynamicModel)
third_derivatives_output << " @inbounds g3[" << eq + 1 << "," << *it2 + 1 << "] = "
<< for_sym.str() << endl;
else
{
sparseHelper(3, third_derivatives_output, k+k2, 0, output_type);
third_derivatives_output << "=" << eq + 1 << ";" << endl;
sparseHelper(3, third_derivatives_output, k+k2, 1, output_type);
third_derivatives_output << "=" << *it2 + 1 << ";" << endl;
sparseHelper(3, third_derivatives_output, k+k2, 1, output_type);
third_derivatives_output << "=" << *it2 + 1 << ";" << endl;
sparseHelper(3, third_derivatives_output, k+k2, 2, output_type);
third_derivatives_output << "=";
sparseHelper(3, third_derivatives_output, k, 2, output_type);
third_derivatives_output << ";" << endl;
sparseHelper(3, third_derivatives_output, k+k2, 2, output_type);
third_derivatives_output << "=";
sparseHelper(3, third_derivatives_output, k, 2, output_type);
third_derivatives_output << ";" << endl;
k2++;
}
k2++;
}
k += k2;
}
@ -2393,13 +2409,13 @@ DynamicModel::writeDynamicModel(ostream &DynamicOutput, bool use_dll, bool julia
<< " # g1: Array(Float64, " << nrows << ", " << dynJacobianColsNbr << ")" << endl
<< " # g2: spzeros(" << nrows << ", " << hessianColsNbr << ")" << endl
<< " #" << endl << endl
<< " dynamic!(y, x, params, steady_state, it_, residual, g1)" << endl
<< model_output.str()
<< " #" << endl
<< " # Hessian matrix" << endl
<< " #" << endl;
<< " dynamic!(y, x, params, steady_state, it_, residual, g1)" << endl;
if (second_derivatives.size())
DynamicOutput << hessian_output.str();
DynamicOutput << model_output.str()
<< " #" << endl
<< " # Hessian matrix" << endl
<< " #" << endl
<< hessian_output.str();
// Initialize g3 matrix
int ncols = hessianColsNbr * dynJacobianColsNbr;
@ -2416,15 +2432,13 @@ DynamicModel::writeDynamicModel(ostream &DynamicOutput, bool use_dll, bool julia
<< " # g2: spzeros(" << nrows << ", " << hessianColsNbr << ")" << endl
<< " # g3: spzeros(" << nrows << ", " << ncols << ")" << endl
<< " #" << endl << endl
<< " dynamic!(y, x, params, steady_state, it_, residual, g1, g2)" << endl
<< " #" << endl
<< " # Third order derivatives" << endl
<< " #" << endl;
<< " dynamic!(y, x, params, steady_state, it_, residual, g1, g2)" << endl;
if (third_derivatives.size())
DynamicOutput << model_output.str()
<< " v3 = zeros(" << NNZDerivatives[2] << ",3);" << endl
<< third_derivatives_output.str()
<< " g3 = sparse(v3(:,1),v3(:,2),v3(:,3)," << nrows << "," << ncols << ");" << endl;
<< " #" << endl
<< " # Third order derivatives" << endl
<< " #" << endl
<< third_derivatives_output.str();
DynamicOutput << "end" << endl;
}
}

84
StaticModel.cc
View File

@ -1188,6 +1188,7 @@ StaticModel::writeStaticModel(ostream &StaticOutput, bool use_dll, bool julia) c
ostringstream jacobian_output; // Used for storing jacobian equations
ostringstream hessian_output; // Used for storing Hessian equations
ostringstream third_derivatives_output; // Used for storing third order derivatives equations
ostringstream for_sym;
ExprNodeOutputType output_type = (use_dll ? oCStaticModel :
julia ? oJuliaStaticModel : oMatlabStaticModel);
@ -1233,7 +1234,6 @@ 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;
ostringstream for_sym;
if (output_type == oJuliaDynamicModel)
{
for_sym << "g2[" << eq + 1 << "," << col_nb + 1 << "]";
@ -1298,18 +1298,29 @@ StaticModel::writeStaticModel(ostream &StaticOutput, bool use_dll, bool julia) c
// Reference column number for the g3 matrix
int ref_col = id1 * hessianColsNbr + id2 * JacobianColsNbr + id3;
sparseHelper(3, third_derivatives_output, k, 0, output_type);
third_derivatives_output << "=" << eq + 1 << ";" << endl;
if (output_type == oJuliaDynamicModel)
{
for_sym << "g3[" << eq + 1 << "," << ref_col + 1 << "]";
third_derivatives_output << " @inbounds " << for_sym.str() << " = ";
d3->writeOutput(third_derivatives_output, output_type, temporary_terms, tef_terms);
third_derivatives_output << endl;
}
else
{
sparseHelper(3, third_derivatives_output, k, 0, output_type);
third_derivatives_output << "=" << eq + 1 << ";" << endl;
sparseHelper(3, third_derivatives_output, k, 1, output_type);
third_derivatives_output << "=" << ref_col + 1 << ";" << endl;
sparseHelper(3, third_derivatives_output, k, 1, output_type);
third_derivatives_output << "=" << ref_col + 1 << ";" << endl;
sparseHelper(3, third_derivatives_output, k, 2, output_type);
third_derivatives_output << "=";
d3->writeOutput(third_derivatives_output, output_type, temporary_terms, tef_terms);
third_derivatives_output << ";" << endl;
sparseHelper(3, third_derivatives_output, k, 2, output_type);
third_derivatives_output << "=";
d3->writeOutput(third_derivatives_output, output_type, temporary_terms, tef_terms);
third_derivatives_output << ";" << endl;
}
// Compute the column numbers for the 5 other permutations of (id1,id2,id3) and store them in a set (to avoid duplicates if two indexes are equal)
// Compute the column numbers for the 5 other permutations of (id1,id2,id3)
// and store them in a set (to avoid duplicates if two indexes are equal)
set<int> cols;
cols.insert(id1 * hessianColsNbr + id3 * JacobianColsNbr + id2);
cols.insert(id2 * hessianColsNbr + id1 * JacobianColsNbr + id3);
@ -1320,20 +1331,24 @@ StaticModel::writeStaticModel(ostream &StaticOutput, bool use_dll, bool julia) c
int k2 = 1; // Keeps the offset of the permutation relative to k
for (set<int>::iterator it2 = cols.begin(); it2 != cols.end(); it2++)
if (*it2 != ref_col)
{
sparseHelper(3, third_derivatives_output, k+k2, 0, output_type);
third_derivatives_output << "=" << eq + 1 << ";" << endl;
if (output_type == oJuliaDynamicModel)
third_derivatives_output << " @inbounds g3[" << eq + 1 << "," << *it2 + 1 << "] = "
<< for_sym.str() << endl;
else
{
sparseHelper(3, third_derivatives_output, k+k2, 0, output_type);
third_derivatives_output << "=" << eq + 1 << ";" << endl;
sparseHelper(3, third_derivatives_output, k+k2, 1, output_type);
third_derivatives_output << "=" << *it2 + 1 << ";" << endl;
sparseHelper(3, third_derivatives_output, k+k2, 1, output_type);
third_derivatives_output << "=" << *it2 + 1 << ";" << endl;
sparseHelper(3, third_derivatives_output, k+k2, 2, output_type);
third_derivatives_output << "=";
sparseHelper(3, third_derivatives_output, k, 2, output_type);
third_derivatives_output << ";" << endl;
sparseHelper(3, third_derivatives_output, k+k2, 2, output_type);
third_derivatives_output << "=";
sparseHelper(3, third_derivatives_output, k, 2, output_type);
third_derivatives_output << ";" << endl;
k2++;
}
k2++;
}
k += k2;
}
@ -1469,14 +1484,13 @@ StaticModel::writeStaticModel(ostream &StaticOutput, bool use_dll, bool julia) c
<< symbol_table.endo_nbr() << ")" << endl
<< " # g2: spzeros(" << equations.size() << ", " << g2ncols << ")" << endl
<< " #" << endl << endl
<< " static!(y, x, params, residual, g1)" << endl
<< model_output.str()
<< " #" << endl
<< " # Hessian matrix" << endl
<< " #" << endl;
<< " static!(y, x, params, residual, g1)" << endl;
if (second_derivatives.size())
StaticOutput << hessian_output.str();
StaticOutput << model_output.str()
<< " #" << endl
<< " # Hessian matrix" << endl
<< " #" << endl
<< hessian_output.str();
// Initialize g3 matrix
int ncols = hessianColsNbr * JacobianColsNbr;
@ -1494,17 +1508,13 @@ StaticModel::writeStaticModel(ostream &StaticOutput, bool use_dll, bool julia) c
<< " # g2: spzeros(" << equations.size() << ", " << g2ncols << ")" << endl
<< " # g3: spzeros(" << nrows << ", " << ncols << ")" << endl
<< " #" << endl << endl
<< " static!(y, x, params, residual, g1, g2)" << endl
<< " #" << endl
<< " # Third order derivatives" << endl
<< " #" << endl;
<< " static!(y, x, params, residual, g1, g2)" << endl;
if (third_derivatives.size())
StaticOutput << model_output.str()
<< " v3 = Array(Float64, " << NNZDerivatives[2] << ", 3)" << endl
<< third_derivatives_output.str()
<< " g3 = sparse(v3(:,1),v3(:,2),v3(:,3)," << nrows << "," << ncols << ");"
<< endl;
<< " #" << endl
<< " # Third order derivatives" << endl
<< " #" << endl
<< third_derivatives_output.str();
StaticOutput << "end" << endl;
}
}