Refactor code for writing derivatives w.r.t. parameters
Sébastien Villemot
parent
8da663a110
commit
9c3eeb7c8d
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@ -4756,344 +4756,6 @@ DynamicModel::testTrendDerivativesEqualToZero(const eval_context_t &eval_context
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}
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}
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void
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DynamicModel::writeParamsDerivativesFile(const string &basename, bool julia) const
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{
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if (!params_derivatives.size())
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return;
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ExprNodeOutputType output_type = (julia ? ExprNodeOutputType::juliaDynamicModel : ExprNodeOutputType::matlabDynamicModel);
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ostringstream tt_output; // Used for storing model temp vars and equations
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ostringstream rp_output; // 1st deriv. of residuals w.r.t. parameters
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ostringstream gp_output; // 1st deriv. of Jacobian w.r.t. parameters
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ostringstream rpp_output; // 2nd deriv of residuals w.r.t. parameters
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ostringstream gpp_output; // 2nd deriv of Jacobian w.r.t. parameters
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ostringstream hp_output; // 1st deriv. of Hessian w.r.t. parameters
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ostringstream g3p_output; // 1st deriv. of 3rd deriv. matrix w.r.t. parameters
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temporary_terms_t temp_term_union;
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deriv_node_temp_terms_t tef_terms;
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writeModelLocalVariableTemporaryTerms(temp_term_union, params_derivs_temporary_terms_idxs, tt_output, output_type, tef_terms);
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for (const auto &it : params_derivs_temporary_terms)
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writeTemporaryTerms(it.second, temp_term_union, params_derivs_temporary_terms_idxs, tt_output, output_type, tef_terms);
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for (const auto & [indices, d1] : params_derivatives.find({ 0, 1 })->second)
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{
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auto [eq, param] = vectorToTuple<2>(indices);
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int param_col = symbol_table.getTypeSpecificID(getSymbIDByDerivID(param)) + 1;
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rp_output << "rp" << LEFT_ARRAY_SUBSCRIPT(output_type) << eq+1 << ", " << param_col
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<< RIGHT_ARRAY_SUBSCRIPT(output_type) << " = ";
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d1->writeOutput(rp_output, output_type, temp_term_union, params_derivs_temporary_terms_idxs, tef_terms);
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rp_output << ";" << endl;
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}
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for (const auto & [indices, d2] : params_derivatives.find({ 1, 1 })->second)
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{
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auto [eq, var, param] = vectorToTuple<3>(indices);
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int var_col = getJacobianCol(var) + 1;
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int param_col = symbol_table.getTypeSpecificID(getSymbIDByDerivID(param)) + 1;
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gp_output << "gp" << LEFT_ARRAY_SUBSCRIPT(output_type) << eq+1 << ", " << var_col
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<< ", " << param_col << RIGHT_ARRAY_SUBSCRIPT(output_type) << " = ";
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d2->writeOutput(gp_output, output_type, temp_term_union, params_derivs_temporary_terms_idxs, tef_terms);
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gp_output << ";" << endl;
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}
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for (int i{1};
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const auto &[indices, d2] : params_derivatives.find({ 0, 2 })->second)
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{
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auto [eq, param1, param2] = vectorToTuple<3>(indices);
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int param1_col = symbol_table.getTypeSpecificID(getSymbIDByDerivID(param1)) + 1;
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int param2_col = symbol_table.getTypeSpecificID(getSymbIDByDerivID(param2)) + 1;
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rpp_output << "rpp" << LEFT_ARRAY_SUBSCRIPT(output_type) << i << ",1"
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<< RIGHT_ARRAY_SUBSCRIPT(output_type) << "=" << eq+1 << ";" << endl
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<< "rpp" << LEFT_ARRAY_SUBSCRIPT(output_type) << i << ",2"
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<< RIGHT_ARRAY_SUBSCRIPT(output_type) << "=" << param1_col << ";" << endl
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<< "rpp" << LEFT_ARRAY_SUBSCRIPT(output_type) << i << ",3"
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<< RIGHT_ARRAY_SUBSCRIPT(output_type) << "=" << param2_col << ";" << endl
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<< "rpp" << LEFT_ARRAY_SUBSCRIPT(output_type) << i << ",4"
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<< RIGHT_ARRAY_SUBSCRIPT(output_type) << "=";
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d2->writeOutput(rpp_output, output_type, temp_term_union, params_derivs_temporary_terms_idxs, tef_terms);
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rpp_output << ";" << endl;
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i++;
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if (param1 != param2)
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{
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// Treat symmetric elements
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rpp_output << "rpp" << LEFT_ARRAY_SUBSCRIPT(output_type) << i << ",1"
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<< RIGHT_ARRAY_SUBSCRIPT(output_type) << "=" << eq+1 << ";" << endl
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<< "rpp" << LEFT_ARRAY_SUBSCRIPT(output_type) << i << ",2"
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<< RIGHT_ARRAY_SUBSCRIPT(output_type) << "=" << param2_col << ";" << endl
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<< "rpp" << LEFT_ARRAY_SUBSCRIPT(output_type) << i << ",3"
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<< RIGHT_ARRAY_SUBSCRIPT(output_type) << "=" << param1_col << ";" << endl
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<< "rpp" << LEFT_ARRAY_SUBSCRIPT(output_type) << i << ",4"
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<< RIGHT_ARRAY_SUBSCRIPT(output_type)
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<< "=rpp" << LEFT_ARRAY_SUBSCRIPT(output_type) << i-1 << ",4"
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<< RIGHT_ARRAY_SUBSCRIPT(output_type) << ";" << endl;
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i++;
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}
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}
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for (int i{1};
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const auto &[indices, d2] : params_derivatives.find({ 1, 2 })->second)
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{
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auto [eq, var, param1, param2] = vectorToTuple<4>(indices);
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int var_col = getJacobianCol(var) + 1;
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int param1_col = symbol_table.getTypeSpecificID(getSymbIDByDerivID(param1)) + 1;
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int param2_col = symbol_table.getTypeSpecificID(getSymbIDByDerivID(param2)) + 1;
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gpp_output << "gpp" << LEFT_ARRAY_SUBSCRIPT(output_type) << i << ",1"
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<< RIGHT_ARRAY_SUBSCRIPT(output_type) << "=" << eq+1 << ";" << endl
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<< "gpp" << LEFT_ARRAY_SUBSCRIPT(output_type) << i << ",2"
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<< RIGHT_ARRAY_SUBSCRIPT(output_type) << "=" << var_col << ";" << endl
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<< "gpp" << LEFT_ARRAY_SUBSCRIPT(output_type) << i << ",3"
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<< RIGHT_ARRAY_SUBSCRIPT(output_type) << "=" << param1_col << ";" << endl
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<< "gpp" << LEFT_ARRAY_SUBSCRIPT(output_type) << i << ",4"
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<< RIGHT_ARRAY_SUBSCRIPT(output_type) << "=" << param2_col << ";" << endl
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<< "gpp" << LEFT_ARRAY_SUBSCRIPT(output_type) << i << ",5"
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<< RIGHT_ARRAY_SUBSCRIPT(output_type) << "=";
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d2->writeOutput(gpp_output, output_type, temp_term_union, params_derivs_temporary_terms_idxs, tef_terms);
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gpp_output << ";" << endl;
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i++;
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if (param1 != param2)
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{
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// Treat symmetric elements
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gpp_output << "gpp" << LEFT_ARRAY_SUBSCRIPT(output_type) << i << ",1"
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<< RIGHT_ARRAY_SUBSCRIPT(output_type) << "=" << eq+1 << ";" << endl
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<< "gpp" << LEFT_ARRAY_SUBSCRIPT(output_type) << i << ",2"
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<< RIGHT_ARRAY_SUBSCRIPT(output_type) << "=" << var_col << ";" << endl
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<< "gpp" << LEFT_ARRAY_SUBSCRIPT(output_type) << i << ",3"
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<< RIGHT_ARRAY_SUBSCRIPT(output_type) << "=" << param2_col << ";" << endl
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<< "gpp" << LEFT_ARRAY_SUBSCRIPT(output_type) << i << ",4"
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<< RIGHT_ARRAY_SUBSCRIPT(output_type) << "=" << param1_col << ";" << endl
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<< "gpp" << LEFT_ARRAY_SUBSCRIPT(output_type) << i << ",5"
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<< RIGHT_ARRAY_SUBSCRIPT(output_type)
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<< "=gpp" << LEFT_ARRAY_SUBSCRIPT(output_type) << i-1 << ",5"
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<< RIGHT_ARRAY_SUBSCRIPT(output_type) << ";" << endl;
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i++;
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}
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}
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for (int i{1};
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const auto &[indices, d2] : params_derivatives.find({ 2, 1 })->second)
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{
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auto [eq, var1, var2, param] = vectorToTuple<4>(indices);
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int var1_col = getJacobianCol(var1) + 1;
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int var2_col = getJacobianCol(var2) + 1;
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int param_col = symbol_table.getTypeSpecificID(getSymbIDByDerivID(param)) + 1;
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hp_output << "hp" << LEFT_ARRAY_SUBSCRIPT(output_type) << i << ",1"
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<< RIGHT_ARRAY_SUBSCRIPT(output_type) << "=" << eq+1 << ";" << endl
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<< "hp" << LEFT_ARRAY_SUBSCRIPT(output_type) << i << ",2"
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<< RIGHT_ARRAY_SUBSCRIPT(output_type) << "=" << var1_col << ";" << endl
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<< "hp" << LEFT_ARRAY_SUBSCRIPT(output_type) << i << ",3"
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<< RIGHT_ARRAY_SUBSCRIPT(output_type) << "=" << var2_col << ";" << endl
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<< "hp" << LEFT_ARRAY_SUBSCRIPT(output_type) << i << ",4"
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<< RIGHT_ARRAY_SUBSCRIPT(output_type) << "=" << param_col << ";" << endl
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<< "hp" << LEFT_ARRAY_SUBSCRIPT(output_type) << i << ",5"
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<< RIGHT_ARRAY_SUBSCRIPT(output_type) << "=";
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d2->writeOutput(hp_output, output_type, temp_term_union, params_derivs_temporary_terms_idxs, tef_terms);
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hp_output << ";" << endl;
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i++;
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if (var1 != var2)
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{
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// Treat symmetric elements
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hp_output << "hp" << LEFT_ARRAY_SUBSCRIPT(output_type) << i << ",1"
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<< RIGHT_ARRAY_SUBSCRIPT(output_type) << "=" << eq+1 << ";" << endl
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<< "hp" << LEFT_ARRAY_SUBSCRIPT(output_type) << i << ",2"
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<< RIGHT_ARRAY_SUBSCRIPT(output_type) << "=" << var2_col << ";" << endl
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<< "hp" << LEFT_ARRAY_SUBSCRIPT(output_type) << i << ",3"
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<< RIGHT_ARRAY_SUBSCRIPT(output_type) << "=" << var1_col << ";" << endl
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<< "hp" << LEFT_ARRAY_SUBSCRIPT(output_type) << i << ",4"
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<< RIGHT_ARRAY_SUBSCRIPT(output_type) << "=" << param_col << ";" << endl
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<< "hp" << LEFT_ARRAY_SUBSCRIPT(output_type) << i << ",5"
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<< RIGHT_ARRAY_SUBSCRIPT(output_type)
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<< "=hp" << LEFT_ARRAY_SUBSCRIPT(output_type) << i-1 << ",5"
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<< RIGHT_ARRAY_SUBSCRIPT(output_type) << ";" << endl;
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i++;
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}
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}
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for (int i{1};
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const auto &[indices, d2] : params_derivatives.find({ 3, 1 })->second)
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{
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auto [eq, var1, var2, var3, param] = vectorToTuple<5>(indices);
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int var1_col = getJacobianCol(var1) + 1;
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int var2_col = getJacobianCol(var2) + 1;
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int var3_col = getJacobianCol(var3) + 1;
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int param_col = symbol_table.getTypeSpecificID(getSymbIDByDerivID(param)) + 1;
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g3p_output << "g3p" << LEFT_ARRAY_SUBSCRIPT(output_type) << i << ",1"
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<< RIGHT_ARRAY_SUBSCRIPT(output_type) << "=" << eq+1 << ";" << endl
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<< "g3p" << LEFT_ARRAY_SUBSCRIPT(output_type) << i << ",2"
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<< RIGHT_ARRAY_SUBSCRIPT(output_type) << "=" << var1_col << ";" << endl
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<< "g3p" << LEFT_ARRAY_SUBSCRIPT(output_type) << i << ",3"
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<< RIGHT_ARRAY_SUBSCRIPT(output_type) << "=" << var2_col << ";" << endl
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<< "g3p" << LEFT_ARRAY_SUBSCRIPT(output_type) << i << ",4"
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<< RIGHT_ARRAY_SUBSCRIPT(output_type) << "=" << var3_col << ";" << endl
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<< "g3p" << LEFT_ARRAY_SUBSCRIPT(output_type) << i << ",5"
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<< RIGHT_ARRAY_SUBSCRIPT(output_type) << "=" << param_col << ";" << endl
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<< "g3p" << LEFT_ARRAY_SUBSCRIPT(output_type) << i << ",6"
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<< RIGHT_ARRAY_SUBSCRIPT(output_type) << "=";
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d2->writeOutput(g3p_output, output_type, temp_term_union, params_derivs_temporary_terms_idxs, tef_terms);
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g3p_output << ";" << endl;
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i++;
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}
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string filename = julia ? basename + "DynamicParamsDerivs.jl" : packageDir(basename) + "/dynamic_params_derivs.m";
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ofstream paramsDerivsFile{filename, ios::out | ios::binary};
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if (!paramsDerivsFile.is_open())
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{
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cerr << "ERROR: Can't open file " << filename << " for writing" << endl;
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exit(EXIT_FAILURE);
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}
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if (!julia)
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{
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// Check that we don't have more than 32 nested parenthesis because Matlab does not suppor this. See Issue #1201
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map<string, string> tmp_paren_vars;
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bool message_printed = false;
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fixNestedParenthesis(tt_output, tmp_paren_vars, message_printed);
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fixNestedParenthesis(rp_output, tmp_paren_vars, message_printed);
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fixNestedParenthesis(gp_output, tmp_paren_vars, message_printed);
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fixNestedParenthesis(rpp_output, tmp_paren_vars, message_printed);
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fixNestedParenthesis(gpp_output, tmp_paren_vars, message_printed);
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fixNestedParenthesis(hp_output, tmp_paren_vars, message_printed);
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fixNestedParenthesis(g3p_output, tmp_paren_vars, message_printed);
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paramsDerivsFile << "function [rp, gp, rpp, gpp, hp, g3p] = dynamic_params_derivs(y, x, params, steady_state, it_, ss_param_deriv, ss_param_2nd_deriv)" << endl
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<< "%" << endl
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<< "% Compute the derivatives of the dynamic model with respect to the parameters" << endl
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<< "% Inputs :" << endl
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<< "% y [#dynamic variables by 1] double vector of endogenous variables in the order stored" << endl
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<< "% in M_.lead_lag_incidence; see the Manual" << endl
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<< "% x [nperiods by M_.exo_nbr] double matrix of exogenous variables (in declaration order)" << endl
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<< "% for all simulation periods" << endl
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<< "% params [M_.param_nbr by 1] double vector of parameter values in declaration order" << endl
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<< "% steady_state [M_.endo_nbr by 1] double vector of steady state values" << endl
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<< "% it_ scalar double time period for exogenous variables for which to evaluate the model" << endl
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<< "% ss_param_deriv [M_.eq_nbr by #params] Jacobian matrix of the steady states values with respect to the parameters" << endl
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<< "% ss_param_2nd_deriv [M_.eq_nbr by #params by #params] Hessian matrix of the steady states values with respect to the parameters" << endl
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<< "%" << endl
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<< "% Outputs:" << endl
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<< "% rp [M_.eq_nbr by #params] double Jacobian matrix of dynamic model equations with respect to parameters " << endl
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<< "% Dynare may prepend or append auxiliary equations, see M_.aux_vars" << endl
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<< "% gp [M_.endo_nbr by #dynamic variables by #params] double Derivative of the Jacobian matrix of the dynamic model equations with respect to the parameters" << endl
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<< "% rows: equations in order of declaration" << endl
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<< "% columns: variables in order stored in M_.lead_lag_incidence" << endl
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<< "% rpp [#second_order_residual_terms by 4] double Hessian matrix of second derivatives of residuals with respect to parameters;" << endl
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<< "% rows: respective derivative term" << endl
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<< "% 1st column: equation number of the term appearing" << endl
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<< "% 2nd column: number of the first parameter in derivative" << endl
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<< "% 3rd column: number of the second parameter in derivative" << endl
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<< "% 4th column: value of the Hessian term" << endl
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<< "% gpp [#second_order_Jacobian_terms by 5] double Hessian matrix of second derivatives of the Jacobian with respect to the parameters;" << endl
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<< "% rows: respective derivative term" << endl
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<< "% 1st column: equation number of the term appearing" << endl
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<< "% 2nd column: column number of variable in Jacobian of the dynamic model" << endl
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<< "% 3rd column: number of the first parameter in derivative" << endl
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<< "% 4th column: number of the second parameter in derivative" << endl
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<< "% 5th column: value of the Hessian term" << endl
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<< "% hp [#first_order_Hessian_terms by 5] double Jacobian matrix of derivatives of the dynamic Hessian with respect to the parameters;" << endl
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<< "% rows: respective derivative term" << endl
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<< "% 1st column: equation number of the term appearing" << endl
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<< "% 2nd column: column number of first variable in Hessian of the dynamic model" << endl
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<< "% 3rd column: column number of second variable in Hessian of the dynamic model" << endl
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<< "% 4th column: number of the parameter in derivative" << endl
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<< "% 5th column: value of the Hessian term" << endl
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<< "% g3p [#first_order_g3_terms by 6] double Jacobian matrix of derivatives of g3 (dynamic 3rd derivs) with respect to the parameters;" << endl
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<< "% rows: respective derivative term" << endl
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<< "% 1st column: equation number of the term appearing" << endl
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<< "% 2nd column: column number of first variable in g3 of the dynamic model" << endl
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<< "% 3rd column: column number of second variable in g3 of the dynamic model" << endl
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<< "% 4th column: column number of third variable in g3 of the dynamic model" << endl
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<< "% 5th column: number of the parameter in derivative" << endl
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<< "% 6th column: value of the Hessian term" << endl
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<< "%" << endl
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<< "%" << endl
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<< "% Warning : this file is generated automatically by Dynare" << endl
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<< "% from model file (.mod)" << endl << endl
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<< "T = NaN(" << params_derivs_temporary_terms_idxs.size() << ",1);" << endl
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<< tt_output.str()
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<< "rp = zeros(" << equations.size() << ", "
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<< symbol_table.param_nbr() << ");" << endl
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<< rp_output.str()
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<< "gp = zeros(" << equations.size() << ", " << getJacobianColsNbr() << ", " << symbol_table.param_nbr() << ");" << endl
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<< gp_output.str()
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<< "if nargout >= 3" << endl
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<< "rpp = zeros(" << params_derivatives.find({ 0, 2 })->second.size() << ",4);" << endl
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<< rpp_output.str()
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<< "gpp = zeros(" << params_derivatives.find({ 1, 2 })->second.size() << ",5);" << endl
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<< gpp_output.str()
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<< "end" << endl
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<< "if nargout >= 5" << endl
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<< "hp = zeros(" << params_derivatives.find({ 2, 1 })->second.size() << ",5);" << endl
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<< hp_output.str()
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<< "end" << endl
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<< "if nargout >= 6" << endl
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<< "g3p = zeros(" << params_derivatives.find({ 3, 1 })->second.size() << ",6);" << endl
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<< g3p_output.str()
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<< "end" << endl
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<< "end" << endl;
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}
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else
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paramsDerivsFile << "module " << basename << "DynamicParamsDerivs" << endl
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<< "#" << endl
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<< "# NB: this file was automatically generated by Dynare" << endl
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<< "# from " << basename << ".mod" << endl
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<< "#" << endl
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<< "export params_derivs" << endl << endl
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<< "function params_derivs(y, x, paramssteady_state, it_, "
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<< "ss_param_deriv, ss_param_2nd_deriv)" << endl
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<< "@inbounds begin" << endl
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<< tt_output.str()
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<< "end" << endl
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<< "rp = zeros(" << equations.size() << ", "
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<< symbol_table.param_nbr() << ");" << endl
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<< "@inbounds begin" << endl
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<< rp_output.str()
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<< "end" << endl
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<< "gp = zeros(" << equations.size() << ", " << getJacobianColsNbr() << ", " << symbol_table.param_nbr() << ");" << endl
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<< "@inbounds begin" << endl
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<< gp_output.str()
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<< "end" << endl
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<< "rpp = zeros(" << params_derivatives.find({ 0, 2 })->second.size() << ",4);" << endl
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<< "@inbounds begin" << endl
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<< rpp_output.str()
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<< "end" << endl
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<< "gpp = zeros(" << params_derivatives.find({ 1, 2 })->second.size() << ",5);" << endl
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<< "@inbounds begin" << endl
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<< gpp_output.str()
|
||||
<< "end" << endl
|
||||
<< "hp = zeros(" << params_derivatives.find({ 2, 1 })->second.size() << ",5);" << endl
|
||||
<< "@inbounds begin" << endl
|
||||
<< hp_output.str()
|
||||
<< "end" << endl
|
||||
<< "g3p = zeros(" << params_derivatives.find({ 3, 1 })->second.size() << ",6);" << endl
|
||||
<< "@inbounds begin" << endl
|
||||
<< g3p_output.str()
|
||||
<< "end" << endl
|
||||
<< "(rp, gp, rpp, gpp, hp, g3p)" << endl
|
||||
<< "end" << endl
|
||||
<< "end" << endl;
|
||||
|
||||
paramsDerivsFile.close();
|
||||
}
|
||||
|
||||
void
|
||||
DynamicModel::writeLatexFile(const string &basename, bool write_equation_tags) const
|
||||
{
|
||||
|
|
|
|||
|
|
@ -392,8 +392,10 @@ public:
|
|||
|
||||
//! Writes dynamic model file (+ bytecode)
|
||||
void writeDynamicFile(const string &basename, bool block, bool use_dll, const string &mexext, const filesystem::path &matlabroot, const filesystem::path &dynareroot, bool julia) const;
|
||||
|
||||
//! Writes file containing parameters derivatives
|
||||
void writeParamsDerivativesFile(const string &basename, bool julia) const;
|
||||
template<bool julia>
|
||||
void writeParamsDerivativesFile(const string &basename) const;
|
||||
|
||||
//! Writes file containing coordinates of non-zero elements in the Jacobian
|
||||
/*! Used by the perfect_foresight_problem MEX */
|
||||
|
|
@ -656,4 +658,146 @@ public:
|
|||
// Returns the set of equations (as numbers) which have a pac_expectation operator
|
||||
set<int> findPacExpectationEquationNumbers() const;
|
||||
};
|
||||
|
||||
template<bool julia>
|
||||
void
|
||||
DynamicModel::writeParamsDerivativesFile(const string &basename) const
|
||||
{
|
||||
if (!params_derivatives.size())
|
||||
return;
|
||||
|
||||
constexpr ExprNodeOutputType output_type { julia ? ExprNodeOutputType::juliaDynamicModel : ExprNodeOutputType::matlabDynamicModel };
|
||||
|
||||
auto [tt_output, rp_output, gp_output, rpp_output, gpp_output, hp_output, g3p_output]
|
||||
{ writeParamsDerivativesFileHelper<output_type>() };
|
||||
|
||||
string filename { julia ? basename + "DynamicParamsDerivs.jl" : packageDir(basename) + "/dynamic_params_derivs.m" };
|
||||
ofstream paramsDerivsFile { filename, ios::out | ios::binary };
|
||||
if (!paramsDerivsFile.is_open())
|
||||
{
|
||||
cerr << "ERROR: Can't open file " << filename << " for writing" << endl;
|
||||
exit(EXIT_FAILURE);
|
||||
}
|
||||
|
||||
if constexpr(!julia)
|
||||
{
|
||||
paramsDerivsFile << "function [rp, gp, rpp, gpp, hp, g3p] = dynamic_params_derivs(y, x, params, steady_state, it_, ss_param_deriv, ss_param_2nd_deriv)" << endl
|
||||
<< "%" << endl
|
||||
<< "% Compute the derivatives of the dynamic model with respect to the parameters" << endl
|
||||
<< "% Inputs :" << endl
|
||||
<< "% y [#dynamic variables by 1] double vector of endogenous variables in the order stored" << endl
|
||||
<< "% in M_.lead_lag_incidence; see the Manual" << endl
|
||||
<< "% x [nperiods by M_.exo_nbr] double matrix of exogenous variables (in declaration order)" << endl
|
||||
<< "% for all simulation periods" << endl
|
||||
<< "% params [M_.param_nbr by 1] double vector of parameter values in declaration order" << endl
|
||||
<< "% steady_state [M_.endo_nbr by 1] double vector of steady state values" << endl
|
||||
<< "% it_ scalar double time period for exogenous variables for which to evaluate the model" << endl
|
||||
<< "% ss_param_deriv [M_.eq_nbr by #params] Jacobian matrix of the steady states values with respect to the parameters" << endl
|
||||
<< "% ss_param_2nd_deriv [M_.eq_nbr by #params by #params] Hessian matrix of the steady states values with respect to the parameters" << endl
|
||||
<< "%" << endl
|
||||
<< "% Outputs:" << endl
|
||||
<< "% rp [M_.eq_nbr by #params] double Jacobian matrix of dynamic model equations with respect to parameters " << endl
|
||||
<< "% Dynare may prepend or append auxiliary equations, see M_.aux_vars" << endl
|
||||
<< "% gp [M_.endo_nbr by #dynamic variables by #params] double Derivative of the Jacobian matrix of the dynamic model equations with respect to the parameters" << endl
|
||||
<< "% rows: equations in order of declaration" << endl
|
||||
<< "% columns: variables in order stored in M_.lead_lag_incidence" << endl
|
||||
<< "% rpp [#second_order_residual_terms by 4] double Hessian matrix of second derivatives of residuals with respect to parameters;" << endl
|
||||
<< "% rows: respective derivative term" << endl
|
||||
<< "% 1st column: equation number of the term appearing" << endl
|
||||
<< "% 2nd column: number of the first parameter in derivative" << endl
|
||||
<< "% 3rd column: number of the second parameter in derivative" << endl
|
||||
<< "% 4th column: value of the Hessian term" << endl
|
||||
<< "% gpp [#second_order_Jacobian_terms by 5] double Hessian matrix of second derivatives of the Jacobian with respect to the parameters;" << endl
|
||||
<< "% rows: respective derivative term" << endl
|
||||
<< "% 1st column: equation number of the term appearing" << endl
|
||||
<< "% 2nd column: column number of variable in Jacobian of the dynamic model" << endl
|
||||
<< "% 3rd column: number of the first parameter in derivative" << endl
|
||||
<< "% 4th column: number of the second parameter in derivative" << endl
|
||||
<< "% 5th column: value of the Hessian term" << endl
|
||||
<< "% hp [#first_order_Hessian_terms by 5] double Jacobian matrix of derivatives of the dynamic Hessian with respect to the parameters;" << endl
|
||||
<< "% rows: respective derivative term" << endl
|
||||
<< "% 1st column: equation number of the term appearing" << endl
|
||||
<< "% 2nd column: column number of first variable in Hessian of the dynamic model" << endl
|
||||
<< "% 3rd column: column number of second variable in Hessian of the dynamic model" << endl
|
||||
<< "% 4th column: number of the parameter in derivative" << endl
|
||||
<< "% 5th column: value of the Hessian term" << endl
|
||||
<< "% g3p [#first_order_g3_terms by 6] double Jacobian matrix of derivatives of g3 (dynamic 3rd derivs) with respect to the parameters;" << endl
|
||||
<< "% rows: respective derivative term" << endl
|
||||
<< "% 1st column: equation number of the term appearing" << endl
|
||||
<< "% 2nd column: column number of first variable in g3 of the dynamic model" << endl
|
||||
<< "% 3rd column: column number of second variable in g3 of the dynamic model" << endl
|
||||
<< "% 4th column: column number of third variable in g3 of the dynamic model" << endl
|
||||
<< "% 5th column: number of the parameter in derivative" << endl
|
||||
<< "% 6th column: value of the Hessian term" << endl
|
||||
<< "%" << endl
|
||||
<< "%" << endl
|
||||
<< "% Warning : this file is generated automatically by Dynare" << endl
|
||||
<< "% from model file (.mod)" << endl << endl
|
||||
<< "T = NaN(" << params_derivs_temporary_terms_idxs.size() << ",1);" << endl
|
||||
<< tt_output.str()
|
||||
<< "rp = zeros(" << equations.size() << ", "
|
||||
<< symbol_table.param_nbr() << ");" << endl
|
||||
<< rp_output.str()
|
||||
<< "gp = zeros(" << equations.size() << ", " << getJacobianColsNbr() << ", " << symbol_table.param_nbr() << ");" << endl
|
||||
<< gp_output.str()
|
||||
<< "if nargout >= 3" << endl
|
||||
<< "rpp = zeros(" << params_derivatives.find({ 0, 2 })->second.size() << ",4);" << endl
|
||||
<< rpp_output.str()
|
||||
<< "gpp = zeros(" << params_derivatives.find({ 1, 2 })->second.size() << ",5);" << endl
|
||||
<< gpp_output.str()
|
||||
<< "end" << endl
|
||||
<< "if nargout >= 5" << endl
|
||||
<< "hp = zeros(" << params_derivatives.find({ 2, 1 })->second.size() << ",5);" << endl
|
||||
<< hp_output.str()
|
||||
<< "end" << endl
|
||||
<< "if nargout >= 6" << endl
|
||||
<< "g3p = zeros(" << params_derivatives.find({ 3, 1 })->second.size() << ",6);" << endl
|
||||
<< g3p_output.str()
|
||||
<< "end" << endl
|
||||
<< "end" << endl;
|
||||
}
|
||||
else
|
||||
paramsDerivsFile << "module " << basename << "DynamicParamsDerivs" << endl
|
||||
<< "#" << endl
|
||||
<< "# NB: this file was automatically generated by Dynare" << endl
|
||||
<< "# from " << basename << ".mod" << endl
|
||||
<< "#" << endl
|
||||
<< "export params_derivs" << endl << endl
|
||||
<< "function params_derivs(y, x, paramssteady_state, it_, "
|
||||
<< "ss_param_deriv, ss_param_2nd_deriv)" << endl
|
||||
<< "@inbounds begin" << endl
|
||||
<< tt_output.str()
|
||||
<< "end" << endl
|
||||
<< "rp = zeros(" << equations.size() << ", "
|
||||
<< symbol_table.param_nbr() << ");" << endl
|
||||
<< "@inbounds begin" << endl
|
||||
<< rp_output.str()
|
||||
<< "end" << endl
|
||||
<< "gp = zeros(" << equations.size() << ", " << getJacobianColsNbr() << ", " << symbol_table.param_nbr() << ");" << endl
|
||||
<< "@inbounds begin" << endl
|
||||
<< gp_output.str()
|
||||
<< "end" << endl
|
||||
<< "rpp = zeros(" << params_derivatives.find({ 0, 2 })->second.size() << ",4);" << endl
|
||||
<< "@inbounds begin" << endl
|
||||
<< rpp_output.str()
|
||||
<< "end" << endl
|
||||
<< "gpp = zeros(" << params_derivatives.find({ 1, 2 })->second.size() << ",5);" << endl
|
||||
<< "@inbounds begin" << endl
|
||||
<< gpp_output.str()
|
||||
<< "end" << endl
|
||||
<< "hp = zeros(" << params_derivatives.find({ 2, 1 })->second.size() << ",5);" << endl
|
||||
<< "@inbounds begin" << endl
|
||||
<< hp_output.str()
|
||||
<< "end" << endl
|
||||
<< "g3p = zeros(" << params_derivatives.find({ 3, 1 })->second.size() << ",6);" << endl
|
||||
<< "@inbounds begin" << endl
|
||||
<< g3p_output.str()
|
||||
<< "end" << endl
|
||||
<< "(rp, gp, rpp, gpp, hp, g3p)" << endl
|
||||
<< "end" << endl
|
||||
<< "end" << endl;
|
||||
|
||||
paramsDerivsFile.close();
|
||||
}
|
||||
|
||||
#endif
|
||||
|
|
|
|||
|
|
@ -1072,12 +1072,12 @@ ModFile::writeMOutput(const string &basename, bool clear_all, bool clear_global,
|
|||
if (!no_static)
|
||||
{
|
||||
static_model.writeStaticFile(basename, block, use_dll, mexext, matlabroot, dynareroot, false);
|
||||
static_model.writeParamsDerivativesFile(basename, false);
|
||||
static_model.writeParamsDerivativesFile<false>(basename);
|
||||
}
|
||||
|
||||
dynamic_model.writeDynamicFile(basename, block, use_dll, mexext, matlabroot, dynareroot, false);
|
||||
|
||||
dynamic_model.writeParamsDerivativesFile(basename, false);
|
||||
dynamic_model.writeParamsDerivativesFile<false>(basename);
|
||||
|
||||
dynamic_model.writeDynamicJacobianNonZeroElts(basename);
|
||||
}
|
||||
|
|
@ -1102,10 +1102,10 @@ ModFile::writeJuliaOutput(const string &basename) const
|
|||
if (!no_static)
|
||||
{
|
||||
static_model.writeStaticFile(basename, false, false, "", {}, {}, true);
|
||||
static_model.writeParamsDerivativesFile(basename, true);
|
||||
static_model.writeParamsDerivativesFile<true>(basename);
|
||||
}
|
||||
dynamic_model.writeDynamicFile(basename, block, use_dll, "", {}, {}, true);
|
||||
dynamic_model.writeParamsDerivativesFile(basename, true);
|
||||
dynamic_model.writeParamsDerivativesFile<true>(basename);
|
||||
}
|
||||
steady_state_model.writeSteadyStateFile(basename, true);
|
||||
}
|
||||
|
|
|
|||
226
src/ModelTree.hh
226
src/ModelTree.hh
|
|
@ -262,6 +262,13 @@ protected:
|
|||
template<ExprNodeOutputType output_type>
|
||||
pair<vector<ostringstream>, vector<ostringstream>> writeModelFileHelper() const;
|
||||
|
||||
/* Helper for writing derivatives w.r.t. parameters.
|
||||
Returns { tt, rp, gp, rpp, gpp, hp, g3p }.
|
||||
g3p is empty if requesting a static output type. */
|
||||
template<ExprNodeOutputType output_type>
|
||||
tuple<ostringstream, ostringstream, ostringstream, ostringstream,
|
||||
ostringstream, ostringstream, ostringstream> writeParamsDerivativesFileHelper() const;
|
||||
|
||||
//! Writes JSON model equations
|
||||
//! if residuals = true, we are writing the dynamic/static model.
|
||||
//! Otherwise, just the model equations (with line numbers, no tmp terms)
|
||||
|
|
@ -657,4 +664,223 @@ ModelTree::writeModelFileHelper() const
|
|||
return { move(d_output), move(tt_output) };
|
||||
}
|
||||
|
||||
template<ExprNodeOutputType output_type>
|
||||
tuple<ostringstream, ostringstream, ostringstream, ostringstream,
|
||||
ostringstream, ostringstream, ostringstream>
|
||||
ModelTree::writeParamsDerivativesFileHelper() const
|
||||
{
|
||||
static_assert(!isCOutput(output_type), "C output is not implemented");
|
||||
|
||||
ostringstream tt_output; // Used for storing model temp vars and equations
|
||||
ostringstream rp_output; // 1st deriv. of residuals w.r.t. parameters
|
||||
ostringstream gp_output; // 1st deriv. of Jacobian w.r.t. parameters
|
||||
ostringstream rpp_output; // 2nd deriv of residuals w.r.t. parameters
|
||||
ostringstream gpp_output; // 2nd deriv of Jacobian w.r.t. parameters
|
||||
ostringstream hp_output; // 1st deriv. of Hessian w.r.t. parameters
|
||||
ostringstream g3p_output; // 1st deriv. of 3rd deriv. matrix w.r.t. parameters (only in dynamic case)
|
||||
|
||||
temporary_terms_t temp_term_union;
|
||||
deriv_node_temp_terms_t tef_terms;
|
||||
|
||||
writeModelLocalVariableTemporaryTerms(temp_term_union, params_derivs_temporary_terms_idxs, tt_output, output_type, tef_terms);
|
||||
for (const auto &[order, tts] : params_derivs_temporary_terms)
|
||||
writeTemporaryTerms(tts, temp_term_union, params_derivs_temporary_terms_idxs, tt_output, output_type, tef_terms);
|
||||
|
||||
for (const auto &[indices, d1] : params_derivatives.find({ 0, 1 })->second)
|
||||
{
|
||||
auto [eq, param] { vectorToTuple<2>(indices) };
|
||||
|
||||
int param_col { symbol_table.getTypeSpecificID(getSymbIDByDerivID(param)) + 1 };
|
||||
|
||||
rp_output << "rp" << LEFT_ARRAY_SUBSCRIPT(output_type) << eq+1 << ", " << param_col
|
||||
<< RIGHT_ARRAY_SUBSCRIPT(output_type) << " = ";
|
||||
d1->writeOutput(rp_output, output_type, temp_term_union, params_derivs_temporary_terms_idxs, tef_terms);
|
||||
rp_output << ";" << endl;
|
||||
}
|
||||
|
||||
for (const auto &[indices, d2] : params_derivatives.find({ 1, 1 })->second)
|
||||
{
|
||||
auto [eq, var, param] { vectorToTuple<3>(indices) };
|
||||
|
||||
int var_col { getJacobianCol(var) + 1 };
|
||||
int param_col { symbol_table.getTypeSpecificID(getSymbIDByDerivID(param)) + 1 };
|
||||
|
||||
gp_output << "gp" << LEFT_ARRAY_SUBSCRIPT(output_type) << eq+1 << ", " << var_col
|
||||
<< ", " << param_col << RIGHT_ARRAY_SUBSCRIPT(output_type) << " = ";
|
||||
d2->writeOutput(gp_output, output_type, temp_term_union, params_derivs_temporary_terms_idxs, tef_terms);
|
||||
gp_output << ";" << endl;
|
||||
}
|
||||
|
||||
for (int i {1};
|
||||
const auto &[indices, d2] : params_derivatives.find({ 0, 2 })->second)
|
||||
{
|
||||
auto [eq, param1, param2] { vectorToTuple<3>(indices) };
|
||||
|
||||
int param1_col { symbol_table.getTypeSpecificID(getSymbIDByDerivID(param1)) + 1 };
|
||||
int param2_col { symbol_table.getTypeSpecificID(getSymbIDByDerivID(param2)) + 1 };
|
||||
|
||||
rpp_output << "rpp" << LEFT_ARRAY_SUBSCRIPT(output_type) << i << ",1"
|
||||
<< RIGHT_ARRAY_SUBSCRIPT(output_type) << "=" << eq+1 << ";" << endl
|
||||
<< "rpp" << LEFT_ARRAY_SUBSCRIPT(output_type) << i << ",2"
|
||||
<< RIGHT_ARRAY_SUBSCRIPT(output_type) << "=" << param1_col << ";" << endl
|
||||
<< "rpp" << LEFT_ARRAY_SUBSCRIPT(output_type) << i << ",3"
|
||||
<< RIGHT_ARRAY_SUBSCRIPT(output_type) << "=" << param2_col << ";" << endl
|
||||
<< "rpp" << LEFT_ARRAY_SUBSCRIPT(output_type) << i << ",4"
|
||||
<< RIGHT_ARRAY_SUBSCRIPT(output_type) << "=";
|
||||
d2->writeOutput(rpp_output, output_type, temp_term_union, params_derivs_temporary_terms_idxs, tef_terms);
|
||||
rpp_output << ";" << endl;
|
||||
|
||||
i++;
|
||||
|
||||
if (param1 != param2)
|
||||
{
|
||||
// Treat symmetric elements
|
||||
rpp_output << "rpp" << LEFT_ARRAY_SUBSCRIPT(output_type) << i << ",1"
|
||||
<< RIGHT_ARRAY_SUBSCRIPT(output_type) << "=" << eq+1 << ";" << endl
|
||||
<< "rpp" << LEFT_ARRAY_SUBSCRIPT(output_type) << i << ",2"
|
||||
<< RIGHT_ARRAY_SUBSCRIPT(output_type) << "=" << param2_col << ";" << endl
|
||||
<< "rpp" << LEFT_ARRAY_SUBSCRIPT(output_type) << i << ",3"
|
||||
<< RIGHT_ARRAY_SUBSCRIPT(output_type) << "=" << param1_col << ";" << endl
|
||||
<< "rpp" << LEFT_ARRAY_SUBSCRIPT(output_type) << i << ",4"
|
||||
<< RIGHT_ARRAY_SUBSCRIPT(output_type)
|
||||
<< "=rpp" << LEFT_ARRAY_SUBSCRIPT(output_type) << i-1 << ",4"
|
||||
<< RIGHT_ARRAY_SUBSCRIPT(output_type) << ";" << endl;
|
||||
i++;
|
||||
}
|
||||
}
|
||||
|
||||
for (int i {1};
|
||||
const auto &[indices, d2] : params_derivatives.find({ 1, 2 })->second)
|
||||
{
|
||||
auto [eq, var, param1, param2] { vectorToTuple<4>(indices) };
|
||||
|
||||
int var_col { getJacobianCol(var) + 1 };
|
||||
int param1_col { symbol_table.getTypeSpecificID(getSymbIDByDerivID(param1)) + 1 };
|
||||
int param2_col { symbol_table.getTypeSpecificID(getSymbIDByDerivID(param2)) + 1 };
|
||||
|
||||
gpp_output << "gpp" << LEFT_ARRAY_SUBSCRIPT(output_type) << i << ",1"
|
||||
<< RIGHT_ARRAY_SUBSCRIPT(output_type) << "=" << eq+1 << ";" << endl
|
||||
<< "gpp" << LEFT_ARRAY_SUBSCRIPT(output_type) << i << ",2"
|
||||
<< RIGHT_ARRAY_SUBSCRIPT(output_type) << "=" << var_col << ";" << endl
|
||||
<< "gpp" << LEFT_ARRAY_SUBSCRIPT(output_type) << i << ",3"
|
||||
<< RIGHT_ARRAY_SUBSCRIPT(output_type) << "=" << param1_col << ";" << endl
|
||||
<< "gpp" << LEFT_ARRAY_SUBSCRIPT(output_type) << i << ",4"
|
||||
<< RIGHT_ARRAY_SUBSCRIPT(output_type) << "=" << param2_col << ";" << endl
|
||||
<< "gpp" << LEFT_ARRAY_SUBSCRIPT(output_type) << i << ",5"
|
||||
<< RIGHT_ARRAY_SUBSCRIPT(output_type) << "=";
|
||||
d2->writeOutput(gpp_output, output_type, temp_term_union, params_derivs_temporary_terms_idxs, tef_terms);
|
||||
gpp_output << ";" << endl;
|
||||
|
||||
i++;
|
||||
|
||||
if (param1 != param2)
|
||||
{
|
||||
// Treat symmetric elements
|
||||
gpp_output << "gpp" << LEFT_ARRAY_SUBSCRIPT(output_type) << i << ",1"
|
||||
<< RIGHT_ARRAY_SUBSCRIPT(output_type) << "=" << eq+1 << ";" << endl
|
||||
<< "gpp" << LEFT_ARRAY_SUBSCRIPT(output_type) << i << ",2"
|
||||
<< RIGHT_ARRAY_SUBSCRIPT(output_type) << "=" << var_col << ";" << endl
|
||||
<< "gpp" << LEFT_ARRAY_SUBSCRIPT(output_type) << i << ",3"
|
||||
<< RIGHT_ARRAY_SUBSCRIPT(output_type) << "=" << param2_col << ";" << endl
|
||||
<< "gpp" << LEFT_ARRAY_SUBSCRIPT(output_type) << i << ",4"
|
||||
<< RIGHT_ARRAY_SUBSCRIPT(output_type) << "=" << param1_col << ";" << endl
|
||||
<< "gpp" << LEFT_ARRAY_SUBSCRIPT(output_type) << i << ",5"
|
||||
<< RIGHT_ARRAY_SUBSCRIPT(output_type)
|
||||
<< "=gpp" << LEFT_ARRAY_SUBSCRIPT(output_type) << i-1 << ",5"
|
||||
<< RIGHT_ARRAY_SUBSCRIPT(output_type) << ";" << endl;
|
||||
i++;
|
||||
}
|
||||
}
|
||||
|
||||
for (int i {1};
|
||||
const auto &[indices, d2] : params_derivatives.find({ 2, 1 })->second)
|
||||
{
|
||||
auto [eq, var1, var2, param] { vectorToTuple<4>(indices) };
|
||||
|
||||
int var1_col { getJacobianCol(var1) + 1 };
|
||||
int var2_col { getJacobianCol(var2) + 1 };
|
||||
int param_col { symbol_table.getTypeSpecificID(getSymbIDByDerivID(param)) + 1 };
|
||||
|
||||
hp_output << "hp" << LEFT_ARRAY_SUBSCRIPT(output_type) << i << ",1"
|
||||
<< RIGHT_ARRAY_SUBSCRIPT(output_type) << "=" << eq+1 << ";" << endl
|
||||
<< "hp" << LEFT_ARRAY_SUBSCRIPT(output_type) << i << ",2"
|
||||
<< RIGHT_ARRAY_SUBSCRIPT(output_type) << "=" << var1_col << ";" << endl
|
||||
<< "hp" << LEFT_ARRAY_SUBSCRIPT(output_type) << i << ",3"
|
||||
<< RIGHT_ARRAY_SUBSCRIPT(output_type) << "=" << var2_col << ";" << endl
|
||||
<< "hp" << LEFT_ARRAY_SUBSCRIPT(output_type) << i << ",4"
|
||||
<< RIGHT_ARRAY_SUBSCRIPT(output_type) << "=" << param_col << ";" << endl
|
||||
<< "hp" << LEFT_ARRAY_SUBSCRIPT(output_type) << i << ",5"
|
||||
<< RIGHT_ARRAY_SUBSCRIPT(output_type) << "=";
|
||||
d2->writeOutput(hp_output, output_type, temp_term_union, params_derivs_temporary_terms_idxs, tef_terms);
|
||||
hp_output << ";" << endl;
|
||||
|
||||
i++;
|
||||
|
||||
if (var1 != var2)
|
||||
{
|
||||
// Treat symmetric elements
|
||||
hp_output << "hp" << LEFT_ARRAY_SUBSCRIPT(output_type) << i << ",1"
|
||||
<< RIGHT_ARRAY_SUBSCRIPT(output_type) << "=" << eq+1 << ";" << endl
|
||||
<< "hp" << LEFT_ARRAY_SUBSCRIPT(output_type) << i << ",2"
|
||||
<< RIGHT_ARRAY_SUBSCRIPT(output_type) << "=" << var2_col << ";" << endl
|
||||
<< "hp" << LEFT_ARRAY_SUBSCRIPT(output_type) << i << ",3"
|
||||
<< RIGHT_ARRAY_SUBSCRIPT(output_type) << "=" << var1_col << ";" << endl
|
||||
<< "hp" << LEFT_ARRAY_SUBSCRIPT(output_type) << i << ",4"
|
||||
<< RIGHT_ARRAY_SUBSCRIPT(output_type) << "=" << param_col << ";" << endl
|
||||
<< "hp" << LEFT_ARRAY_SUBSCRIPT(output_type) << i << ",5"
|
||||
<< RIGHT_ARRAY_SUBSCRIPT(output_type)
|
||||
<< "=hp" << LEFT_ARRAY_SUBSCRIPT(output_type) << i-1 << ",5"
|
||||
<< RIGHT_ARRAY_SUBSCRIPT(output_type) << ";" << endl;
|
||||
i++;
|
||||
}
|
||||
}
|
||||
|
||||
if constexpr(output_type == ExprNodeOutputType::matlabDynamicModel
|
||||
|| output_type == ExprNodeOutputType::juliaDynamicModel)
|
||||
for (int i {1};
|
||||
const auto &[indices, d2] : params_derivatives.find({ 3, 1 })->second)
|
||||
{
|
||||
auto [eq, var1, var2, var3, param] { vectorToTuple<5>(indices) };
|
||||
|
||||
int var1_col { getJacobianCol(var1) + 1 };
|
||||
int var2_col { getJacobianCol(var2) + 1 };
|
||||
int var3_col { getJacobianCol(var3) + 1 };
|
||||
int param_col { symbol_table.getTypeSpecificID(getSymbIDByDerivID(param)) + 1 };
|
||||
|
||||
g3p_output << "g3p" << LEFT_ARRAY_SUBSCRIPT(output_type) << i << ",1"
|
||||
<< RIGHT_ARRAY_SUBSCRIPT(output_type) << "=" << eq+1 << ";" << endl
|
||||
<< "g3p" << LEFT_ARRAY_SUBSCRIPT(output_type) << i << ",2"
|
||||
<< RIGHT_ARRAY_SUBSCRIPT(output_type) << "=" << var1_col << ";" << endl
|
||||
<< "g3p" << LEFT_ARRAY_SUBSCRIPT(output_type) << i << ",3"
|
||||
<< RIGHT_ARRAY_SUBSCRIPT(output_type) << "=" << var2_col << ";" << endl
|
||||
<< "g3p" << LEFT_ARRAY_SUBSCRIPT(output_type) << i << ",4"
|
||||
<< RIGHT_ARRAY_SUBSCRIPT(output_type) << "=" << var3_col << ";" << endl
|
||||
<< "g3p" << LEFT_ARRAY_SUBSCRIPT(output_type) << i << ",5"
|
||||
<< RIGHT_ARRAY_SUBSCRIPT(output_type) << "=" << param_col << ";" << endl
|
||||
<< "g3p" << LEFT_ARRAY_SUBSCRIPT(output_type) << i << ",6"
|
||||
<< RIGHT_ARRAY_SUBSCRIPT(output_type) << "=";
|
||||
d2->writeOutput(g3p_output, output_type, temp_term_union, params_derivs_temporary_terms_idxs, tef_terms);
|
||||
g3p_output << ";" << endl;
|
||||
|
||||
i++;
|
||||
}
|
||||
|
||||
if constexpr(isMatlabOutput(output_type))
|
||||
{
|
||||
// Check that we don't have more than 32 nested parenthesis because MATLAB does not support this. See Issue #1201
|
||||
map<string, string> tmp_paren_vars;
|
||||
bool message_printed {false};
|
||||
fixNestedParenthesis(tt_output, tmp_paren_vars, message_printed);
|
||||
fixNestedParenthesis(rp_output, tmp_paren_vars, message_printed);
|
||||
fixNestedParenthesis(gp_output, tmp_paren_vars, message_printed);
|
||||
fixNestedParenthesis(rpp_output, tmp_paren_vars, message_printed);
|
||||
fixNestedParenthesis(gpp_output, tmp_paren_vars, message_printed);
|
||||
fixNestedParenthesis(hp_output, tmp_paren_vars, message_printed);
|
||||
fixNestedParenthesis(g3p_output, tmp_paren_vars, message_printed);
|
||||
}
|
||||
|
||||
return { move(tt_output), move(rp_output), move(gp_output),
|
||||
move(rpp_output), move(gpp_output), move(hp_output), move(g3p_output) };
|
||||
}
|
||||
|
||||
#endif
|
||||
|
|
|
|||
|
|
@ -1928,291 +1928,6 @@ StaticModel::writeJsonAuxVarRecursiveDefinitions(ostream &output) const
|
|||
}
|
||||
}
|
||||
|
||||
void
|
||||
StaticModel::writeParamsDerivativesFile(const string &basename, bool julia) const
|
||||
{
|
||||
if (!params_derivatives.size())
|
||||
return;
|
||||
|
||||
ExprNodeOutputType output_type = (julia ? ExprNodeOutputType::juliaStaticModel : ExprNodeOutputType::matlabStaticModel);
|
||||
|
||||
ostringstream tt_output; // Used for storing temporary terms
|
||||
ostringstream jacobian_output; // Used for storing jacobian equations
|
||||
ostringstream hessian_output; // Used for storing Hessian equations
|
||||
ostringstream hessian1_output; // Used for storing Hessian equations
|
||||
ostringstream third_derivs_output; // Used for storing third order derivatives equations
|
||||
ostringstream third_derivs1_output; // Used for storing third order derivatives equations
|
||||
|
||||
temporary_terms_t temp_term_union;
|
||||
deriv_node_temp_terms_t tef_terms;
|
||||
|
||||
writeModelLocalVariableTemporaryTerms(temp_term_union, params_derivs_temporary_terms_idxs, tt_output, output_type, tef_terms);
|
||||
for (const auto &it : params_derivs_temporary_terms)
|
||||
writeTemporaryTerms(it.second, temp_term_union, params_derivs_temporary_terms_idxs, tt_output, output_type, tef_terms);
|
||||
|
||||
for (const auto & [indices, d1] : params_derivatives.find({ 0, 1 })->second)
|
||||
{
|
||||
auto [eq, param] = vectorToTuple<2>(indices);
|
||||
|
||||
int param_col = symbol_table.getTypeSpecificID(getSymbIDByDerivID(param)) + 1;
|
||||
|
||||
jacobian_output << "rp" << LEFT_ARRAY_SUBSCRIPT(output_type)
|
||||
<< eq+1 << ", " << param_col
|
||||
<< RIGHT_ARRAY_SUBSCRIPT(output_type) << " = ";
|
||||
d1->writeOutput(jacobian_output, output_type, temp_term_union, params_derivs_temporary_terms_idxs, tef_terms);
|
||||
jacobian_output << ";" << endl;
|
||||
}
|
||||
|
||||
for (const auto & [indices, d2] : params_derivatives.find({ 1, 1 })->second)
|
||||
{
|
||||
auto [eq, var, param] = vectorToTuple<3>(indices);
|
||||
|
||||
int var_col = symbol_table.getTypeSpecificID(getSymbIDByDerivID(var)) + 1;
|
||||
int param_col = symbol_table.getTypeSpecificID(getSymbIDByDerivID(param)) + 1;
|
||||
|
||||
hessian_output << "gp" << LEFT_ARRAY_SUBSCRIPT(output_type)
|
||||
<< eq+1 << ", " << var_col << ", " << param_col
|
||||
<< RIGHT_ARRAY_SUBSCRIPT(output_type) << " = ";
|
||||
d2->writeOutput(hessian_output, output_type, temp_term_union, params_derivs_temporary_terms_idxs, tef_terms);
|
||||
hessian_output << ";" << endl;
|
||||
}
|
||||
|
||||
for (int i{1};
|
||||
const auto &[indices, d2] : params_derivatives.find({ 0, 2 })->second)
|
||||
{
|
||||
auto [eq, param1, param2] = vectorToTuple<3>(indices);
|
||||
|
||||
int param1_col = symbol_table.getTypeSpecificID(getSymbIDByDerivID(param1)) + 1;
|
||||
int param2_col = symbol_table.getTypeSpecificID(getSymbIDByDerivID(param2)) + 1;
|
||||
|
||||
hessian1_output << "rpp" << LEFT_ARRAY_SUBSCRIPT(output_type) << i << ",1"
|
||||
<< RIGHT_ARRAY_SUBSCRIPT(output_type) << "=" << eq+1 << ";" << endl
|
||||
<< "rpp" << LEFT_ARRAY_SUBSCRIPT(output_type) << i << ",2"
|
||||
<< RIGHT_ARRAY_SUBSCRIPT(output_type) << "=" << param1_col << ";" << endl
|
||||
<< "rpp" << LEFT_ARRAY_SUBSCRIPT(output_type) << i << ",3"
|
||||
<< RIGHT_ARRAY_SUBSCRIPT(output_type) << "=" << param2_col << ";" << endl
|
||||
<< "rpp" << LEFT_ARRAY_SUBSCRIPT(output_type) << i << ",4"
|
||||
<< RIGHT_ARRAY_SUBSCRIPT(output_type) << "=";
|
||||
d2->writeOutput(hessian1_output, output_type, temp_term_union, params_derivs_temporary_terms_idxs, tef_terms);
|
||||
hessian1_output << ";" << endl;
|
||||
|
||||
i++;
|
||||
|
||||
if (param1 != param2)
|
||||
{
|
||||
// Treat symmetric elements
|
||||
hessian1_output << "rpp" << LEFT_ARRAY_SUBSCRIPT(output_type) << i << ",1"
|
||||
<< RIGHT_ARRAY_SUBSCRIPT(output_type) << "=" << eq+1 << ";" << endl
|
||||
<< "rpp" << LEFT_ARRAY_SUBSCRIPT(output_type) << i << ",2"
|
||||
<< RIGHT_ARRAY_SUBSCRIPT(output_type) << "=" << param2_col << ";" << endl
|
||||
<< "rpp" << LEFT_ARRAY_SUBSCRIPT(output_type) << i << ",3"
|
||||
<< RIGHT_ARRAY_SUBSCRIPT(output_type) << "=" << param1_col << ";" << endl
|
||||
<< "rpp" << LEFT_ARRAY_SUBSCRIPT(output_type) << i << ",4"
|
||||
<< RIGHT_ARRAY_SUBSCRIPT(output_type)
|
||||
<< "=rpp" << LEFT_ARRAY_SUBSCRIPT(output_type) << i-1 << ",4"
|
||||
<< RIGHT_ARRAY_SUBSCRIPT(output_type) << ";" << endl;
|
||||
i++;
|
||||
}
|
||||
}
|
||||
|
||||
for (int i{1};
|
||||
const auto &[indices, d2] : params_derivatives.find({ 1, 2 })->second)
|
||||
{
|
||||
auto [eq, var, param1, param2] = vectorToTuple<4>(indices);
|
||||
|
||||
int var_col = symbol_table.getTypeSpecificID(getSymbIDByDerivID(var)) + 1;
|
||||
int param1_col = symbol_table.getTypeSpecificID(getSymbIDByDerivID(param1)) + 1;
|
||||
int param2_col = symbol_table.getTypeSpecificID(getSymbIDByDerivID(param2)) + 1;
|
||||
|
||||
third_derivs_output << "gpp" << LEFT_ARRAY_SUBSCRIPT(output_type) << i << ",1"
|
||||
<< RIGHT_ARRAY_SUBSCRIPT(output_type) << "=" << eq+1 << ";" << endl
|
||||
<< "gpp" << LEFT_ARRAY_SUBSCRIPT(output_type) << i << ",2"
|
||||
<< RIGHT_ARRAY_SUBSCRIPT(output_type) << "=" << var_col << ";" << endl
|
||||
<< "gpp" << LEFT_ARRAY_SUBSCRIPT(output_type) << i << ",3"
|
||||
<< RIGHT_ARRAY_SUBSCRIPT(output_type) << "=" << param1_col << ";" << endl
|
||||
<< "gpp" << LEFT_ARRAY_SUBSCRIPT(output_type) << i << ",4"
|
||||
<< RIGHT_ARRAY_SUBSCRIPT(output_type) << "=" << param2_col << ";" << endl
|
||||
<< "gpp" << LEFT_ARRAY_SUBSCRIPT(output_type) << i << ",5"
|
||||
<< RIGHT_ARRAY_SUBSCRIPT(output_type) << "=";
|
||||
d2->writeOutput(third_derivs_output, output_type, temp_term_union, params_derivs_temporary_terms_idxs, tef_terms);
|
||||
third_derivs_output << ";" << endl;
|
||||
|
||||
i++;
|
||||
|
||||
if (param1 != param2)
|
||||
{
|
||||
// Treat symmetric elements
|
||||
third_derivs_output << "gpp" << LEFT_ARRAY_SUBSCRIPT(output_type) << i << ",1"
|
||||
<< RIGHT_ARRAY_SUBSCRIPT(output_type) << "=" << eq+1 << ";" << endl
|
||||
<< "gpp" << LEFT_ARRAY_SUBSCRIPT(output_type) << i << ",2"
|
||||
<< RIGHT_ARRAY_SUBSCRIPT(output_type) << "=" << var_col << ";" << endl
|
||||
<< "gpp" << LEFT_ARRAY_SUBSCRIPT(output_type) << i << ",3"
|
||||
<< RIGHT_ARRAY_SUBSCRIPT(output_type) << "=" << param2_col << ";" << endl
|
||||
<< "gpp" << LEFT_ARRAY_SUBSCRIPT(output_type) << i << ",4"
|
||||
<< RIGHT_ARRAY_SUBSCRIPT(output_type) << "=" << param1_col << ";" << endl
|
||||
<< "gpp" << LEFT_ARRAY_SUBSCRIPT(output_type) << i << ",5"
|
||||
<< RIGHT_ARRAY_SUBSCRIPT(output_type)
|
||||
<< "=gpp" << LEFT_ARRAY_SUBSCRIPT(output_type) << i-1 << ",5"
|
||||
<< RIGHT_ARRAY_SUBSCRIPT(output_type) << ";" << endl;
|
||||
i++;
|
||||
}
|
||||
}
|
||||
|
||||
for (int i{1};
|
||||
const auto &[indices, d2] : params_derivatives.find({ 2, 1 })->second)
|
||||
{
|
||||
auto [eq, var1, var2, param] = vectorToTuple<4>(indices);
|
||||
|
||||
int var1_col = symbol_table.getTypeSpecificID(getSymbIDByDerivID(var1)) + 1;
|
||||
int var2_col = symbol_table.getTypeSpecificID(getSymbIDByDerivID(var2)) + 1;
|
||||
int param_col = symbol_table.getTypeSpecificID(getSymbIDByDerivID(param)) + 1;
|
||||
|
||||
third_derivs1_output << "hp" << LEFT_ARRAY_SUBSCRIPT(output_type) << i << ",1"
|
||||
<< RIGHT_ARRAY_SUBSCRIPT(output_type) << "=" << eq+1 << ";" << endl
|
||||
<< "hp" << LEFT_ARRAY_SUBSCRIPT(output_type) << i << ",2"
|
||||
<< RIGHT_ARRAY_SUBSCRIPT(output_type) << "=" << var1_col << ";" << endl
|
||||
<< "hp" << LEFT_ARRAY_SUBSCRIPT(output_type) << i << ",3"
|
||||
<< RIGHT_ARRAY_SUBSCRIPT(output_type) << "=" << var2_col << ";" << endl
|
||||
<< "hp" << LEFT_ARRAY_SUBSCRIPT(output_type) << i << ",4"
|
||||
<< RIGHT_ARRAY_SUBSCRIPT(output_type) << "=" << param_col << ";" << endl
|
||||
<< "hp" << LEFT_ARRAY_SUBSCRIPT(output_type) << i << ",5"
|
||||
<< RIGHT_ARRAY_SUBSCRIPT(output_type) << "=";
|
||||
d2->writeOutput(third_derivs1_output, output_type, temp_term_union, params_derivs_temporary_terms_idxs, tef_terms);
|
||||
third_derivs1_output << ";" << endl;
|
||||
|
||||
i++;
|
||||
|
||||
if (var1 != var2)
|
||||
{
|
||||
// Treat symmetric elements
|
||||
third_derivs1_output << "hp" << LEFT_ARRAY_SUBSCRIPT(output_type) << i << ",1"
|
||||
<< RIGHT_ARRAY_SUBSCRIPT(output_type) << "=" << eq+1 << ";" << endl
|
||||
<< "hp" << LEFT_ARRAY_SUBSCRIPT(output_type) << i << ",2"
|
||||
<< RIGHT_ARRAY_SUBSCRIPT(output_type) << "=" << var2_col << ";" << endl
|
||||
<< "hp" << LEFT_ARRAY_SUBSCRIPT(output_type) << i << ",3"
|
||||
<< RIGHT_ARRAY_SUBSCRIPT(output_type) << "=" << var1_col << ";" << endl
|
||||
<< "hp" << LEFT_ARRAY_SUBSCRIPT(output_type) << i << ",4"
|
||||
<< RIGHT_ARRAY_SUBSCRIPT(output_type) << "=" << param_col << ";" << endl
|
||||
<< "hp" << LEFT_ARRAY_SUBSCRIPT(output_type) << i << ",5"
|
||||
<< RIGHT_ARRAY_SUBSCRIPT(output_type)
|
||||
<< "=hp" << LEFT_ARRAY_SUBSCRIPT(output_type) << i-1 << ",5"
|
||||
<< RIGHT_ARRAY_SUBSCRIPT(output_type) << ";" << endl;
|
||||
i++;
|
||||
}
|
||||
}
|
||||
|
||||
string filename = julia ? basename + "StaticParamsDerivs.jl" : packageDir(basename) + "/static_params_derivs.m";
|
||||
ofstream paramsDerivsFile{filename, ios::out | ios::binary};
|
||||
if (!paramsDerivsFile.is_open())
|
||||
{
|
||||
cerr << "ERROR: Can't open file " << filename << " for writing" << endl;
|
||||
exit(EXIT_FAILURE);
|
||||
}
|
||||
|
||||
if (!julia)
|
||||
{
|
||||
// Check that we don't have more than 32 nested parenthesis because Matlab does not suppor this. See Issue #1201
|
||||
map<string, string> tmp_paren_vars;
|
||||
bool message_printed = false;
|
||||
fixNestedParenthesis(tt_output, tmp_paren_vars, message_printed);
|
||||
fixNestedParenthesis(jacobian_output, tmp_paren_vars, message_printed);
|
||||
fixNestedParenthesis(hessian_output, tmp_paren_vars, message_printed);
|
||||
fixNestedParenthesis(hessian1_output, tmp_paren_vars, message_printed);
|
||||
fixNestedParenthesis(third_derivs_output, tmp_paren_vars, message_printed);
|
||||
fixNestedParenthesis(third_derivs1_output, tmp_paren_vars, message_printed);
|
||||
|
||||
paramsDerivsFile << "function [rp, gp, rpp, gpp, hp] = static_params_derivs(y, x, params)" << endl
|
||||
<< "%" << endl
|
||||
<< "% Status : Computes derivatives of the static model with respect to the parameters" << endl
|
||||
<< "%" << endl
|
||||
<< "% Inputs : " << endl
|
||||
<< "% y [M_.endo_nbr by 1] double vector of endogenous variables in declaration order" << endl
|
||||
<< "% x [M_.exo_nbr by 1] double vector of exogenous variables in declaration order" << endl
|
||||
<< "% params [M_.param_nbr by 1] double vector of parameter values in declaration order" << endl
|
||||
<< "%" << endl
|
||||
<< "% Outputs:" << endl
|
||||
<< "% rp [M_.eq_nbr by #params] double Jacobian matrix of static model equations with respect to parameters " << endl
|
||||
<< "% Dynare may prepend or append auxiliary equations, see M_.aux_vars" << endl
|
||||
<< "% gp [M_.endo_nbr by M_.endo_nbr by #params] double Derivative of the Jacobian matrix of the static model equations with respect to the parameters" << endl
|
||||
<< "% rows: variables in declaration order" << endl
|
||||
<< "% rows: equations in order of declaration" << endl
|
||||
<< "% rpp [#second_order_residual_terms by 4] double Hessian matrix of second derivatives of residuals with respect to parameters;" << endl
|
||||
<< "% rows: respective derivative term" << endl
|
||||
<< "% 1st column: equation number of the term appearing" << endl
|
||||
<< "% 2nd column: number of the first parameter in derivative" << endl
|
||||
<< "% 3rd column: number of the second parameter in derivative" << endl
|
||||
<< "% 4th column: value of the Hessian term" << endl
|
||||
<< "% gpp [#second_order_Jacobian_terms by 5] double Hessian matrix of second derivatives of the Jacobian with respect to the parameters;" << endl
|
||||
<< "% rows: respective derivative term" << endl
|
||||
<< "% 1st column: equation number of the term appearing" << endl
|
||||
<< "% 2nd column: column number of variable in Jacobian of the static model" << endl
|
||||
<< "% 3rd column: number of the first parameter in derivative" << endl
|
||||
<< "% 4th column: number of the second parameter in derivative" << endl
|
||||
<< "% 5th column: value of the Hessian term" << endl
|
||||
<< "%" << endl
|
||||
<< "%" << endl
|
||||
<< "% Warning : this file is generated automatically by Dynare" << endl
|
||||
<< "% from model file (.mod)" << endl << endl
|
||||
<< "T = NaN(" << params_derivs_temporary_terms_idxs.size() << ",1);" << endl
|
||||
<< tt_output.str()
|
||||
<< "rp = zeros(" << equations.size() << ", "
|
||||
<< symbol_table.param_nbr() << ");" << endl
|
||||
<< jacobian_output.str()
|
||||
<< "gp = zeros(" << equations.size() << ", " << symbol_table.endo_nbr() << ", "
|
||||
<< symbol_table.param_nbr() << ");" << endl
|
||||
<< hessian_output.str()
|
||||
<< "if nargout >= 3" << endl
|
||||
<< "rpp = zeros(" << params_derivatives.find({ 0, 2 })->second.size() << ",4);" << endl
|
||||
<< hessian1_output.str()
|
||||
<< "gpp = zeros(" << params_derivatives.find({ 1, 2 })->second.size() << ",5);" << endl
|
||||
<< third_derivs_output.str()
|
||||
<< "end" << endl
|
||||
<< "if nargout >= 5" << endl
|
||||
<< "hp = zeros(" << params_derivatives.find({ 2, 1 })->second.size() << ",5);" << endl
|
||||
<< third_derivs1_output.str()
|
||||
<< "end" << endl
|
||||
<< "end" << endl;
|
||||
}
|
||||
else
|
||||
paramsDerivsFile << "module " << basename << "StaticParamsDerivs" << endl
|
||||
<< "#" << endl
|
||||
<< "# NB: this file was automatically generated by Dynare" << endl
|
||||
<< "# from " << basename << ".mod" << endl
|
||||
<< "#" << endl
|
||||
<< "export params_derivs" << endl << endl
|
||||
<< "function params_derivs(y, x, params)" << endl
|
||||
<< "@inbounds begin" << endl
|
||||
<< tt_output.str()
|
||||
<< "end" << endl
|
||||
<< "rp = zeros(" << equations.size() << ", "
|
||||
<< symbol_table.param_nbr() << ");" << endl
|
||||
<< "@inbounds begin" << endl
|
||||
<< jacobian_output.str()
|
||||
<< "end" << endl
|
||||
<< "gp = zeros(" << equations.size() << ", " << symbol_table.endo_nbr() << ", "
|
||||
<< symbol_table.param_nbr() << ");" << endl
|
||||
<< "@inbounds begin" << endl
|
||||
<< hessian_output.str()
|
||||
<< "end" << endl
|
||||
<< "rpp = zeros(" << params_derivatives.find({ 0, 2 })->second.size() << ",4);" << endl
|
||||
<< "@inbounds begin" << endl
|
||||
<< hessian1_output.str()
|
||||
<< "end" << endl
|
||||
<< "gpp = zeros(" << params_derivatives.find({ 1, 2 })->second.size() << ",5);" << endl
|
||||
<< "@inbounds begin" << endl
|
||||
<< third_derivs_output.str()
|
||||
<< "end" << endl
|
||||
<< "hp = zeros(" << params_derivatives.find({ 2, 1 })->second.size() << ",5);" << endl
|
||||
<< "@inbounds begin" << endl
|
||||
<< third_derivs1_output.str()
|
||||
<< "end" << endl
|
||||
<< "(rp, gp, rpp, gpp, hp)" << endl
|
||||
<< "end" << endl
|
||||
<< "end" << endl;
|
||||
|
||||
paramsDerivsFile.close();
|
||||
}
|
||||
|
||||
void
|
||||
StaticModel::writeJsonOutput(ostream &output) const
|
||||
{
|
||||
|
|
|
|||
|
|
@ -149,7 +149,8 @@ public:
|
|||
void writeJsonParamsDerivativesFile(ostream &output, bool writeDetails) const;
|
||||
|
||||
//! Writes file containing static parameters derivatives
|
||||
void writeParamsDerivativesFile(const string &basename, bool julia) const;
|
||||
template<bool julia>
|
||||
void writeParamsDerivativesFile(const string &basename) const;
|
||||
|
||||
//! Writes LaTeX file with the equations of the static model
|
||||
void writeLatexFile(const string &basename, bool write_equation_tags) const;
|
||||
|
|
@ -171,4 +172,119 @@ public:
|
|||
void addAllParamDerivId(set<int> &deriv_id_set) override;
|
||||
};
|
||||
|
||||
template<bool julia>
|
||||
void
|
||||
StaticModel::writeParamsDerivativesFile(const string &basename) const
|
||||
{
|
||||
if (!params_derivatives.size())
|
||||
return;
|
||||
|
||||
constexpr ExprNodeOutputType output_type { julia ? ExprNodeOutputType::juliaStaticModel : ExprNodeOutputType::matlabStaticModel };
|
||||
|
||||
auto [tt_output, rp_output, gp_output, rpp_output, gpp_output, hp_output, g3p_output]
|
||||
{ writeParamsDerivativesFileHelper<output_type>() };
|
||||
// g3p_output is ignored
|
||||
|
||||
string filename { julia ? basename + "StaticParamsDerivs.jl" : packageDir(basename) + "/static_params_derivs.m" };
|
||||
ofstream paramsDerivsFile { filename, ios::out | ios::binary };
|
||||
if (!paramsDerivsFile.is_open())
|
||||
{
|
||||
cerr << "ERROR: Can't open file " << filename << " for writing" << endl;
|
||||
exit(EXIT_FAILURE);
|
||||
}
|
||||
|
||||
if constexpr(!julia)
|
||||
{
|
||||
paramsDerivsFile << "function [rp, gp, rpp, gpp, hp] = static_params_derivs(y, x, params)" << endl
|
||||
<< "%" << endl
|
||||
<< "% Status : Computes derivatives of the static model with respect to the parameters" << endl
|
||||
<< "%" << endl
|
||||
<< "% Inputs : " << endl
|
||||
<< "% y [M_.endo_nbr by 1] double vector of endogenous variables in declaration order" << endl
|
||||
<< "% x [M_.exo_nbr by 1] double vector of exogenous variables in declaration order" << endl
|
||||
<< "% params [M_.param_nbr by 1] double vector of parameter values in declaration order" << endl
|
||||
<< "%" << endl
|
||||
<< "% Outputs:" << endl
|
||||
<< "% rp [M_.eq_nbr by #params] double Jacobian matrix of static model equations with respect to parameters " << endl
|
||||
<< "% Dynare may prepend or append auxiliary equations, see M_.aux_vars" << endl
|
||||
<< "% gp [M_.endo_nbr by M_.endo_nbr by #params] double Derivative of the Jacobian matrix of the static model equations with respect to the parameters" << endl
|
||||
<< "% rows: variables in declaration order" << endl
|
||||
<< "% rows: equations in order of declaration" << endl
|
||||
<< "% rpp [#second_order_residual_terms by 4] double Hessian matrix of second derivatives of residuals with respect to parameters;" << endl
|
||||
<< "% rows: respective derivative term" << endl
|
||||
<< "% 1st column: equation number of the term appearing" << endl
|
||||
<< "% 2nd column: number of the first parameter in derivative" << endl
|
||||
<< "% 3rd column: number of the second parameter in derivative" << endl
|
||||
<< "% 4th column: value of the Hessian term" << endl
|
||||
<< "% gpp [#second_order_Jacobian_terms by 5] double Hessian matrix of second derivatives of the Jacobian with respect to the parameters;" << endl
|
||||
<< "% rows: respective derivative term" << endl
|
||||
<< "% 1st column: equation number of the term appearing" << endl
|
||||
<< "% 2nd column: column number of variable in Jacobian of the static model" << endl
|
||||
<< "% 3rd column: number of the first parameter in derivative" << endl
|
||||
<< "% 4th column: number of the second parameter in derivative" << endl
|
||||
<< "% 5th column: value of the Hessian term" << endl
|
||||
<< "%" << endl
|
||||
<< "%" << endl
|
||||
<< "% Warning : this file is generated automatically by Dynare" << endl
|
||||
<< "% from model file (.mod)" << endl << endl
|
||||
<< "T = NaN(" << params_derivs_temporary_terms_idxs.size() << ",1);" << endl
|
||||
<< tt_output.str()
|
||||
<< "rp = zeros(" << equations.size() << ", "
|
||||
<< symbol_table.param_nbr() << ");" << endl
|
||||
<< rp_output.str()
|
||||
<< "gp = zeros(" << equations.size() << ", " << symbol_table.endo_nbr() << ", "
|
||||
<< symbol_table.param_nbr() << ");" << endl
|
||||
<< gp_output.str()
|
||||
<< "if nargout >= 3" << endl
|
||||
<< "rpp = zeros(" << params_derivatives.find({ 0, 2 })->second.size() << ",4);" << endl
|
||||
<< rpp_output.str()
|
||||
<< "gpp = zeros(" << params_derivatives.find({ 1, 2 })->second.size() << ",5);" << endl
|
||||
<< gpp_output.str()
|
||||
<< "end" << endl
|
||||
<< "if nargout >= 5" << endl
|
||||
<< "hp = zeros(" << params_derivatives.find({ 2, 1 })->second.size() << ",5);" << endl
|
||||
<< hp_output.str()
|
||||
<< "end" << endl
|
||||
<< "end" << endl;
|
||||
}
|
||||
else
|
||||
paramsDerivsFile << "module " << basename << "StaticParamsDerivs" << endl
|
||||
<< "#" << endl
|
||||
<< "# NB: this file was automatically generated by Dynare" << endl
|
||||
<< "# from " << basename << ".mod" << endl
|
||||
<< "#" << endl
|
||||
<< "export params_derivs" << endl << endl
|
||||
<< "function params_derivs(y, x, params)" << endl
|
||||
<< "@inbounds begin" << endl
|
||||
<< tt_output.str()
|
||||
<< "end" << endl
|
||||
<< "rp = zeros(" << equations.size() << ", "
|
||||
<< symbol_table.param_nbr() << ");" << endl
|
||||
<< "@inbounds begin" << endl
|
||||
<< rp_output.str()
|
||||
<< "end" << endl
|
||||
<< "gp = zeros(" << equations.size() << ", " << symbol_table.endo_nbr() << ", "
|
||||
<< symbol_table.param_nbr() << ");" << endl
|
||||
<< "@inbounds begin" << endl
|
||||
<< gp_output.str()
|
||||
<< "end" << endl
|
||||
<< "rpp = zeros(" << params_derivatives.find({ 0, 2 })->second.size() << ",4);" << endl
|
||||
<< "@inbounds begin" << endl
|
||||
<< rpp_output.str()
|
||||
<< "end" << endl
|
||||
<< "gpp = zeros(" << params_derivatives.find({ 1, 2 })->second.size() << ",5);" << endl
|
||||
<< "@inbounds begin" << endl
|
||||
<< gpp_output.str()
|
||||
<< "end" << endl
|
||||
<< "hp = zeros(" << params_derivatives.find({ 2, 1 })->second.size() << ",5);" << endl
|
||||
<< "@inbounds begin" << endl
|
||||
<< hp_output.str()
|
||||
<< "end" << endl
|
||||
<< "(rp, gp, rpp, gpp, hp)" << endl
|
||||
<< "end" << endl
|
||||
<< "end" << endl;
|
||||
|
||||
paramsDerivsFile.close();
|
||||
}
|
||||
|
||||
#endif
|
||||
|
|
|
|||
Loading…
Reference in New Issue