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PAC: in the backward case, unify h0 and h1 parameters vector into a single vector 

There is no reason to keep this distinction.

Additionally, since the data structure is now symmetric with the MCE case,
unify this “h” parameter vector with the “α” parameter vector.
pac-components
Sébastien Villemot 2021-11-17 18:12:29 +01:00
parent 0f89569f7e
commit ae242770f9
No known key found for this signature in database
GPG Key ID: 2CECE9350ECEBE4A
4 changed files with 34 additions and 91 deletions
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71
src/DynamicModel.cc
View File

@ -3789,7 +3789,7 @@ DynamicModel::computePacModelConsistentExpectationSubstitution(const string &nam
expr_t growth_correction_term,
ExprNode::subst_table_t &diff_subst_table,
map<string, int> &pac_aux_var_symb_ids,
map<string, vector<int>> &pac_mce_alpha_symb_ids,
map<string, vector<int>> &pac_aux_param_symb_ids,
map<string, expr_t> &pac_expectation_substitution)
{
int pac_target_symb_id;
@ -3827,7 +3827,7 @@ DynamicModel::computePacModelConsistentExpectationSubstitution(const string &nam
try
{
int alpha_i_symb_id = symbol_table.addSymbol(param_name, SymbolType::parameter);
pac_mce_alpha_symb_ids[name].push_back(alpha_i_symb_id);
pac_aux_param_symb_ids[name].push_back(alpha_i_symb_id);
A = AddPlus(A, AddVariable(alpha_i_symb_id));
fp = AddPlus(fp,
AddTimes(AddTimes(AddVariable(alpha_i_symb_id),
@ -3928,16 +3928,11 @@ DynamicModel::computePacBackwardExpectationSubstitution(const string &name,
const vector<int> &lhs,
int max_lag,
const string &aux_model_type,
const vector<bool> &nonstationary,
expr_t growth_correction_term,
map<string, int> &pac_aux_var_symb_ids,
map<string, vector<int>> &pac_h0_indices,
map<string, vector<int>> &pac_h1_indices,
map<string, vector<int>> &pac_aux_param_symb_ids,
map<string, expr_t> &pac_expectation_substitution)
{
bool stationary_vars_present = any_of(nonstationary.begin(), nonstationary.end(), logical_not<bool>());
bool nonstationary_vars_present = any_of(nonstationary.begin(), nonstationary.end(), [](bool b) { return b; }); // FIXME: use std::identity instead of an anonymous function when we upgrade to C++20
auto create_aux_param = [&](const string &param_name)
{
try
@ -3952,51 +3947,25 @@ DynamicModel::computePacBackwardExpectationSubstitution(const string &name,
};
expr_t subExpr = Zero;
if (stationary_vars_present)
if (aux_model_type == "var")
{
if (aux_model_type == "var")
{
/* If the auxiliary model is a VAR, add a parameter corresponding
to the constant. */
int new_param_symb_id = create_aux_param("h0_" + name + "_constant");
pac_h0_indices[name].push_back(new_param_symb_id);
subExpr = AddPlus(subExpr, AddVariable(new_param_symb_id));
}
for (int i = 1; i < max_lag + 1; i++)
for (auto lhsit : lhs)
{
int new_param_symb_id = create_aux_param("h0_" + name + "_var_"
+ symbol_table.getName(lhsit)
+ "_lag_" + to_string(i));
pac_h0_indices[name].push_back(new_param_symb_id);
subExpr = AddPlus(subExpr,
AddTimes(AddVariable(new_param_symb_id),
AddVariable(lhsit, -i)));
}
}
if (nonstationary_vars_present)
{
if (aux_model_type == "var")
{
/* If the auxiliary model is a VAR, add a parameter corresponding
to the constant. */
int new_param_symb_id = create_aux_param("h1_" + name + "_constant");
pac_h1_indices[name].push_back(new_param_symb_id);
subExpr = AddPlus(subExpr, AddVariable(new_param_symb_id));
}
for (int i = 1; i < max_lag + 1; i++)
for (auto lhsit : lhs)
{
int new_param_symb_id = create_aux_param("h1_" + name + "_var_"
+ symbol_table.getName(lhsit)
+ "_lag_" + to_string(i));
pac_h1_indices[name].push_back(new_param_symb_id);
subExpr = AddPlus(subExpr,
AddTimes(AddVariable(new_param_symb_id),
AddVariable(lhsit, -i)));
}
/* If the auxiliary model is a VAR, add a parameter corresponding
to the constant. */
int new_param_symb_id = create_aux_param("h_" + name + "_constant");
pac_aux_param_symb_ids[name].push_back(new_param_symb_id);
subExpr = AddPlus(subExpr, AddVariable(new_param_symb_id));
}
for (int i = 1; i < max_lag + 1; i++)
for (auto lhsit : lhs)
{
int new_param_symb_id = create_aux_param("h_" + name + "_var_"
+ symbol_table.getName(lhsit)
+ "_lag_" + to_string(i));
pac_aux_param_symb_ids[name].push_back(new_param_symb_id);
subExpr = AddPlus(subExpr,
AddTimes(AddVariable(new_param_symb_id),
AddVariable(lhsit, -i)));
}
int expect_var_id;
string expect_var_name = "pac_expectation_" + name;

6
src/DynamicModel.hh
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@ -539,7 +539,7 @@ public:
expr_t growth_correction_term,
ExprNode::subst_table_t &diff_subst_table,
map<string, int> &pac_aux_var_symb_ids,
map<string, vector<int>> &pac_mce_alpha_symb_ids,
map<string, vector<int>> &pac_aux_param_symb_ids,
map<string, expr_t> &pac_expectation_substitution);
@ -550,11 +550,9 @@ public:
const vector<int> &lhs,
int max_lag,
const string &aux_model_type,
const vector<bool> &nonstationary,
expr_t growth_correction_term,
map<string, int> &pac_aux_var_symb_ids,
map<string, vector<int>> &pac_h0_indices,
map<string, vector<int>> &pac_h1_indices,
map<string, vector<int>> &pac_aux_param_symb_ids,
map<string, expr_t> &pac_expectation_substitution);
//! Substitutes pac_expectation operator with expectation based on auxiliary model

35
src/SubModel.cc
View File

@ -842,22 +842,17 @@ PacModelTable::transformPass(ExprNode::subst_table_t &diff_subst_table,
// Collect some information about PAC models
int max_lag;
vector<bool> nonstationary;
if (trend_component_model_table.isExistingTrendComponentModelName(aux_model_name[name]))
{
aux_model_type[name] = "trend_component";
max_lag = trend_component_model_table.getMaxLag(aux_model_name[name]) + 1;
lhs[name] = dynamic_model.getUndiffLHSForPac(aux_model_name[name], diff_subst_table);
// All lhs variables in a trend component model are nonstationary
nonstationary.insert(nonstationary.end(), trend_component_model_table.getDiff(aux_model_name[name]).size(), true);
}
else if (var_model_table.isExistingVarModelName(aux_model_name[name]))
{
aux_model_type[name] = "var";
max_lag = var_model_table.getMaxLag(aux_model_name[name]);
lhs[name] = var_model_table.getLhs(aux_model_name[name]);
// nonstationary variables in a VAR are those that are in diff
nonstationary = var_model_table.getDiff(aux_model_name[name]);
}
else if (aux_model_name[name].empty())
max_lag = 0;
@ -895,15 +890,14 @@ PacModelTable::transformPass(ExprNode::subst_table_t &diff_subst_table,
growth_correction_term,
diff_subst_table,
aux_var_symb_ids,
mce_alpha_symb_ids,
aux_param_symb_ids,
pac_expectation_substitution);
else
dynamic_model.computePacBackwardExpectationSubstitution(name, lhs[name], max_lag,
aux_model_type[name],
nonstationary,
growth_correction_term,
aux_var_symb_ids,
h0_indices, h1_indices,
aux_param_symb_ids,
pac_expectation_substitution);
}
@ -975,10 +969,10 @@ PacModelTable::writeOutput(const string &basename, ostream &output) const
}
}
// Write PAC Model Consistent Expectation parameter info
for (auto &[name, ids] : mce_alpha_symb_ids)
// Write the auxiliary parameter IDs created for the pac_expectation operator
for (auto &[name, ids] : aux_param_symb_ids)
{
output << "M_.pac." << name << ".mce.alpha = [";
output << "M_.pac." << name << "." << (aux_model_name.at(name).empty() ? "mce.alpha" : "h_param_indices") << " = [";
for (auto id : ids)
output << symbol_table.getTypeSpecificID(id) + 1 << " ";
output << "];" << endl;
@ -1171,25 +1165,6 @@ PacModelTable::writeOutput(const string &basename, ostream &output) const
output << get<3>(it) << " ";
output << "];" << endl;
}
// Create empty h0 and h1 substructures that will be overwritten later if not empty
output << "M_.pac." << name << ".h0_param_indices = [];" << endl
<< "M_.pac." << name << ".h1_param_indices = [];" << endl;
}
for (auto &[name, symb_ids] : h0_indices)
{
output << "M_.pac." << name << ".h0_param_indices = [";
for (auto it : symb_ids)
output << symbol_table.getTypeSpecificID(it) + 1 << " ";
output << "];" << endl;
}
for (auto &[name, symb_ids] : h1_indices)
{
output << "M_.pac." << name << ".h1_param_indices = [";
for (auto it : symb_ids)
output << symbol_table.getTypeSpecificID(it) + 1 << " ";
output << "];" << endl;
}
}

13
src/SubModel.hh
View File

@ -213,12 +213,13 @@ private:
correction term)
pac_model_name → symb_id */
map<string, int> aux_var_symb_ids;
/* Stores symb_ids for alphas created by DynamicModel::addPacModelConsistentExpectationEquation()
pac_model_name → mce_alpha_symb_ids */
map<string, vector<int>> mce_alpha_symb_ids;
/* Stores symb_ids for h0, h1 parameters
pac_model_name → parameter symb_ids */
map<string, vector<int>> h0_indices, h1_indices;
/* Stores symb_ids for auxiliary parameters created for the expression
substituted to the pac_expectation operator (excluding the growth
neutrality correction):
- in the backward case, contains the “h” parameters
- in the MCE case, contains the “α” parameters
pac_model_name → symb_ids */
map<string, vector<int>> aux_param_symb_ids;
/* Stores indices for growth neutrality parameters
pac_model_name → growth_neutrality_param_index */
map<string, int> growth_neutrality_params;