Johannes Pfeifer
9d9a4bd4d1
Remove matched_moments_ as input of method_of_moments
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Now a subfield of M_
2020-08-05 13:46:09 +02:00
Johannes Pfeifer
d714cac8e1
EquationTags.hh: fix typo
2020-08-04 16:21:50 +02:00
Sébastien Villemot
09054e11dc
Add new “matched_moments” block
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Closes : #51
2020-07-28 18:30:24 +02:00
Sébastien Villemot
ecf6d67e1c
PAC/MCE model: fix timing of target in PAC expectation term
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Also be more strict on the form of the target (must now be X(-1) or log(X(-1))
where X is *not* an auxiliary variable).
By the way, improve some comments in SymbolTable.
2020-07-24 18:26:16 +02:00
Sébastien Villemot
3b3589b958
PAC model: rewrite the algorithm for detecting the target, to make it more robust
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Closes : #54
2020-07-23 17:19:16 +02:00
Sébastien Villemot
7bca47385d
Fixes to include_eqs/exclude_eqs
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— fix segfault due to bad handling of iterators while erasing elements of a set
— fix logic for excluding endogenous variable when it is present on the LHS
2020-07-23 11:06:57 +02:00
Sébastien Villemot
86ac7d5bbc
PAC/MCE: improve informative message about # of aux. vars/eqs by adding the model name
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This makes the output more useful when there are multiple PAC models.
2020-07-22 16:09:12 +02:00
Sébastien Villemot
2b25ab3e85
Fix handling of multiple PAC models
2020-07-22 12:21:05 +02:00
Sébastien Villemot
f2f6097777
Merge branch 'tune_jscale' into 'master'
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Fix faulty logic in checks for mh_tune_jscale
Closes #46
See merge request Dynare/preprocessor!25
2020-07-21 08:59:20 +00:00
Johannes Pfeifer
eb464665ac
Fix faulty logic in checks
2020-07-21 10:48:45 +02:00
Johannes Pfeifer
5cc9f216ca
Make preprocessor recognize default order=2 of stoch_simul
2020-07-21 10:40:08 +02:00
Sébastien Villemot
d4e20c7ec4
Merge branch 'moment_estimation' into 'master'
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Method of moments: Preprocessor preparations
See merge request Dynare/preprocessor!23
2020-07-16 08:56:03 +00:00
Stéphane Adjemian (Charybdis)
03f53c1b0d
Allow empty shocks(overwrite) block.
2020-07-15 12:33:02 +02:00
Sébastien Villemot
16f9168fda
PAC MCE: fix incorrect detection of the target variable
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The detection of the target EC variable to be used when constructing the
forward-looking expectation variable is rather fragile.
When the PAC model is written with an (non-)optimizing share of agents,
restrict the identification of the target variable to the optimizing
expression, to minimize the risk of wrong identification.
By the way, add a few comments, and a small simplification.
2020-07-13 17:52:42 +02:00
Johannes Pfeifer
98ddbb61ba
Method of moments: Preprocessor preparations
2020-07-10 11:18:57 +02:00
Stéphane Adjemian (Charybdis)
51b3d5c68f
Do not print aux. var. for PAC expectation in dynamic_set_auxiliary_series routine.
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It is useless in the backward looking version, and it cannot be
evaluated in the MCE case (because of the forward looking recursion).
2020-07-08 22:51:35 +02:00
Sébastien Villemot
3a9b0fc9ce
PAC MCE expectations: add corresponding auxiliary variables in dynamic_set_auxiliary_series.m and set_auxiliary_variables.m
2020-07-08 22:49:51 +02:00
Sébastien Villemot
4b3f010bc6
Simplify DynamicModel::writeAuxVarRecursiveDefinitions()
2020-07-08 18:48:45 +02:00
Sébastien Villemot
5b80a4db59
Unary ops substitution: bugfix, actually restrict the substitution to the chosen equations
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By default, the preprocessor is supposed to only do the “unary ops”
transformation in the equations of VAR/PAC/trend component models.
However, the implementation was slightly different so far. It would detect
candidates to this transformation in the chosen equations, but it would then
perform the substitution in *all* equations.
This could lead for crashes, for example if the chosen equation contains
log(X(-1)), but another (non-chosen) equation has log(X(-2)). Then this latter
expression, even though it belongs to the same lag-equivalence class, is not
properly handled, causing a segfault.
Also do a few related cosmetic changes.
2020-07-08 15:13:14 +02:00
Sébastien Villemot
59bda04d8b
Block decomposition + use_dll: fix bug in timing of exogenous variables
2020-06-25 15:19:49 +02:00
Sébastien Villemot
c4351166a9
use_dll: remove nb_row_x from static file, it is useless
2020-06-23 18:19:27 +02:00
Sébastien Villemot
db8c5439f7
use_dll: higher order derivatives are now returned as sparse matrices by static/dynamic files
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Previously they were returned as 3-column matrices. But this was inconsistent
with the M-file mode.
2020-06-23 17:50:50 +02:00
Sébastien Villemot
95bdfcee8c
use_dll: better safeguards on the number of input/output argument to static/dynamic MEX files
2020-06-23 16:30:21 +02:00
Sébastien Villemot
633b89db64
use_dll: remove hack for Microsoft Visual C++
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We don’t support that compiler, and in any case it should support C99.
2020-06-23 16:00:55 +02:00
Sébastien Villemot
fd13c03401
use_dll: use fmax() and fmin() from C99 to compute max and min operators
2020-06-23 15:59:35 +02:00
Sébastien Villemot
ad5e196d30
Block decomposition now compatible with 'use_dll' option
2020-06-23 15:13:04 +02:00
Sébastien Villemot
479c2c029f
Block decomposition: move core of the routine for writing per-block files in separate function
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This is a preparatory step to allow use_dll with block decomposition.
2020-06-22 14:18:21 +02:00
Sébastien Villemot
7641c2f7ee
Cosmetics
2020-06-22 11:33:16 +02:00
Sébastien Villemot
f098329c74
Block decomposition: static and dynamic files are now pure wrappers around the per-block files
2020-06-19 18:45:42 +02:00
Sébastien Villemot
f4d2ce70da
Block decomposition: move logic for Jacobians in stochastic mode outside the dynamic file
2020-06-19 17:44:05 +02:00
Sébastien Villemot
92aff91066
Block decomposition: in per-block files, construct sparse Jacobians more efficiently
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Use 3-column format before calling sparse().
Ensure that the 3-column matrix is constructed in column-major order: data
locality will greatly improve performance once we implement use_dll.
2020-06-19 16:42:32 +02:00
Sébastien Villemot
93c18d514b
Block decomposition: in per-block dynamic files, fix nonzero elements for deterministic Jacobians
2020-06-19 15:26:19 +02:00
Sébastien Villemot
8ec43b1fb2
Block decomposition: small simplification in per-block dynamic files
2020-06-19 12:39:54 +02:00
Sébastien Villemot
dc28aaa5e9
Block decomposition: fix bug in reduction of block decomposition
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Some evaluated blocks could be incorrectly merged, leading to wrong
results (e.g. blocks incorrectly marked as evaluable forward).
Bug introduced in 39407083be
2020-06-17 19:42:13 +02:00
Sébastien Villemot
79763911b2
Block decomposition: in the dynamic file, y and T are now vectors as in non-block mode
2020-06-17 16:49:12 +02:00
Sébastien Villemot
91d5be3b8c
Block decomposition: fix value of M_.block_structure.dyn_tmp_nbr
2020-06-17 16:04:49 +02:00
Sébastien Villemot
257b399a94
Block decomposition: in dynamic files, rename “jacobian_eval” to “stochastic_mode”
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This is much more explicit.
2020-06-16 15:54:51 +02:00
Sébastien Villemot
379be6ccef
Block decomposition: for “solve two-boundaries” blocks, move the iteration loop outside the dynamic file
2020-06-16 15:34:45 +02:00
Sébastien Villemot
85b900363d
Block decomposition: for “solve two boundaries” block, no longer compute “b” (-residuals+g1*y) in the dynamic function
2020-06-16 13:49:23 +02:00
Sébastien Villemot
8496979375
Block decomposition: remove useless “y” output for static/dynamic files of solved blocks
2020-06-16 10:38:16 +02:00
Sébastien Villemot
ad583adcd4
Block decomposition: for evaluate blocks, move the iteration loop outside the dynamic file
2020-06-15 18:13:17 +02:00
Sébastien Villemot
f022c0e16e
Block decomposition: remove duplicate “periods” arg. to dynamic file of complete two-boundaries blocks
2020-06-15 16:54:11 +02:00
Sébastien Villemot
d530ccd012
Misc cosmetic improvements
2020-06-05 17:12:15 +02:00
Sébastien Villemot
b402e35683
In the driver file, provide mapping between model local variables and indices in the temporary terms vector
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The structures are M_.model_local_variables_{dynamic,static}_tt_idxs.
Ref. dynare#1722
2020-06-05 17:12:15 +02:00
Sébastien Villemot
90b9b6a1e4
JSON output: write model local variables in parsed model (modfile.json)
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Ref. dynare#1723
2020-06-05 16:10:38 +02:00
Sébastien Villemot
7b9495bb2f
JSON output: when writing the model after computing pass, use TEF terms for (not derived) external functions
2020-06-05 16:10:38 +02:00
Sébastien Villemot
f9ab44da56
JSON output: do not append two underscores after model local variable names in their definition
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This is inconsistent with the way they are printed in equations (without
underscores).
The practice of appending underscores only makes sense in a MATLAB workspace context.
2020-06-05 16:10:37 +02:00
Sébastien Villemot
931935a942
Bug fix: allow external functions in model local variables
2020-06-05 14:50:06 +02:00
Sébastien Villemot
050f1cdd74
Block decomposition: remove unused 2nd and 3rd derivatives in output of dynamic functions
2020-06-03 16:59:04 +02:00
Sébastien Villemot
f0c8a14551
Block decomposition: no longer compute deterministic simulation from dynamic.m file
2020-06-02 17:42:00 +02:00
Sébastien Villemot
2caad3ee84
Block decomposition: simplify DynamicModel::writeDynamicBlockMFile()
2020-05-29 16:48:38 +02:00
Sébastien Villemot
7b11898689
use_dll: merge the two generated C source files into a single one
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Also, do various other cosmetic/simplification changes.
2020-05-29 16:12:01 +02:00
Sébastien Villemot
3c5d731500
Fix compilation with GCC 10
2020-05-28 14:21:58 +02:00
Sébastien Villemot
3ca1914e03
Block decomposition: fix simulation of blocks of type "evaluate backward" (without bytecode)
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Ref. dynare#1727
2020-05-26 17:00:21 +02:00
Sébastien Villemot
faa6666abe
Block decomposition: no longer use global variables for temporary terms in the dynamic M-file
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Rather use a single vector as in non-block mode.
By the way, change the order of output arguments in static functions, to be
closer to the dynamic ones.
2020-05-26 16:21:11 +02:00
Sébastien Villemot
04b7d4386d
Block decomposition: no longer use global variables for temporary terms in the static M-file
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Rather use a single vector as in non-block mode.
2020-05-25 18:35:36 +02:00
Sébastien Villemot
a5abbae46a
use_dll: remove workaround for char16_t type
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Should no longer be needed now that the minimal MATLAB version is R2014a.
2020-05-25 16:06:17 +02:00
Sébastien Villemot
b9216be277
Block decomposition: fix incorrect check with model local variables
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We normally never arrive here, since MLV are not compatible with 'block'
option.
2020-05-25 15:42:16 +02:00
Sébastien Villemot
3033417f5a
Block decomposition: remove ExprNodeOutputType::matlabDynamicSparseSteadyStateOperator
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It’s not really needed, since it does the same as
ExprNodeOutputType::matlabDynamicSteadyStateOperator.
2020-05-25 15:35:55 +02:00
Sébastien Villemot
7b1a77ca47
Block decomposition: use logical values for some inputs to solve_{one_boundary,two_boundaries}
2020-05-25 15:12:43 +02:00
Sébastien Villemot
a6d9ba6e55
Rename EquationType::evaluate_s to evaluateRenormalized, for clarity
2020-05-20 11:49:32 +02:00
Sébastien Villemot
c6a17913b4
Rename {Static,Dynamic}Model::writeOutput() to ::writeDriverOutput() for clarity
2020-05-20 11:44:40 +02:00
Sébastien Villemot
becc433d56
Rename byte_code to bytecode for consistency with user option name
2020-05-20 11:39:59 +02:00
Sébastien Villemot
c579a45b08
Remove helper now unused because of 1d838e96ff
2020-05-20 11:35:44 +02:00
Sébastien Villemot
96657b4974
Block decomposition: refactor code that writes the block structure to the driver file
2020-05-20 11:35:14 +02:00
Sébastien Villemot
4b28f1fe9c
Bytecode: remove unused data structure
2020-05-20 10:31:31 +02:00
Sébastien Villemot
2944484442
Bytecode: rename output methods for better consistency
2020-05-19 17:45:33 +02:00
Sébastien Villemot
1d838e96ff
Block decomposition: simplify routines for writing output dynamic/static M files
2020-05-19 17:33:58 +02:00
Sébastien Villemot
d05ffde63e
Merge branch 'hif' into 'master'
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histval_file initval_file refactoring
See merge request Dynare/preprocessor!20
2020-05-14 14:36:36 +00:00
MichelJuillard
ed4c36a267
add first_simulation_period to the lexer
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(cherry picked from commit c8575e11d2f81ad606ab50849c52127653699a93)
2020-05-14 14:36:35 +00:00
Sébastien Villemot
a2bea00fee
Block decomposition: another fix related to temporary terms refactoring
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Temporary terms need to be computed per equation (as was done previously), and
not simply per block.
It’s necessary to track temporary terms per equation, because some equations
are evaluated instead of solved, and an equation E1 may depend on the value of
an endogenous Y computed by a previously evaluated equation E2; in this case,
if some temporary term TT of equation E2 contains Y, then TT needs to be
computed after E1, but before E2.
2020-05-13 16:58:19 +02:00
Sébastien Villemot
c9388da649
Bytecode: still another fix for temporary terms
2020-05-13 15:16:38 +02:00
Sébastien Villemot
2e6bc7ecaa
Bytecode: fix handling of temporary terms
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They were broken by 49036f166d
2020-05-13 12:53:47 +02:00
Sébastien Villemot
f8796c67c5
ExprNode::computeTemporaryTerms: minor simplifications, for symmetry with blocks code
2020-05-12 18:39:15 +02:00
Sébastien Villemot
49036f166d
Block decomposition: refactor code for computing temporary terms
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In particular, in dynamic models, temporary terms are now computed for
derivatives w.r.t. exogenous, and also w.r.t. endogenous variables that do not
belong to the block.
2020-05-12 18:39:13 +02:00
Sébastien Villemot
ba214a100d
Block decomposition: bugfix, cutoff option was ignored
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Introduced in c699d57308
2020-05-07 18:41:01 +02:00
Sébastien Villemot
928aa977b6
Block decomposition: replace expr_t by BinaryOpNode * in a couple of places
2020-05-07 15:24:35 +02:00
Sébastien Villemot
c699d57308
Block decomposition: no longer compute static Jacobian, it’s not used
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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).
2020-05-06 18:11:11 +02:00
Sébastien Villemot
a1b37288f9
Block decomposition: do not write unnecessary zeros in dynamic Jacobian
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Also do cosmetic change in the corresponding code for static Jacobian.
2020-05-06 14:22:04 +02:00
Sébastien Villemot
9f361e9e37
Block decomposition: simplify code for ordering dynamic Jacobian columns
2020-05-06 14:21:24 +02:00
Sébastien Villemot
061245e50d
Block decomposition: simplify routines that write static model in MATLAB form
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By the way, this probably fixes a bug in the presence of external
functions (so-called TEF terms were not properly repeated in each per-block
static file).
Also remove debugging output in the M-file.
2020-05-05 18:59:28 +02:00
Sébastien Villemot
38ccd5e0cf
Block decomposition: remove unneeded code for bytecode
2020-05-05 17:15:08 +02:00
Sébastien Villemot
5f22f00436
PAC models: handle PAC data in DynamicModel copy constructor and assignment operator
2020-05-05 16:34:51 +02:00
Sébastien Villemot
4f453320d1
Block decomposition: remove unneeded code for exogenous
2020-05-05 16:17:22 +02:00
Sébastien Villemot
cb61ee8506
Block decomposition: make structures storing derivatives w.r.t. other endo/exo symmetric with those for endos belonging to the block
2020-04-30 18:24:24 +02:00
Sébastien Villemot
b1a739c56a
DynamicModel: add missing members in copy constructor/assignment operator
2020-04-30 14:57:50 +02:00
Sébastien Villemot
a8c2defe26
Block decomposition: compute simulation types into separate function; prologue and epilogue are no longer class members
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By the way, remove the BlockType stuff which was purely informative (and it’s
not worth carrying over prologue and epilogue information just for that).
2020-04-30 12:48:16 +02:00
Sébastien Villemot
26fc71ffa7
Block decomposition: store max lead/lag of all variables in the “blocks” structure
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By the way, regroup all code that computes the dynamic structure of a block
into a single function.
2020-04-30 12:03:14 +02:00
Sébastien Villemot
7f57821401
Now compute blocks[].first_equation from ModelTree::computeBlockDecompositionAndFeedbackVariablesForEachBlock
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Also include various cosmetic changes.
2020-04-29 18:48:42 +02:00
Sébastien Villemot
1886746581
VariableDependencyGraph::reorderRecursiveVariables now returns indices from vertex_index
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This is for consistency with other graph algorithms. Previously it would return
an index from vertex_index1.
See also 1d92adacf4
(which this commit basically
reverts).
Also do some cosmetic changes in calling graph code.
2020-04-29 18:46:15 +02:00
Sébastien Villemot
24db5e6033
Minor simplifications in graph algorithms
2020-04-29 18:12:22 +02:00
Sébastien Villemot
4948adf2cd
Block decomposition: remove unused data structure
2020-04-29 17:47:48 +02:00
Sébastien Villemot
f39c687d85
Block decomposition: store mapping between endos/eqs and their block
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Previously this computation was done at several places.
2020-04-29 17:42:46 +02:00
Sébastien Villemot
39407083be
Block decomposition: ensure that the cutoff option only impacts normalization
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Previously, the cutoff option would also impact the block decomposition itself,
since it would had an influence on the incidence matrix used for computing the
blocks and their derivatives.
The problem is that, in the general case, it’s quite possible that an element
of the numerical Jacobian be zero at the evaluation point, while being quite
different from zero along the simulation path. A typical example is an
expression of the type x*y, where y is an endogenous and x is an exogenous not
present in the initval block (and hence initialized to zero).
2020-04-29 12:41:39 +02:00
Sébastien Villemot
470cb5fcb0
Block decomposition: remove mostly unused structure ModelTree::derivative_endo
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It has been superseded by ModelTree::blocks_derivatives.
By the way, fix the initial number of non-zero elements in sparse Jacobian.
Also avoid computing suboptimal temporary terms.
2020-04-28 14:12:29 +02:00
Sébastien Villemot
2c69f1f31e
Cosmetic changes to ModelTree::determineLinearBlocks()
2020-04-28 12:35:18 +02:00
Sébastien Villemot
2e136cae56
Block decomposition: simplify computation of block derivatives
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— use a std::map for storing block derivatives
— remove redundant ModelTree::first_chain_rule_derivatives structure
— remove unused codepaths in StaticModel
— DynamicModel: simplify code that determines the type of derivatives in a
block. We now use a slightly different categorization.
— by the way, fix the max lead/lag information for blocks that are obtained via
merging. A workaround was previously implemented in
DynamicModel::get_Derivative(), but it is no longer needed with this fix.
2020-04-28 12:26:51 +02:00
Sébastien Villemot
5bd41f8599
Improve comments
2020-04-24 19:06:30 +02:00
Sébastien Villemot
45b260cf20
VariableNode::getChainRuleDerivative: do not cache values in ExprNode::derivatives
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This field is used for standard derivatives. Using it also for chain rule
derivatives can only lead to wrong results.
2020-04-24 19:06:30 +02:00
Sébastien Villemot
29f28be772
Further simplify ModelTree::computeBlockDecompositionAndFeedbackVariablesForEachBlock()
2020-04-24 11:36:05 +02:00