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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@ -4508,10 +4508,10 @@ DynamicModel::computingPass(bool jacobianExo, int derivsOrder, int paramsDerivsO
auto first_order_endo_derivatives = collectFirstOrderDerivativesEndogenous(); auto first_order_endo_derivatives = collectFirstOrderDerivativesEndogenous();
equationLinear(first_order_endo_derivatives); equationLinear(first_order_endo_derivatives);
auto [contemporaneous_jacobian, static_jacobian] = evaluateAndReduceJacobian(eval_context, cutoff, false); auto contemporaneous_jacobian = evaluateAndReduceJacobian(eval_context);
if (!computeNaturalNormalization()) if (!computeNaturalNormalization())
computeNonSingularNormalization(contemporaneous_jacobian, cutoff, static_jacobian); computeNonSingularNormalization(contemporaneous_jacobian);
select_non_linear_equations_and_variables(); select_non_linear_equations_and_variables();
@ -4531,9 +4531,9 @@ DynamicModel::computingPass(bool jacobianExo, int derivsOrder, int paramsDerivsO
} }
else if (block) 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(); auto [prologue, epilogue] = computePrologueAndEpilogue();

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@ -255,7 +255,7 @@ ModelTree::computeNormalization(const jacob_map_t &contemporaneous_jacobian, boo
} }
void 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; 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::jacob_map_t
ModelTree::evaluateAndReduceJacobian(const eval_context_t &eval_context, double cutoff, bool verbose) const ModelTree::evaluateAndReduceJacobian(const eval_context_t &eval_context) const
{ {
jacob_map_t contemporaneous_jacobian, static_jacobian; jacob_map_t contemporaneous_jacobian;
int nb_elements_contemporaneous_jacobian = 0;
set<vector<int>> jacobian_elements_to_delete;
for (const auto &[indices, d1] : derivatives[1]) for (const auto &[indices, d1] : derivatives[1])
{ {
int deriv_id = indices[1]; int deriv_id = indices[1];
@ -348,35 +346,12 @@ ModelTree::evaluateAndReduceJacobian(const eval_context_t &eval_context, double
cerr << endl; cerr << endl;
exit(EXIT_FAILURE); exit(EXIT_FAILURE);
} }
if (fabs(val) < cutoff) if (lag == 0)
{ contemporaneous_jacobian[{ eq, var }] = val;
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 (jacobian_elements_to_delete.size() > 0) return contemporaneous_jacobian;
{
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 };
} }
void void

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@ -279,13 +279,13 @@ protected:
If no matching is found with a zero cutoff, an error message is printed. If no matching is found with a zero cutoff, an error message is printed.
The resulting normalization is stored in endo2eq. 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 //! Try to find a natural normalization if all equations are matched to an endogenous variable on the LHS
bool computeNaturalNormalization(); bool computeNaturalNormalization();
//! Evaluate the jacobian (w.r.t. endogenous) and suppress all the elements below the cutoff //! 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. */ 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 //! Select and reorder the non linear equations of the model
void select_non_linear_equations_and_variables(); void select_non_linear_equations_and_variables();
/* Search the equations and variables belonging to the prologue and the /* Search the equations and variables belonging to the prologue and the

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@ -1064,9 +1064,9 @@ StaticModel::computingPass(int derivsOrder, int paramsDerivsOrder, const eval_co
if (block) 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(); auto [prologue, epilogue] = computePrologueAndEpilogue();