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var_expectation: first draft

issue#70
Houtan Bastani 2016-11-03 17:08:06 +01:00 committed by Stéphane Adjemian (Charybdis)
parent b08a397983
commit a020daef37
9 changed files with 59 additions and 13 deletions
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5
CodeInterpreter.hh
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@ -1,5 +1,5 @@
/*
* Copyright (C) 2007-2015 Dynare Team
* Copyright (C) 2007-2016 Dynare Team
*
* This file is part of Dynare.
*
@ -199,7 +199,8 @@ enum UnaryOpcode
oSteadyStateParamDeriv, // for the derivative of the STEADY_STATE operator w.r.t. to a parameter
oSteadyStateParam2ndDeriv, // for the 2nd derivative of the STEADY_STATE operator w.r.t. to a parameter
oExpectation,
oErf
oErf,
oVarExpectation
};
enum BinaryOpcode

6
DataTree.cc
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@ -490,6 +490,12 @@ DataTree::AddExpectation(int iArg1, expr_t iArg2)
return AddUnaryOp(oExpectation, iArg2, iArg1);
}
expr_t
DataTree::AddVarExpectation(expr_t iArg1, const string &iArg2)
{
return AddUnaryOp(oVarExpectation, iArg1, 0, 0, 0, iArg2);
}
expr_t
DataTree::AddEqual(expr_t iArg1, expr_t iArg2)
{

12
DataTree.hh
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@ -62,7 +62,7 @@ protected:
typedef map<pair<int, int>, VariableNode *> variable_node_map_t;
variable_node_map_t variable_node_map;
//! Pair( Pair(arg1, UnaryOpCode), Pair( Expectation Info Set, Pair(param1_symb_id, param2_symb_id)) ))
typedef map<pair<pair<expr_t, UnaryOpcode>, pair<int, pair<int, int> > >, UnaryOpNode *> unary_op_node_map_t;
typedef map<pair<pair<expr_t, UnaryOpcode>, pair<pair<int, pair<int, int> >, string> >, UnaryOpNode *> unary_op_node_map_t;
unary_op_node_map_t unary_op_node_map;
//! Pair( Pair( Pair(arg1, arg2), order of Power Derivative), opCode)
typedef map<pair<pair<pair<expr_t, expr_t>, int>, BinaryOpcode>, BinaryOpNode *> binary_op_node_map_t;
@ -98,7 +98,7 @@ private:
int node_counter;
inline expr_t AddPossiblyNegativeConstant(double val);
inline expr_t AddUnaryOp(UnaryOpcode op_code, expr_t arg, int arg_exp_info_set = 0, int param1_symb_id = 0, int param2_symb_id = 0);
inline expr_t AddUnaryOp(UnaryOpcode op_code, expr_t arg, int arg_exp_info_set = 0, int param1_symb_id = 0, int param2_symb_id = 0, const string &var_expectation_model_name = string());
inline expr_t AddBinaryOp(expr_t arg1, BinaryOpcode op_code, expr_t arg2, int powerDerivOrder = 0);
inline expr_t AddTrinaryOp(expr_t arg1, TrinaryOpcode op_code, expr_t arg2, expr_t arg3);
@ -156,6 +156,8 @@ public:
expr_t AddPowerDeriv(expr_t iArg1, expr_t iArg2, int powerDerivOrder);
//! Adds "E(arg1)(arg2)" to model tree
expr_t AddExpectation(int iArg1, expr_t iArg2);
//! Adds "E(arg1)(arg2)" to model tree
expr_t AddVarExpectation(expr_t iArg1, const string &iArg2);
//! Adds "exp(arg)" to model tree
expr_t AddExp(expr_t iArg1);
//! Adds "log(arg)" to model tree
@ -304,10 +306,10 @@ DataTree::AddPossiblyNegativeConstant(double v)
}
inline expr_t
DataTree::AddUnaryOp(UnaryOpcode op_code, expr_t arg, int arg_exp_info_set, int param1_symb_id, int param2_symb_id)
DataTree::AddUnaryOp(UnaryOpcode op_code, expr_t arg, int arg_exp_info_set, int param1_symb_id, int param2_symb_id, const string &var_expectation_model_name)
{
// If the node already exists in tree, share it
unary_op_node_map_t::iterator it = unary_op_node_map.find(make_pair(make_pair(arg, op_code), make_pair(arg_exp_info_set, make_pair(param1_symb_id, param2_symb_id))));
unary_op_node_map_t::iterator it = unary_op_node_map.find(make_pair(make_pair(arg, op_code), make_pair(make_pair(arg_exp_info_set, make_pair(param1_symb_id, param2_symb_id)), var_expectation_model_name)));
if (it != unary_op_node_map.end())
return it->second;
@ -326,7 +328,7 @@ DataTree::AddUnaryOp(UnaryOpcode op_code, expr_t arg, int arg_exp_info_set, int
{
}
}
return new UnaryOpNode(*this, op_code, arg, arg_exp_info_set, param1_symb_id, param2_symb_id);
return new UnaryOpNode(*this, op_code, arg, arg_exp_info_set, param1_symb_id, param2_symb_id, var_expectation_model_name);
}
inline expr_t

4
DynareBison.yy
View File

@ -129,7 +129,7 @@ class ParsingDriver;
%token TEX RAMSEY_MODEL RAMSEY_POLICY RAMSEY_CONSTRAINTS PLANNER_DISCOUNT DISCRETIONARY_POLICY DISCRETIONARY_TOL
%token <string_val> TEX_NAME
%token UNIFORM_PDF UNIT_ROOT_VARS USE_DLL USEAUTOCORR GSA_SAMPLE_FILE USE_UNIVARIATE_FILTERS_IF_SINGULARITY_IS_DETECTED
%token VALUES VAR VAREXO VAREXO_DET VAROBS VAREXOBS PREDETERMINED_VARIABLES
%token VALUES VAR VAREXO VAREXO_DET VAROBS VAREXOBS PREDETERMINED_VARIABLES VAR_EXPECTATION
%token WRITE_LATEX_DYNAMIC_MODEL WRITE_LATEX_STATIC_MODEL WRITE_LATEX_ORIGINAL_MODEL
%token XLS_SHEET XLS_RANGE LMMCP OCCBIN BANDPASS_FILTER COLORMAP VAR_MODEL
%left COMMA
@ -771,6 +771,8 @@ hand_side : '(' hand_side ')'
{ $$ = driver.add_power($1, $3); }
| EXPECTATION '(' signed_integer ')''(' hand_side ')'
{ $$ = driver.add_expectation($3, $6); }
| VAR_EXPECTATION '(' hand_side COMMA MODEL_NAME EQUAL NAME ')'
{ $$ = driver.add_var_expectation($3, $7); }
| MINUS hand_side %prec UMINUS
{ $$ = driver.add_uminus($2); }
| PLUS hand_side

3
DynareFlex.ll
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@ -332,7 +332,7 @@ DATE -?[0-9]+([YyAa]|[Mm]([1-9]|1[0-2])|[Qq][1-4]|[Ww]([1-9]{1}|[1-4][0-9]|5[0-2
<DYNARE_STATEMENT>nocorr {return token::NOCORR;}
<DYNARE_STATEMENT>optim {return token::OPTIM;}
<DYNARE_STATEMENT>periods {return token::PERIODS;}
<DYNARE_STATEMENT>model_name {return token::MODEL_NAME;}
<DYNARE_STATEMENT,DYNARE_BLOCK>model_name {return token::MODEL_NAME;}
<DYNARE_STATEMENT>endogenous_terminal_period {return token::ENDOGENOUS_TERMINAL_PERIOD;}
<DYNARE_STATEMENT>sub_draws {return token::SUB_DRAWS;}
<DYNARE_STATEMENT>minimal_solving_periods {return token::MINIMAL_SOLVING_PERIODS;}
@ -763,6 +763,7 @@ DATE -?[0-9]+([YyAa]|[Mm]([1-9]|1[0-2])|[Qq][1-4]|[Ww]([1-9]{1}|[1-4][0-9]|5[0-2
<DYNARE_STATEMENT,DYNARE_BLOCK>erf {return token::ERF;}
<DYNARE_STATEMENT,DYNARE_BLOCK>steady_state {return token::STEADY_STATE;}
<DYNARE_STATEMENT,DYNARE_BLOCK>expectation {return token::EXPECTATION;}
<DYNARE_BLOCK>var_expectation {return token::VAR_EXPECTATION;}
<DYNARE_STATEMENT,DYNARE_BLOCK>varobs {return token::VAROBS;}
<DYNARE_STATEMENT,DYNARE_BLOCK>varexobs {return token::VAREXOBS;}
<DYNARE_STATEMENT,DYNARE_BLOCK>full {return token::FULL;}

29
ExprNode.cc
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@ -1502,18 +1502,20 @@ VariableNode::isInStaticForm() const
return lag == 0;
}
UnaryOpNode::UnaryOpNode(DataTree &datatree_arg, UnaryOpcode op_code_arg, const expr_t arg_arg, int expectation_information_set_arg, int param1_symb_id_arg, int param2_symb_id_arg) :
UnaryOpNode::UnaryOpNode(DataTree &datatree_arg, UnaryOpcode op_code_arg, const expr_t arg_arg, int expectation_information_set_arg, int param1_symb_id_arg, int param2_symb_id_arg, const string &var_expectation_model_name_arg) :
ExprNode(datatree_arg),
arg(arg_arg),
expectation_information_set(expectation_information_set_arg),
param1_symb_id(param1_symb_id_arg),
param2_symb_id(param2_symb_id_arg),
var_expectation_model_name(var_expectation_model_name_arg),
op_code(op_code_arg)
{
// Add myself to the unary op map
datatree.unary_op_node_map[make_pair(make_pair(arg, op_code),
make_pair(expectation_information_set,
make_pair(param1_symb_id, param2_symb_id)))] = this;
make_pair(make_pair(expectation_information_set,
make_pair(param1_symb_id, param2_symb_id)),
var_expectation_model_name))] = this;
}
void
@ -1659,6 +1661,8 @@ UnaryOpNode::composeDerivatives(expr_t darg, int deriv_id)
t14 = datatree.AddDivide(datatree.Two, t13);
// (2/(sqrt(pi)*exp(x^2)))*dx;
return datatree.AddTimes(t14, darg);
case oVarExpectation:
return datatree.Zero;
}
// Suppress GCC warning
exit(EXIT_FAILURE);
@ -1740,6 +1744,8 @@ UnaryOpNode::cost(int cost, bool is_matlab) const
case oSteadyStateParam2ndDeriv:
case oExpectation:
return cost;
case oVarExpectation:
return cost + MIN_COST_MATLAB + 1;
}
else
// Cost for C files
@ -1782,6 +1788,8 @@ UnaryOpNode::cost(int cost, bool is_matlab) const
case oSteadyStateParam2ndDeriv:
case oExpectation:
return cost;
case oVarExpectation:
return cost + MIN_COST_C + 1;
}
exit(EXIT_FAILURE);
}
@ -2007,6 +2015,18 @@ UnaryOpNode::writeOutput(ostream &output, ExprNodeOutputType output_type,
case oErf:
output << "erf";
break;
case oVarExpectation:
VariableNode *varg = dynamic_cast<VariableNode *>(arg);
assert(varg != NULL);
assert(datatree.symbol_table.getType(varg->symb_id) == eEndogenous);
if (IS_LATEX(output_type))
output << "VAR" << LEFT_PAR(output_type)
<< datatree.symbol_table.getTeXName(varg->symb_id)
<< "_{t+1}" << RIGHT_PAR(output_type);
else
output << "var_forecast('" << var_expectation_model_name << "', 1, y, '"
<< datatree.symbol_table.getName(varg->symb_id) << "')";
return;
}
bool close_parenthesis = false;
@ -2102,6 +2122,7 @@ UnaryOpNode::eval_opcode(UnaryOpcode op_code, double v) throw (EvalException, Ev
case oSteadyStateParamDeriv:
case oSteadyStateParam2ndDeriv:
case oExpectation:
case oVarExpectation:
throw EvalException();
case oErf:
return (erf(v));
@ -2354,6 +2375,8 @@ UnaryOpNode::buildSimilarUnaryOpNode(expr_t alt_arg, DataTree &alt_datatree) con
return alt_datatree.AddExpectation(expectation_information_set, alt_arg);
case oErf:
return alt_datatree.AddErf(alt_arg);
case oVarExpectation:
return alt_datatree.AddVarExpectation(alt_arg, var_expectation_model_name);
}
// Suppress GCC warning
exit(EXIT_FAILURE);

4
ExprNode.hh
View File

@ -588,6 +588,8 @@ private:
const int expectation_information_set;
//! Only used for oSteadyStateParamDeriv and oSteadyStateParam2ndDeriv
const int param1_symb_id, param2_symb_id;
//! Only used for oVarExpectation
const string var_expectation_model_name;
const UnaryOpcode op_code;
virtual expr_t computeDerivative(int deriv_id);
virtual int cost(int cost, bool is_matlab) const;
@ -596,7 +598,7 @@ private:
//! Returns the derivative of this node if darg is the derivative of the argument
expr_t composeDerivatives(expr_t darg, int deriv_id);
public:
UnaryOpNode(DataTree &datatree_arg, UnaryOpcode op_code_arg, const expr_t arg_arg, int expectation_information_set_arg, int param1_symb_id_arg, int param2_symb_id_arg);
UnaryOpNode(DataTree &datatree_arg, UnaryOpcode op_code_arg, const expr_t arg_arg, int expectation_information_set_arg, int param1_symb_id_arg, int param2_symb_id_arg, const string &var_expectation_model_name_arg);
virtual void prepareForDerivation();
virtual void computeTemporaryTerms(map<expr_t, pair<int, NodeTreeReference> > &reference_count,
map<NodeTreeReference, temporary_terms_t> &temp_terms_map,

7
ParsingDriver.cc
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@ -2386,6 +2386,13 @@ ParsingDriver::add_expectation(string *arg1, expr_t arg2)
return expectationNode;
}
expr_t
ParsingDriver::add_var_expectation(expr_t arg1, string *arg2)
{
expr_t varExpectationNode = data_tree->AddVarExpectation(arg1, *arg2);
return varExpectationNode;
}
expr_t
ParsingDriver::add_exp(expr_t arg1)
{

2
ParsingDriver.hh
View File

@ -638,6 +638,8 @@ public:
expr_t add_power(expr_t arg1, expr_t arg2);
//! Writes token "E(arg1)(arg2)" to model tree
expr_t add_expectation(string *arg1, expr_t arg2);
//! Writes token "VAR_EXPECTATION(arg1,arg2)" to model tree
expr_t add_var_expectation(expr_t arg1, string *arg2);
//! Writes token "exp(arg1)" to model tree
expr_t add_exp(expr_t arg1);
//! Writes token "log(arg1)" to model tree