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Block decomposition: no longer compute static Jacobian, it’s not used 

Also remove a message about elements below the cutoff that was no longer
correct (elements below the cutoff have no impact on the incidence matrix
outside of normalization).
issue#70
Sébastien Villemot 2020-05-06 18:09:44 +02:00
parent a1b37288f9
commit c699d57308
No known key found for this signature in database
GPG Key ID: 2CECE9350ECEBE4A
4 changed files with 16 additions and 41 deletions
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8
src/DynamicModel.cc
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@ -4508,10 +4508,10 @@ DynamicModel::computingPass(bool jacobianExo, int derivsOrder, int paramsDerivsO
auto first_order_endo_derivatives = collectFirstOrderDerivativesEndogenous();
equationLinear(first_order_endo_derivatives);
auto [contemporaneous_jacobian, static_jacobian] = evaluateAndReduceJacobian(eval_context, cutoff, false);
auto contemporaneous_jacobian = evaluateAndReduceJacobian(eval_context);
if (!computeNaturalNormalization())
computeNonSingularNormalization(contemporaneous_jacobian, cutoff, static_jacobian);
computeNonSingularNormalization(contemporaneous_jacobian);
select_non_linear_equations_and_variables();
@ -4531,9 +4531,9 @@ DynamicModel::computingPass(bool jacobianExo, int derivsOrder, int paramsDerivsO
}
else if (block)
{
auto [contemporaneous_jacobian, static_jacobian] = evaluateAndReduceJacobian(eval_context, cutoff, false);
auto contemporaneous_jacobian = evaluateAndReduceJacobian(eval_context);
computeNonSingularNormalization(contemporaneous_jacobian, cutoff, static_jacobian);
computeNonSingularNormalization(contemporaneous_jacobian);
auto [prologue, epilogue] = computePrologueAndEpilogue();

39
src/ModelTree.cc
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@ -255,7 +255,7 @@ ModelTree::computeNormalization(const jacob_map_t &contemporaneous_jacobian, boo
}
void
ModelTree::computeNonSingularNormalization(const jacob_map_t &contemporaneous_jacobian, double cutoff, const jacob_map_t &static_jacobian)
ModelTree::computeNonSingularNormalization(const jacob_map_t &contemporaneous_jacobian)
{
cout << "Normalizing the model..." << endl;
@ -317,12 +317,10 @@ ModelTree::computeNonSingularNormalization(const jacob_map_t &contemporaneous_ja
}
}
pair<ModelTree::jacob_map_t, ModelTree::jacob_map_t>
ModelTree::evaluateAndReduceJacobian(const eval_context_t &eval_context, double cutoff, bool verbose) const
ModelTree::jacob_map_t
ModelTree::evaluateAndReduceJacobian(const eval_context_t &eval_context) const
{
jacob_map_t contemporaneous_jacobian, static_jacobian;
int nb_elements_contemporaneous_jacobian = 0;
set<vector<int>> jacobian_elements_to_delete;
jacob_map_t contemporaneous_jacobian;
for (const auto &[indices, d1] : derivatives[1])
{
int deriv_id = indices[1];
@ -348,35 +346,12 @@ ModelTree::evaluateAndReduceJacobian(const eval_context_t &eval_context, double
cerr << endl;
exit(EXIT_FAILURE);
}
if (fabs(val) < cutoff)
{
if (verbose)
cout << "The coefficient related to variable " << var << " with lag " << lag << " in equation " << eq << " is equal to " << val << " and is set to 0 in the incidence matrix (size=" << symbol_table.endo_nbr() << ")." << endl;
jacobian_elements_to_delete.insert({ eq, deriv_id });
}
else
{
if (lag == 0)
{
nb_elements_contemporaneous_jacobian++;
contemporaneous_jacobian[{ eq, var }] = val;
}
if (static_jacobian.find({ eq, var }) != static_jacobian.end())
static_jacobian[{ eq, var }] += val;
else
static_jacobian[{ eq, var }] = val;
}
if (lag == 0)
contemporaneous_jacobian[{ eq, var }] = val;
}
}
if (jacobian_elements_to_delete.size() > 0)
{
cout << jacobian_elements_to_delete.size() << " elements among " << derivatives[1].size() << " in the incidence matrices are below the cutoff (" << cutoff << ") and are discarded." << endl
<< "The contemporaneous incidence matrix has " << nb_elements_contemporaneous_jacobian << " elements." << endl;
}
return { contemporaneous_jacobian, static_jacobian };
return contemporaneous_jacobian;
}
void

6
src/ModelTree.hh
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@ -279,13 +279,13 @@ protected:
If no matching is found with a zero cutoff, an error message is printed.
The resulting normalization is stored in endo2eq.
*/
void computeNonSingularNormalization(const jacob_map_t &contemporaneous_jacobian, double cutoff, const jacob_map_t &static_jacobian);
void computeNonSingularNormalization(const jacob_map_t &contemporaneous_jacobian);
//! Try to find a natural normalization if all equations are matched to an endogenous variable on the LHS
bool computeNaturalNormalization();
//! Evaluate the jacobian (w.r.t. endogenous) and suppress all the elements below the cutoff
/*! Returns a pair (contemporaneous_jacobian, static_jacobian).
/*! Returns the contemporaneous_jacobian.
Elements below the cutoff are discarded. External functions are evaluated to 1. */
pair<jacob_map_t, jacob_map_t> evaluateAndReduceJacobian(const eval_context_t &eval_context, double cutoff, bool verbose) const;
jacob_map_t evaluateAndReduceJacobian(const eval_context_t &eval_context) const;
//! Select and reorder the non linear equations of the model
void select_non_linear_equations_and_variables();
/* Search the equations and variables belonging to the prologue and the

4
src/StaticModel.cc
View File

@ -1064,9 +1064,9 @@ StaticModel::computingPass(int derivsOrder, int paramsDerivsOrder, const eval_co
if (block)
{
auto [contemporaneous_jacobian, static_jacobian] = evaluateAndReduceJacobian(eval_context, cutoff, false);
auto contemporaneous_jacobian = evaluateAndReduceJacobian(eval_context);
computeNonSingularNormalization(contemporaneous_jacobian, cutoff, static_jacobian);
computeNonSingularNormalization(contemporaneous_jacobian);
auto [prologue, epilogue] = computePrologueAndEpilogue();