write third derivatives of static and dynamic functions more efficiently
parent
3419772879
commit
87ddbce87b
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@ -2221,18 +2221,30 @@ DynamicModel::writeDynamicModel(ostream &DynamicOutput, bool use_dll, bool julia
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// Reference column number for the g3 matrix
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int ref_col = id1 * hessianColsNbr + id2 * dynJacobianColsNbr + id3;
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sparseHelper(3, third_derivatives_output, k, 0, output_type);
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third_derivatives_output << "=" << eq + 1 << ";" << endl;
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ostringstream for_sym;
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if (output_type == oJuliaDynamicModel)
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{
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for_sym << "g3[" << eq + 1 << "," << ref_col + 1 << "]";
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third_derivatives_output << " @inbounds " << for_sym.str() << " = ";
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d3->writeOutput(third_derivatives_output, output_type, temporary_terms, tef_terms);
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third_derivatives_output << endl;
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}
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else
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{
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sparseHelper(3, third_derivatives_output, k, 0, output_type);
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third_derivatives_output << "=" << eq + 1 << ";" << endl;
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sparseHelper(3, third_derivatives_output, k, 1, output_type);
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third_derivatives_output << "=" << ref_col + 1 << ";" << endl;
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sparseHelper(3, third_derivatives_output, k, 1, output_type);
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third_derivatives_output << "=" << ref_col + 1 << ";" << endl;
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sparseHelper(3, third_derivatives_output, k, 2, output_type);
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third_derivatives_output << "=";
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d3->writeOutput(third_derivatives_output, output_type, temporary_terms, tef_terms);
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third_derivatives_output << ";" << endl;
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sparseHelper(3, third_derivatives_output, k, 2, output_type);
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third_derivatives_output << "=";
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d3->writeOutput(third_derivatives_output, output_type, temporary_terms, tef_terms);
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third_derivatives_output << ";" << endl;
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}
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// 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)
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// Compute the column numbers for the 5 other permutations of (id1,id2,id3)
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// and store them in a set (to avoid duplicates if two indexes are equal)
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set<int> cols;
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cols.insert(id1 * hessianColsNbr + id3 * dynJacobianColsNbr + id2);
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cols.insert(id2 * hessianColsNbr + id1 * dynJacobianColsNbr + id3);
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@ -2243,20 +2255,24 @@ DynamicModel::writeDynamicModel(ostream &DynamicOutput, bool use_dll, bool julia
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int k2 = 1; // Keeps the offset of the permutation relative to k
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for (set<int>::iterator it2 = cols.begin(); it2 != cols.end(); it2++)
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if (*it2 != ref_col)
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{
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sparseHelper(3, third_derivatives_output, k+k2, 0, output_type);
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third_derivatives_output << "=" << eq + 1 << ";" << endl;
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if (output_type == oJuliaDynamicModel)
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third_derivatives_output << " @inbounds g3[" << eq + 1 << "," << *it2 + 1 << "] = "
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<< for_sym.str() << endl;
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else
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{
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sparseHelper(3, third_derivatives_output, k+k2, 0, output_type);
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third_derivatives_output << "=" << eq + 1 << ";" << endl;
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sparseHelper(3, third_derivatives_output, k+k2, 1, output_type);
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third_derivatives_output << "=" << *it2 + 1 << ";" << endl;
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sparseHelper(3, third_derivatives_output, k+k2, 1, output_type);
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third_derivatives_output << "=" << *it2 + 1 << ";" << endl;
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sparseHelper(3, third_derivatives_output, k+k2, 2, output_type);
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third_derivatives_output << "=";
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sparseHelper(3, third_derivatives_output, k, 2, output_type);
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third_derivatives_output << ";" << endl;
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sparseHelper(3, third_derivatives_output, k+k2, 2, output_type);
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third_derivatives_output << "=";
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sparseHelper(3, third_derivatives_output, k, 2, output_type);
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third_derivatives_output << ";" << endl;
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k2++;
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}
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k2++;
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}
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k += k2;
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}
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@ -2393,13 +2409,13 @@ DynamicModel::writeDynamicModel(ostream &DynamicOutput, bool use_dll, bool julia
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<< " # g1: Array(Float64, " << nrows << ", " << dynJacobianColsNbr << ")" << endl
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<< " # g2: spzeros(" << nrows << ", " << hessianColsNbr << ")" << endl
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<< " #" << endl << endl
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<< " dynamic!(y, x, params, steady_state, it_, residual, g1)" << endl
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<< model_output.str()
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<< " #" << endl
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<< " # Hessian matrix" << endl
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<< " #" << endl;
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<< " dynamic!(y, x, params, steady_state, it_, residual, g1)" << endl;
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if (second_derivatives.size())
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DynamicOutput << hessian_output.str();
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DynamicOutput << model_output.str()
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<< " #" << endl
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<< " # Hessian matrix" << endl
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<< " #" << endl
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<< hessian_output.str();
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// Initialize g3 matrix
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int ncols = hessianColsNbr * dynJacobianColsNbr;
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@ -2416,15 +2432,13 @@ DynamicModel::writeDynamicModel(ostream &DynamicOutput, bool use_dll, bool julia
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<< " # g2: spzeros(" << nrows << ", " << hessianColsNbr << ")" << endl
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<< " # g3: spzeros(" << nrows << ", " << ncols << ")" << endl
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<< " #" << endl << endl
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<< " dynamic!(y, x, params, steady_state, it_, residual, g1, g2)" << endl
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<< " #" << endl
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<< " # Third order derivatives" << endl
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<< " #" << endl;
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<< " dynamic!(y, x, params, steady_state, it_, residual, g1, g2)" << endl;
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if (third_derivatives.size())
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DynamicOutput << model_output.str()
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<< " v3 = zeros(" << NNZDerivatives[2] << ",3);" << endl
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<< third_derivatives_output.str()
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<< " g3 = sparse(v3(:,1),v3(:,2),v3(:,3)," << nrows << "," << ncols << ");" << endl;
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<< " #" << endl
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<< " # Third order derivatives" << endl
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<< " #" << endl
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<< third_derivatives_output.str();
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DynamicOutput << "end" << endl;
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}
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}
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@ -1188,6 +1188,7 @@ StaticModel::writeStaticModel(ostream &StaticOutput, bool use_dll, bool julia) c
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ostringstream jacobian_output; // Used for storing jacobian equations
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ostringstream hessian_output; // Used for storing Hessian equations
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ostringstream third_derivatives_output; // Used for storing third order derivatives equations
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ostringstream for_sym;
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ExprNodeOutputType output_type = (use_dll ? oCStaticModel :
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julia ? oJuliaStaticModel : oMatlabStaticModel);
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@ -1233,7 +1234,6 @@ StaticModel::writeStaticModel(ostream &StaticOutput, bool use_dll, bool julia) c
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int col_nb = tsid1*symbol_table.endo_nbr()+tsid2;
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int col_nb_sym = tsid2*symbol_table.endo_nbr()+tsid1;
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ostringstream for_sym;
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if (output_type == oJuliaDynamicModel)
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{
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for_sym << "g2[" << eq + 1 << "," << col_nb + 1 << "]";
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@ -1298,18 +1298,29 @@ StaticModel::writeStaticModel(ostream &StaticOutput, bool use_dll, bool julia) c
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// Reference column number for the g3 matrix
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int ref_col = id1 * hessianColsNbr + id2 * JacobianColsNbr + id3;
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sparseHelper(3, third_derivatives_output, k, 0, output_type);
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third_derivatives_output << "=" << eq + 1 << ";" << endl;
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if (output_type == oJuliaDynamicModel)
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{
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for_sym << "g3[" << eq + 1 << "," << ref_col + 1 << "]";
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third_derivatives_output << " @inbounds " << for_sym.str() << " = ";
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d3->writeOutput(third_derivatives_output, output_type, temporary_terms, tef_terms);
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third_derivatives_output << endl;
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}
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else
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{
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sparseHelper(3, third_derivatives_output, k, 0, output_type);
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third_derivatives_output << "=" << eq + 1 << ";" << endl;
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sparseHelper(3, third_derivatives_output, k, 1, output_type);
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third_derivatives_output << "=" << ref_col + 1 << ";" << endl;
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sparseHelper(3, third_derivatives_output, k, 1, output_type);
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third_derivatives_output << "=" << ref_col + 1 << ";" << endl;
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sparseHelper(3, third_derivatives_output, k, 2, output_type);
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third_derivatives_output << "=";
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d3->writeOutput(third_derivatives_output, output_type, temporary_terms, tef_terms);
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third_derivatives_output << ";" << endl;
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sparseHelper(3, third_derivatives_output, k, 2, output_type);
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third_derivatives_output << "=";
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d3->writeOutput(third_derivatives_output, output_type, temporary_terms, tef_terms);
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third_derivatives_output << ";" << endl;
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}
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// 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)
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// Compute the column numbers for the 5 other permutations of (id1,id2,id3)
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// and store them in a set (to avoid duplicates if two indexes are equal)
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set<int> cols;
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cols.insert(id1 * hessianColsNbr + id3 * JacobianColsNbr + id2);
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cols.insert(id2 * hessianColsNbr + id1 * JacobianColsNbr + id3);
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@ -1320,20 +1331,24 @@ StaticModel::writeStaticModel(ostream &StaticOutput, bool use_dll, bool julia) c
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int k2 = 1; // Keeps the offset of the permutation relative to k
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for (set<int>::iterator it2 = cols.begin(); it2 != cols.end(); it2++)
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if (*it2 != ref_col)
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{
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sparseHelper(3, third_derivatives_output, k+k2, 0, output_type);
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third_derivatives_output << "=" << eq + 1 << ";" << endl;
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if (output_type == oJuliaDynamicModel)
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third_derivatives_output << " @inbounds g3[" << eq + 1 << "," << *it2 + 1 << "] = "
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<< for_sym.str() << endl;
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else
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{
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sparseHelper(3, third_derivatives_output, k+k2, 0, output_type);
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third_derivatives_output << "=" << eq + 1 << ";" << endl;
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sparseHelper(3, third_derivatives_output, k+k2, 1, output_type);
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third_derivatives_output << "=" << *it2 + 1 << ";" << endl;
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sparseHelper(3, third_derivatives_output, k+k2, 1, output_type);
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third_derivatives_output << "=" << *it2 + 1 << ";" << endl;
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sparseHelper(3, third_derivatives_output, k+k2, 2, output_type);
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third_derivatives_output << "=";
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sparseHelper(3, third_derivatives_output, k, 2, output_type);
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third_derivatives_output << ";" << endl;
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sparseHelper(3, third_derivatives_output, k+k2, 2, output_type);
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third_derivatives_output << "=";
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sparseHelper(3, third_derivatives_output, k, 2, output_type);
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third_derivatives_output << ";" << endl;
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k2++;
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}
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k2++;
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}
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k += k2;
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}
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@ -1469,14 +1484,13 @@ StaticModel::writeStaticModel(ostream &StaticOutput, bool use_dll, bool julia) c
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<< symbol_table.endo_nbr() << ")" << endl
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<< " # g2: spzeros(" << equations.size() << ", " << g2ncols << ")" << endl
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<< " #" << endl << endl
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<< " static!(y, x, params, residual, g1)" << endl
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<< model_output.str()
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<< " #" << endl
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<< " # Hessian matrix" << endl
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<< " #" << endl;
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<< " static!(y, x, params, residual, g1)" << endl;
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if (second_derivatives.size())
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StaticOutput << hessian_output.str();
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StaticOutput << model_output.str()
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<< " #" << endl
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<< " # Hessian matrix" << endl
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<< " #" << endl
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<< hessian_output.str();
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// Initialize g3 matrix
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int ncols = hessianColsNbr * JacobianColsNbr;
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@ -1494,17 +1508,13 @@ StaticModel::writeStaticModel(ostream &StaticOutput, bool use_dll, bool julia) c
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<< " # g2: spzeros(" << equations.size() << ", " << g2ncols << ")" << endl
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<< " # g3: spzeros(" << nrows << ", " << ncols << ")" << endl
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<< " #" << endl << endl
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<< " static!(y, x, params, residual, g1, g2)" << endl
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<< " #" << endl
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<< " # Third order derivatives" << endl
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<< " #" << endl;
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<< " static!(y, x, params, residual, g1, g2)" << endl;
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if (third_derivatives.size())
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StaticOutput << model_output.str()
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<< " v3 = Array(Float64, " << NNZDerivatives[2] << ", 3)" << endl
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<< third_derivatives_output.str()
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<< " g3 = sparse(v3(:,1),v3(:,2),v3(:,3)," << nrows << "," << ncols << ");"
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<< endl;
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<< " #" << endl
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<< " # Third order derivatives" << endl
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<< " #" << endl
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<< third_derivatives_output.str();
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StaticOutput << "end" << endl;
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}
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}
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