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preprocessor: add lag info to equation cross references. closes #1398

issue#70
Houtan Bastani 2017-03-06 16:34:08 +01:00
parent fc48bf26b9
commit b4ac9aac8d
9 changed files with 152 additions and 138 deletions
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110
DynamicModel.cc
View File

@ -3164,7 +3164,7 @@ DynamicModel::runTrendTest(const eval_context_t &eval_context)
void
DynamicModel::computingPass(bool jacobianExo, bool hessian, bool thirdDerivatives, int paramsDerivsOrder,
const eval_context_t &eval_context, bool no_tmp_terms, bool block, bool use_dll,
bool bytecode, bool compute_xrefs)
bool bytecode)
{
assert(jacobianExo || !(hessian || thirdDerivatives || paramsDerivsOrder));
@ -3272,9 +3272,113 @@ DynamicModel::computingPass(bool jacobianExo, bool hessian, bool thirdDerivative
if (bytecode)
computeTemporaryTermsMapping();
}
}
if (compute_xrefs)
computeXrefs();
void
DynamicModel::computeXrefs()
{
int i = 0;
for (vector<BinaryOpNode *>::iterator it = equations.begin();
it != equations.end(); it++)
{
ExprNode::EquationInfo ei;
(*it)->computeXrefs(ei);
xrefs[i++] = ei;
}
i = 0;
for (map<int, ExprNode::EquationInfo>::const_iterator it = xrefs.begin();
it != xrefs.end(); it++, i++)
{
computeRevXref(xref_param, it->second.param, i);
computeRevXref(xref_endo, it->second.endo, i);
computeRevXref(xref_exo, it->second.exo, i);
computeRevXref(xref_exo_det, it->second.exo_det, i);
}
}
void
DynamicModel::computeRevXref(map<pair<int, int>, set<int> > &xrefset, const set<pair<int, int> > &eiref, int eqn)
{
for (set<pair<int, int> >::const_iterator it = eiref.begin();
it != eiref.end(); it++)
{
set<int> eq;
if (xrefset.find(*it) != xrefset.end())
eq = xrefset[*it];
eq.insert(eqn);
xrefset[*it] = eq;
}
}
void
DynamicModel::writeXrefs(ostream &output) const
{
output << "M_.xref1.param = cell(1, M_.eq_nbr);" << endl
<< "M_.xref1.endo = cell(1, M_.eq_nbr);" << endl
<< "M_.xref1.exo = cell(1, M_.eq_nbr);" << endl
<< "M_.xref1.exo_det = cell(1, M_.eq_nbr);" << endl;
int i = 1;
for (map<int, ExprNode::EquationInfo>::const_iterator it = xrefs.begin();
it != xrefs.end(); it++, i++)
{
output << "M_.xref1.param{" << i << "} = [ ";
for (set<pair<int, int> >::const_iterator it1 = it->second.param.begin();
it1 != it->second.param.end(); it1++)
output << symbol_table.getTypeSpecificID(it1->first) + 1 << " ";
output << "];" << endl;
output << "M_.xref1.endo{" << i << "} = [ ";
for (set<pair<int, int> >::const_iterator it1 = it->second.endo.begin();
it1 != it->second.endo.end(); it1++)
output << "struct('id', " << symbol_table.getTypeSpecificID(it1->first) + 1 << ", 'shift', " << it1->second << ");";
output << "];" << endl;
output << "M_.xref1.exo{" << i << "} = [ ";
for (set<pair<int, int> >::const_iterator it1 = it->second.exo.begin();
it1 != it->second.exo.end(); it1++)
output << "struct('id', " << symbol_table.getTypeSpecificID(it1->first) + 1 << ", 'shift', " << it1->second << ");";
output << "];" << endl;
output << "M_.xref1.exo_det{" << i << "} = [ ";
for (set<pair<int, int> >::const_iterator it1 = it->second.exo_det.begin();
it1 != it->second.exo_det.end(); it1++)
output << "struct('id', " << symbol_table.getTypeSpecificID(it1->first) + 1 << ", 'shift', " << it1->second << ");";
output << "];" << endl;
}
output << "M_.xref2.param = cell(1, M_.param_nbr);" << endl
<< "M_.xref2.endo = cell(1, M_.endo_nbr);" << endl
<< "M_.xref2.exo = cell(1, M_.exo_nbr);" << endl
<< "M_.xref2.exo_det = cell(1, M_.exo_det_nbr);" << endl;
writeRevXrefs(output, xref_param, "param");
writeRevXrefs(output, xref_endo, "endo");
writeRevXrefs(output, xref_exo, "exo");
writeRevXrefs(output, xref_exo_det, "exo_det");
}
void
DynamicModel::writeRevXrefs(ostream &output, const map<pair<int, int>, set<int> > &xrefmap, const string &type) const
{
int last_tsid = -1;
for (map<pair<int, int>, set<int> >::const_iterator it = xrefmap.begin();
it != xrefmap.end(); it++)
{
int tsid = symbol_table.getTypeSpecificID(it->first.first) + 1;
output << "M_.xref2." << type << "{" << tsid << "} = [ ";
if (last_tsid == tsid)
output << "M_.xref2." << type << "{" << tsid << "}; ";
else
last_tsid = tsid;
for (set<int>::const_iterator it1 = it->second.begin();
it1 != it->second.end(); it1++)
if (type == "param")
output << *it1 + 1 << " ";
else
output << "struct('shift', " << it->first.second << ", 'eq', " << *it1+1 << ");";
output << "];" << endl;
}
}
map<pair<pair<int, pair<int, int> >, pair<int, int> >, int>

23
DynamicModel.hh
View File

@ -62,6 +62,13 @@ private:
/*! Set by computeDerivIDs() */
int max_exo_det_lag, max_exo_det_lead;
//! Cross reference information
map<int, ExprNode::EquationInfo> xrefs;
map<pair<int, int>, set<int> > xref_param;
map<pair<int, int>, set<int> > xref_endo;
map<pair<int, int>, set<int> > xref_exo;
map<pair<int, int>, set<int> > xref_exo_det;
//! Number of columns of dynamic jacobian
/*! Set by computeDerivID()s and computeDynJacobianCols() */
int dynJacobianColsNbr;
@ -189,6 +196,12 @@ private:
/*! pair< pair<static, forward>, pair<backward,mixed> > */
vector<pair< pair<int, int>, pair<int, int> > > block_col_type;
//! Help computeXrefs to compute the reverse references (i.e. param->eqs, endo->eqs, etc)
void computeRevXref(map<pair<int, int>, set<int> > &xrefset, const set<pair<int, int> > &eiref, int eqn);
//! Write reverse cross references
void writeRevXrefs(ostream &output, const map<pair<int, int>, set<int> > &xrefmap, const string &type) const;
//! List for each variable its block number and its maximum lag and lead inside the block
vector<pair<int, pair<int, int> > > variable_block_lead_lag;
//! List for each equation its block number
@ -202,7 +215,13 @@ public:
//! Adds a variable node
/*! This implementation allows for non-zero lag */
virtual VariableNode *AddVariable(int symb_id, int lag = 0);
//! Compute cross references
void computeXrefs();
//! Write cross references
void writeXrefs(ostream &output) const;
//! Execute computations (variable sorting + derivation)
/*!
\param jacobianExo whether derivatives w.r. to exo and exo_det should be in the Jacobian (derivatives w.r. to endo are always computed)
@ -213,7 +232,7 @@ public:
\param no_tmp_terms if true, no temporary terms will be computed in the dynamic files
*/
void computingPass(bool jacobianExo, bool hessian, bool thirdDerivatives, int paramsDerivsOrder,
const eval_context_t &eval_context, bool no_tmp_terms, bool block, bool use_dll, bool bytecode, bool compute_xrefs);
const eval_context_t &eval_context, bool no_tmp_terms, bool block, bool use_dll, bool bytecode);
//! Writes model initialization and lead/lag incidence matrix to output
void writeOutput(ostream &output, const string &basename, bool block, bool byte_code, bool use_dll, int order, bool estimation_present, bool compute_xrefs, bool julia) const;

4
DynareMain2.cc
View File

@ -45,13 +45,13 @@ main2(stringstream &in, string &basename, bool debug, bool clear_all, bool clear
mod_file->checkPass(nostrict);
// Perform transformations on the model (creation of auxiliary vars and equations)
mod_file->transformPass(nostrict);
mod_file->transformPass(nostrict, compute_xrefs);
// Evaluate parameters initialization, initval, endval and pounds
mod_file->evalAllExpressions(warn_uninit);
// Do computations
mod_file->computingPass(no_tmp_terms, output_mode, compute_xrefs, params_derivs_order);
mod_file->computingPass(no_tmp_terms, output_mode, params_derivs_order);
// Write outputs
if (output_mode != none)

10
ExprNode.cc
View File

@ -1,5 +1,5 @@
/*
* Copyright (C) 2007-2016 Dynare Team
* Copyright (C) 2007-2017 Dynare Team
*
* This file is part of Dynare.
*
@ -1069,16 +1069,16 @@ VariableNode::computeXrefs(EquationInfo &ei) const
switch (type)
{
case eEndogenous:
ei.endo.insert(symb_id);
ei.endo.insert(make_pair(symb_id, lag));
break;
case eExogenous:
ei.exo.insert(symb_id);
ei.exo.insert(make_pair(symb_id, lag));
break;
case eExogenousDet:
ei.exo_det.insert(symb_id);
ei.exo_det.insert(make_pair(symb_id, lag));
break;
case eParameter:
ei.param.insert(symb_id);
ei.param.insert(make_pair(symb_id, 0));
break;
case eTrend:
case eLogTrend:

10
ExprNode.hh
View File

@ -1,5 +1,5 @@
/*
* Copyright (C) 2007-2016 Dynare Team
* Copyright (C) 2007-2017 Dynare Team
*
* This file is part of Dynare.
*
@ -165,10 +165,10 @@ protected:
//! For creating equation cross references
struct EquationInfo
{
set<int> param;
set<int> endo;
set<int> exo;
set<int> exo_det;
set<pair<int, int> > param;
set<pair<int, int> > endo;
set<pair<int, int> > exo;
set<pair<int, int> > exo_det;
};
public:

15
ModFile.cc
View File

@ -319,7 +319,7 @@ ModFile::checkPass(bool nostrict)
}
void
ModFile::transformPass(bool nostrict)
ModFile::transformPass(bool nostrict, bool compute_xrefs)
{
// Save the original model (must be done before any model transformations by preprocessor)
dynamic_model.cloneDynamic(original_model);
@ -414,6 +414,9 @@ ModFile::transformPass(bool nostrict)
// Freeze the symbol table
symbol_table.freeze();
if (compute_xrefs)
dynamic_model.computeXrefs();
/*
Enforce the same number of equations and endogenous, except in three cases:
- ramsey_model, ramsey_policy or discretionary_policy is used
@ -483,7 +486,7 @@ ModFile::transformPass(bool nostrict)
}
void
ModFile::computingPass(bool no_tmp_terms, FileOutputType output, bool compute_xrefs, int params_derivs_order)
ModFile::computingPass(bool no_tmp_terms, FileOutputType output, int params_derivs_order)
{
// Mod file may have no equation (for example in a standalone BVAR estimation)
if (dynamic_model.equation_number() > 0)
@ -517,7 +520,7 @@ ModFile::computingPass(bool no_tmp_terms, FileOutputType output, bool compute_xr
|| mod_file_struct.calib_smoother_present)
{
if (mod_file_struct.perfect_foresight_solver_present)
dynamic_model.computingPass(true, false, false, none, global_eval_context, no_tmp_terms, block, use_dll, byte_code, compute_xrefs);
dynamic_model.computingPass(true, false, false, none, global_eval_context, no_tmp_terms, block, use_dll, byte_code);
else
{
if (mod_file_struct.stoch_simul_present
@ -542,13 +545,13 @@ ModFile::computingPass(bool no_tmp_terms, FileOutputType output, bool compute_xr
int paramsDerivsOrder = 0;
if (mod_file_struct.identification_present || mod_file_struct.estimation_analytic_derivation)
paramsDerivsOrder = params_derivs_order;
dynamic_model.computingPass(true, hessian, thirdDerivatives, paramsDerivsOrder, global_eval_context, no_tmp_terms, block, use_dll, byte_code, compute_xrefs);
dynamic_model.computingPass(true, hessian, thirdDerivatives, paramsDerivsOrder, global_eval_context, no_tmp_terms, block, use_dll, byte_code);
if (linear && mod_file_struct.ramsey_model_present)
orig_ramsey_dynamic_model.computingPass(true, true, false, paramsDerivsOrder, global_eval_context, no_tmp_terms, block, use_dll, byte_code, compute_xrefs);
orig_ramsey_dynamic_model.computingPass(true, true, false, paramsDerivsOrder, global_eval_context, no_tmp_terms, block, use_dll, byte_code);
}
}
else // No computing task requested, compute derivatives up to 2nd order by default
dynamic_model.computingPass(true, true, false, none, global_eval_context, no_tmp_terms, block, use_dll, byte_code, compute_xrefs);
dynamic_model.computingPass(true, true, false, none, global_eval_context, no_tmp_terms, block, use_dll, byte_code);
if ((linear && !mod_file_struct.ramsey_model_present && !dynamic_model.checkHessianZero()) ||
(linear && mod_file_struct.ramsey_model_present && !orig_ramsey_dynamic_model.checkHessianZero()))

6
ModFile.hh
View File

@ -130,12 +130,12 @@ public:
/*! \todo add check for number of equations and endogenous if ramsey_policy is present */
void checkPass(bool nostrict);
//! Perform some transformations on the model (creation of auxiliary vars and equations)
void transformPass(bool nostrict);
/*! \param compute_xrefs if true, equation cross references will be computed */
void transformPass(bool nostrict, bool compute_xrefs);
//! Execute computations
/*! \param no_tmp_terms if true, no temporary terms will be computed in the static and dynamic files */
/*! \param compute_xrefs if true, equation cross references will be computed */
/*! \param params_derivs_order compute this order of derivs wrt parameters */
void computingPass(bool no_tmp_terms, FileOutputType output, bool compute_xrefs, int params_derivs_order);
void computingPass(bool no_tmp_terms, FileOutputType output, int params_derivs_order);
//! Writes Matlab/Octave output files
/*!
\param basename The base name used for writing output files. Should be the name of the mod file without its extension

97
ModelTree.cc
View File

@ -229,103 +229,6 @@ ModelTree::computeNonSingularNormalization(jacob_map_t &contemporaneous_jacobian
}
}
void
ModelTree::computeXrefs()
{
int i = 0;
for (vector<BinaryOpNode *>::iterator it = equations.begin();
it != equations.end(); it++)
{
ExprNode::EquationInfo ei;
(*it)->computeXrefs(ei);
xrefs[i++] = ei;
}
i = 0;
for (map<int, ExprNode::EquationInfo>::const_iterator it = xrefs.begin();
it != xrefs.end(); it++, i++)
{
computeRevXref(xref_param, it->second.param, i);
computeRevXref(xref_endo, it->second.endo, i);
computeRevXref(xref_exo, it->second.exo, i);
computeRevXref(xref_exo_det, it->second.exo_det, i);
}
}
void
ModelTree::computeRevXref(map<int, set<int> > &xrefset, const set<int> &eiref, int eqn)
{
for (set<int>::const_iterator it1 = eiref.begin();
it1 != eiref.end(); it1++)
{
set<int> eq;
if (xrefset.find(symbol_table.getTypeSpecificID(*it1)) != xrefset.end())
eq = xrefset[symbol_table.getTypeSpecificID(*it1)];
eq.insert(eqn);
xrefset[symbol_table.getTypeSpecificID(*it1)] = eq;
}
}
void
ModelTree::writeXrefs(ostream &output) const
{
output << "M_.xref1.param = cell(1, M_.eq_nbr);" << endl
<< "M_.xref1.endo = cell(1, M_.eq_nbr);" << endl
<< "M_.xref1.exo = cell(1, M_.eq_nbr);" << endl
<< "M_.xref1.exo_det = cell(1, M_.eq_nbr);" << endl
<< "M_.xref2.param = cell(1, M_.eq_nbr);" << endl
<< "M_.xref2.endo = cell(1, M_.eq_nbr);" << endl
<< "M_.xref2.exo = cell(1, M_.eq_nbr);" << endl
<< "M_.xref2.exo_det = cell(1, M_.eq_nbr);" << endl;
int i = 1;
for (map<int, ExprNode::EquationInfo>::const_iterator it = xrefs.begin();
it != xrefs.end(); it++, i++)
{
output << "M_.xref1.param{" << i << "} = [ ";
for (set<int>::const_iterator it1 = it->second.param.begin();
it1 != it->second.param.end(); it1++)
output << symbol_table.getTypeSpecificID(*it1) + 1 << " ";
output << "];" << endl;
output << "M_.xref1.endo{" << i << "} = [ ";
for (set<int>::const_iterator it1 = it->second.endo.begin();
it1 != it->second.endo.end(); it1++)
output << symbol_table.getTypeSpecificID(*it1) + 1 << " ";
output << "];" << endl;
output << "M_.xref1.exo{" << i << "} = [ ";
for (set<int>::const_iterator it1 = it->second.exo.begin();
it1 != it->second.exo.end(); it1++)
output << symbol_table.getTypeSpecificID(*it1) + 1 << " ";
output << "];" << endl;
output << "M_.xref1.exo_det{" << i << "} = [ ";
for (set<int>::const_iterator it1 = it->second.exo_det.begin();
it1 != it->second.exo_det.end(); it1++)
output << symbol_table.getTypeSpecificID(*it1) + 1 << " ";
output << "];" << endl;
}
writeRevXrefs(output, xref_param, "param");
writeRevXrefs(output, xref_endo, "endo");
writeRevXrefs(output, xref_exo, "exo");
writeRevXrefs(output, xref_exo_det, "exo_det");
}
void
ModelTree::writeRevXrefs(ostream &output, const map<int, set<int> > &xrefmap, const string &type) const
{
for (map<int, set<int> >::const_iterator it = xrefmap.begin();
it != xrefmap.end(); it++)
{
output << "M_.xref2." << type << "{" << it->first + 1 << "} = [ ";
for (set<int>::const_iterator it1 = it->second.begin();
it1 != it->second.end(); it1++)
output << *it1 + 1 << " ";
output << "];" << endl;
}
}
void
ModelTree::computeNormalizedEquations(multimap<int, int> &endo2eqs) const
{

15
ModelTree.hh
View File

@ -100,13 +100,6 @@ protected:
*/
first_derivatives_t residuals_params_derivatives;
//! Cross reference information
map<int, ExprNode::EquationInfo> xrefs;
map<int, set<int> > xref_param;
map<int, set<int> > xref_endo;
map<int, set<int> > xref_exo;
map<int, set<int> > xref_exo_det;
//! Second derivatives of the residuals w.r. to parameters
/*! First index is equation number, second and third indeces are parameters.
Only non-null derivatives are stored in the map.
@ -240,14 +233,6 @@ protected:
//! Try to normalized each unnormalized equation (matched endogenous variable only on the LHS)
void computeNormalizedEquations(multimap<int, int> &endo2eqs) const;
//! Compute cross references
void computeXrefs();
//! Help computeXrefs to compute the reverse references (i.e. param->eqs, endo->eqs, etc)
void computeRevXref(map<int, set<int> > &xrefset, const set<int> &eiref, int eqn);
//! Write cross references
void writeXrefs(ostream &output) const;
//! Write reverse cross references
void writeRevXrefs(ostream &output, const map<int, set<int> > &xrefmap, const string &type) const;
//! Evaluate the jacobian and suppress all the elements below the cutoff
void evaluateAndReduceJacobian(const eval_context_t &eval_context, jacob_map_t &contemporaneous_jacobian, jacob_map_t &static_jacobian, dynamic_jacob_map_t &dynamic_jacobian, double cutoff, bool verbose);
//! Search the equations and variables belonging to the prologue and the epilogue of the model