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Derivation engine w.r.t. parameters generalized to any order 

Also, no longer compute two times symmetric elements in derivation w.r.t.
parameters at order 2, for consistency with derivation w.r.t. endogenous.
It is therefore now necessary to duplicate them in the output to keep behavior
unchanged.
issue#70
Sébastien Villemot 2018-11-22 15:41:11 +01:00
parent 6fa115aedd
commit e3a3992c1c
No known key found for this signature in database
GPG Key ID: 2CECE9350ECEBE4A
4 changed files with 101 additions and 54 deletions
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34
src/DynamicModel.cc
View File

@ -5438,6 +5438,22 @@ DynamicModel::writeParamsDerivativesFile(const string &basename, bool julia) con
hessian1_output << ";" << endl;
i++;
if (param1 != param2)
{
// Treat symmetric elements
hessian1_output << "rpp" << LEFT_ARRAY_SUBSCRIPT(output_type) << i << ",1"
<< RIGHT_ARRAY_SUBSCRIPT(output_type) << "=" << eq+1 << ";" << endl
<< "rpp" << LEFT_ARRAY_SUBSCRIPT(output_type) << i << ",2"
<< RIGHT_ARRAY_SUBSCRIPT(output_type) << "=" << param2_col << ";" << endl
<< "rpp" << LEFT_ARRAY_SUBSCRIPT(output_type) << i << ",3"
<< RIGHT_ARRAY_SUBSCRIPT(output_type) << "=" << param1_col << ";" << endl
<< "rpp" << LEFT_ARRAY_SUBSCRIPT(output_type) << i << ",4"
<< RIGHT_ARRAY_SUBSCRIPT(output_type)
<< "=rpp" << LEFT_ARRAY_SUBSCRIPT(output_type) << i-1 << ",4"
<< RIGHT_ARRAY_SUBSCRIPT(output_type) << ";" << endl;
i++;
}
}
i = 1;
@ -5465,6 +5481,24 @@ DynamicModel::writeParamsDerivativesFile(const string &basename, bool julia) con
third_derivs_output << ";" << endl;
i++;
if (param1 != param2)
{
// Treat symmetric elements
third_derivs_output << "gpp" << LEFT_ARRAY_SUBSCRIPT(output_type) << i << ",1"
<< RIGHT_ARRAY_SUBSCRIPT(output_type) << "=" << eq+1 << ";" << endl
<< "gpp" << LEFT_ARRAY_SUBSCRIPT(output_type) << i << ",2"
<< RIGHT_ARRAY_SUBSCRIPT(output_type) << "=" << var_col << ";" << endl
<< "gpp" << LEFT_ARRAY_SUBSCRIPT(output_type) << i << ",3"
<< RIGHT_ARRAY_SUBSCRIPT(output_type) << "=" << param2_col << ";" << endl
<< "gpp" << LEFT_ARRAY_SUBSCRIPT(output_type) << i << ",4"
<< RIGHT_ARRAY_SUBSCRIPT(output_type) << "=" << param1_col << ";" << endl
<< "gpp" << LEFT_ARRAY_SUBSCRIPT(output_type) << i << ",5"
<< RIGHT_ARRAY_SUBSCRIPT(output_type)
<< "=gpp" << LEFT_ARRAY_SUBSCRIPT(output_type) << i-1 << ",5"
<< RIGHT_ARRAY_SUBSCRIPT(output_type) << ";" << endl;
i++;
}
}
i = 1;

84
src/ModelTree.cc
View File

@ -2033,73 +2033,51 @@ ModelTree::sparseHelper(int order, ostream &output, int row_nb, int col_nb, Expr
void
ModelTree::computeParamsDerivatives(int paramsDerivsOrder)
{
if (!(paramsDerivsOrder == 1 || paramsDerivsOrder == 2))
return;
assert(paramsDerivsOrder >= 1);
set<int> deriv_id_set;
addAllParamDerivId(deriv_id_set);
// First-order derivatives w.r.t. params
for (int param : deriv_id_set)
{
for (int eq = 0; eq < (int) equations.size(); eq++)
{
expr_t d1 = equations[eq]->getDerivative(param);
if (d1 == Zero)
expr_t d = equations[eq]->getDerivative(param);
if (d == Zero)
continue;
params_derivatives[{ 0, 1 }][{ eq, param }] = d1;
params_derivatives[{ 0, 1 }][{ eq, param }] = d;
}
if (paramsDerivsOrder == 2)
for (const auto &it : params_derivatives[{ 0, 1 }])
for (int endoOrd = 1; endoOrd < (int) derivatives.size(); endoOrd++)
for (const auto &it : derivatives[endoOrd])
{
int eq, param1;
tie(eq, param1) = vectorToTuple<2>(it.first);
expr_t d1 = it.second;
expr_t d2 = d1->getDerivative(param);
if (d2 == Zero)
expr_t d = it.second->getDerivative(param);
if (d == Zero)
continue;
params_derivatives[{ 0, 2 }][{ eq, param1, param }] = d2;
vector<int> indices{it.first};
indices.push_back(param);
params_derivatives[{ endoOrd, 1 }][indices] = d;
}
for (const auto &it : derivatives[1])
{
int eq, var;
tie(eq, var) = vectorToTuple<2>(it.first);
expr_t d1 = it.second;
expr_t d2 = d1->getDerivative(param);
if (d2 == Zero)
continue;
params_derivatives[{ 1, 1 }][{ eq, var, param }] = d2;
}
if (paramsDerivsOrder == 2)
{
for (const auto &it : params_derivatives[{ 1, 1 }])
{
int eq, var, param1;
tie(eq, var, param1) = vectorToTuple<3>(it.first);
expr_t d1 = it.second;
expr_t d2 = d1->getDerivative(param);
if (d2 == Zero)
continue;
params_derivatives[{ 1, 2 }][{ eq, var, param1, param }] = d2;
}
for (const auto &it : derivatives[2])
{
int eq, var1, var2;
tie(eq, var1, var2) = vectorToTuple<3>(it.first);
expr_t d1 = it.second;
expr_t d2 = d1->getDerivative(param);
if (d2 == Zero)
continue;
params_derivatives[{ 2, 1 }][{ eq, var1, var2, param }] = d2;
}
}
}
// Higher-order derivatives w.r.t. parameters
for (int endoOrd = 0; endoOrd < (int) derivatives.size(); endoOrd++)
for (int paramOrd = 2; paramOrd <= paramsDerivsOrder; paramOrd++)
for (const auto &it : params_derivatives[{ endoOrd, paramOrd-1 }])
for (int param : deriv_id_set)
{
if (it.first.back() > param)
continue;
expr_t d = it.second->getDerivative(param);
if (d == Zero)
continue;
vector<int> indices{it.first};
indices.push_back(param);
// At this point, indices of both endogenous and parameters are sorted in non-decreasing order
params_derivatives[{ endoOrd, paramOrd }][indices] = d;
}
}
void

3
src/ModelTree.hh
View File

@ -105,7 +105,8 @@ protected:
derivation order w.r.t. parameters). For e.g., { 1, 2 } corresponds to the jacobian
differentiated twice w.r.t. to parameters.
In inner maps, the vector of integers consists of: the equation index, then
the derivation IDs of endogenous (in non-decreasing order), then the IDs of parameters */
the derivation IDs of endogenous (in non-decreasing order),
then the IDs of parameters (in non-decreasing order)*/
map<pair<int,int>, map<vector<int>, expr_t>> params_derivatives;
//! Storage for temporary terms in block/bytecode mode

34
src/StaticModel.cc
View File

@ -2710,6 +2710,22 @@ StaticModel::writeParamsDerivativesFile(const string &basename, bool julia) cons
hessian1_output << ";" << endl;
i++;
if (param1 != param2)
{
// Treat symmetric elements
hessian1_output << "rpp" << LEFT_ARRAY_SUBSCRIPT(output_type) << i << ",1"
<< RIGHT_ARRAY_SUBSCRIPT(output_type) << "=" << eq+1 << ";" << endl
<< "rpp" << LEFT_ARRAY_SUBSCRIPT(output_type) << i << ",2"
<< RIGHT_ARRAY_SUBSCRIPT(output_type) << "=" << param2_col << ";" << endl
<< "rpp" << LEFT_ARRAY_SUBSCRIPT(output_type) << i << ",3"
<< RIGHT_ARRAY_SUBSCRIPT(output_type) << "=" << param1_col << ";" << endl
<< "rpp" << LEFT_ARRAY_SUBSCRIPT(output_type) << i << ",4"
<< RIGHT_ARRAY_SUBSCRIPT(output_type)
<< "=rpp" << LEFT_ARRAY_SUBSCRIPT(output_type) << i-1 << ",4"
<< RIGHT_ARRAY_SUBSCRIPT(output_type) << ";" << endl;
i++;
}
}
i = 1;
@ -2737,6 +2753,24 @@ StaticModel::writeParamsDerivativesFile(const string &basename, bool julia) cons
third_derivs_output << ";" << endl;
i++;
if (param1 != param2)
{
// Treat symmetric elements
third_derivs_output << "gpp" << LEFT_ARRAY_SUBSCRIPT(output_type) << i << ",1"
<< RIGHT_ARRAY_SUBSCRIPT(output_type) << "=" << eq+1 << ";" << endl
<< "gpp" << LEFT_ARRAY_SUBSCRIPT(output_type) << i << ",2"
<< RIGHT_ARRAY_SUBSCRIPT(output_type) << "=" << var_col << ";" << endl
<< "gpp" << LEFT_ARRAY_SUBSCRIPT(output_type) << i << ",3"
<< RIGHT_ARRAY_SUBSCRIPT(output_type) << "=" << param2_col << ";" << endl
<< "gpp" << LEFT_ARRAY_SUBSCRIPT(output_type) << i << ",4"
<< RIGHT_ARRAY_SUBSCRIPT(output_type) << "=" << param1_col << ";" << endl
<< "gpp" << LEFT_ARRAY_SUBSCRIPT(output_type) << i << ",5"
<< RIGHT_ARRAY_SUBSCRIPT(output_type)
<< "=gpp" << LEFT_ARRAY_SUBSCRIPT(output_type) << i-1 << ",5"
<< RIGHT_ARRAY_SUBSCRIPT(output_type) << ";" << endl;
i++;
}
}
i = 1;