/* * Copyright (C) 2003-2018 Dynare Team * * This file is part of Dynare. * * Dynare is free software: you can redistribute it and/or modify * it under the terms of the GNU General Public License as published by * the Free Software Foundation, either version 3 of the License, or * (at your option) any later version. * * Dynare is distributed in the hope that it will be useful, * but WITHOUT ANY WARRANTY; without even the implied warranty of * MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the * GNU General Public License for more details. * * You should have received a copy of the GNU General Public License * along with Dynare. If not, see . */ #include #include #include #include #include #include #include #include #include "DynamicModel.hh" // For mkdir() and chdir() #ifdef _WIN32 # include #else # include # include # include #endif DynamicModel::DynamicModel(SymbolTable &symbol_table_arg, NumericalConstants &num_constants_arg, ExternalFunctionsTable &external_functions_table_arg) : ModelTree(symbol_table_arg, num_constants_arg, external_functions_table_arg), max_lag(0), max_lead(0), max_endo_lag(0), max_endo_lead(0), max_exo_lag(0), max_exo_lead(0), max_exo_det_lag(0), max_exo_det_lead(0), max_lag_orig(0), max_lead_orig(0), max_endo_lag_orig(0), max_endo_lead_orig(0), max_exo_lag_orig(0), max_exo_lead_orig(0), max_exo_det_lag_orig(0), max_exo_det_lead_orig(0), dynJacobianColsNbr(0), global_temporary_terms(true) { } VariableNode * DynamicModel::AddVariable(int symb_id, int lag) { return AddVariableInternal(symb_id, lag); } void DynamicModel::compileDerivative(ofstream &code_file, unsigned int &instruction_number, int eq, int symb_id, int lag, const map_idx_t &map_idx) const { first_derivatives_t::const_iterator it = first_derivatives.find(make_pair(eq, getDerivID(symbol_table.getID(eEndogenous, symb_id), lag))); if (it != first_derivatives.end()) (it->second)->compile(code_file, instruction_number, false, temporary_terms, map_idx, true, false); else { FLDZ_ fldz; fldz.write(code_file, instruction_number); } } void DynamicModel::compileChainRuleDerivative(ofstream &code_file, unsigned int &instruction_number, int eqr, int varr, int lag, const map_idx_t &map_idx) const { map >, expr_t>::const_iterator it = first_chain_rule_derivatives.find(make_pair(eqr, make_pair(varr, lag))); if (it != first_chain_rule_derivatives.end()) (it->second)->compile(code_file, instruction_number, false, temporary_terms, map_idx, true, false); else { FLDZ_ fldz; fldz.write(code_file, instruction_number); } } void DynamicModel::computeTemporaryTermsOrdered() { map > first_occurence; map reference_count; BinaryOpNode *eq_node; first_derivatives_t::const_iterator it; first_chain_rule_derivatives_t::const_iterator it_chr; ostringstream tmp_s; v_temporary_terms.clear(); map_idx.clear(); unsigned int nb_blocks = getNbBlocks(); v_temporary_terms = vector >(nb_blocks); v_temporary_terms_inuse = vector(nb_blocks); temporary_terms.clear(); if (!global_temporary_terms) { for (unsigned int block = 0; block < nb_blocks; block++) { reference_count.clear(); temporary_terms.clear(); unsigned int block_size = getBlockSize(block); unsigned int block_nb_mfs = getBlockMfs(block); unsigned int block_nb_recursives = block_size - block_nb_mfs; v_temporary_terms[block] = vector(block_size); for (unsigned int i = 0; i < block_size; i++) { if (i < block_nb_recursives && isBlockEquationRenormalized(block, i)) getBlockEquationRenormalizedExpr(block, i)->computeTemporaryTerms(reference_count, temporary_terms, first_occurence, block, v_temporary_terms, i); else { eq_node = (BinaryOpNode *) getBlockEquationExpr(block, i); eq_node->computeTemporaryTerms(reference_count, temporary_terms, first_occurence, block, v_temporary_terms, i); } } for (block_derivatives_equation_variable_laglead_nodeid_t::const_iterator it = blocks_derivatives[block].begin(); it != (blocks_derivatives[block]).end(); it++) { expr_t id = it->second.second; id->computeTemporaryTerms(reference_count, temporary_terms, first_occurence, block, v_temporary_terms, block_size-1); } for (derivative_t::const_iterator it = derivative_endo[block].begin(); it != derivative_endo[block].end(); it++) it->second->computeTemporaryTerms(reference_count, temporary_terms, first_occurence, block, v_temporary_terms, block_size-1); for (derivative_t::const_iterator it = derivative_other_endo[block].begin(); it != derivative_other_endo[block].end(); it++) it->second->computeTemporaryTerms(reference_count, temporary_terms, first_occurence, block, v_temporary_terms, block_size-1); set temporary_terms_in_use; temporary_terms_in_use.clear(); v_temporary_terms_inuse[block] = temporary_terms_in_use; } } else { for (unsigned int block = 0; block < nb_blocks; block++) { // Compute the temporary terms reordered unsigned int block_size = getBlockSize(block); unsigned int block_nb_mfs = getBlockMfs(block); unsigned int block_nb_recursives = block_size - block_nb_mfs; v_temporary_terms[block] = vector(block_size); for (unsigned int i = 0; i < block_size; i++) { if (i < block_nb_recursives && isBlockEquationRenormalized(block, i)) getBlockEquationRenormalizedExpr(block, i)->computeTemporaryTerms(reference_count, temporary_terms, first_occurence, block, v_temporary_terms, i); else { eq_node = (BinaryOpNode *) getBlockEquationExpr(block, i); eq_node->computeTemporaryTerms(reference_count, temporary_terms, first_occurence, block, v_temporary_terms, i); } } for (block_derivatives_equation_variable_laglead_nodeid_t::const_iterator it = blocks_derivatives[block].begin(); it != (blocks_derivatives[block]).end(); it++) { expr_t id = it->second.second; id->computeTemporaryTerms(reference_count, temporary_terms, first_occurence, block, v_temporary_terms, block_size-1); } for (derivative_t::const_iterator it = derivative_endo[block].begin(); it != derivative_endo[block].end(); it++) it->second->computeTemporaryTerms(reference_count, temporary_terms, first_occurence, block, v_temporary_terms, block_size-1); for (derivative_t::const_iterator it = derivative_other_endo[block].begin(); it != derivative_other_endo[block].end(); it++) it->second->computeTemporaryTerms(reference_count, temporary_terms, first_occurence, block, v_temporary_terms, block_size-1); } for (unsigned int block = 0; block < nb_blocks; block++) { // Collect the temporary terms reordered unsigned int block_size = getBlockSize(block); unsigned int block_nb_mfs = getBlockMfs(block); unsigned int block_nb_recursives = block_size - block_nb_mfs; set temporary_terms_in_use; for (unsigned int i = 0; i < block_size; i++) { if (i < block_nb_recursives && isBlockEquationRenormalized(block, i)) getBlockEquationRenormalizedExpr(block, i)->collectTemporary_terms(temporary_terms, temporary_terms_in_use, block); else { eq_node = (BinaryOpNode *) getBlockEquationExpr(block, i); eq_node->collectTemporary_terms(temporary_terms, temporary_terms_in_use, block); } } for (block_derivatives_equation_variable_laglead_nodeid_t::const_iterator it = blocks_derivatives[block].begin(); it != (blocks_derivatives[block]).end(); it++) { expr_t id = it->second.second; id->collectTemporary_terms(temporary_terms, temporary_terms_in_use, block); } for (derivative_t::const_iterator it = derivative_endo[block].begin(); it != derivative_endo[block].end(); it++) it->second->collectTemporary_terms(temporary_terms, temporary_terms_in_use, block); for (derivative_t::const_iterator it = derivative_other_endo[block].begin(); it != derivative_other_endo[block].end(); it++) it->second->collectTemporary_terms(temporary_terms, temporary_terms_in_use, block); for (derivative_t::const_iterator it = derivative_exo[block].begin(); it != derivative_exo[block].end(); it++) it->second->collectTemporary_terms(temporary_terms, temporary_terms_in_use, block); for (derivative_t::const_iterator it = derivative_exo_det[block].begin(); it != derivative_exo_det[block].end(); it++) it->second->collectTemporary_terms(temporary_terms, temporary_terms_in_use, block); v_temporary_terms_inuse[block] = temporary_terms_in_use; } computeTemporaryTermsMapping(); } } void DynamicModel::computeTemporaryTermsMapping() { // Add a mapping form node ID to temporary terms order int j = 0; for (temporary_terms_t::const_iterator it = temporary_terms.begin(); it != temporary_terms.end(); it++) map_idx[(*it)->idx] = j++; } void DynamicModel::writeModelEquationsOrdered_M(const string &dynamic_basename) const { string tmp_s, sps; ostringstream tmp_output, tmp1_output, global_output; expr_t lhs = NULL, rhs = NULL; BinaryOpNode *eq_node; ostringstream Ufoss; vector Uf(symbol_table.endo_nbr(), ""); map reference_count; temporary_terms_t local_temporary_terms; ofstream output; int nze, nze_exo, nze_exo_det, nze_other_endo; vector feedback_variables; ExprNodeOutputType local_output_type; Ufoss.str(""); local_output_type = oMatlabDynamicModelSparse; if (global_temporary_terms) local_temporary_terms = temporary_terms; //---------------------------------------------------------------------- //For each block for (unsigned int block = 0; block < getNbBlocks(); block++) { //recursive_variables.clear(); feedback_variables.clear(); //For a block composed of a single equation determines wether we have to evaluate or to solve the equation nze = derivative_endo[block].size(); nze_other_endo = derivative_other_endo[block].size(); nze_exo = derivative_exo[block].size(); nze_exo_det = derivative_exo_det[block].size(); BlockSimulationType simulation_type = getBlockSimulationType(block); unsigned int block_size = getBlockSize(block); unsigned int block_mfs = getBlockMfs(block); unsigned int block_recursive = block_size - block_mfs; deriv_node_temp_terms_t tef_terms; local_output_type = oMatlabDynamicModelSparse; if (global_temporary_terms) local_temporary_terms = temporary_terms; int prev_lag; unsigned int prev_var, count_col, count_col_endo, count_col_exo, count_col_exo_det, count_col_other_endo; map >, expr_t> tmp_block_endo_derivative; for (block_derivatives_equation_variable_laglead_nodeid_t::const_iterator it = blocks_derivatives[block].begin(); it != (blocks_derivatives[block]).end(); it++) tmp_block_endo_derivative[make_pair(it->second.first, make_pair(it->first.second, it->first.first))] = it->second.second; prev_var = 999999999; prev_lag = -9999999; count_col_endo = 0; for (map >, expr_t>::const_iterator it = tmp_block_endo_derivative.begin(); it != tmp_block_endo_derivative.end(); it++) { int lag = it->first.first; unsigned int var = it->first.second.first; if (var != prev_var || lag != prev_lag) { prev_var = var; prev_lag = lag; count_col_endo++; } } map >, expr_t> tmp_block_exo_derivative; for (derivative_t::const_iterator it = derivative_exo[block].begin(); it != (derivative_exo[block]).end(); it++) tmp_block_exo_derivative[make_pair(it->first.first, make_pair(it->first.second.second, it->first.second.first))] = it->second; prev_var = 999999999; prev_lag = -9999999; count_col_exo = 0; for (map >, expr_t>::const_iterator it = tmp_block_exo_derivative.begin(); it != tmp_block_exo_derivative.end(); it++) { int lag = it->first.first; unsigned int var = it->first.second.first; if (var != prev_var || lag != prev_lag) { prev_var = var; prev_lag = lag; count_col_exo++; } } map >, expr_t> tmp_block_exo_det_derivative; for (derivative_t::const_iterator it = derivative_exo_det[block].begin(); it != (derivative_exo_det[block]).end(); it++) tmp_block_exo_det_derivative[make_pair(it->first.first, make_pair(it->first.second.second, it->first.second.first))] = it->second; prev_var = 999999999; prev_lag = -9999999; count_col_exo_det = 0; for (map >, expr_t>::const_iterator it = tmp_block_exo_derivative.begin(); it != tmp_block_exo_derivative.end(); it++) { int lag = it->first.first; unsigned int var = it->first.second.first; if (var != prev_var || lag != prev_lag) { prev_var = var; prev_lag = lag; count_col_exo_det++; } } map >, expr_t> tmp_block_other_endo_derivative; for (derivative_t::const_iterator it = derivative_other_endo[block].begin(); it != (derivative_other_endo[block]).end(); it++) tmp_block_other_endo_derivative[make_pair(it->first.first, make_pair(it->first.second.second, it->first.second.first))] = it->second; prev_var = 999999999; prev_lag = -9999999; count_col_other_endo = 0; for (map >, expr_t>::const_iterator it = tmp_block_other_endo_derivative.begin(); it != tmp_block_other_endo_derivative.end(); it++) { int lag = it->first.first; unsigned int var = it->first.second.first; if (var != prev_var || lag != prev_lag) { prev_var = var; prev_lag = lag; count_col_other_endo++; } } tmp1_output.str(""); tmp1_output << dynamic_basename << "_" << block+1 << ".m"; output.open(tmp1_output.str().c_str(), ios::out | ios::binary); output << "%\n"; output << "% " << tmp1_output.str() << " : Computes dynamic model for Dynare\n"; output << "%\n"; output << "% Warning : this file is generated automatically by Dynare\n"; output << "% from model file (.mod)\n\n"; output << "%/\n"; if (simulation_type == EVALUATE_BACKWARD || simulation_type == EVALUATE_FORWARD) { output << "function [y, g1, g2, g3, varargout] = " << dynamic_basename << "_" << block+1 << "(y, x, params, steady_state, jacobian_eval, y_kmin, periods)\n"; } else if (simulation_type == SOLVE_FORWARD_COMPLETE || simulation_type == SOLVE_BACKWARD_COMPLETE) output << "function [residual, y, g1, g2, g3, varargout] = " << dynamic_basename << "_" << block+1 << "(y, x, params, steady_state, it_, jacobian_eval)\n"; else if (simulation_type == SOLVE_BACKWARD_SIMPLE || simulation_type == SOLVE_FORWARD_SIMPLE) output << "function [residual, y, g1, g2, g3, varargout] = " << dynamic_basename << "_" << block+1 << "(y, x, params, steady_state, it_, jacobian_eval)\n"; else output << "function [residual, y, g1, g2, g3, b, varargout] = " << dynamic_basename << "_" << block+1 << "(y, x, params, steady_state, periods, jacobian_eval, y_kmin, y_size, Periods)\n"; BlockType block_type; if (simulation_type == SOLVE_TWO_BOUNDARIES_COMPLETE || simulation_type == SOLVE_TWO_BOUNDARIES_SIMPLE) block_type = SIMULTAN; else if (simulation_type == SOLVE_FORWARD_COMPLETE || simulation_type == SOLVE_BACKWARD_COMPLETE) block_type = SIMULTANS; else if ((simulation_type == SOLVE_FORWARD_SIMPLE || simulation_type == SOLVE_BACKWARD_SIMPLE || simulation_type == EVALUATE_BACKWARD || simulation_type == EVALUATE_FORWARD) && getBlockFirstEquation(block) < prologue) block_type = PROLOGUE; else if ((simulation_type == SOLVE_FORWARD_SIMPLE || simulation_type == SOLVE_BACKWARD_SIMPLE || simulation_type == EVALUATE_BACKWARD || simulation_type == EVALUATE_FORWARD) && getBlockFirstEquation(block) >= equations.size() - epilogue) block_type = EPILOGUE; else block_type = SIMULTANS; output << " % ////////////////////////////////////////////////////////////////////////" << endl << " % //" << string(" Block ").substr(int (log10(block + 1))) << block + 1 << " " << BlockType0(block_type) << " //" << endl << " % // Simulation type " << BlockSim(simulation_type) << " //" << endl << " % ////////////////////////////////////////////////////////////////////////" << endl; //The Temporary terms if (simulation_type == EVALUATE_BACKWARD || simulation_type == EVALUATE_FORWARD) { output << " if(jacobian_eval)\n"; output << " g1 = spalloc(" << block_mfs << ", " << count_col_endo << ", " << nze << ");\n"; output << " g1_x=spalloc(" << block_size << ", " << count_col_exo << ", " << nze_exo << ");\n"; output << " g1_xd=spalloc(" << block_size << ", " << count_col_exo_det << ", " << nze_exo_det << ");\n"; output << " g1_o=spalloc(" << block_size << ", " << count_col_other_endo << ", " << nze_other_endo << ");\n"; output << " end;\n"; } else { output << " if(jacobian_eval)\n"; output << " g1 = spalloc(" << block_size << ", " << count_col_endo << ", " << nze << ");\n"; output << " g1_x=spalloc(" << block_size << ", " << count_col_exo << ", " << nze_exo << ");\n"; output << " g1_xd=spalloc(" << block_size << ", " << count_col_exo_det << ", " << nze_exo_det << ");\n"; output << " g1_o=spalloc(" << block_size << ", " << count_col_other_endo << ", " << nze_other_endo << ");\n"; output << " else\n"; if (simulation_type == SOLVE_TWO_BOUNDARIES_COMPLETE || simulation_type == SOLVE_TWO_BOUNDARIES_SIMPLE) { output << " g1 = spalloc(" << block_mfs << "*Periods, " << block_mfs << "*(Periods+" << max_leadlag_block[block].first+max_leadlag_block[block].second+1 << ")" << ", " << nze << "*Periods);\n"; } else { output << " g1 = spalloc(" << block_mfs << ", " << block_mfs << ", " << nze << ");\n"; } output << " end;\n"; } output << " g2=0;g3=0;\n"; if (v_temporary_terms_inuse[block].size()) { tmp_output.str(""); for (temporary_terms_inuse_t::const_iterator it = v_temporary_terms_inuse[block].begin(); it != v_temporary_terms_inuse[block].end(); it++) tmp_output << " T" << *it; output << " global" << tmp_output.str() << ";\n"; } if (simulation_type == SOLVE_TWO_BOUNDARIES_COMPLETE || simulation_type == SOLVE_TWO_BOUNDARIES_SIMPLE) { temporary_terms_t tt2; tt2.clear(); for (int i = 0; i < (int) block_size; i++) { if (v_temporary_terms[block][i].size() && global_temporary_terms) { output << " " << "% //Temporary variables initialization" << endl << " " << "T_zeros = zeros(y_kmin+periods, 1);" << endl; for (temporary_terms_t::const_iterator it = v_temporary_terms[block][i].begin(); it != v_temporary_terms[block][i].end(); it++) { output << " "; (*it)->writeOutput(output, oMatlabDynamicModel, local_temporary_terms); output << " = T_zeros;" << endl; } } } } if (simulation_type == SOLVE_BACKWARD_SIMPLE || simulation_type == SOLVE_FORWARD_SIMPLE || simulation_type == SOLVE_BACKWARD_COMPLETE || simulation_type == SOLVE_FORWARD_COMPLETE) output << " residual=zeros(" << block_mfs << ",1);\n"; else if (simulation_type == SOLVE_TWO_BOUNDARIES_COMPLETE || simulation_type == SOLVE_TWO_BOUNDARIES_SIMPLE) output << " residual=zeros(" << block_mfs << ",y_kmin+periods);\n"; if (simulation_type == EVALUATE_BACKWARD) output << " for it_ = (y_kmin+periods):y_kmin+1\n"; if (simulation_type == EVALUATE_FORWARD) output << " for it_ = y_kmin+1:(y_kmin+periods)\n"; if (simulation_type == SOLVE_TWO_BOUNDARIES_COMPLETE || simulation_type == SOLVE_TWO_BOUNDARIES_SIMPLE) { output << " b = zeros(periods*y_size,1);" << endl << " for it_ = y_kmin+1:(periods+y_kmin)" << endl << " Per_y_=it_*y_size;" << endl << " Per_J_=(it_-y_kmin-1)*y_size;" << endl << " Per_K_=(it_-1)*y_size;" << endl; sps = " "; } else if (simulation_type == EVALUATE_BACKWARD || simulation_type == EVALUATE_FORWARD) sps = " "; else sps = ""; // The equations for (unsigned int i = 0; i < block_size; i++) { temporary_terms_t tt2; tt2.clear(); if (v_temporary_terms[block].size()) { output << " " << "% //Temporary variables" << endl; for (temporary_terms_t::const_iterator it = v_temporary_terms[block][i].begin(); it != v_temporary_terms[block][i].end(); it++) { if (dynamic_cast(*it) != NULL) (*it)->writeExternalFunctionOutput(output, local_output_type, tt2, tef_terms); output << " " << sps; (*it)->writeOutput(output, local_output_type, local_temporary_terms, tef_terms); output << " = "; (*it)->writeOutput(output, local_output_type, tt2, tef_terms); // Insert current node into tt2 tt2.insert(*it); output << ";" << endl; } } int variable_ID = getBlockVariableID(block, i); int equation_ID = getBlockEquationID(block, i); EquationType equ_type = getBlockEquationType(block, i); string sModel = symbol_table.getName(symbol_table.getID(eEndogenous, variable_ID)); eq_node = (BinaryOpNode *) getBlockEquationExpr(block, i); lhs = eq_node->get_arg1(); rhs = eq_node->get_arg2(); tmp_output.str(""); lhs->writeOutput(tmp_output, local_output_type, local_temporary_terms); switch (simulation_type) { case EVALUATE_BACKWARD: case EVALUATE_FORWARD: evaluation: if (simulation_type == SOLVE_TWO_BOUNDARIES_COMPLETE || simulation_type == SOLVE_TWO_BOUNDARIES_SIMPLE) output << " % equation " << getBlockEquationID(block, i)+1 << " variable : " << sModel << " (" << variable_ID+1 << ") " << c_Equation_Type(equ_type) << endl; output << " "; if (equ_type == E_EVALUATE) { output << tmp_output.str(); output << " = "; rhs->writeOutput(output, local_output_type, local_temporary_terms); } else if (equ_type == E_EVALUATE_S) { output << "%" << tmp_output.str(); output << " = "; if (isBlockEquationRenormalized(block, i)) { rhs->writeOutput(output, local_output_type, local_temporary_terms); output << "\n "; tmp_output.str(""); eq_node = (BinaryOpNode *) getBlockEquationRenormalizedExpr(block, i); lhs = eq_node->get_arg1(); rhs = eq_node->get_arg2(); lhs->writeOutput(output, local_output_type, local_temporary_terms); output << " = "; rhs->writeOutput(output, local_output_type, local_temporary_terms); } } else { cerr << "Type mismatch for equation " << equation_ID+1 << "\n"; exit(EXIT_FAILURE); } output << ";\n"; break; case SOLVE_BACKWARD_SIMPLE: case SOLVE_FORWARD_SIMPLE: case SOLVE_BACKWARD_COMPLETE: case SOLVE_FORWARD_COMPLETE: if (i < block_recursive) goto evaluation; feedback_variables.push_back(variable_ID); output << " % equation " << equation_ID+1 << " variable : " << sModel << " (" << variable_ID+1 << ") " << c_Equation_Type(equ_type) << " symb_id=" << symbol_table.getID(eEndogenous, variable_ID) << endl; output << " " << "residual(" << i+1-block_recursive << ") = ("; goto end; case SOLVE_TWO_BOUNDARIES_COMPLETE: case SOLVE_TWO_BOUNDARIES_SIMPLE: if (i < block_recursive) goto evaluation; feedback_variables.push_back(variable_ID); output << " % equation " << equation_ID+1 << " variable : " << sModel << " (" << variable_ID+1 << ") " << c_Equation_Type(equ_type) << " symb_id=" << symbol_table.getID(eEndogenous, variable_ID) << endl; Ufoss << " b(" << i+1-block_recursive << "+Per_J_) = -residual(" << i+1-block_recursive << ", it_)"; Uf[equation_ID] += Ufoss.str(); Ufoss.str(""); output << " residual(" << i+1-block_recursive << ", it_) = ("; goto end; default: end: output << tmp_output.str(); output << ") - ("; rhs->writeOutput(output, local_output_type, local_temporary_terms); output << ");\n"; #ifdef CONDITION if (simulation_type == SOLVE_TWO_BOUNDARIES_COMPLETE || simulation_type == SOLVE_TWO_BOUNDARIES_SIMPLE) output << " condition(" << i+1 << ")=0;\n"; #endif } } // The Jacobian if we have to solve the block if (simulation_type == SOLVE_TWO_BOUNDARIES_SIMPLE || simulation_type == SOLVE_TWO_BOUNDARIES_COMPLETE) output << " " << sps << "% Jacobian " << endl << " if jacobian_eval" << endl; else if (simulation_type == SOLVE_BACKWARD_SIMPLE || simulation_type == SOLVE_FORWARD_SIMPLE || simulation_type == SOLVE_BACKWARD_COMPLETE || simulation_type == SOLVE_FORWARD_COMPLETE) output << " % Jacobian " << endl << " if jacobian_eval" << endl; else output << " % Jacobian " << endl << " if jacobian_eval" << endl; prev_var = 999999999; prev_lag = -9999999; count_col = 0; for (map >, expr_t>::const_iterator it = tmp_block_endo_derivative.begin(); it != tmp_block_endo_derivative.end(); it++) { int lag = it->first.first; unsigned int var = it->first.second.first; unsigned int eq = it->first.second.second; int eqr = getBlockEquationID(block, eq); int varr = getBlockVariableID(block, var); if (var != prev_var || lag != prev_lag) { prev_var = var; prev_lag = lag; count_col++; } expr_t id = it->second; output << " g1(" << eq+1 << ", " << count_col << ") = "; id->writeOutput(output, local_output_type, local_temporary_terms); output << "; % variable=" << symbol_table.getName(symbol_table.getID(eEndogenous, varr)) << "(" << lag << ") " << varr+1 << ", " << var+1 << ", equation=" << eqr+1 << ", " << eq+1 << endl; } prev_var = 999999999; prev_lag = -9999999; count_col = 0; for (map >, expr_t>::const_iterator it = tmp_block_exo_derivative.begin(); it != tmp_block_exo_derivative.end(); it++) { int lag = it->first.first; unsigned int var = it->first.second.first; unsigned int eq = it->first.second.second; int eqr = getBlockInitialEquationID(block, eq); if (var != prev_var || lag != prev_lag) { prev_var = var; prev_lag = lag; count_col++; } expr_t id = it->second; output << " g1_x(" << eqr+1 << ", " << count_col << ") = "; id->writeOutput(output, local_output_type, local_temporary_terms); output << "; % variable=" << symbol_table.getName(symbol_table.getID(eExogenous, var)) << "(" << lag << ") " << var+1 << ", equation=" << eq+1 << endl; } prev_var = 999999999; prev_lag = -9999999; count_col = 0; for (map >, expr_t>::const_iterator it = tmp_block_exo_det_derivative.begin(); it != tmp_block_exo_det_derivative.end(); it++) { int lag = it->first.first; unsigned int var = it->first.second.first; unsigned int eq = it->first.second.second; int eqr = getBlockInitialEquationID(block, eq); if (var != prev_var || lag != prev_lag) { prev_var = var; prev_lag = lag; count_col++; } expr_t id = it->second; output << " g1_xd(" << eqr+1 << ", " << count_col << ") = "; id->writeOutput(output, local_output_type, local_temporary_terms); output << "; % variable=" << symbol_table.getName(symbol_table.getID(eExogenous, var)) << "(" << lag << ") " << var+1 << ", equation=" << eq+1 << endl; } prev_var = 999999999; prev_lag = -9999999; count_col = 0; for (map >, expr_t>::const_iterator it = tmp_block_other_endo_derivative.begin(); it != tmp_block_other_endo_derivative.end(); it++) { int lag = it->first.first; unsigned int var = it->first.second.first; unsigned int eq = it->first.second.second; int eqr = getBlockInitialEquationID(block, eq); if (var != prev_var || lag != prev_lag) { prev_var = var; prev_lag = lag; count_col++; } expr_t id = it->second; output << " g1_o(" << eqr+1 << ", " << /*var+1+(lag+block_max_lag)*block_size*/ count_col << ") = "; id->writeOutput(output, local_output_type, local_temporary_terms); output << "; % variable=" << symbol_table.getName(symbol_table.getID(eEndogenous, var)) << "(" << lag << ") " << var+1 << ", equation=" << eq+1 << endl; } output << " varargout{1}=g1_x;\n"; output << " varargout{2}=g1_xd;\n"; output << " varargout{3}=g1_o;\n"; switch (simulation_type) { case EVALUATE_FORWARD: case EVALUATE_BACKWARD: output << " end;" << endl; output << " end;" << endl; break; case SOLVE_BACKWARD_SIMPLE: case SOLVE_FORWARD_SIMPLE: case SOLVE_BACKWARD_COMPLETE: case SOLVE_FORWARD_COMPLETE: output << " else" << endl; for (block_derivatives_equation_variable_laglead_nodeid_t::const_iterator it = blocks_derivatives[block].begin(); it != (blocks_derivatives[block]).end(); it++) { unsigned int eq = it->first.first; unsigned int var = it->first.second; unsigned int eqr = getBlockEquationID(block, eq); unsigned int varr = getBlockVariableID(block, var); expr_t id = it->second.second; int lag = it->second.first; if (lag == 0) { output << " g1(" << eq+1 << ", " << var+1-block_recursive << ") = "; id->writeOutput(output, local_output_type, local_temporary_terms); output << "; % variable=" << symbol_table.getName(symbol_table.getID(eEndogenous, varr)) << "(" << lag << ") " << varr+1 << ", equation=" << eqr+1 << endl; } } output << " end;\n"; break; case SOLVE_TWO_BOUNDARIES_SIMPLE: case SOLVE_TWO_BOUNDARIES_COMPLETE: output << " else" << endl; for (block_derivatives_equation_variable_laglead_nodeid_t::const_iterator it = blocks_derivatives[block].begin(); it != (blocks_derivatives[block]).end(); it++) { unsigned int eq = it->first.first; unsigned int var = it->first.second; unsigned int eqr = getBlockEquationID(block, eq); unsigned int varr = getBlockVariableID(block, var); ostringstream tmp_output; expr_t id = it->second.second; int lag = it->second.first; if (eq >= block_recursive && var >= block_recursive) { if (lag == 0) Ufoss << "+g1(" << eq+1-block_recursive << "+Per_J_, " << var+1-block_recursive << "+Per_K_)*y(it_, " << varr+1 << ")"; else if (lag == 1) Ufoss << "+g1(" << eq+1-block_recursive << "+Per_J_, " << var+1-block_recursive << "+Per_y_)*y(it_+1, " << varr+1 << ")"; else if (lag > 0) Ufoss << "+g1(" << eq+1-block_recursive << "+Per_J_, " << var+1-block_recursive << "+y_size*(it_+" << lag-1 << "))*y(it_+" << lag << ", " << varr+1 << ")"; else Ufoss << "+g1(" << eq+1-block_recursive << "+Per_J_, " << var+1-block_recursive << "+y_size*(it_" << lag-1 << "))*y(it_" << lag << ", " << varr+1 << ")"; Uf[eqr] += Ufoss.str(); Ufoss.str(""); if (lag == 0) tmp_output << " g1(" << eq+1-block_recursive << "+Per_J_, " << var+1-block_recursive << "+Per_K_) = "; else if (lag == 1) tmp_output << " g1(" << eq+1-block_recursive << "+Per_J_, " << var+1-block_recursive << "+Per_y_) = "; else if (lag > 0) tmp_output << " g1(" << eq+1-block_recursive << "+Per_J_, " << var+1-block_recursive << "+y_size*(it_+" << lag-1 << ")) = "; else if (lag < 0) tmp_output << " g1(" << eq+1-block_recursive << "+Per_J_, " << var+1-block_recursive << "+y_size*(it_" << lag-1 << ")) = "; output << " " << tmp_output.str(); id->writeOutput(output, local_output_type, local_temporary_terms); output << ";"; output << " %2 variable=" << symbol_table.getName(symbol_table.getID(eEndogenous, varr)) << "(" << lag << ") " << varr+1 << ", equation=" << eqr+1 << " (" << eq+1 << ")" << endl; } #ifdef CONDITION output << " if (fabs(condition[" << eqr << "])= block_recursive) output << " " << Uf[getBlockEquationID(block, i)] << ";\n"; #ifdef CONDITION output << " if (fabs(condition(" << i+1 << "))Block_List[block].Max_Lead+ModelBlock->Block_List[block].Max_Lag; m++) { k = m-ModelBlock->Block_List[block].Max_Lag; for (i = 0; i < ModelBlock->Block_List[block].IM_lead_lag[m].size; i++) { unsigned int eq = ModelBlock->Block_List[block].IM_lead_lag[m].Equ_Index[i]; unsigned int var = ModelBlock->Block_List[block].IM_lead_lag[m].Var_Index[i]; unsigned int u = ModelBlock->Block_List[block].IM_lead_lag[m].u[i]; unsigned int eqr = ModelBlock->Block_List[block].IM_lead_lag[m].Equ[i]; output << " u(" << u+1 << "+Per_u_) = u(" << u+1 << "+Per_u_) / condition(" << eqr+1 << ");\n"; } } for (i = 0; i < ModelBlock->Block_List[block].Size; i++) output << " u(" << i+1 << "+Per_u_) = u(" << i+1 << "+Per_u_) / condition(" << i+1 << ");\n"; #endif output << " end;" << endl; output << " end;" << endl; break; default: break; } output << "end" << endl; output.close(); } } void DynamicModel::writeModelEquationsCode(string &file_name, const string &bin_basename, const map_idx_t &map_idx) const { ostringstream tmp_output; ofstream code_file; unsigned int instruction_number = 0; bool file_open = false; string main_name = file_name; main_name += ".cod"; code_file.open(main_name.c_str(), ios::out | ios::binary | ios::ate); if (!code_file.is_open()) { cerr << "Error : Can't open file \"" << main_name << "\" for writing" << endl; exit(EXIT_FAILURE); } int count_u; int u_count_int = 0; BlockSimulationType simulation_type; if ((max_endo_lag > 0) && (max_endo_lead > 0)) simulation_type = SOLVE_TWO_BOUNDARIES_COMPLETE; else if ((max_endo_lag >= 0) && (max_endo_lead == 0)) simulation_type = SOLVE_FORWARD_COMPLETE; else simulation_type = SOLVE_BACKWARD_COMPLETE; Write_Inf_To_Bin_File(file_name, u_count_int, file_open, simulation_type == SOLVE_TWO_BOUNDARIES_COMPLETE, symbol_table.endo_nbr()); file_open = true; //Temporary variables declaration FDIMT_ fdimt(temporary_terms.size()); fdimt.write(code_file, instruction_number); vector exo, exo_det, other_endo; for (int i = 0; i < symbol_table.exo_det_nbr(); i++) exo_det.push_back(i); for (int i = 0; i < symbol_table.exo_nbr(); i++) exo.push_back(i); map >, expr_t> first_derivatives_reordered_endo; map, pair >, expr_t> first_derivatives_reordered_exo; for (first_derivatives_t::const_iterator it = first_derivatives.begin(); it != first_derivatives.end(); it++) { int deriv_id = it->first.second; unsigned int eq = it->first.first; int symb = getSymbIDByDerivID(deriv_id); unsigned int var = symbol_table.getTypeSpecificID(symb); int lag = getLagByDerivID(deriv_id); if (getTypeByDerivID(deriv_id) == eEndogenous) first_derivatives_reordered_endo[make_pair(lag, make_pair(var, eq))] = it->second; else if (getTypeByDerivID(deriv_id) == eExogenous || getTypeByDerivID(deriv_id) == eExogenousDet) first_derivatives_reordered_exo[make_pair(make_pair(lag, getTypeByDerivID(deriv_id)), make_pair(var, eq))] = it->second; } int prev_var = -1; int prev_lag = -999999999; int count_col_endo = 0; for (map >, expr_t>::const_iterator it = first_derivatives_reordered_endo.begin(); it != first_derivatives_reordered_endo.end(); it++) { int var = it->first.second.first; int lag = it->first.first; if (prev_var != var || prev_lag != lag) { prev_var = var; prev_lag = lag; count_col_endo++; } } prev_var = -1; prev_lag = -999999999; int prev_type = -1; int count_col_exo = 0; int count_col_det_exo = 0; for (map, pair >, expr_t>::const_iterator it = first_derivatives_reordered_exo.begin(); it != first_derivatives_reordered_exo.end(); it++) { int var = it->first.second.first; int lag = it->first.first.first; int type = it->first.first.second; if (prev_var != var || prev_lag != lag || prev_type != type) { prev_var = var; prev_lag = lag; prev_type = type; if (type == eExogenous) count_col_exo++; else if (type == eExogenousDet) count_col_det_exo++; } } FBEGINBLOCK_ fbeginblock(symbol_table.endo_nbr(), simulation_type, 0, symbol_table.endo_nbr(), variable_reordered, equation_reordered, false, symbol_table.endo_nbr(), max_endo_lag, max_endo_lead, u_count_int, count_col_endo, symbol_table.exo_det_nbr(), count_col_det_exo, symbol_table.exo_nbr(), count_col_exo, 0, 0, exo_det, exo, other_endo ); fbeginblock.write(code_file, instruction_number); compileTemporaryTerms(code_file, instruction_number, temporary_terms, map_idx, true, false); compileModelEquations(code_file, instruction_number, temporary_terms, map_idx, true, false); FENDEQU_ fendequ; fendequ.write(code_file, instruction_number); // Get the current code_file position and jump if eval = true streampos pos1 = code_file.tellp(); FJMPIFEVAL_ fjmp_if_eval(0); fjmp_if_eval.write(code_file, instruction_number); int prev_instruction_number = instruction_number; vector, int > > > derivatives; derivatives.resize(symbol_table.endo_nbr()); count_u = symbol_table.endo_nbr(); for (first_derivatives_t::const_iterator it = first_derivatives.begin(); it != first_derivatives.end(); it++) { int deriv_id = it->first.second; if (getTypeByDerivID(deriv_id) == eEndogenous) { expr_t d1 = it->second; unsigned int eq = it->first.first; int symb = getSymbIDByDerivID(deriv_id); unsigned int var = symbol_table.getTypeSpecificID(symb); int lag = getLagByDerivID(deriv_id); FNUMEXPR_ fnumexpr(FirstEndoDerivative, eq, var, lag); fnumexpr.write(code_file, instruction_number); if (!derivatives[eq].size()) derivatives[eq].clear(); derivatives[eq].push_back(make_pair(make_pair(var, lag), count_u)); d1->compile(code_file, instruction_number, false, temporary_terms, map_idx, true, false); FSTPU_ fstpu(count_u); fstpu.write(code_file, instruction_number); count_u++; } } for (int i = 0; i < symbol_table.endo_nbr(); i++) { FLDR_ fldr(i); fldr.write(code_file, instruction_number); if (derivatives[i].size()) { for (vector, int> >::const_iterator it = derivatives[i].begin(); it != derivatives[i].end(); it++) { FLDU_ fldu(it->second); fldu.write(code_file, instruction_number); FLDV_ fldv(eEndogenous, it->first.first, it->first.second); fldv.write(code_file, instruction_number); FBINARY_ fbinary(oTimes); fbinary.write(code_file, instruction_number); if (it != derivatives[i].begin()) { FBINARY_ fbinary(oPlus); fbinary.write(code_file, instruction_number); } } FBINARY_ fbinary(oMinus); fbinary.write(code_file, instruction_number); } FSTPU_ fstpu(i); fstpu.write(code_file, instruction_number); } // Get the current code_file position and jump = true streampos pos2 = code_file.tellp(); FJMP_ fjmp(0); fjmp.write(code_file, instruction_number); // Set code_file position to previous JMPIFEVAL_ and set the number of instructions to jump streampos pos3 = code_file.tellp(); code_file.seekp(pos1); FJMPIFEVAL_ fjmp_if_eval1(instruction_number - prev_instruction_number); fjmp_if_eval1.write(code_file, instruction_number); code_file.seekp(pos3); prev_instruction_number = instruction_number; // The Jacobian prev_var = -1; prev_lag = -999999999; count_col_endo = 0; for (map >, expr_t>::const_iterator it = first_derivatives_reordered_endo.begin(); it != first_derivatives_reordered_endo.end(); it++) { unsigned int eq = it->first.second.second; int var = it->first.second.first; int lag = it->first.first; expr_t d1 = it->second; FNUMEXPR_ fnumexpr(FirstEndoDerivative, eq, var, lag); fnumexpr.write(code_file, instruction_number); if (prev_var != var || prev_lag != lag) { prev_var = var; prev_lag = lag; count_col_endo++; } d1->compile(code_file, instruction_number, false, temporary_terms, map_idx, true, false); FSTPG3_ fstpg3(eq, var, lag, count_col_endo-1); fstpg3.write(code_file, instruction_number); } prev_var = -1; prev_lag = -999999999; count_col_exo = 0; for (map, pair >, expr_t>::const_iterator it = first_derivatives_reordered_exo.begin(); it != first_derivatives_reordered_exo.end(); it++) { unsigned int eq = it->first.second.second; int var = it->first.second.first; int lag = it->first.first.first; expr_t d1 = it->second; FNUMEXPR_ fnumexpr(FirstExoDerivative, eq, var, lag); fnumexpr.write(code_file, instruction_number); if (prev_var != var || prev_lag != lag) { prev_var = var; prev_lag = lag; count_col_exo++; } d1->compile(code_file, instruction_number, false, temporary_terms, map_idx, true, false); FSTPG3_ fstpg3(eq, var, lag, count_col_exo-1); fstpg3.write(code_file, instruction_number); } // Set codefile position to previous JMP_ and set the number of instructions to jump pos1 = code_file.tellp(); code_file.seekp(pos2); FJMP_ fjmp1(instruction_number - prev_instruction_number); fjmp1.write(code_file, instruction_number); code_file.seekp(pos1); FENDBLOCK_ fendblock; fendblock.write(code_file, instruction_number); FEND_ fend; fend.write(code_file, instruction_number); code_file.close(); } void DynamicModel::writeModelEquationsCode_Block(string &file_name, const string &bin_basename, const map_idx_t &map_idx) const { struct Uff_l { int u, var, lag; Uff_l *pNext; }; struct Uff { Uff_l *Ufl, *Ufl_First; }; int i, v; string tmp_s; ostringstream tmp_output; ofstream code_file; unsigned int instruction_number = 0; expr_t lhs = NULL, rhs = NULL; BinaryOpNode *eq_node; Uff Uf[symbol_table.endo_nbr()]; map reference_count; deriv_node_temp_terms_t tef_terms; vector feedback_variables; bool file_open = false; string main_name = file_name; main_name += ".cod"; code_file.open(main_name.c_str(), ios::out | ios::binary | ios::ate); if (!code_file.is_open()) { cerr << "Error : Can't open file \"" << main_name << "\" for writing" << endl; exit(EXIT_FAILURE); } //Temporary variables declaration FDIMT_ fdimt(temporary_terms.size()); fdimt.write(code_file, instruction_number); for (unsigned int block = 0; block < getNbBlocks(); block++) { feedback_variables.clear(); if (block > 0) { FENDBLOCK_ fendblock; fendblock.write(code_file, instruction_number); } int count_u; int u_count_int = 0; BlockSimulationType simulation_type = getBlockSimulationType(block); unsigned int block_size = getBlockSize(block); unsigned int block_mfs = getBlockMfs(block); unsigned int block_recursive = block_size - block_mfs; int block_max_lag = max_leadlag_block[block].first; int block_max_lead = max_leadlag_block[block].second; if (simulation_type == SOLVE_TWO_BOUNDARIES_SIMPLE || simulation_type == SOLVE_TWO_BOUNDARIES_COMPLETE || simulation_type == SOLVE_BACKWARD_COMPLETE || simulation_type == SOLVE_FORWARD_COMPLETE) { Write_Inf_To_Bin_File_Block(file_name, bin_basename, block, u_count_int, file_open, simulation_type == SOLVE_TWO_BOUNDARIES_COMPLETE || simulation_type == SOLVE_TWO_BOUNDARIES_SIMPLE); file_open = true; } map >, expr_t> tmp_block_endo_derivative; for (block_derivatives_equation_variable_laglead_nodeid_t::const_iterator it = blocks_derivatives[block].begin(); it != (blocks_derivatives[block]).end(); it++) tmp_block_endo_derivative[make_pair(it->second.first, make_pair(it->first.second, it->first.first))] = it->second.second; map >, expr_t> tmp_exo_derivative; for (derivative_t::const_iterator it = derivative_exo[block].begin(); it != (derivative_exo[block]).end(); it++) tmp_exo_derivative[make_pair(it->first.first, make_pair(it->first.second.second, it->first.second.first))] = it->second; map >, expr_t> tmp_exo_det_derivative; for (derivative_t::const_iterator it = derivative_exo_det[block].begin(); it != (derivative_exo_det[block]).end(); it++) tmp_exo_det_derivative[make_pair(it->first.first, make_pair(it->first.second.second, it->first.second.first))] = it->second; map >, expr_t> tmp_other_endo_derivative; for (derivative_t::const_iterator it = derivative_other_endo[block].begin(); it != (derivative_other_endo[block]).end(); it++) tmp_other_endo_derivative[make_pair(it->first.first, make_pair(it->first.second.second, it->first.second.first))] = it->second; int prev_var = -1; int prev_lag = -999999999; int count_col_endo = 0; for (map >, expr_t>::const_iterator it = tmp_block_endo_derivative.begin(); it != tmp_block_endo_derivative.end(); it++) { int lag = it->first.first; int var = it->first.second.first; if (prev_var != var || prev_lag != lag) { prev_var = var; prev_lag = lag; count_col_endo++; } } unsigned int count_col_det_exo = 0; vector exo_det; for (lag_var_t::const_iterator it = exo_det_block[block].begin(); it != exo_det_block[block].end(); it++) for (var_t::const_iterator it1 = it->second.begin(); it1 != it->second.end(); it1++) { count_col_det_exo++; if (find(exo_det.begin(), exo_det.end(), *it1) == exo_det.end()) exo_det.push_back(*it1); } unsigned int count_col_exo = 0; vector exo; for (lag_var_t::const_iterator it = exo_block[block].begin(); it != exo_block[block].end(); it++) for (var_t::const_iterator it1 = it->second.begin(); it1 != it->second.end(); it1++) { count_col_exo++; if (find(exo.begin(), exo.end(), *it1) == exo.end()) exo.push_back(*it1); } vector other_endo; unsigned int count_col_other_endo = 0; for (lag_var_t::const_iterator it = other_endo_block[block].begin(); it != other_endo_block[block].end(); it++) for (var_t::const_iterator it1 = it->second.begin(); it1 != it->second.end(); it1++) { count_col_other_endo++; if (find(other_endo.begin(), other_endo.end(), *it1) == other_endo.end()) other_endo.push_back(*it1); } FBEGINBLOCK_ fbeginblock(block_mfs, simulation_type, getBlockFirstEquation(block), block_size, variable_reordered, equation_reordered, blocks_linear[block], symbol_table.endo_nbr(), block_max_lag, block_max_lead, u_count_int, count_col_endo, exo_det.size(), count_col_det_exo, exo.size(), getBlockExoColSize(block), other_endo.size(), count_col_other_endo, exo_det, exo, other_endo ); fbeginblock.write(code_file, instruction_number); // The equations for (i = 0; i < (int) block_size; i++) { //The Temporary terms temporary_terms_t tt2; tt2.clear(); if (v_temporary_terms[block][i].size()) { for (temporary_terms_t::const_iterator it = v_temporary_terms[block][i].begin(); it != v_temporary_terms[block][i].end(); it++) { if (dynamic_cast(*it) != NULL) (*it)->compileExternalFunctionOutput(code_file, instruction_number, false, tt2, map_idx, true, false, tef_terms); FNUMEXPR_ fnumexpr(TemporaryTerm, (int)(map_idx.find((*it)->idx)->second)); fnumexpr.write(code_file, instruction_number); (*it)->compile(code_file, instruction_number, false, tt2, map_idx, true, false, tef_terms); FSTPT_ fstpt((int)(map_idx.find((*it)->idx)->second)); fstpt.write(code_file, instruction_number); // Insert current node into tt2 tt2.insert(*it); #ifdef DEBUGC cout << "FSTPT " << v << "\n"; instruction_number++; code_file.write(&FOK, sizeof(FOK)); code_file.write(reinterpret_cast(&k), sizeof(k)); ki++; #endif } } #ifdef DEBUGC for (temporary_terms_t::const_iterator it = v_temporary_terms[block][i].begin(); it != v_temporary_terms[block][i].end(); it++) { map_idx_t::const_iterator ii = map_idx.find((*it)->idx); cout << "map_idx[" << (*it)->idx <<"]=" << ii->second << "\n"; } #endif int variable_ID, equation_ID; EquationType equ_type; switch (simulation_type) { evaluation: case EVALUATE_BACKWARD: case EVALUATE_FORWARD: equ_type = getBlockEquationType(block, i); { FNUMEXPR_ fnumexpr(ModelEquation, getBlockEquationID(block, i)); fnumexpr.write(code_file, instruction_number); } if (equ_type == E_EVALUATE) { eq_node = (BinaryOpNode *) getBlockEquationExpr(block, i); lhs = eq_node->get_arg1(); rhs = eq_node->get_arg2(); rhs->compile(code_file, instruction_number, false, temporary_terms, map_idx, true, false); lhs->compile(code_file, instruction_number, true, temporary_terms, map_idx, true, false); } else if (equ_type == E_EVALUATE_S) { eq_node = (BinaryOpNode *) getBlockEquationRenormalizedExpr(block, i); lhs = eq_node->get_arg1(); rhs = eq_node->get_arg2(); rhs->compile(code_file, instruction_number, false, temporary_terms, map_idx, true, false); lhs->compile(code_file, instruction_number, true, temporary_terms, map_idx, true, false); } break; case SOLVE_BACKWARD_COMPLETE: case SOLVE_FORWARD_COMPLETE: case SOLVE_TWO_BOUNDARIES_COMPLETE: case SOLVE_TWO_BOUNDARIES_SIMPLE: if (i < (int) block_recursive) goto evaluation; variable_ID = getBlockVariableID(block, i); equation_ID = getBlockEquationID(block, i); feedback_variables.push_back(variable_ID); Uf[equation_ID].Ufl = NULL; goto end; default: end: FNUMEXPR_ fnumexpr(ModelEquation, getBlockEquationID(block, i)); fnumexpr.write(code_file, instruction_number); eq_node = (BinaryOpNode *) getBlockEquationExpr(block, i); lhs = eq_node->get_arg1(); rhs = eq_node->get_arg2(); lhs->compile(code_file, instruction_number, false, temporary_terms, map_idx, true, false); rhs->compile(code_file, instruction_number, false, temporary_terms, map_idx, true, false); FBINARY_ fbinary(oMinus); fbinary.write(code_file, instruction_number); FSTPR_ fstpr(i - block_recursive); fstpr.write(code_file, instruction_number); } } FENDEQU_ fendequ; fendequ.write(code_file, instruction_number); // Get the current code_file position and jump if eval = true streampos pos1 = code_file.tellp(); FJMPIFEVAL_ fjmp_if_eval(0); fjmp_if_eval.write(code_file, instruction_number); int prev_instruction_number = instruction_number; // The Jacobian if we have to solve the block determinsitic block if (simulation_type != EVALUATE_BACKWARD && simulation_type != EVALUATE_FORWARD) { switch (simulation_type) { case SOLVE_BACKWARD_SIMPLE: case SOLVE_FORWARD_SIMPLE: { FNUMEXPR_ fnumexpr(FirstEndoDerivative, getBlockEquationID(block, 0), getBlockVariableID(block, 0), 0); fnumexpr.write(code_file, instruction_number); } compileDerivative(code_file, instruction_number, getBlockEquationID(block, 0), getBlockVariableID(block, 0), 0, map_idx); { FSTPG_ fstpg(0); fstpg.write(code_file, instruction_number); } break; case SOLVE_BACKWARD_COMPLETE: case SOLVE_FORWARD_COMPLETE: case SOLVE_TWO_BOUNDARIES_COMPLETE: case SOLVE_TWO_BOUNDARIES_SIMPLE: count_u = feedback_variables.size(); for (block_derivatives_equation_variable_laglead_nodeid_t::const_iterator it = blocks_derivatives[block].begin(); it != (blocks_derivatives[block]).end(); it++) { int lag = it->second.first; unsigned int eq = it->first.first; unsigned int var = it->first.second; unsigned int eqr = getBlockEquationID(block, eq); unsigned int varr = getBlockVariableID(block, var); if (eq >= block_recursive and var >= block_recursive) { if (lag != 0 && (simulation_type == SOLVE_FORWARD_COMPLETE || simulation_type == SOLVE_BACKWARD_COMPLETE)) continue; if (!Uf[eqr].Ufl) { Uf[eqr].Ufl = (Uff_l *) malloc(sizeof(Uff_l)); Uf[eqr].Ufl_First = Uf[eqr].Ufl; } else { Uf[eqr].Ufl->pNext = (Uff_l *) malloc(sizeof(Uff_l)); Uf[eqr].Ufl = Uf[eqr].Ufl->pNext; } Uf[eqr].Ufl->pNext = NULL; Uf[eqr].Ufl->u = count_u; Uf[eqr].Ufl->var = varr; Uf[eqr].Ufl->lag = lag; FNUMEXPR_ fnumexpr(FirstEndoDerivative, eqr, varr, lag); fnumexpr.write(code_file, instruction_number); compileChainRuleDerivative(code_file, instruction_number, eqr, varr, lag, map_idx); FSTPU_ fstpu(count_u); fstpu.write(code_file, instruction_number); count_u++; } } for (i = 0; i < (int) block_size; i++) { if (i >= (int) block_recursive) { FLDR_ fldr(i-block_recursive); fldr.write(code_file, instruction_number); FLDZ_ fldz; fldz.write(code_file, instruction_number); v = getBlockEquationID(block, i); for (Uf[v].Ufl = Uf[v].Ufl_First; Uf[v].Ufl; Uf[v].Ufl = Uf[v].Ufl->pNext) { FLDU_ fldu(Uf[v].Ufl->u); fldu.write(code_file, instruction_number); FLDV_ fldv(eEndogenous, Uf[v].Ufl->var, Uf[v].Ufl->lag); fldv.write(code_file, instruction_number); FBINARY_ fbinary(oTimes); fbinary.write(code_file, instruction_number); FCUML_ fcuml; fcuml.write(code_file, instruction_number); } Uf[v].Ufl = Uf[v].Ufl_First; while (Uf[v].Ufl) { Uf[v].Ufl_First = Uf[v].Ufl->pNext; free(Uf[v].Ufl); Uf[v].Ufl = Uf[v].Ufl_First; } FBINARY_ fbinary(oMinus); fbinary.write(code_file, instruction_number); FSTPU_ fstpu(i - block_recursive); fstpu.write(code_file, instruction_number); } } break; default: break; } } // Get the current code_file position and jump = true streampos pos2 = code_file.tellp(); FJMP_ fjmp(0); fjmp.write(code_file, instruction_number); // Set code_file position to previous JMPIFEVAL_ and set the number of instructions to jump streampos pos3 = code_file.tellp(); code_file.seekp(pos1); FJMPIFEVAL_ fjmp_if_eval1(instruction_number - prev_instruction_number); fjmp_if_eval1.write(code_file, instruction_number); code_file.seekp(pos3); prev_instruction_number = instruction_number; // The Jacobian if we have to solve the block determinsitic block prev_var = -1; prev_lag = -999999999; count_col_endo = 0; for (map >, expr_t>::const_iterator it = tmp_block_endo_derivative.begin(); it != tmp_block_endo_derivative.end(); it++) { int lag = it->first.first; unsigned int eq = it->first.second.second; int var = it->first.second.first; unsigned int eqr = getBlockEquationID(block, eq); unsigned int varr = getBlockVariableID(block, var); if (prev_var != var || prev_lag != lag) { prev_var = var; prev_lag = lag; count_col_endo++; } FNUMEXPR_ fnumexpr(FirstEndoDerivative, eqr, varr, lag); fnumexpr.write(code_file, instruction_number); compileDerivative(code_file, instruction_number, eqr, varr, lag, map_idx); FSTPG3_ fstpg3(eq, var, lag, count_col_endo-1); fstpg3.write(code_file, instruction_number); } prev_var = -1; prev_lag = -999999999; count_col_exo = 0; for (map >, expr_t>::const_iterator it = tmp_exo_derivative.begin(); it != tmp_exo_derivative.end(); it++) { int lag = it->first.first; int eq = it->first.second.second; int var = it->first.second.first; int eqr = getBlockInitialEquationID(block, eq); int varr = getBlockInitialExogenousID(block, var); if (prev_var != var || prev_lag != lag) { prev_var = var; prev_lag = lag; count_col_exo++; } expr_t id = it->second; FNUMEXPR_ fnumexpr(FirstExoDerivative, eqr, varr, lag); fnumexpr.write(code_file, instruction_number); id->compile(code_file, instruction_number, false, temporary_terms, map_idx, true, false); FSTPG3_ fstpg3(eq, var, lag, /*var*/ count_col_exo-1); fstpg3.write(code_file, instruction_number); } prev_var = -1; prev_lag = -999999999; int count_col_exo_det = 0; for (map >, expr_t>::const_iterator it = tmp_exo_det_derivative.begin(); it != tmp_exo_det_derivative.end(); it++) { int lag = it->first.first; int eq = it->first.second.second; int var = it->first.second.first; int eqr = getBlockInitialEquationID(block, eq); int varr = getBlockInitialDetExogenousID(block, var); if (prev_var != var || prev_lag != lag) { prev_var = var; prev_lag = lag; count_col_exo_det++; } expr_t id = it->second; FNUMEXPR_ fnumexpr(FirstExodetDerivative, eqr, varr, lag); fnumexpr.write(code_file, instruction_number); id->compile(code_file, instruction_number, false, temporary_terms, map_idx, true, false); FSTPG3_ fstpg3(eq, var, lag, count_col_exo_det-1); fstpg3.write(code_file, instruction_number); } prev_var = -1; prev_lag = -999999999; count_col_other_endo = 0; for (map >, expr_t>::const_iterator it = tmp_other_endo_derivative.begin(); it != tmp_other_endo_derivative.end(); it++) { int lag = it->first.first; int eq = it->first.second.second; int var = it->first.second.first; int eqr = getBlockInitialEquationID(block, eq); int varr = getBlockInitialOtherEndogenousID(block, var);; if (prev_var != var || prev_lag != lag) { prev_var = var; prev_lag = lag; count_col_other_endo++; } expr_t id = it->second; FNUMEXPR_ fnumexpr(FirstOtherEndoDerivative, eqr, varr, lag); fnumexpr.write(code_file, instruction_number); id->compile(code_file, instruction_number, false, temporary_terms, map_idx, true, false); FSTPG3_ fstpg3(eq, var, lag, count_col_other_endo-1); fstpg3.write(code_file, instruction_number); } // Set codefile position to previous JMP_ and set the number of instructions to jump pos1 = code_file.tellp(); code_file.seekp(pos2); FJMP_ fjmp1(instruction_number - prev_instruction_number); fjmp1.write(code_file, instruction_number); code_file.seekp(pos1); } FENDBLOCK_ fendblock; fendblock.write(code_file, instruction_number); FEND_ fend; fend.write(code_file, instruction_number); code_file.close(); } void DynamicModel::writeDynamicMFile(const string &dynamic_basename) const { string filename = dynamic_basename + ".m"; ofstream mDynamicModelFile; mDynamicModelFile.open(filename.c_str(), ios::out | ios::binary); if (!mDynamicModelFile.is_open()) { cerr << "Error: Can't open file " << filename << " for writing" << endl; exit(EXIT_FAILURE); } mDynamicModelFile << "function [residual, g1, g2, g3] = " << dynamic_basename << "(y, x, params, steady_state, it_)" << endl << "%" << endl << "% Status : Computes dynamic model for Dynare" << endl << "%" << endl << "% Inputs :" << endl << "% y [#dynamic variables by 1] double vector of endogenous variables in the order stored" << endl << "% in M_.lead_lag_incidence; see the Manual" << endl << "% x [nperiods by M_.exo_nbr] double matrix of exogenous variables (in declaration order)" << endl << "% for all simulation periods" << endl << "% steady_state [M_.endo_nbr by 1] double vector of steady state values" << endl << "% params [M_.param_nbr by 1] double vector of parameter values in declaration order" << endl << "% it_ scalar double time period for exogenous variables for which to evaluate the model" << endl << "%" << endl << "% Outputs:" << endl << "% residual [M_.endo_nbr by 1] double vector of residuals of the dynamic model equations in order of " << endl << "% declaration of the equations." << endl << "% Dynare may prepend auxiliary equations, see M_.aux_vars" << endl << "% g1 [M_.endo_nbr by #dynamic variables] double Jacobian matrix of the dynamic model equations;" << endl << "% rows: equations in order of declaration" << endl << "% columns: variables in order stored in M_.lead_lag_incidence followed by the ones in M_.exo_names" << endl << "% g2 [M_.endo_nbr by (#dynamic variables)^2] double Hessian matrix of the dynamic model equations;" << endl << "% rows: equations in order of declaration" << endl << "% columns: variables in order stored in M_.lead_lag_incidence followed by the ones in M_.exo_names" << endl << "% g3 [M_.endo_nbr by (#dynamic variables)^3] double Third order derivative matrix of the dynamic model equations;" << endl << "% rows: equations in order of declaration" << endl << "% columns: variables in order stored in M_.lead_lag_incidence followed by the ones in M_.exo_names" << endl << "%" << endl << "%" << endl << "% Warning : this file is generated automatically by Dynare" << endl << "% from model file (.mod)" << endl << endl; writeDynamicModel(mDynamicModelFile, false, false); mDynamicModelFile << "end" << endl; // Close *_dynamic function mDynamicModelFile.close(); } void DynamicModel::fillVarExpectationFunctionsToWrite() { for (var_expectation_node_map_t::const_iterator it = var_expectation_node_map.begin(); it != var_expectation_node_map.end(); it++) var_expectation_functions_to_write[it->first.first].insert(it->first.second.second); } map > DynamicModel::getVarExpectationFunctionsToWrite() const { return var_expectation_functions_to_write; } void DynamicModel::writeVarExpectationCalls(ostream &output) const { for (map >::const_iterator it = var_expectation_functions_to_write.begin(); it != var_expectation_functions_to_write.end(); it++) { int i = 0; output << "dynamic_var_forecast_" << it->first << " = " << "var_forecast_" << it->first << "(y);" << endl; for (set::const_iterator it1 = it->second.begin(); it1 != it->second.end(); it1++) output << "dynamic_var_forecast_" << it->first << "_" << *it1 << " = " << "dynamic_var_forecast_" << it->first << "(" << ++i << ", :);" << endl; } } void DynamicModel::writeDynamicJuliaFile(const string &basename) const { string filename = basename + "Dynamic.jl"; ofstream output; output.open(filename.c_str(), ios::out | ios::binary); if (!output.is_open()) { cerr << "Error: Can't open file " << filename << " for writing" << endl; exit(EXIT_FAILURE); } output << "module " << basename << "Dynamic" << endl << "#" << endl << "# NB: this file was automatically generated by Dynare" << endl << "# from " << basename << ".mod" << endl << "#" << endl << "using Utils" << endl << endl << "export dynamic!" << endl << endl; writeDynamicModel(output, false, true); output << "end" << endl; output.close(); } void DynamicModel::writeDynamicCFile(const string &dynamic_basename, const int order) const { string filename = dynamic_basename + ".c"; string filename_mex = dynamic_basename + "_mex.c"; ofstream mDynamicModelFile, mDynamicMexFile; mDynamicModelFile.open(filename.c_str(), ios::out | ios::binary); if (!mDynamicModelFile.is_open()) { cerr << "Error: Can't open file " << filename << " for writing" << endl; exit(EXIT_FAILURE); } mDynamicModelFile << "/*" << endl << " * " << filename << " : Computes dynamic model for Dynare" << endl << " *" << endl << " * Warning : this file is generated automatically by Dynare" << endl << " * from model file (.mod)" << endl << " */" << endl #if defined(_WIN32) || defined(__CYGWIN32__) || defined(__MINGW32__) << "#ifdef _MSC_VER" << endl << "#define _USE_MATH_DEFINES" << endl << "#endif" << endl #endif << "#include " << endl; if (external_functions_table.get_total_number_of_unique_model_block_external_functions()) // External Matlab function, implies Dynamic function will call mex mDynamicModelFile << "#include \"mex.h\"" << endl; else mDynamicModelFile << "#include " << endl; mDynamicModelFile << "#define max(a, b) (((a) > (b)) ? (a) : (b))" << endl << "#define min(a, b) (((a) > (b)) ? (b) : (a))" << endl; // Write function definition if oPowerDeriv is used writePowerDerivCHeader(mDynamicModelFile); writeNormcdfCHeader(mDynamicModelFile); // Writing the function body writeDynamicModel(mDynamicModelFile, true, false); writePowerDeriv(mDynamicModelFile); writeNormcdf(mDynamicModelFile); mDynamicModelFile.close(); mDynamicMexFile.open(filename_mex.c_str(), ios::out | ios::binary); if (!mDynamicMexFile.is_open()) { cerr << "Error: Can't open file " << filename_mex << " for writing" << endl; exit(EXIT_FAILURE); } // Writing the gateway routine mDynamicMexFile << "/*" << endl << " * " << filename_mex << " : The gateway routine used to call the Dynamic function " << "located in " << filename << endl << " *" << endl << " * Warning : this file is generated automatically by Dynare" << endl << " * from model file (.mod)" << endl << endl << " */" << endl << endl << "#include \"mex.h\"" << endl << endl << "void Dynamic(double *y, double *x, int nb_row_x, double *params, double *steady_state, int it_, double *residual, double *g1, double *v2, double *v3);" << endl << "void mexFunction(int nlhs, mxArray *plhs[], int nrhs, const mxArray *prhs[])" << endl << "{" << endl << " double *y, *x, *params, *steady_state;" << endl << " double *residual, *g1, *v2, *v3;" << endl << " int nb_row_x, it_;" << endl << endl << " /* Check that no derivatives of higher order than computed are being requested */" << endl << " if (nlhs > " << order + 1 << ")" << endl << " mexErrMsgTxt(\"Derivatives of higher order than computed have been requested\");" << endl << " /* Create a pointer to the input matrix y. */" << endl << " y = mxGetPr(prhs[0]);" << endl << endl << " /* Create a pointer to the input matrix x. */" << endl << " x = mxGetPr(prhs[1]);" << endl << endl << " /* Create a pointer to the input matrix params. */" << endl << " params = mxGetPr(prhs[2]);" << endl << endl << " /* Create a pointer to the input matrix steady_state. */" << endl << " steady_state = mxGetPr(prhs[3]);" << endl << endl << " /* Fetch time index */" << endl << " it_ = (int) mxGetScalar(prhs[4]) - 1;" << endl << endl << " /* Gets number of rows of matrix x. */" << endl << " nb_row_x = mxGetM(prhs[1]);" << endl << endl << " residual = NULL;" << endl << " if (nlhs >= 1)" << endl << " {" << endl << " /* Set the output pointer to the output matrix residual. */" << endl << " plhs[0] = mxCreateDoubleMatrix(" << equations.size() << ",1, mxREAL);" << endl << " /* Create a C pointer to a copy of the output matrix residual. */" << endl << " residual = mxGetPr(plhs[0]);" << endl << " }" << endl << endl << " g1 = NULL;" << endl << " if (nlhs >= 2)" << endl << " {" << endl << " /* Set the output pointer to the output matrix g1. */" << endl << " plhs[1] = mxCreateDoubleMatrix(" << equations.size() << ", " << dynJacobianColsNbr << ", mxREAL);" << endl << " /* Create a C pointer to a copy of the output matrix g1. */" << endl << " g1 = mxGetPr(plhs[1]);" << endl << " }" << endl << endl << " v2 = NULL;" << endl << " if (nlhs >= 3)" << endl << " {" << endl << " /* Set the output pointer to the output matrix v2. */" << endl << " plhs[2] = mxCreateDoubleMatrix(" << NNZDerivatives[1] << ", " << 3 << ", mxREAL);" << endl << " v2 = mxGetPr(plhs[2]);" << endl << " }" << endl << endl << " v3 = NULL;" << endl << " if (nlhs >= 4)" << endl << " {" << endl << " /* Set the output pointer to the output matrix v3. */" << endl << " plhs[3] = mxCreateDoubleMatrix(" << NNZDerivatives[2] << ", " << 3 << ", mxREAL);" << endl << " v3 = mxGetPr(plhs[3]);" << endl << " }" << endl << endl << " /* Call the C subroutines. */" << endl << " Dynamic(y, x, nb_row_x, params, steady_state, it_, residual, g1, v2, v3);" << endl << "}" << endl; mDynamicMexFile.close(); } string DynamicModel::reform(const string name1) const { string name = name1; int pos = name.find("\\", 0); while (pos >= 0) { if (name.substr(pos + 1, 1) != "\\") { name = name.insert(pos, "\\"); pos++; } pos++; pos = name.find("\\", pos); } return (name); } void DynamicModel::printNonZeroHessianEquations(ostream &output) const { if (nonzero_hessian_eqs.size() != 1) output << "["; for (map::const_iterator it = nonzero_hessian_eqs.begin(); it != nonzero_hessian_eqs.end(); it++) { if (it != nonzero_hessian_eqs.begin()) output << " "; output << it->first; } if (nonzero_hessian_eqs.size() != 1) output << "]"; } void DynamicModel::setNonZeroHessianEquations(map &eqs) { for (second_derivatives_t::const_iterator it = second_derivatives.begin(); it != second_derivatives.end(); it++) if (nonzero_hessian_eqs.find(it->first.first) == nonzero_hessian_eqs.end()) { nonzero_hessian_eqs[it->first.first] = ""; for (size_t i = 0; i < equation_tags.size(); i++) if (equation_tags[i].first == it->first.first) if (equation_tags[i].second.first == "name") { nonzero_hessian_eqs[it->first.first] = equation_tags[i].second.second; break; } } eqs = nonzero_hessian_eqs; } void DynamicModel::Write_Inf_To_Bin_File_Block(const string &dynamic_basename, const string &bin_basename, const int &num, int &u_count_int, bool &file_open, bool is_two_boundaries) const { int j; std::ofstream SaveCode; if (file_open) SaveCode.open((bin_basename + "_dynamic.bin").c_str(), ios::out | ios::in | ios::binary | ios::ate); else SaveCode.open((bin_basename + "_dynamic.bin").c_str(), ios::out | ios::binary); if (!SaveCode.is_open()) { cerr << "Error : Can't open file \"" << bin_basename << "_dynamic.bin\" for writing" << endl; exit(EXIT_FAILURE); } u_count_int = 0; unsigned int block_size = getBlockSize(num); unsigned int block_mfs = getBlockMfs(num); unsigned int block_recursive = block_size - block_mfs; for (block_derivatives_equation_variable_laglead_nodeid_t::const_iterator it = blocks_derivatives[num].begin(); it != (blocks_derivatives[num]).end(); it++) { unsigned int eq = it->first.first; unsigned int var = it->first.second; int lag = it->second.first; if (lag != 0 && !is_two_boundaries) continue; if (eq >= block_recursive && var >= block_recursive) { int v = eq - block_recursive; SaveCode.write(reinterpret_cast(&v), sizeof(v)); int varr = var - block_recursive + lag * block_mfs; SaveCode.write(reinterpret_cast(&varr), sizeof(varr)); SaveCode.write(reinterpret_cast(&lag), sizeof(lag)); int u = u_count_int + block_mfs; SaveCode.write(reinterpret_cast(&u), sizeof(u)); u_count_int++; } } if (is_two_boundaries) u_count_int += block_mfs; for (j = block_recursive; j < (int) block_size; j++) { unsigned int varr = getBlockVariableID(num, j); SaveCode.write(reinterpret_cast(&varr), sizeof(varr)); } for (j = block_recursive; j < (int) block_size; j++) { unsigned int eqr = getBlockEquationID(num, j); SaveCode.write(reinterpret_cast(&eqr), sizeof(eqr)); } SaveCode.close(); } void DynamicModel::writeSparseDynamicMFile(const string &dynamic_basename, const string &basename) const { string sp; ofstream mDynamicModelFile; ostringstream tmp, tmp1, tmp_eq; bool OK; chdir(basename.c_str()); string filename = dynamic_basename + ".m"; mDynamicModelFile.open(filename.c_str(), ios::out | ios::binary); if (!mDynamicModelFile.is_open()) { cerr << "Error: Can't open file " << filename << " for writing" << endl; exit(EXIT_FAILURE); } mDynamicModelFile << "%\n"; mDynamicModelFile << "% " << filename << " : Computes dynamic model for Dynare\n"; mDynamicModelFile << "%\n"; mDynamicModelFile << "% Warning : this file is generated automatically by Dynare\n"; mDynamicModelFile << "% from model file (.mod)\n\n"; mDynamicModelFile << "%/\n"; int Nb_SGE = 0; bool open_par = false; mDynamicModelFile << "function [varargout] = " << dynamic_basename << "(options_, M_, oo_, varargin)\n"; mDynamicModelFile << " g2=[];g3=[];\n"; //Temporary variables declaration OK = true; ostringstream tmp_output; for (temporary_terms_t::const_iterator it = temporary_terms.begin(); it != temporary_terms.end(); it++) { if (OK) OK = false; else tmp_output << " "; (*it)->writeOutput(tmp_output, oMatlabStaticModelSparse, temporary_terms); } if (tmp_output.str().length() > 0) mDynamicModelFile << " global " << tmp_output.str() << ";\n"; mDynamicModelFile << " T_init=zeros(1,options_.periods+M_.maximum_lag+M_.maximum_lead);\n"; tmp_output.str(""); for (temporary_terms_t::const_iterator it = temporary_terms.begin(); it != temporary_terms.end(); it++) { tmp_output << " "; (*it)->writeOutput(tmp_output, oMatlabDynamicModel, temporary_terms); tmp_output << "=T_init;\n"; } if (tmp_output.str().length() > 0) mDynamicModelFile << tmp_output.str(); mDynamicModelFile << " y_kmin=M_.maximum_lag;" << endl << " y_kmax=M_.maximum_lead;" << endl << " y_size=M_.endo_nbr;" << endl << " if(length(varargin)>0)" << endl << " %it is a simple evaluation of the dynamic model for time _it" << endl << " y=varargin{1};" << endl << " x=varargin{2};" << endl << " params=varargin{3};" << endl << " steady_state=varargin{4};" << endl << " it_=varargin{5};" << endl << " dr=varargin{6};" << endl << " Per_u_=0;" << endl << " Per_y_=it_*y_size;" << endl << " ys=y(it_,:);" << endl; tmp.str(""); tmp_eq.str(""); unsigned int nb_blocks = getNbBlocks(); unsigned int block = 0; for (int count_call = 1; block < nb_blocks; block++, count_call++) { unsigned int block_size = getBlockSize(block); unsigned int block_mfs = getBlockMfs(block); unsigned int block_recursive = block_size - block_mfs; BlockSimulationType simulation_type = getBlockSimulationType(block); if (simulation_type == EVALUATE_FORWARD || simulation_type == EVALUATE_BACKWARD) { for (unsigned int ik = 0; ik < block_size; ik++) { tmp << " " << getBlockVariableID(block, ik)+1; tmp_eq << " " << getBlockEquationID(block, ik)+1; } } else { for (unsigned int ik = block_recursive; ik < block_size; ik++) { tmp << " " << getBlockVariableID(block, ik)+1; tmp_eq << " " << getBlockEquationID(block, ik)+1; } } mDynamicModelFile << " y_index_eq=[" << tmp_eq.str() << "];\n"; mDynamicModelFile << " y_index=[" << tmp.str() << "];\n"; switch (simulation_type) { case EVALUATE_FORWARD: case EVALUATE_BACKWARD: mDynamicModelFile << " [y, dr(" << count_call << ").g1, dr(" << count_call << ").g2, dr(" << count_call << ").g3, dr(" << count_call << ").g1_x, dr(" << count_call << ").g1_xd, dr(" << count_call << ").g1_o]=" << dynamic_basename << "_" << block + 1 << "(y, x, params, steady_state, 1, it_-1, 1);\n"; mDynamicModelFile << " residual(y_index_eq)=ys(y_index)-y(it_, y_index);\n"; break; case SOLVE_FORWARD_SIMPLE: case SOLVE_BACKWARD_SIMPLE: mDynamicModelFile << " [r, y, dr(" << count_call << ").g1, dr(" << count_call << ").g2, dr(" << count_call << ").g3, dr(" << count_call << ").g1_x, dr(" << count_call << ").g1_xd, dr(" << count_call << ").g1_o]=" << dynamic_basename << "_" << block + 1 << "(y, x, params, steady_state, it_, 1);\n"; mDynamicModelFile << " residual(y_index_eq)=r;\n"; break; case SOLVE_FORWARD_COMPLETE: case SOLVE_BACKWARD_COMPLETE: mDynamicModelFile << " [r, y, dr(" << count_call << ").g1, dr(" << count_call << ").g2, dr(" << count_call << ").g3, dr(" << count_call << ").g1_x, dr(" << count_call << ").g1_xd, dr(" << count_call << ").g1_o]=" << dynamic_basename << "_" << block + 1 << "(y, x, params, steady_state, it_, 1);\n"; mDynamicModelFile << " residual(y_index_eq)=r;\n"; break; case SOLVE_TWO_BOUNDARIES_COMPLETE: case SOLVE_TWO_BOUNDARIES_SIMPLE: mDynamicModelFile << " [r, y, dr(" << count_call << ").g1, dr(" << count_call << ").g2, dr(" << count_call << ").g3, b, dr(" << count_call << ").g1_x, dr(" << count_call << ").g1_xd, dr(" << count_call << ").g1_o]=" << dynamic_basename << "_" << block + 1 << "(y, x, params, steady_state, it_-" << max_lag << ", 1, " << max_lag << ", " << block_recursive << "," << "options_.periods" << ");\n"; mDynamicModelFile << " residual(y_index_eq)=r(:,M_.maximum_lag+1);\n"; break; default: break; } tmp_eq.str(""); tmp.str(""); } if (tmp1.str().length()) { mDynamicModelFile << tmp1.str(); tmp1.str(""); } mDynamicModelFile << " varargout{1}=residual;" << endl << " varargout{2}=dr;" << endl << " return;" << endl << " end;" << endl << " %it is the deterministic simulation of the block decomposed dynamic model" << endl << " if(options_.stack_solve_algo==0)" << endl << " mthd='Sparse LU';" << endl << " elseif(options_.stack_solve_algo==1)" << endl << " mthd='Relaxation';" << endl << " elseif(options_.stack_solve_algo==2)" << endl << " mthd='GMRES';" << endl << " elseif(options_.stack_solve_algo==3)" << endl << " mthd='BICGSTAB';" << endl << " elseif(options_.stack_solve_algo==4)" << endl << " mthd='OPTIMPATH';" << endl << " else" << endl << " mthd='UNKNOWN';" << endl << " end;" << endl << " if options_.verbosity" << endl << " printline(41)" << endl << " disp(sprintf('MODEL SIMULATION (method=%s):',mthd))" << endl << " skipline()" << endl << " end" << endl << " periods=options_.periods;" << endl << " maxit_=options_.simul.maxit;" << endl << " solve_tolf=options_.solve_tolf;" << endl << " y=oo_.endo_simul';" << endl << " x=oo_.exo_simul;" << endl; mDynamicModelFile << " params=M_.params;\n"; mDynamicModelFile << " steady_state=oo_.steady_state;\n"; mDynamicModelFile << " oo_.deterministic_simulation.status = 0;\n"; for (block = 0; block < nb_blocks; block++) { unsigned int block_size = getBlockSize(block); unsigned int block_mfs = getBlockMfs(block); unsigned int block_recursive = block_size - block_mfs; BlockSimulationType simulation_type = getBlockSimulationType(block); if ((simulation_type == EVALUATE_FORWARD) && (block_size)) { if (open_par) { mDynamicModelFile << " end\n"; } mDynamicModelFile << " oo_.deterministic_simulation.status = 1;\n"; mDynamicModelFile << " oo_.deterministic_simulation.error = 0;\n"; mDynamicModelFile << " oo_.deterministic_simulation.iterations = 0;\n"; mDynamicModelFile << " if(isfield(oo_.deterministic_simulation,'block'))\n"; mDynamicModelFile << " blck_num = length(oo_.deterministic_simulation.block)+1;\n"; mDynamicModelFile << " else\n"; mDynamicModelFile << " blck_num = 1;\n"; mDynamicModelFile << " end;\n"; mDynamicModelFile << " oo_.deterministic_simulation.block(blck_num).status = 1;\n"; mDynamicModelFile << " oo_.deterministic_simulation.block(blck_num).error = 0;\n"; mDynamicModelFile << " oo_.deterministic_simulation.block(blck_num).iterations = 0;\n"; mDynamicModelFile << " g1=[];g2=[];g3=[];\n"; mDynamicModelFile << " y=" << dynamic_basename << "_" << block + 1 << "(y, x, params, steady_state, 0, y_kmin, periods);\n"; mDynamicModelFile << " tmp = y(:,M_.block_structure.block(" << block + 1 << ").variable);\n"; mDynamicModelFile << " if any(isnan(tmp) | isinf(tmp))\n"; mDynamicModelFile << " disp(['Inf or Nan value during the evaluation of block " << block <<"']);\n"; mDynamicModelFile << " oo_.deterministic_simulation.status = 0;\n"; mDynamicModelFile << " oo_.deterministic_simulation.error = 100;\n"; mDynamicModelFile << " varargout{1} = oo_;\n"; mDynamicModelFile << " return;\n"; mDynamicModelFile << " end;\n"; } else if ((simulation_type == EVALUATE_BACKWARD) && (block_size)) { if (open_par) { mDynamicModelFile << " end\n"; } mDynamicModelFile << " oo_.deterministic_simulation.status = 1;\n"; mDynamicModelFile << " oo_.deterministic_simulation.error = 0;\n"; mDynamicModelFile << " oo_.deterministic_simulation.iterations = 0;\n"; mDynamicModelFile << " if(isfield(oo_.deterministic_simulation,'block'))\n"; mDynamicModelFile << " blck_num = length(oo_.deterministic_simulation.block)+1;\n"; mDynamicModelFile << " else\n"; mDynamicModelFile << " blck_num = 1;\n"; mDynamicModelFile << " end;\n"; mDynamicModelFile << " oo_.deterministic_simulation.block(blck_num).status = 1;\n"; mDynamicModelFile << " oo_.deterministic_simulation.block(blck_num).error = 0;\n"; mDynamicModelFile << " oo_.deterministic_simulation.block(blck_num).iterations = 0;\n"; mDynamicModelFile << " g1=[];g2=[];g3=[];\n"; mDynamicModelFile << " " << dynamic_basename << "_" << block + 1 << "(y, x, params, steady_state, 0, y_kmin, periods);\n"; mDynamicModelFile << " tmp = y(:,M_.block_structure.block(" << block + 1 << ").variable);\n"; mDynamicModelFile << " if any(isnan(tmp) | isinf(tmp))\n"; mDynamicModelFile << " disp(['Inf or Nan value during the evaluation of block " << block <<"']);\n"; mDynamicModelFile << " oo_.deterministic_simulation.status = 0;\n"; mDynamicModelFile << " oo_.deterministic_simulation.error = 100;\n"; mDynamicModelFile << " varargout{1} = oo_;\n"; mDynamicModelFile << " return;\n"; mDynamicModelFile << " end;\n"; } else if ((simulation_type == SOLVE_FORWARD_COMPLETE || simulation_type == SOLVE_FORWARD_SIMPLE) && (block_size)) { if (open_par) mDynamicModelFile << " end\n"; open_par = false; mDynamicModelFile << " g1=0;\n"; mDynamicModelFile << " r=0;\n"; tmp.str(""); for (unsigned int ik = block_recursive; ik < block_size; ik++) { tmp << " " << getBlockVariableID(block, ik)+1; } mDynamicModelFile << " y_index = [" << tmp.str() << "];\n"; int nze = blocks_derivatives[block].size(); mDynamicModelFile << " if(isfield(oo_.deterministic_simulation,'block'))\n"; mDynamicModelFile << " blck_num = length(oo_.deterministic_simulation.block)+1;\n"; mDynamicModelFile << " else\n"; mDynamicModelFile << " blck_num = 1;\n"; mDynamicModelFile << " end;\n"; mDynamicModelFile << " y = solve_one_boundary('" << dynamic_basename << "_" << block + 1 << "'" <<", y, x, params, steady_state, y_index, " << nze <<", options_.periods, " << blocks_linear[block] <<", blck_num, y_kmin, options_.simul.maxit, options_.solve_tolf, options_.slowc, " << cutoff << ", options_.stack_solve_algo, 1, 1, 0);\n"; mDynamicModelFile << " tmp = y(:,M_.block_structure.block(" << block + 1 << ").variable);\n"; mDynamicModelFile << " if any(isnan(tmp) | isinf(tmp))\n"; mDynamicModelFile << " disp(['Inf or Nan value during the resolution of block " << block <<"']);\n"; mDynamicModelFile << " oo_.deterministic_simulation.status = 0;\n"; mDynamicModelFile << " oo_.deterministic_simulation.error = 100;\n"; mDynamicModelFile << " varargout{1} = oo_;\n"; mDynamicModelFile << " return;\n"; mDynamicModelFile << " end;\n"; } else if ((simulation_type == SOLVE_BACKWARD_COMPLETE || simulation_type == SOLVE_BACKWARD_SIMPLE) && (block_size)) { if (open_par) mDynamicModelFile << " end\n"; open_par = false; mDynamicModelFile << " g1=0;\n"; mDynamicModelFile << " r=0;\n"; tmp.str(""); for (unsigned int ik = block_recursive; ik < block_size; ik++) { tmp << " " << getBlockVariableID(block, ik)+1; } mDynamicModelFile << " y_index = [" << tmp.str() << "];\n"; int nze = blocks_derivatives[block].size(); mDynamicModelFile << " if(isfield(oo_.deterministic_simulation,'block'))\n"; mDynamicModelFile << " blck_num = length(oo_.deterministic_simulation.block)+1;\n"; mDynamicModelFile << " else\n"; mDynamicModelFile << " blck_num = 1;\n"; mDynamicModelFile << " end;\n"; mDynamicModelFile << " y = solve_one_boundary('" << dynamic_basename << "_" << block + 1 << "'" <<", y, x, params, steady_state, y_index, " << nze <<", options_.periods, " << blocks_linear[block] <<", blck_num, y_kmin, options_.simul.maxit, options_.solve_tolf, options_.slowc, " << cutoff << ", options_.stack_solve_algo, 1, 1, 0);\n"; mDynamicModelFile << " tmp = y(:,M_.block_structure.block(" << block + 1 << ").variable);\n"; mDynamicModelFile << " if any(isnan(tmp) | isinf(tmp))\n"; mDynamicModelFile << " disp(['Inf or Nan value during the resolution of block " << block <<"']);\n"; mDynamicModelFile << " oo_.deterministic_simulation.status = 0;\n"; mDynamicModelFile << " oo_.deterministic_simulation.error = 100;\n"; mDynamicModelFile << " varargout{1} = oo_;\n"; mDynamicModelFile << " return;\n"; mDynamicModelFile << " end;\n"; } else if ((simulation_type == SOLVE_TWO_BOUNDARIES_COMPLETE || simulation_type == SOLVE_TWO_BOUNDARIES_SIMPLE) && (block_size)) { if (open_par) mDynamicModelFile << " end\n"; open_par = false; Nb_SGE++; int nze = blocks_derivatives[block].size(); mDynamicModelFile << " y_index=["; for (unsigned int ik = block_recursive; ik < block_size; ik++) { mDynamicModelFile << " " << getBlockVariableID(block, ik)+1; } mDynamicModelFile << " ];\n"; mDynamicModelFile << " if(isfield(oo_.deterministic_simulation,'block'))\n"; mDynamicModelFile << " blck_num = length(oo_.deterministic_simulation.block)+1;\n"; mDynamicModelFile << " else\n"; mDynamicModelFile << " blck_num = 1;\n"; mDynamicModelFile << " end;\n"; mDynamicModelFile << " [y oo_] = solve_two_boundaries('" << dynamic_basename << "_" << block + 1 << "'" <<", y, x, params, steady_state, y_index, " << nze <<", options_.periods, " << max_leadlag_block[block].first <<", " << max_leadlag_block[block].second <<", " << blocks_linear[block] <<", blck_num, y_kmin, options_.simul.maxit, options_.solve_tolf, options_.slowc, " << cutoff << ", options_.stack_solve_algo, options_, M_, oo_);\n"; mDynamicModelFile << " tmp = y(:,M_.block_structure.block(" << block + 1 << ").variable);\n"; mDynamicModelFile << " if any(isnan(tmp) | isinf(tmp))\n"; mDynamicModelFile << " disp(['Inf or Nan value during the resolution of block " << block <<"']);\n"; mDynamicModelFile << " oo_.deterministic_simulation.status = 0;\n"; mDynamicModelFile << " oo_.deterministic_simulation.error = 100;\n"; mDynamicModelFile << " varargout{1} = oo_;\n"; mDynamicModelFile << " return;\n"; mDynamicModelFile << " end;\n"; } } if (open_par) mDynamicModelFile << " end;\n"; open_par = false; mDynamicModelFile << " oo_.endo_simul = y';\n"; mDynamicModelFile << " varargout{1} = oo_;\n"; mDynamicModelFile << "return;\n"; mDynamicModelFile << "end" << endl; mDynamicModelFile.close(); writeModelEquationsOrdered_M(dynamic_basename); chdir(".."); } void DynamicModel::writeDynamicModel(ostream &DynamicOutput, bool use_dll, bool julia) const { ostringstream model_local_vars_output; // Used for storing model local vars ostringstream model_output; // Used for storing model temp vars and equations ostringstream jacobian_output; // Used for storing jacobian equations ostringstream hessian_output; // Used for storing Hessian equations ostringstream third_derivatives_output; // Used for storing third order derivatives equations ExprNodeOutputType output_type = (use_dll ? oCDynamicModel : julia ? oJuliaDynamicModel : oMatlabDynamicModel); deriv_node_temp_terms_t tef_terms; temporary_terms_t temp_term_empty; temporary_terms_t temp_term_union = temporary_terms_res; temporary_terms_t temp_term_union_m_1; writeModelLocalVariables(model_local_vars_output, output_type, tef_terms); writeTemporaryTerms(temporary_terms_res, temp_term_union_m_1, model_output, output_type, tef_terms); writeModelEquations(model_output, output_type); int nrows = equations.size(); int hessianColsNbr = dynJacobianColsNbr * dynJacobianColsNbr; // Writing Jacobian temp_term_union_m_1 = temp_term_union; temp_term_union.insert(temporary_terms_g1.begin(), temporary_terms_g1.end()); if (!first_derivatives.empty()) if (julia) writeTemporaryTerms(temp_term_union, temp_term_empty, jacobian_output, output_type, tef_terms); else writeTemporaryTerms(temp_term_union, temp_term_union_m_1, jacobian_output, output_type, tef_terms); for (first_derivatives_t::const_iterator it = first_derivatives.begin(); it != first_derivatives.end(); it++) { int eq = it->first.first; int var = it->first.second; expr_t d1 = it->second; jacobianHelper(jacobian_output, eq, getDynJacobianCol(var), output_type); jacobian_output << "="; d1->writeOutput(jacobian_output, output_type, temp_term_union, tef_terms); jacobian_output << ";" << endl; } // Writing Hessian temp_term_union_m_1 = temp_term_union; temp_term_union.insert(temporary_terms_g2.begin(), temporary_terms_g2.end()); if (!second_derivatives.empty()) if (julia) writeTemporaryTerms(temp_term_union, temp_term_empty, hessian_output, output_type, tef_terms); else writeTemporaryTerms(temp_term_union, temp_term_union_m_1, hessian_output, output_type, tef_terms); int k = 0; // Keep the line of a 2nd derivative in v2 for (second_derivatives_t::const_iterator it = second_derivatives.begin(); it != second_derivatives.end(); it++) { int eq = it->first.first; int var1 = it->first.second.first; int var2 = it->first.second.second; expr_t d2 = it->second; int id1 = getDynJacobianCol(var1); int id2 = getDynJacobianCol(var2); int col_nb = id1 * dynJacobianColsNbr + id2; int col_nb_sym = id2 * dynJacobianColsNbr + id1; ostringstream for_sym; if (output_type == oJuliaDynamicModel) { for_sym << "g2[" << eq + 1 << "," << col_nb + 1 << "]"; hessian_output << " @inbounds " << for_sym.str() << " = "; d2->writeOutput(hessian_output, output_type, temp_term_union, tef_terms); hessian_output << endl; } else { sparseHelper(2, hessian_output, k, 0, output_type); hessian_output << "=" << eq + 1 << ";" << endl; sparseHelper(2, hessian_output, k, 1, output_type); hessian_output << "=" << col_nb + 1 << ";" << endl; sparseHelper(2, hessian_output, k, 2, output_type); hessian_output << "="; d2->writeOutput(hessian_output, output_type, temp_term_union, tef_terms); hessian_output << ";" << endl; k++; } // Treating symetric elements if (id1 != id2) if (output_type == oJuliaDynamicModel) hessian_output << " @inbounds g2[" << eq + 1 << "," << col_nb_sym + 1 << "] = " << for_sym.str() << endl; else { sparseHelper(2, hessian_output, k, 0, output_type); hessian_output << "=" << eq + 1 << ";" << endl; sparseHelper(2, hessian_output, k, 1, output_type); hessian_output << "=" << col_nb_sym + 1 << ";" << endl; sparseHelper(2, hessian_output, k, 2, output_type); hessian_output << "="; sparseHelper(2, hessian_output, k-1, 2, output_type); hessian_output << ";" << endl; k++; } } // Writing third derivatives temp_term_union_m_1 = temp_term_union; temp_term_union.insert(temporary_terms_g3.begin(), temporary_terms_g3.end()); if (!third_derivatives.empty()) if (julia) writeTemporaryTerms(temp_term_union, temp_term_empty, third_derivatives_output, output_type, tef_terms); else writeTemporaryTerms(temp_term_union, temp_term_union_m_1, third_derivatives_output, output_type, tef_terms); k = 0; // Keep the line of a 3rd derivative in v3 for (third_derivatives_t::const_iterator it = third_derivatives.begin(); it != third_derivatives.end(); it++) { int eq = it->first.first; int var1 = it->first.second.first; int var2 = it->first.second.second.first; int var3 = it->first.second.second.second; expr_t d3 = it->second; int id1 = getDynJacobianCol(var1); int id2 = getDynJacobianCol(var2); int id3 = getDynJacobianCol(var3); // Reference column number for the g3 matrix int ref_col = id1 * hessianColsNbr + id2 * dynJacobianColsNbr + id3; ostringstream for_sym; if (output_type == oJuliaDynamicModel) { for_sym << "g3[" << eq + 1 << "," << ref_col + 1 << "]"; third_derivatives_output << " @inbounds " << for_sym.str() << " = "; d3->writeOutput(third_derivatives_output, output_type, temp_term_union, tef_terms); third_derivatives_output << endl; } else { sparseHelper(3, third_derivatives_output, k, 0, output_type); third_derivatives_output << "=" << eq + 1 << ";" << endl; sparseHelper(3, third_derivatives_output, k, 1, output_type); third_derivatives_output << "=" << ref_col + 1 << ";" << endl; sparseHelper(3, third_derivatives_output, k, 2, output_type); third_derivatives_output << "="; d3->writeOutput(third_derivatives_output, output_type, temp_term_union, tef_terms); third_derivatives_output << ";" << endl; } // Compute the column numbers for the 5 other permutations of (id1,id2,id3) // and store them in a set (to avoid duplicates if two indexes are equal) set cols; cols.insert(id1 * hessianColsNbr + id3 * dynJacobianColsNbr + id2); cols.insert(id2 * hessianColsNbr + id1 * dynJacobianColsNbr + id3); cols.insert(id2 * hessianColsNbr + id3 * dynJacobianColsNbr + id1); cols.insert(id3 * hessianColsNbr + id1 * dynJacobianColsNbr + id2); cols.insert(id3 * hessianColsNbr + id2 * dynJacobianColsNbr + id1); int k2 = 1; // Keeps the offset of the permutation relative to k for (set::iterator it2 = cols.begin(); it2 != cols.end(); it2++) if (*it2 != ref_col) if (output_type == oJuliaDynamicModel) third_derivatives_output << " @inbounds g3[" << eq + 1 << "," << *it2 + 1 << "] = " << for_sym.str() << endl; else { sparseHelper(3, third_derivatives_output, k+k2, 0, output_type); third_derivatives_output << "=" << eq + 1 << ";" << endl; sparseHelper(3, third_derivatives_output, k+k2, 1, output_type); third_derivatives_output << "=" << *it2 + 1 << ";" << endl; sparseHelper(3, third_derivatives_output, k+k2, 2, output_type); third_derivatives_output << "="; sparseHelper(3, third_derivatives_output, k, 2, output_type); third_derivatives_output << ";" << endl; k2++; } k += k2; } if (output_type == oMatlabDynamicModel) { // Check that we don't have more than 32 nested parenthesis because Matlab does not suppor this. See Issue #1201 map tmp_paren_vars; bool message_printed = false; fixNestedParenthesis(model_output, tmp_paren_vars, message_printed); fixNestedParenthesis(model_local_vars_output, tmp_paren_vars, message_printed); fixNestedParenthesis(jacobian_output, tmp_paren_vars, message_printed); fixNestedParenthesis(hessian_output, tmp_paren_vars, message_printed); fixNestedParenthesis(third_derivatives_output, tmp_paren_vars, message_printed); DynamicOutput << "%" << endl << "% Model equations" << endl << "%" << endl << endl; writeVarExpectationCalls(DynamicOutput); DynamicOutput << "residual = zeros(" << nrows << ", 1);" << endl << model_local_vars_output.str() << model_output.str() // Writing initialization instruction for matrix g1 << "if nargout >= 2," << endl << " g1 = zeros(" << nrows << ", " << dynJacobianColsNbr << ");" << endl << endl << " %" << endl << " % Jacobian matrix" << endl << " %" << endl << endl << jacobian_output.str() << endl // Initialize g2 matrix << "if nargout >= 3," << endl << " %" << endl << " % Hessian matrix" << endl << " %" << endl << endl; if (second_derivatives.size()) DynamicOutput << " v2 = zeros(" << NNZDerivatives[1] << ",3);" << endl << hessian_output.str() << " g2 = sparse(v2(:,1),v2(:,2),v2(:,3)," << nrows << "," << hessianColsNbr << ");" << endl; else // Either hessian is all zero, or we didn't compute it DynamicOutput << " g2 = sparse([],[],[]," << nrows << "," << hessianColsNbr << ");" << endl; // Initialize g3 matrix DynamicOutput << "if nargout >= 4," << endl << " %" << endl << " % Third order derivatives" << endl << " %" << endl << endl; int ncols = hessianColsNbr * dynJacobianColsNbr; if (third_derivatives.size()) DynamicOutput << " v3 = zeros(" << NNZDerivatives[2] << ",3);" << endl << third_derivatives_output.str() << " g3 = sparse(v3(:,1),v3(:,2),v3(:,3)," << nrows << "," << ncols << ");" << endl; else // Either 3rd derivatives is all zero, or we didn't compute it DynamicOutput << " g3 = sparse([],[],[]," << nrows << "," << ncols << ");" << endl; DynamicOutput << "end" << endl << "end" << endl << "end" << endl; } else if (output_type == oCDynamicModel) { DynamicOutput << "void Dynamic(double *y, double *x, int nb_row_x, double *params, double *steady_state, int it_, double *residual, double *g1, double *v2, double *v3)" << endl << "{" << endl << " double lhs, rhs;" << endl << endl << " /* Residual equations */" << endl << model_local_vars_output.str() << model_output.str() << " /* Jacobian */" << endl << " if (g1 == NULL)" << endl << " return;" << endl << endl << jacobian_output.str() << endl; if (second_derivatives.size()) DynamicOutput << " /* Hessian for endogenous and exogenous variables */" << endl << " if (v2 == NULL)" << endl << " return;" << endl << endl << hessian_output.str() << endl; if (third_derivatives.size()) DynamicOutput << " /* Third derivatives for endogenous and exogenous variables */" << endl << " if (v3 == NULL)" << endl << " return;" << endl << endl << third_derivatives_output.str() << endl; DynamicOutput << "}" << endl << endl; } else { ostringstream comments; comments << "## Function Arguments" << endl << endl << "## Input" << endl << " 1 y: Array{Float64, num_dynamic_vars, 1} Vector of endogenous variables in the order stored" << endl << " in model_.lead_lag_incidence; see the manual" << endl << " 2 x: Array{Float64, nperiods, length(model_.exo)} Matrix of exogenous variables (in declaration order)" << endl << " for all simulation periods" << endl << " 3 params: Array{Float64, length(model_.param), 1} Vector of parameter values in declaration order" << endl << " 4 steady_state:" << endl << " 5 it_: Int Time period for exogenous variables for which to evaluate the model" << endl << endl << "## Output" << endl << " 6 residual: Array(Float64, model_.eq_nbr, 1) Vector of residuals of the dynamic model equations in" << endl << " order of declaration of the equations." << endl; DynamicOutput << "function dynamic!(y::Vector{Float64}, x::Matrix{Float64}, " << "params::Vector{Float64}," << endl << " steady_state::Vector{Float64}, it_::Int, " << "residual::Vector{Float64})" << endl << "#=" << endl << comments.str() << "=#" << endl << " @assert length(y)+size(x, 2) == " << dynJacobianColsNbr << endl << " @assert length(params) == " << symbol_table.param_nbr() << endl << " @assert length(residual) == " << nrows << endl << " #" << endl << " # Model equations" << endl << " #" << endl << model_local_vars_output.str() << model_output.str() << "end" << endl << endl << "function dynamic!(y::Vector{Float64}, x::Matrix{Float64}, " << "params::Vector{Float64}," << endl << " steady_state::Vector{Float64}, it_::Int, " << "residual::Vector{Float64}," << endl << " g1::Matrix{Float64})" << endl; comments << " 7 g1: Array(Float64, model_.eq_nbr, num_dynamic_vars) Jacobian matrix of the dynamic model equations;" << endl << " rows: equations in order of declaration" << endl << " columns: variables in order stored in model_.lead_lag_incidence" << endl; DynamicOutput << "#=" << endl << comments.str() << "=#" << endl << " @assert size(g1) == (" << nrows << ", " << dynJacobianColsNbr << ")" << endl << " fill!(g1, 0.0)" << endl << " dynamic!(y, x, params, steady_state, it_, residual)" << endl << model_local_vars_output.str() << " #" << endl << " # Jacobian matrix" << endl << " #" << endl << jacobian_output.str() << "end" << endl << endl << "function dynamic!(y::Vector{Float64}, x::Matrix{Float64}, " << "params::Vector{Float64}," << endl << " steady_state::Vector{Float64}, it_::Int, " << "residual::Vector{Float64}," << endl << " g1::Matrix{Float64}, g2::Matrix{Float64})" << endl; comments << " 8 g2: spzeros(model_.eq_nbr, (num_dynamic_vars)^2) Hessian matrix of the dynamic model equations;" << endl << " rows: equations in order of declaration" << endl << " columns: variables in order stored in model_.lead_lag_incidence" << endl; DynamicOutput << "#=" << endl << comments.str() << "=#" << endl << " @assert size(g2) == (" << nrows << ", " << hessianColsNbr << ")" << endl << " fill!(g2, 0.0)" << endl << " dynamic!(y, x, params, steady_state, it_, residual, g1)" << endl; if (second_derivatives.size()) DynamicOutput << model_local_vars_output.str() << " #" << endl << " # Hessian matrix" << endl << " #" << endl << hessian_output.str(); // Initialize g3 matrix int ncols = hessianColsNbr * dynJacobianColsNbr; DynamicOutput << "end" << endl << endl << "function dynamic!(y::Vector{Float64}, x::Matrix{Float64}, " << "params::Vector{Float64}," << endl << " steady_state::Vector{Float64}, it_::Int, " << "residual::Vector{Float64}," << endl << " g1::Matrix{Float64}, g2::Matrix{Float64}, g3::Matrix{Float64})" << endl; comments << " 9 g3: spzeros(model_.eq_nbr, (num_dynamic_vars)^3) Third order derivative matrix of the dynamic model equations;" << endl << " rows: equations in order of declaration" << endl << " columns: variables in order stored in model_.lead_lag_incidence" << endl; DynamicOutput << "#=" << endl << comments.str() << "=#" << endl << " @assert size(g3) == (" << nrows << ", " << ncols << ")" << endl << " fill!(g3, 0.0)" << endl << " dynamic!(y, x, params, steady_state, it_, residual, g1, g2)" << endl; if (third_derivatives.size()) DynamicOutput << model_local_vars_output.str() << " #" << endl << " # Third order derivatives" << endl << " #" << endl << third_derivatives_output.str(); DynamicOutput << "end" << endl; } } void DynamicModel::writeOutput(ostream &output, const string &basename, bool block_decomposition, bool byte_code, bool use_dll, int order, bool estimation_present, bool compute_xrefs, bool julia) const { /* Writing initialisation for M_.lead_lag_incidence matrix M_.lead_lag_incidence is a matrix with as many columns as there are endogenous variables and as many rows as there are periods in the models (nbr of rows = M_.max_lag+M_.max_lead+1) The matrix elements are equal to zero if a variable isn't present in the model at a given period. */ string modstruct; string outstruct; if (julia) { modstruct = "model_."; outstruct = "oo_."; } else { modstruct = "M_."; outstruct = "oo_."; } output << modstruct << "orig_maximum_endo_lag = " << max_endo_lag_orig << ";" << endl << modstruct << "orig_maximum_endo_lead = " << max_endo_lead_orig << ";" << endl << modstruct << "orig_maximum_exo_lag = " << max_exo_lag_orig << ";" << endl << modstruct << "orig_maximum_exo_lead = " << max_exo_lead_orig << ";" << endl << modstruct << "orig_maximum_exo_det_lag = " << max_exo_det_lag_orig << ";" << endl << modstruct << "orig_maximum_exo_det_lead = " << max_exo_det_lead_orig << ";" << endl << modstruct << "orig_maximum_lag = " << max_lag_orig << ";" << endl << modstruct << "orig_maximum_lead = " << max_lead_orig << ";" << endl << modstruct << "lead_lag_incidence = ["; // Loop on endogenous variables int nstatic = 0, nfwrd = 0, npred = 0, nboth = 0; for (int endoID = 0; endoID < symbol_table.endo_nbr(); endoID++) { output << endl; int sstatic = 1, sfwrd = 0, spred = 0, sboth = 0; // Loop on periods for (int lag = -max_endo_lag; lag <= max_endo_lead; lag++) { // Print variableID if exists with current period, otherwise print 0 try { int varID = getDerivID(symbol_table.getID(eEndogenous, endoID), lag); output << " " << getDynJacobianCol(varID) + 1; if (lag == -1) { sstatic = 0; spred = 1; } else if (lag == 1) { if (spred == 1) { sboth = 1; spred = 0; } else { sstatic = 0; sfwrd = 1; } } } catch (UnknownDerivIDException &e) { output << " 0"; } } nstatic += sstatic; nfwrd += sfwrd; npred += spred; nboth += sboth; output << ";"; } output << "]';" << endl; output << modstruct << "nstatic = " << nstatic << ";" << endl << modstruct << "nfwrd = " << nfwrd << ";" << endl << modstruct << "npred = " << npred << ";" << endl << modstruct << "nboth = " << nboth << ";" << endl << modstruct << "nsfwrd = " << nfwrd+nboth << ";" << endl << modstruct << "nspred = " << npred+nboth << ";" << endl << modstruct << "ndynamic = " << npred+nboth+nfwrd << ";" << endl; // Write equation tags if (julia) { output << modstruct << "equation_tags = [" << endl; for (size_t i = 0; i < equation_tags.size(); i++) output << " EquationTag(" << equation_tags[i].first + 1 << " , \"" << equation_tags[i].second.first << "\" , \"" << equation_tags[i].second.second << "\")" << endl; output << " ]" << endl; } else { output << modstruct << "equations_tags = {" << endl; for (size_t i = 0; i < equation_tags.size(); i++) output << " " << equation_tags[i].first + 1 << " , '" << equation_tags[i].second.first << "' , '" << equation_tags[i].second.second << "' ;" << endl; output << "};" << endl; } /* Say if static and dynamic models differ (because of [static] and [dynamic] equation tags) */ output << modstruct << "static_and_dynamic_models_differ = " << (static_only_equations.size() > 0 ? (julia ? "true" : "1") : (julia ? "false" : "0")) << ";" << endl; vector state_var; for (int endoID = 0; endoID < symbol_table.endo_nbr(); endoID++) // Loop on periods for (int lag = -max_endo_lag; lag < 0; lag++) try { getDerivID(symbol_table.getID(eEndogenous, variable_reordered[endoID]), lag); if (lag < 0 && find(state_var.begin(), state_var.end(), variable_reordered[endoID]+1) == state_var.end()) state_var.push_back(variable_reordered[endoID]+1); } catch (UnknownDerivIDException &e) { } //In case of sparse model, writes the block_decomposition structure of the model if (block_decomposition) { vector state_equ; int count_lead_lag_incidence = 0; int max_lead, max_lag, max_lag_endo, max_lead_endo, max_lag_exo, max_lead_exo, max_lag_exo_det, max_lead_exo_det; unsigned int nb_blocks = getNbBlocks(); for (unsigned int block = 0; block < nb_blocks; block++) { //For a block composed of a single equation determines wether we have to evaluate or to solve the equation count_lead_lag_incidence = 0; BlockSimulationType simulation_type = getBlockSimulationType(block); int block_size = getBlockSize(block); max_lag = max_leadlag_block[block].first; max_lead = max_leadlag_block[block].second; max_lag_endo = endo_max_leadlag_block[block].first; max_lead_endo = endo_max_leadlag_block[block].second; max_lag_exo = exo_max_leadlag_block[block].first; max_lead_exo = exo_max_leadlag_block[block].second; max_lag_exo_det = exo_det_max_leadlag_block[block].first; max_lead_exo_det = exo_det_max_leadlag_block[block].second; ostringstream tmp_s, tmp_s_eq; tmp_s.str(""); tmp_s_eq.str(""); for (int i = 0; i < block_size; i++) { tmp_s << " " << getBlockVariableID(block, i)+1; tmp_s_eq << " " << getBlockEquationID(block, i)+1; } set exogenous; exogenous.clear(); for (lag_var_t::const_iterator it = exo_block[block].begin(); it != exo_block[block].end(); it++) for (var_t::const_iterator it1 = it->second.begin(); it1 != it->second.end(); it1++) exogenous.insert(*it1); set exogenous_det; exogenous_det.clear(); for (lag_var_t::const_iterator it = exo_det_block[block].begin(); it != exo_det_block[block].end(); it++) for (var_t::const_iterator it1 = it->second.begin(); it1 != it->second.end(); it1++) exogenous_det.insert(*it1); set other_endogenous; other_endogenous.clear(); for (lag_var_t::const_iterator it = other_endo_block[block].begin(); it != other_endo_block[block].end(); it++) for (var_t::const_iterator it1 = it->second.begin(); it1 != it->second.end(); it1++) other_endogenous.insert(*it1); output << "block_structure.block(" << block+1 << ").Simulation_Type = " << simulation_type << ";\n"; output << "block_structure.block(" << block+1 << ").maximum_lag = " << max_lag << ";\n"; output << "block_structure.block(" << block+1 << ").maximum_lead = " << max_lead << ";\n"; output << "block_structure.block(" << block+1 << ").maximum_endo_lag = " << max_lag_endo << ";\n"; output << "block_structure.block(" << block+1 << ").maximum_endo_lead = " << max_lead_endo << ";\n"; output << "block_structure.block(" << block+1 << ").maximum_exo_lag = " << max_lag_exo << ";\n"; output << "block_structure.block(" << block+1 << ").maximum_exo_lead = " << max_lead_exo << ";\n"; output << "block_structure.block(" << block+1 << ").maximum_exo_det_lag = " << max_lag_exo_det << ";\n"; output << "block_structure.block(" << block+1 << ").maximum_exo_det_lead = " << max_lead_exo_det << ";\n"; output << "block_structure.block(" << block+1 << ").endo_nbr = " << block_size << ";\n"; output << "block_structure.block(" << block+1 << ").mfs = " << getBlockMfs(block) << ";\n"; output << "block_structure.block(" << block+1 << ").equation = [" << tmp_s_eq.str() << "];\n"; output << "block_structure.block(" << block+1 << ").variable = [" << tmp_s.str() << "];\n"; output << "block_structure.block(" << block+1 << ").exo_nbr = " << getBlockExoSize(block) << ";\n"; output << "block_structure.block(" << block+1 << ").exogenous = ["; int i = 0; for (set::iterator it_exogenous = exogenous.begin(); it_exogenous != exogenous.end(); it_exogenous++) if (*it_exogenous >= 0) { output << " " << *it_exogenous+1; i++; } output << "];\n"; output << "block_structure.block(" << block+1 << ").exogenous_det = ["; i = 0; for (set::iterator it_exogenous_det = exogenous_det.begin(); it_exogenous_det != exogenous_det.end(); it_exogenous_det++) if (*it_exogenous_det >= 0) { output << " " << *it_exogenous_det+1; i++; } output << "];\n"; output << "block_structure.block(" << block+1 << ").exo_det_nbr = " << i << ";\n"; output << "block_structure.block(" << block+1 << ").other_endogenous = ["; i = 0; for (set::iterator it_other_endogenous = other_endogenous.begin(); it_other_endogenous != other_endogenous.end(); it_other_endogenous++) if (*it_other_endogenous >= 0) { output << " " << *it_other_endogenous+1; i++; } output << "];\n"; output << "block_structure.block(" << block+1 << ").other_endogenous_block = ["; i = 0; for (set::iterator it_other_endogenous = other_endogenous.begin(); it_other_endogenous != other_endogenous.end(); it_other_endogenous++) if (*it_other_endogenous >= 0) { bool OK = true; unsigned int j; for (j = 0; j < block && OK; j++) for (unsigned int k = 0; k < getBlockSize(j) && OK; k++) { //printf("*it_other_endogenous=%d, getBlockVariableID(%d, %d)=%d\n",*it_other_endogenous, j, k, getBlockVariableID(j, k)); OK = *it_other_endogenous != getBlockVariableID(j, k); } if (!OK) output << " " << j; i++; } output << "];\n"; //vector inter_state_var; output << "block_structure.block(" << block+1 << ").tm1 = zeros(" << i << ", " << state_var.size() << ");\n"; int count_other_endogenous = 1; for (set::const_iterator it_other_endogenous = other_endogenous.begin(); it_other_endogenous != other_endogenous.end(); it_other_endogenous++) { for (vector::const_iterator it = state_var.begin(); it != state_var.end(); it++) { //cout << "block = " << block+1 << " state_var = " << *it << " it_other_endogenous=" << *it_other_endogenous + 1 << "\n"; if (*it == *it_other_endogenous + 1) { output << "block_structure.block(" << block+1 << ").tm1(" << count_other_endogenous << ", " << it - state_var.begin()+1 << ") = 1;\n"; /*output << "block_structure.block(" << block+1 << ").tm1(" << it - state_var.begin()+1 << ", " << count_other_endogenous << ") = 1;\n";*/ //cout << "=>\n"; } } count_other_endogenous++; } output << "block_structure.block(" << block+1 << ").other_endo_nbr = " << i << ";\n"; tmp_s.str(""); count_lead_lag_incidence = 0; dynamic_jacob_map_t reordered_dynamic_jacobian; for (block_derivatives_equation_variable_laglead_nodeid_t::const_iterator it = blocks_derivatives[block].begin(); it != blocks_derivatives[block].end(); it++) reordered_dynamic_jacobian[make_pair(it->second.first, make_pair(it->first.second, it->first.first))] = it->second.second; output << "block_structure.block(" << block+1 << ").lead_lag_incidence = [];\n"; int last_var = -1; vector local_state_var; vector local_stat_var; int n_static = 0, n_backward = 0, n_forward = 0, n_mixed = 0; for (int lag = -1; lag < 1+1; lag++) { last_var = -1; for (dynamic_jacob_map_t::const_iterator it = reordered_dynamic_jacobian.begin(); it != reordered_dynamic_jacobian.end(); it++) { if (lag == it->first.first && last_var != it->first.second.first) { if (lag == -1) { local_state_var.push_back(getBlockVariableID(block, it->first.second.first)+1); n_backward++; } else if (lag == 0) { if (find(local_state_var.begin(), local_state_var.end(), getBlockVariableID(block, it->first.second.first)+1) == local_state_var.end()) { local_stat_var.push_back(getBlockVariableID(block, it->first.second.first)+1); n_static++; } } else { if (find(local_state_var.begin(), local_state_var.end(), getBlockVariableID(block, it->first.second.first)+1) != local_state_var.end()) { n_backward--; n_mixed++; } else { if (find(local_stat_var.begin(), local_stat_var.end(), getBlockVariableID(block, it->first.second.first)+1) != local_stat_var.end()) n_static--; n_forward++; } } count_lead_lag_incidence++; for (int i = last_var; i < it->first.second.first-1; i++) tmp_s << " 0"; if (tmp_s.str().length()) tmp_s << " "; tmp_s << count_lead_lag_incidence; last_var = it->first.second.first; } } for (int i = last_var + 1; i < block_size; i++) tmp_s << " 0"; output << "block_structure.block(" << block+1 << ").lead_lag_incidence = [ block_structure.block(" << block+1 << ").lead_lag_incidence; " << tmp_s.str() << "]; %lag = " << lag << "\n"; tmp_s.str(""); } vector inter_state_var; for (vector::const_iterator it_l = local_state_var.begin(); it_l != local_state_var.end(); it_l++) for (vector::const_iterator it = state_var.begin(); it != state_var.end(); it++) if (*it == *it_l) inter_state_var.push_back(it - state_var.begin()+1); output << "block_structure.block(" << block+1 << ").sorted_col_dr_ghx = ["; for (vector::const_iterator it = inter_state_var.begin(); it != inter_state_var.end(); it++) output << *it << " "; output << "];\n"; count_lead_lag_incidence = 0; output << "block_structure.block(" << block+1 << ").lead_lag_incidence_other = [];\n"; for (int lag = -1; lag <= 1; lag++) { tmp_s.str(""); for (set::iterator it_other_endogenous = other_endogenous.begin(); it_other_endogenous != other_endogenous.end(); it_other_endogenous++) { bool done = false; for (int i = 0; i < block_size; i++) { unsigned int eq = getBlockEquationID(block, i); derivative_t::const_iterator it = derivative_other_endo[block].find(make_pair(lag, make_pair(eq, *it_other_endogenous))); if (it != derivative_other_endo[block].end()) { count_lead_lag_incidence++; tmp_s << " " << count_lead_lag_incidence; done = true; break; } } if (!done) tmp_s << " 0"; } output << "block_structure.block(" << block+1 << ").lead_lag_incidence_other = [ block_structure.block(" << block+1 << ").lead_lag_incidence_other; " << tmp_s.str() << "]; %lag = " << lag << "\n"; } output << "block_structure.block(" << block+1 << ").n_static = " << n_static << ";\n"; output << "block_structure.block(" << block+1 << ").n_forward = " << n_forward << ";\n"; output << "block_structure.block(" << block+1 << ").n_backward = " << n_backward << ";\n"; output << "block_structure.block(" << block+1 << ").n_mixed = " << n_mixed << ";\n"; } output << modstruct << "block_structure.block = block_structure.block;\n"; string cst_s; int nb_endo = symbol_table.endo_nbr(); output << modstruct << "block_structure.variable_reordered = ["; for (int i = 0; i < nb_endo; i++) output << " " << variable_reordered[i]+1; output << "];\n"; output << modstruct << "block_structure.equation_reordered = ["; for (int i = 0; i < nb_endo; i++) output << " " << equation_reordered[i]+1; output << "];\n"; vector variable_inv_reordered(nb_endo); for (int i = 0; i < nb_endo; i++) variable_inv_reordered[variable_reordered[i]] = i; for (vector::const_iterator it = state_var.begin(); it != state_var.end(); it++) state_equ.push_back(equation_reordered[variable_inv_reordered[*it - 1]]+1); map >, int> lag_row_incidence; for (first_derivatives_t::const_iterator it = first_derivatives.begin(); it != first_derivatives.end(); it++) { int deriv_id = it->first.second; if (getTypeByDerivID(deriv_id) == eEndogenous) { int eq = it->first.first; int symb = getSymbIDByDerivID(deriv_id); int var = symbol_table.getTypeSpecificID(symb); int lag = getLagByDerivID(deriv_id); lag_row_incidence[make_pair(lag, make_pair(eq, var))] = 1; } } int prev_lag = -1000000; for (map >, int>::const_iterator it = lag_row_incidence.begin(); it != lag_row_incidence.end(); it++) { if (prev_lag != it->first.first) { if (prev_lag != -1000000) output << "];\n"; prev_lag = it->first.first; output << modstruct << "block_structure.incidence(" << max_endo_lag+it->first.first+1 << ").lead_lag = " << prev_lag << ";\n"; output << modstruct << "block_structure.incidence(" << max_endo_lag+it->first.first+1 << ").sparse_IM = ["; } output << it->first.second.first+1 << " " << it->first.second.second+1 << ";\n"; } output << "];\n"; if (estimation_present) { ofstream KF_index_file; string main_name = basename; main_name += ".kfi"; KF_index_file.open(main_name.c_str(), ios::out | ios::binary | ios::ate); int n_obs = symbol_table.observedVariablesNbr(); int n_state = state_var.size(); for (vector::const_iterator it = state_var.begin(); it != state_var.end(); it++) if (symbol_table.isObservedVariable(symbol_table.getID(eEndogenous, *it-1))) n_obs--; int n = n_obs + n_state; output << modstruct << "nobs_non_statevar = " << n_obs << ";" << endl; int nb_diag = 0; //map, int>::const_iterator row_state_var_incidence_it = row_state_var_incidence.begin(); vector i_nz_state_var(n); for (int i = 0; i < n_obs; i++) i_nz_state_var[i] = n; unsigned int lp = n_obs; for (unsigned int block = 0; block < nb_blocks; block++) { int block_size = getBlockSize(block); int nze = 0; for (int i = 0; i < block_size; i++) { int var = getBlockVariableID(block, i); vector::const_iterator it_state_var = find(state_var.begin(), state_var.end(), var+1); if (it_state_var != state_var.end()) nze++; } if (block == 0) { set > row_state_var_incidence; for (block_derivatives_equation_variable_laglead_nodeid_t::const_iterator it = blocks_derivatives[block].begin(); it != (blocks_derivatives[block]).end(); it++) { vector::const_iterator it_state_var = find(state_var.begin(), state_var.end(), getBlockVariableID(block, it->first.second)+1); if (it_state_var != state_var.end()) { vector::const_iterator it_state_equ = find(state_equ.begin(), state_equ.end(), getBlockEquationID(block, it->first.first)+1); if (it_state_equ != state_equ.end()) row_state_var_incidence.insert(make_pair(it_state_equ - state_equ.begin(), it_state_var - state_var.begin())); } } /*tmp_block_endo_derivative[make_pair(it->second.first, make_pair(it->first.second, it->first.first))] = it->second.second; if (block == 0) { vector::const_iterator it_state_equ = find(state_equ.begin(), state_equ.end(), getBlockEquationID(block, i)+1); if (it_state_equ != state_equ.end()) { cout << "row_state_var_incidence[make_pair([" << *it_state_equ << "] " << it_state_equ - state_equ.begin() << ", [" << *it_state_var << "] " << it_state_var - state_var.begin() << ")] = 1;\n"; row_state_var_incidence.insert(make_pair(it_state_equ - state_equ.begin(), it_state_var - state_var.begin())); } }*/ set >::const_iterator row_state_var_incidence_it = row_state_var_incidence.begin(); bool diag = true; int nb_diag_r = 0; while (row_state_var_incidence_it != row_state_var_incidence.end() && diag) { diag = (row_state_var_incidence_it->first == row_state_var_incidence_it->second); if (diag) { int equ = row_state_var_incidence_it->first; row_state_var_incidence_it++; if (equ != row_state_var_incidence_it->first) nb_diag_r++; } } set > col_state_var_incidence; for (set >::const_iterator row_state_var_incidence_it = row_state_var_incidence.begin(); row_state_var_incidence_it != row_state_var_incidence.end(); row_state_var_incidence_it++) col_state_var_incidence.insert(make_pair(row_state_var_incidence_it->second, row_state_var_incidence_it->first)); set >::const_iterator col_state_var_incidence_it = col_state_var_incidence.begin(); diag = true; int nb_diag_c = 0; while (col_state_var_incidence_it != col_state_var_incidence.end() && diag) { diag = (col_state_var_incidence_it->first == col_state_var_incidence_it->second); if (diag) { int var = col_state_var_incidence_it->first; col_state_var_incidence_it++; if (var != col_state_var_incidence_it->first) nb_diag_c++; } } nb_diag = min(nb_diag_r, nb_diag_c); row_state_var_incidence.clear(); col_state_var_incidence.clear(); } for (int i = 0; i < nze; i++) i_nz_state_var[lp + i] = lp + nze; lp += nze; } output << modstruct << "nz_state_var = ["; for (unsigned int i = 0; i < lp; i++) output << i_nz_state_var[i] << " "; output << "];" << endl; output << modstruct << "n_diag = " << nb_diag << ";" << endl; KF_index_file.write(reinterpret_cast(&nb_diag), sizeof(nb_diag)); typedef pair > index_KF; vector v_index_KF; for (int i = 0; i < n; i++) //int i = 0; for (int j = n_obs; j < n; j++) { int j1 = j - n_obs; int j1_n_state = j1 * n_state - n_obs; if ((i < n_obs) || (i >= nb_diag + n_obs) || (j1 >= nb_diag)) for (int k = n_obs; k < i_nz_state_var[i]; k++) { v_index_KF.push_back(make_pair(i + j1 * n, make_pair(i + k * n, k + j1_n_state))); } } int size_v_index_KF = v_index_KF.size(); KF_index_file.write(reinterpret_cast(&size_v_index_KF), sizeof(size_v_index_KF)); for (vector::iterator it = v_index_KF.begin(); it != v_index_KF.end(); it++) KF_index_file.write(reinterpret_cast(&(*it)), sizeof(index_KF)); vector v_index_KF_2; int n_n_obs = n * n_obs; for (int i = 0; i < n; i++) //i = 0; for (int j = i; j < n; j++) { if ((i < n_obs) || (i >= nb_diag + n_obs) || (j < n_obs) || (j >= nb_diag + n_obs)) for (int k = n_obs; k < i_nz_state_var[j]; k++) { int k_n = k * n; v_index_KF_2.push_back(make_pair(i * n + j, make_pair(i + k_n - n_n_obs, j + k_n))); } } int size_v_index_KF_2 = v_index_KF_2.size(); KF_index_file.write(reinterpret_cast(&size_v_index_KF_2), sizeof(size_v_index_KF_2)); for (vector::iterator it = v_index_KF_2.begin(); it != v_index_KF_2.end(); it++) KF_index_file.write(reinterpret_cast(&(*it)), sizeof(index_KF)); KF_index_file.close(); } } output << modstruct << "state_var = ["; for (vector::const_iterator it=state_var.begin(); it != state_var.end(); it++) output << *it << " "; output << "];" << endl; // Writing initialization for some other variables if (!julia) output << modstruct << "exo_names_orig_ord = [1:" << symbol_table.exo_nbr() << "];" << endl; else output << modstruct << "exo_names_orig_ord = collect(1:" << symbol_table.exo_nbr() << ");" << endl; output << modstruct << "maximum_lag = " << max_lag << ";" << endl << modstruct << "maximum_lead = " << max_lead << ";" << endl; output << modstruct << "maximum_endo_lag = " << max_endo_lag << ";" << endl << modstruct << "maximum_endo_lead = " << max_endo_lead << ";" << endl << outstruct << "steady_state = zeros(" << symbol_table.endo_nbr() << (julia ? ")" : ", 1);") << endl; output << modstruct << "maximum_exo_lag = " << max_exo_lag << ";" << endl << modstruct << "maximum_exo_lead = " << max_exo_lead << ";" << endl << outstruct << "exo_steady_state = zeros(" << symbol_table.exo_nbr() << (julia ? ")" : ", 1);") << endl; if (symbol_table.exo_det_nbr()) { output << modstruct << "maximum_exo_det_lag = " << max_exo_det_lag << ";" << endl << modstruct << "maximum_exo_det_lead = " << max_exo_det_lead << ";" << endl << outstruct << "exo_det_steady_state = zeros(" << symbol_table.exo_det_nbr() << (julia ? ")" : ", 1);") << endl; } output << modstruct << "params = " << (julia ? "fill(NaN, " : "NaN(") << symbol_table.param_nbr() << (julia ? ")" : ", 1);") << endl; if (compute_xrefs) writeXrefs(output); // Write number of non-zero derivatives // Use -1 if the derivatives have not been computed output << modstruct << (julia ? "nnzderivatives" : "NNZDerivatives") << " = [" << NNZDerivatives[0] << "; "; if (order > 1) output << NNZDerivatives[1] << "; "; else output << "-1; "; if (order > 2) output << NNZDerivatives[2]; else output << "-1"; output << "];" << endl; // Write PacExpectationInfo deriv_node_temp_terms_t tef_terms; temporary_terms_t temp_terms_empty; for (set::const_iterator it = pac_expectation_info.begin(); it != pac_expectation_info.end(); it++) (*it)->writeOutput(output, oMatlabDynamicModel, temp_terms_empty, tef_terms); } map >, expr_t> DynamicModel::collect_first_order_derivatives_endogenous() { map >, expr_t> endo_derivatives; for (first_derivatives_t::iterator it2 = first_derivatives.begin(); it2 != first_derivatives.end(); it2++) { if (getTypeByDerivID(it2->first.second) == eEndogenous) { int eq = it2->first.first; int var = symbol_table.getTypeSpecificID(getSymbIDByDerivID(it2->first.second)); int lag = getLagByDerivID(it2->first.second); endo_derivatives[make_pair(eq, make_pair(var, lag))] = it2->second; } } return endo_derivatives; } void DynamicModel::runTrendTest(const eval_context_t &eval_context) { computeDerivIDs(); testTrendDerivativesEqualToZero(eval_context); } void DynamicModel::getVarModelVariablesFromEqTags(vector &var_model_eqtags, vector &eqnumber, vector &lhs, vector > > &rhs, vector &nonstationary) const { for (vector::const_iterator itvareqs = var_model_eqtags.begin(); itvareqs != var_model_eqtags.end(); itvareqs++) { int eqnumber_int = -1; set > lhs_set, lhs_tmp_set, rhs_set; string eqtag (*itvareqs); for (vector > >::const_iterator iteqtag = equation_tags.begin(); iteqtag != equation_tags.end(); iteqtag++) if (iteqtag->second.first.compare("name") == 0 && iteqtag->second.second.compare(eqtag) == 0) { eqnumber_int = iteqtag->first; break; } if (eqnumber_int == -1) { cerr << "ERROR: equation tag '" << eqtag << "' not found" << endl; exit(EXIT_FAILURE); } bool nonstationary_bool = false; for (vector > >::const_iterator iteqtag = equation_tags.begin(); iteqtag != equation_tags.end(); iteqtag++) if (iteqtag->first == eqnumber_int) if (iteqtag->second.first.compare("data_type") == 0 && iteqtag->second.second.compare("nonstationary") == 0) { nonstationary_bool = true; break; } equations[eqnumber_int]->get_arg1()->collectDynamicVariables(eEndogenous, lhs_set); equations[eqnumber_int]->get_arg1()->collectDynamicVariables(eExogenous, lhs_tmp_set); equations[eqnumber_int]->get_arg1()->collectDynamicVariables(eParameter, lhs_tmp_set); if (lhs_set.size() != 1 || !lhs_tmp_set.empty()) { cerr << "ERROR: A VAR may only have one endogenous variable on the LHS" << endl; exit(EXIT_FAILURE); } set >::const_iterator it = lhs_set.begin(); if (it->second != 0) { cerr << "ERROR: The variable on the LHS of a VAR may not appear with a lead or a lag" << endl; exit(EXIT_FAILURE); } eqnumber.push_back(eqnumber_int); lhs.push_back(it->first); nonstationary.push_back(nonstationary_bool); equations[eqnumber_int]->get_arg2()->collectDynamicVariables(eEndogenous, rhs_set); rhs.push_back(rhs_set); } } void DynamicModel::getDiffInfo(vector &eqnumber, vector &diff, vector &orig_diff_var) const { for (vector::const_iterator it = eqnumber.begin(); it != eqnumber.end(); it++) { diff.push_back(equations[*it]->get_arg1()->isDiffPresent()); if (diff.back()) { set > diff_set; equations[*it]->get_arg1()->collectDynamicVariables(eEndogenous, diff_set); if (diff_set.empty() || diff_set.size() != 1) { cerr << "ERROR: problem getting variable for diff operator in equation " << *it << endl; exit(EXIT_FAILURE); } set >::const_iterator it1 = diff_set.begin(); orig_diff_var.push_back(it1->first); } else orig_diff_var.push_back(-1); } } void DynamicModel::setVarExpectationIndices(map > &var_model_info) { for (size_t i = 0; i < equations.size(); i++) equations[i]->setVarExpectationIndex(var_model_info); } void DynamicModel::addEquationsForVar(map > &var_model_info) { // List of endogenous variables and the minimum lag value that must exist in the model equations map var_endos_and_lags, model_endos_and_lags; for (map >::const_iterator it = var_model_info.begin(); it != var_model_info.end(); it++) for (size_t i = 0; i < equations.size(); i++) if (equations[i]->isVarModelReferenced(it->first)) { vector symbol_list = it->second.first.get_symbols(); int order = it->second.second; for (vector::const_iterator it1 = symbol_list.begin(); it1 != symbol_list.end(); it1++) if (order > 2) if (var_endos_and_lags.find(*it1) != var_endos_and_lags.end()) var_endos_and_lags[*it1] = min(var_endos_and_lags[*it1], -1*order); else var_endos_and_lags[*it1] = -1*order; break; } if (var_endos_and_lags.empty()) return; // Ensure that the minimum lag value exists in the model equations. If not, add an equation for it for (size_t i = 0; i < equations.size(); i++) equations[i]->getEndosAndMaxLags(model_endos_and_lags); int count = 0; for (map::const_iterator it = var_endos_and_lags.begin(); it != var_endos_and_lags.end(); it++) { map::const_iterator it1 = model_endos_and_lags.find(it->first); if (it1 == model_endos_and_lags.end()) cerr << "WARNING: Variable used in VAR that is not used in the model: " << it->first << endl; else if (it->second < it1->second) { int symb_id = symbol_table.getID(it->first); expr_t newvar = AddVariable(symb_id, it->second); expr_t auxvar = AddVariable(symbol_table.addVarModelEndoLagAuxiliaryVar(symb_id, it->second, newvar), 0); addEquation(AddEqual(newvar, auxvar), -1); addAuxEquation(AddEqual(newvar, auxvar)); count++; } } if (count > 0) cout << "Accounting for var_model lags not in model block: added " << count << " auxiliary variables and equations." << endl; } void DynamicModel::walkPacParameters() { for (size_t i = 0; i < equations.size(); i++) { bool pac_encountered = false; pair lhs (-1, -1); set > > params_and_vals; equations[i]->walkPacParameters(pac_encountered, lhs, params_and_vals); if (pac_encountered) equations[i]->addParamInfoToPac(lhs, params_and_vals); } } void DynamicModel::fillPacExpectationVarInfo(string &var_model_name, vector &lhs, map > &rhs, vector &nonstationary) { for (size_t i = 0; i < equations.size(); i++) equations[i]->fillPacExpectationVarInfo(var_model_name, lhs, rhs, nonstationary, i); } void DynamicModel::substitutePacExpectation() { map subst_table; for (map::iterator it = local_variables_table.begin(); it != local_variables_table.end(); it++) it->second = it->second->substitutePacExpectation(subst_table); for (size_t i = 0; i < equations.size(); i++) { BinaryOpNode *substeq = dynamic_cast(equations[i]->substitutePacExpectation(subst_table)); assert(substeq != NULL); equations[i] = substeq; } for (map::const_iterator it = subst_table.begin(); it != subst_table.end(); it++) pac_expectation_info.insert(const_cast(it->first)); } 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, const bool nopreprocessoroutput) { assert(jacobianExo || !(hessian || thirdDerivatives || paramsDerivsOrder)); initializeVariablesAndEquations(); // Prepare for derivation computeDerivIDs(); // Computes dynamic jacobian columns, must be done after computeDerivIDs() computeDynJacobianCols(jacobianExo); // Compute derivatives w.r. to all endogenous, and possibly exogenous and exogenous deterministic set vars; for (deriv_id_table_t::const_iterator it = deriv_id_table.begin(); it != deriv_id_table.end(); it++) { SymbolType type = symbol_table.getType(it->first.first); if (type == eEndogenous || (jacobianExo && (type == eExogenous || type == eExogenousDet))) vars.insert(it->second); } // Launch computations if (!nopreprocessoroutput) cout << "Computing dynamic model derivatives:" << endl << " - order 1" << endl; computeJacobian(vars); if (hessian) { if (!nopreprocessoroutput) cout << " - order 2" << endl; computeHessian(vars); } if (paramsDerivsOrder > 0) { if (!nopreprocessoroutput) cout << " - derivatives of Jacobian/Hessian w.r. to parameters" << endl; computeParamsDerivatives(paramsDerivsOrder); if (!no_tmp_terms) computeParamsDerivativesTemporaryTerms(); } if (thirdDerivatives) { if (!nopreprocessoroutput) cout << " - order 3" << endl; computeThirdDerivatives(vars); } if (block) { vector n_static, n_forward, n_backward, n_mixed; jacob_map_t contemporaneous_jacobian, static_jacobian; // for each block contains pair vector > blocks; evaluateAndReduceJacobian(eval_context, contemporaneous_jacobian, static_jacobian, dynamic_jacobian, cutoff, false); computeNonSingularNormalization(contemporaneous_jacobian, cutoff, static_jacobian, dynamic_jacobian); computePrologueAndEpilogue(static_jacobian, equation_reordered, variable_reordered); map >, expr_t> first_order_endo_derivatives = collect_first_order_derivatives_endogenous(); equation_type_and_normalized_equation = equationTypeDetermination(first_order_endo_derivatives, variable_reordered, equation_reordered, mfs); if (!nopreprocessoroutput) cout << "Finding the optimal block decomposition of the model ...\n"; lag_lead_vector_t equation_lag_lead, variable_lag_lead; computeBlockDecompositionAndFeedbackVariablesForEachBlock(static_jacobian, dynamic_jacobian, equation_reordered, variable_reordered, blocks, equation_type_and_normalized_equation, false, true, mfs, inv_equation_reordered, inv_variable_reordered, equation_lag_lead, variable_lag_lead, n_static, n_forward, n_backward, n_mixed); block_type_firstequation_size_mfs = reduceBlocksAndTypeDetermination(dynamic_jacobian, blocks, equation_type_and_normalized_equation, variable_reordered, equation_reordered, n_static, n_forward, n_backward, n_mixed, block_col_type); printBlockDecomposition(blocks); computeChainRuleJacobian(blocks_derivatives); blocks_linear = BlockLinear(blocks_derivatives, variable_reordered); collect_block_first_order_derivatives(); collectBlockVariables(); global_temporary_terms = true; if (!no_tmp_terms) computeTemporaryTermsOrdered(); int k = 0; equation_block = vector(equations.size()); variable_block_lead_lag = vector< pair< int, pair< int, int> > >(equations.size()); for (unsigned int i = 0; i < getNbBlocks(); i++) { for (unsigned int j = 0; j < getBlockSize(i); j++) { equation_block[equation_reordered[k]] = i; int l = variable_reordered[k]; variable_block_lead_lag[l] = make_pair(i, make_pair(variable_lag_lead[l].first, variable_lag_lead[l].second)); k++; } } } else if (!no_tmp_terms) { computeTemporaryTerms(!use_dll); if (bytecode) computeTemporaryTermsMapping(); } } void DynamicModel::computeXrefs() { int i = 0; for (vector::iterator it = equations.begin(); it != equations.end(); it++) { ExprNode::EquationInfo ei; (*it)->computeXrefs(ei); xrefs[i++] = ei; } i = 0; for (map::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, set > &xrefset, const set > &eiref, int eqn) { for (set >::const_iterator it = eiref.begin(); it != eiref.end(); it++) { set 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::const_iterator it = xrefs.begin(); it != xrefs.end(); it++, i++) { output << "M_.xref1.param{" << i << "} = [ "; for (set >::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 >::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 >::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 >::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, set > &xrefmap, const string &type) const { int last_tsid = -1; for (map, set >::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::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 >, int> DynamicModel::get_Derivatives(int block) { int max_lag, max_lead; map >, pair >, int> Derivatives; Derivatives.clear(); BlockSimulationType simulation_type = getBlockSimulationType(block); if (simulation_type == EVALUATE_BACKWARD || simulation_type == EVALUATE_FORWARD) { max_lag = 1; max_lead = 1; setBlockLeadLag(block, max_lag, max_lead); } else { max_lag = getBlockMaxLag(block); max_lead = getBlockMaxLead(block); } int block_size = getBlockSize(block); int block_nb_recursive = block_size - getBlockMfs(block); for (int lag = -max_lag; lag <= max_lead; lag++) { for (int eq = 0; eq < block_size; eq++) { int eqr = getBlockEquationID(block, eq); for (int var = 0; var < block_size; var++) { int varr = getBlockVariableID(block, var); if (dynamic_jacobian.find(make_pair(lag, make_pair(eqr, varr))) != dynamic_jacobian.end()) { bool OK = true; map >, pair >, int>::const_iterator its = Derivatives.find(make_pair(make_pair(lag, make_pair(eq, var)), make_pair(eqr, varr))); if (its != Derivatives.end()) { if (its->second == 2) OK = false; } if (OK) { if (getBlockEquationType(block, eq) == E_EVALUATE_S && eq < block_nb_recursive) //It's a normalized equation, we have to recompute the derivative using chain rule derivative function Derivatives[make_pair(make_pair(lag, make_pair(eq, var)), make_pair(eqr, varr))] = 1; else //It's a feedback equation we can use the derivatives Derivatives[make_pair(make_pair(lag, make_pair(eq, var)), make_pair(eqr, varr))] = 0; } if (var < block_nb_recursive) { int eqs = getBlockEquationID(block, var); for (int vars = block_nb_recursive; vars < block_size; vars++) { int varrs = getBlockVariableID(block, vars); //A new derivative needs to be computed using the chain rule derivative function (a feedback variable appears in a recursive equation) if (Derivatives.find(make_pair(make_pair(lag, make_pair(var, vars)), make_pair(eqs, varrs))) != Derivatives.end()) Derivatives[make_pair(make_pair(lag, make_pair(eq, vars)), make_pair(eqr, varrs))] = 2; } } } } } } return (Derivatives); } void DynamicModel::computeChainRuleJacobian(blocks_derivatives_t &blocks_endo_derivatives) { map recursive_variables; unsigned int nb_blocks = getNbBlocks(); blocks_endo_derivatives = blocks_derivatives_t(nb_blocks); for (unsigned int block = 0; block < nb_blocks; block++) { block_derivatives_equation_variable_laglead_nodeid_t tmp_derivatives; recursive_variables.clear(); int block_size = getBlockSize(block); int block_nb_mfs = getBlockMfs(block); int block_nb_recursives = block_size - block_nb_mfs; blocks_endo_derivatives.push_back(block_derivatives_equation_variable_laglead_nodeid_t(0)); for (int i = 0; i < block_nb_recursives; i++) { if (getBlockEquationType(block, i) == E_EVALUATE_S) recursive_variables[getDerivID(symbol_table.getID(eEndogenous, getBlockVariableID(block, i)), 0)] = getBlockEquationRenormalizedExpr(block, i); else recursive_variables[getDerivID(symbol_table.getID(eEndogenous, getBlockVariableID(block, i)), 0)] = getBlockEquationExpr(block, i); } map >, pair >, int> Derivatives = get_Derivatives(block); map >, pair >, int>::const_iterator it = Derivatives.begin(); for (int i = 0; i < (int) Derivatives.size(); i++) { int Deriv_type = it->second; pair >, pair > it_l(it->first); it++; int lag = it_l.first.first; int eq = it_l.first.second.first; int var = it_l.first.second.second; int eqr = it_l.second.first; int varr = it_l.second.second; if (Deriv_type == 0) first_chain_rule_derivatives[make_pair(eqr, make_pair(varr, lag))] = first_derivatives[make_pair(eqr, getDerivID(symbol_table.getID(eEndogenous, varr), lag))]; else if (Deriv_type == 1) first_chain_rule_derivatives[make_pair(eqr, make_pair(varr, lag))] = (equation_type_and_normalized_equation[eqr].second)->getChainRuleDerivative(getDerivID(symbol_table.getID(eEndogenous, varr), lag), recursive_variables); else if (Deriv_type == 2) { if (getBlockEquationType(block, eq) == E_EVALUATE_S && eq < block_nb_recursives) first_chain_rule_derivatives[make_pair(eqr, make_pair(varr, lag))] = (equation_type_and_normalized_equation[eqr].second)->getChainRuleDerivative(getDerivID(symbol_table.getID(eEndogenous, varr), lag), recursive_variables); else first_chain_rule_derivatives[make_pair(eqr, make_pair(varr, lag))] = equations[eqr]->getChainRuleDerivative(getDerivID(symbol_table.getID(eEndogenous, varr), lag), recursive_variables); } tmp_derivatives.push_back(make_pair(make_pair(eq, var), make_pair(lag, first_chain_rule_derivatives[make_pair(eqr, make_pair(varr, lag))]))); } blocks_endo_derivatives[block] = tmp_derivatives; } } void DynamicModel::collect_block_first_order_derivatives() { //! vector for an equation or a variable indicates the block number vector equation_2_block, variable_2_block; unsigned int nb_blocks = getNbBlocks(); equation_2_block = vector(equation_reordered.size()); variable_2_block = vector(variable_reordered.size()); for (unsigned int block = 0; block < nb_blocks; block++) { unsigned int block_size = getBlockSize(block); for (unsigned int i = 0; i < block_size; i++) { equation_2_block[getBlockEquationID(block, i)] = block; variable_2_block[getBlockVariableID(block, i)] = block; } } other_endo_block = vector(nb_blocks); exo_block = vector(nb_blocks); exo_det_block = vector(nb_blocks); derivative_endo = vector(nb_blocks); derivative_other_endo = vector(nb_blocks); derivative_exo = vector(nb_blocks); derivative_exo_det = vector(nb_blocks); endo_max_leadlag_block = vector >(nb_blocks, make_pair(0, 0)); other_endo_max_leadlag_block = vector >(nb_blocks, make_pair(0, 0)); exo_max_leadlag_block = vector >(nb_blocks, make_pair(0, 0)); exo_det_max_leadlag_block = vector >(nb_blocks, make_pair(0, 0)); max_leadlag_block = vector >(nb_blocks, make_pair(0, 0)); for (first_derivatives_t::iterator it2 = first_derivatives.begin(); it2 != first_derivatives.end(); it2++) { int eq = it2->first.first; int var = symbol_table.getTypeSpecificID(getSymbIDByDerivID(it2->first.second)); int lag = getLagByDerivID(it2->first.second); int block_eq = equation_2_block[eq]; int block_var = 0; derivative_t tmp_derivative; lag_var_t lag_var; switch (getTypeByDerivID(it2->first.second)) { case eEndogenous: block_var = variable_2_block[var]; if (block_eq == block_var) { if (lag < 0 && lag < -endo_max_leadlag_block[block_eq].first) endo_max_leadlag_block[block_eq] = make_pair(-lag, endo_max_leadlag_block[block_eq].second); if (lag > 0 && lag > endo_max_leadlag_block[block_eq].second) endo_max_leadlag_block[block_eq] = make_pair(endo_max_leadlag_block[block_eq].first, lag); tmp_derivative = derivative_endo[block_eq]; tmp_derivative[make_pair(lag, make_pair(eq, var))] = first_derivatives[make_pair(eq, getDerivID(symbol_table.getID(eEndogenous, var), lag))]; derivative_endo[block_eq] = tmp_derivative; } else { if (lag < 0 && lag < -other_endo_max_leadlag_block[block_eq].first) other_endo_max_leadlag_block[block_eq] = make_pair(-lag, other_endo_max_leadlag_block[block_eq].second); if (lag > 0 && lag > other_endo_max_leadlag_block[block_eq].second) other_endo_max_leadlag_block[block_eq] = make_pair(other_endo_max_leadlag_block[block_eq].first, lag); tmp_derivative = derivative_other_endo[block_eq]; { map< int, map >::const_iterator it = block_other_endo_index.find(block_eq); if (it == block_other_endo_index.end()) block_other_endo_index[block_eq][var] = 0; else { map::const_iterator it1 = it->second.find(var); if (it1 == it->second.end()) { int size = block_other_endo_index[block_eq].size(); block_other_endo_index[block_eq][var] = size; } } } tmp_derivative[make_pair(lag, make_pair(eq, var))] = first_derivatives[make_pair(eq, getDerivID(symbol_table.getID(eEndogenous, var), lag))]; derivative_other_endo[block_eq] = tmp_derivative; lag_var = other_endo_block[block_eq]; if (lag_var.find(lag) == lag_var.end()) lag_var[lag].clear(); lag_var[lag].insert(var); other_endo_block[block_eq] = lag_var; } break; case eExogenous: if (lag < 0 && lag < -exo_max_leadlag_block[block_eq].first) exo_max_leadlag_block[block_eq] = make_pair(-lag, exo_max_leadlag_block[block_eq].second); if (lag > 0 && lag > exo_max_leadlag_block[block_eq].second) exo_max_leadlag_block[block_eq] = make_pair(exo_max_leadlag_block[block_eq].first, lag); tmp_derivative = derivative_exo[block_eq]; { map< int, map >::const_iterator it = block_exo_index.find(block_eq); if (it == block_exo_index.end()) block_exo_index[block_eq][var] = 0; else { map::const_iterator it1 = it->second.find(var); if (it1 == it->second.end()) { int size = block_exo_index[block_eq].size(); block_exo_index[block_eq][var] = size; } } } tmp_derivative[make_pair(lag, make_pair(eq, var))] = first_derivatives[make_pair(eq, getDerivID(symbol_table.getID(eExogenous, var), lag))]; derivative_exo[block_eq] = tmp_derivative; lag_var = exo_block[block_eq]; if (lag_var.find(lag) == lag_var.end()) lag_var[lag].clear(); lag_var[lag].insert(var); exo_block[block_eq] = lag_var; break; case eExogenousDet: if (lag < 0 && lag < -exo_det_max_leadlag_block[block_eq].first) exo_det_max_leadlag_block[block_eq] = make_pair(-lag, exo_det_max_leadlag_block[block_eq].second); if (lag > 0 && lag > exo_det_max_leadlag_block[block_eq].second) exo_det_max_leadlag_block[block_eq] = make_pair(exo_det_max_leadlag_block[block_eq].first, lag); tmp_derivative = derivative_exo_det[block_eq]; { map< int, map >::const_iterator it = block_det_exo_index.find(block_eq); if (it == block_det_exo_index.end()) block_det_exo_index[block_eq][var] = 0; else { map::const_iterator it1 = it->second.find(var); if (it1 == it->second.end()) { int size = block_det_exo_index[block_eq].size(); block_det_exo_index[block_eq][var] = size; } } } tmp_derivative[make_pair(lag, make_pair(eq, var))] = first_derivatives[make_pair(eq, getDerivID(symbol_table.getID(eExogenous, var), lag))]; derivative_exo_det[block_eq] = tmp_derivative; lag_var = exo_det_block[block_eq]; if (lag_var.find(lag) == lag_var.end()) lag_var[lag].clear(); lag_var[lag].insert(var); exo_det_block[block_eq] = lag_var; break; default: break; } if (lag < 0 && lag < -max_leadlag_block[block_eq].first) max_leadlag_block[block_eq] = make_pair(-lag, max_leadlag_block[block_eq].second); if (lag > 0 && lag > max_leadlag_block[block_eq].second) max_leadlag_block[block_eq] = make_pair(max_leadlag_block[block_eq].first, lag); } } void DynamicModel::collectBlockVariables() { for (unsigned int block = 0; block < getNbBlocks(); block++) { int prev_var = -1; int prev_lag = -999999999; int count_col_exo = 0; var_t tmp_var_exo; for (lag_var_t::const_iterator it = exo_block[block].begin(); it != exo_block[block].end(); it++) { int lag = it->first; for (var_t::const_iterator it2 = it->second.begin(); it2 != it->second.end(); it2++) { int var = *it2; tmp_var_exo.insert(var); if (prev_var != var || prev_lag != lag) { prev_var = var; prev_lag = lag; count_col_exo++; } } } block_var_exo.push_back(make_pair(tmp_var_exo, count_col_exo)); } } void DynamicModel::writeDynamicFile(const string &basename, bool block, bool bytecode, bool use_dll, int order, bool julia) const { int r; string t_basename = basename + "_dynamic"; if (block && bytecode) writeModelEquationsCode_Block(t_basename, basename, map_idx); else if (!block && bytecode) writeModelEquationsCode(t_basename, basename, map_idx); else if (block && !bytecode) { #ifdef _WIN32 r = mkdir(basename.c_str()); #else r = mkdir(basename.c_str(), 0777); #endif if (r < 0 && errno != EEXIST) { perror("ERROR"); exit(EXIT_FAILURE); } writeSparseDynamicMFile(t_basename, basename); } else if (use_dll) writeDynamicCFile(t_basename, order); else if (julia) writeDynamicJuliaFile(basename); else writeDynamicMFile(t_basename); } void DynamicModel::cloneDynamic(DynamicModel &dynamic_model) const { /* Ensure that we are using the same symbol table, because at many places we manipulate symbol IDs rather than strings */ assert(&symbol_table == &dynamic_model.symbol_table); // Convert model local variables (need to be done first) for (vector::const_iterator it = local_variables_vector.begin(); it != local_variables_vector.end(); it++) dynamic_model.AddLocalVariable(*it, local_variables_table.find(*it)->second->cloneDynamic(dynamic_model)); // Convert equations for (size_t i = 0; i < equations.size(); i++) { vector > eq_tags; for (vector > >::const_iterator it = equation_tags.begin(); it != equation_tags.end(); ++it) if (it->first == (int)i) eq_tags.push_back(it->second); dynamic_model.addEquation(equations[i]->cloneDynamic(dynamic_model), equations_lineno[i], eq_tags); } // Convert auxiliary equations for (deque::const_iterator it = aux_equations.begin(); it != aux_equations.end(); it++) dynamic_model.addAuxEquation((*it)->cloneDynamic(dynamic_model)); // Convert static_only equations for (size_t i = 0; i < static_only_equations.size(); i++) dynamic_model.addStaticOnlyEquation(static_only_equations[i]->cloneDynamic(dynamic_model), static_only_equations_lineno[i], static_only_equations_equation_tags[i]); dynamic_model.setLeadsLagsOrig(); } void DynamicModel::replaceMyEquations(DynamicModel &dynamic_model) const { dynamic_model.equations.clear(); for (size_t i = 0; i < equations.size(); i++) dynamic_model.addEquation(equations[i]->cloneDynamic(dynamic_model), equations_lineno[i]); } void DynamicModel::computeRamseyPolicyFOCs(const StaticModel &static_model, const bool nopreprocessoroutput) { // Add aux LM to constraints in equations // equation[i]->lhs = rhs becomes equation[i]->MULT_(i+1)*(lhs-rhs) = 0 int i; for (i = 0; i < (int) equations.size(); i++) { BinaryOpNode *substeq = dynamic_cast(equations[i]->addMultipliersToConstraints(i)); assert(substeq != NULL); equations[i] = substeq; } if (!nopreprocessoroutput) cout << "Ramsey Problem: added " << i << " Multipliers." << endl; // Add Planner Objective to equations to include in computeDerivIDs assert(static_model.equations.size() == 1); addEquation(static_model.equations[0]->cloneDynamic(*this), static_model.equations_lineno[0]); // Get max endo lead and max endo lag set > dynvars; int max_eq_lead = 0; int max_eq_lag = 0; for (int i = 0; i < (int) equations.size(); i++) equations[i]->collectDynamicVariables(eEndogenous, dynvars); for (set >::const_iterator it = dynvars.begin(); it != dynvars.end(); it++) { int lag = it->second; if (max_eq_lead < lag) max_eq_lead = lag; else if (-max_eq_lag > lag) max_eq_lag = -lag; } // Get Discount Factor assert(symbol_table.exists("optimal_policy_discount_factor")); int symb_id = symbol_table.getID("optimal_policy_discount_factor"); assert(symbol_table.getType(symb_id) == eParameter); expr_t discount_factor_node = AddVariable(symb_id, 0); // Create (modified) Lagrangian (so that we can take the derivative once at time t) expr_t lagrangian = Zero; for (i = 0; i < (int) equations.size(); i++) for (int lag = -max_eq_lag; lag <= max_eq_lead; lag++) { expr_t dfpower = NULL; std::stringstream lagstream; lagstream << abs(lag); if (lag < 0) dfpower = AddNonNegativeConstant(lagstream.str()); else if (lag == 0) dfpower = Zero; else dfpower = AddMinus(Zero, AddNonNegativeConstant(lagstream.str())); lagrangian = AddPlus(AddTimes(AddPower(discount_factor_node, dfpower), equations[i]->getNonZeroPartofEquation()->decreaseLeadsLags(lag)), lagrangian); } equations.clear(); addEquation(AddEqual(lagrangian, Zero), -1); computeDerivIDs(); //Compute derivatives and overwrite equations vector neweqs; for (deriv_id_table_t::const_iterator it = deriv_id_table.begin(); it != deriv_id_table.end(); it++) // For all endogenous variables with zero lag if (symbol_table.getType(it->first.first) == eEndogenous && it->first.second == 0) neweqs.push_back(AddEqual(equations[0]->getNonZeroPartofEquation()->getDerivative(it->second), Zero)); // Add new equations equations.clear(); for (int i = 0; i < (int) neweqs.size(); i++) addEquation(neweqs[i], -1); } void DynamicModel::toStatic(StaticModel &static_model) const { /* Ensure that we are using the same symbol table, because at many places we manipulate symbol IDs rather than strings */ assert(&symbol_table == &static_model.symbol_table); // Convert model local variables (need to be done first) for (vector::const_iterator it = local_variables_vector.begin(); it != local_variables_vector.end(); it++) static_model.AddLocalVariable(*it, local_variables_table.find(*it)->second->toStatic(static_model)); // Convert equations int static_only_index = 0; for (int i = 0; i < (int) equations.size(); i++) { // Detect if equation is marked [dynamic] bool is_dynamic_only = false; vector > eq_tags; for (vector > >::const_iterator it = equation_tags.begin(); it != equation_tags.end(); ++it) if (it->first == i) { eq_tags.push_back(it->second); if (it->second.first == "dynamic") is_dynamic_only = true; } try { // If yes, replace it by an equation marked [static] if (is_dynamic_only) { static_model.addEquation(static_only_equations[static_only_index]->toStatic(static_model), static_only_equations_lineno[static_only_index], static_only_equations_equation_tags[static_only_index]); static_only_index++; } else static_model.addEquation(equations[i]->toStatic(static_model), equations_lineno[i], eq_tags); } catch (DataTree::DivisionByZeroException) { cerr << "...division by zero error encountred when converting equation " << i << " to static" << endl; exit(EXIT_FAILURE); } } // Convert auxiliary equations for (deque::const_iterator it = aux_equations.begin(); it != aux_equations.end(); it++) static_model.addAuxEquation((*it)->toStatic(static_model)); } bool DynamicModel::ParamUsedWithLeadLag() const { return ParamUsedWithLeadLagInternal(); } set DynamicModel::findUnusedEndogenous() { set usedEndo, unusedEndo; for (int i = 0; i < (int) equations.size(); i++) equations[i]->collectVariables(eEndogenous, usedEndo); set allEndo = symbol_table.getEndogenous(); set_difference(allEndo.begin(), allEndo.end(), usedEndo.begin(), usedEndo.end(), inserter(unusedEndo, unusedEndo.begin())); return unusedEndo; } set DynamicModel::findUnusedExogenous() { set usedExo, unusedExo, unobservedExo; for (int i = 0; i < (int) equations.size(); i++) equations[i]->collectVariables(eExogenous, usedExo); for (int i = 0; i < (int) equations.size(); i++) equations[i]->collectVariables(eExogenous, usedExo); set observedExo = symbol_table.getExogenous(); set allExo = symbol_table.getExogenous(); set_difference(allExo.begin(), allExo.end(), observedExo.begin(), observedExo.end(), inserter(unobservedExo, unobservedExo.begin())); set_difference(unobservedExo.begin(), unobservedExo.end(), usedExo.begin(), usedExo.end(), inserter(unusedExo, unusedExo.begin())); return unusedExo; } void DynamicModel::setLeadsLagsOrig() { set > dynvars; for (int i = 0; i < (int) equations.size(); i++) { equations[i]->collectDynamicVariables(eEndogenous, dynvars); equations[i]->collectDynamicVariables(eExogenous, dynvars); equations[i]->collectDynamicVariables(eExogenousDet, dynvars); } for (set >::const_iterator it = dynvars.begin(); it != dynvars.end(); it++) { int lag = it->second; SymbolType type = symbol_table.getType(it->first); if (max_lead_orig < lag) max_lead_orig= lag; else if (-max_lag_orig > lag) max_lag_orig = -lag; switch (type) { case eEndogenous: if (max_endo_lead_orig < lag) max_endo_lead_orig = lag; else if (-max_endo_lag_orig > lag) max_endo_lag_orig = -lag; break; case eExogenous: if (max_exo_lead_orig < lag) max_exo_lead_orig = lag; else if (-max_exo_lag_orig > lag) max_exo_lag_orig = -lag; break; case eExogenousDet: if (max_exo_det_lead_orig < lag) max_exo_det_lead_orig = lag; else if (-max_exo_det_lag_orig > lag) max_exo_det_lag_orig = -lag; break; default: break; } } } void DynamicModel::computeDerivIDs() { set > dynvars; for (int i = 0; i < (int) equations.size(); i++) equations[i]->collectDynamicVariables(eEndogenous, dynvars); dynJacobianColsNbr = dynvars.size(); for (int i = 0; i < (int) equations.size(); i++) { equations[i]->collectDynamicVariables(eExogenous, dynvars); equations[i]->collectDynamicVariables(eExogenousDet, dynvars); equations[i]->collectDynamicVariables(eParameter, dynvars); equations[i]->collectDynamicVariables(eTrend, dynvars); equations[i]->collectDynamicVariables(eLogTrend, dynvars); } for (set >::const_iterator it = dynvars.begin(); it != dynvars.end(); it++) { int lag = it->second; SymbolType type = symbol_table.getType(it->first); /* Setting maximum and minimum lags. We don't want these to be affected by lead/lags on parameters: they are accepted for facilitating variable flipping, but are simply ignored. */ if (max_lead < lag && type != eParameter) max_lead = lag; else if (-max_lag > lag && type != eParameter) max_lag = -lag; switch (type) { case eEndogenous: if (max_endo_lead < lag) max_endo_lead = lag; else if (-max_endo_lag > lag) max_endo_lag = -lag; break; case eExogenous: if (max_exo_lead < lag) max_exo_lead = lag; else if (-max_exo_lag > lag) max_exo_lag = -lag; break; case eExogenousDet: if (max_exo_det_lead < lag) max_exo_det_lead = lag; else if (-max_exo_det_lag > lag) max_exo_det_lag = -lag; break; default: break; } // Create a new deriv_id int deriv_id = deriv_id_table.size(); deriv_id_table[*it] = deriv_id; inv_deriv_id_table.push_back(*it); } } SymbolType DynamicModel::getTypeByDerivID(int deriv_id) const throw (UnknownDerivIDException) { return symbol_table.getType(getSymbIDByDerivID(deriv_id)); } int DynamicModel::getLagByDerivID(int deriv_id) const throw (UnknownDerivIDException) { if (deriv_id < 0 || deriv_id >= (int) inv_deriv_id_table.size()) throw UnknownDerivIDException(); return inv_deriv_id_table[deriv_id].second; } int DynamicModel::getSymbIDByDerivID(int deriv_id) const throw (UnknownDerivIDException) { if (deriv_id < 0 || deriv_id >= (int) inv_deriv_id_table.size()) throw UnknownDerivIDException(); return inv_deriv_id_table[deriv_id].first; } int DynamicModel::getDerivID(int symb_id, int lag) const throw (UnknownDerivIDException) { deriv_id_table_t::const_iterator it = deriv_id_table.find(make_pair(symb_id, lag)); if (it == deriv_id_table.end()) throw UnknownDerivIDException(); else return it->second; } void DynamicModel::addAllParamDerivId(set &deriv_id_set) { for (size_t i = 0; i < inv_deriv_id_table.size(); i++) if (symbol_table.getType(inv_deriv_id_table[i].first) == eParameter) deriv_id_set.insert(i); } void DynamicModel::computeDynJacobianCols(bool jacobianExo) { /* Sort the dynamic endogenous variables by lexicographic order over (lag, type_specific_symbol_id) and fill the dynamic columns for exogenous and exogenous deterministic */ map, int> ordered_dyn_endo; for (deriv_id_table_t::const_iterator it = deriv_id_table.begin(); it != deriv_id_table.end(); it++) { const int &symb_id = it->first.first; const int &lag = it->first.second; const int &deriv_id = it->second; SymbolType type = symbol_table.getType(symb_id); int tsid = symbol_table.getTypeSpecificID(symb_id); switch (type) { case eEndogenous: ordered_dyn_endo[make_pair(lag, tsid)] = deriv_id; break; case eExogenous: // At this point, dynJacobianColsNbr contains the number of dynamic endogenous if (jacobianExo) dyn_jacobian_cols_table[deriv_id] = dynJacobianColsNbr + tsid; break; case eExogenousDet: // At this point, dynJacobianColsNbr contains the number of dynamic endogenous if (jacobianExo) dyn_jacobian_cols_table[deriv_id] = dynJacobianColsNbr + symbol_table.exo_nbr() + tsid; break; case eParameter: case eTrend: case eLogTrend: // We don't assign a dynamic jacobian column to parameters or trend variables break; default: // Shut up GCC cerr << "DynamicModel::computeDynJacobianCols: impossible case" << endl; exit(EXIT_FAILURE); } } // Fill in dynamic jacobian columns for endogenous int sorted_id = 0; for (map, int>::const_iterator it = ordered_dyn_endo.begin(); it != ordered_dyn_endo.end(); it++) dyn_jacobian_cols_table[it->second] = sorted_id++; // Set final value for dynJacobianColsNbr if (jacobianExo) dynJacobianColsNbr += symbol_table.exo_nbr() + symbol_table.exo_det_nbr(); } int DynamicModel::getDynJacobianCol(int deriv_id) const throw (UnknownDerivIDException) { map::const_iterator it = dyn_jacobian_cols_table.find(deriv_id); if (it == dyn_jacobian_cols_table.end()) throw UnknownDerivIDException(); else return it->second; } void DynamicModel::testTrendDerivativesEqualToZero(const eval_context_t &eval_context) { for (deriv_id_table_t::const_iterator it = deriv_id_table.begin(); it != deriv_id_table.end(); it++) if (symbol_table.getType(it->first.first) == eTrend || symbol_table.getType(it->first.first) == eLogTrend) for (int eq = 0; eq < (int) equations.size(); eq++) { expr_t homogeneq = AddMinus(equations[eq]->get_arg1(), equations[eq]->get_arg2()); // Do not run the test if the term inside the log is zero if (fabs(homogeneq->eval(eval_context)) > ZERO_BAND) { expr_t testeq = AddLog(homogeneq); // F = log(lhs-rhs) testeq = testeq->getDerivative(it->second); // d F / d Trend for (deriv_id_table_t::const_iterator endogit = deriv_id_table.begin(); endogit != deriv_id_table.end(); endogit++) if (symbol_table.getType(endogit->first.first) == eEndogenous) { double nearZero = testeq->getDerivative(endogit->second)->eval(eval_context); // eval d F / d Trend d Endog if (fabs(nearZero) > ZERO_BAND) { cerr << "WARNING: trends not compatible with balanced growth path; the second-order cross partial of equation " << eq + 1 << " (line " << equations_lineno[eq] << ") w.r.t. trend variable " << symbol_table.getName(it->first.first) << " and endogenous variable " << symbol_table.getName(endogit->first.first) << " is not null. " << endl; // Changed to warning. See discussion in #1389 } } } } } void DynamicModel::writeParamsDerivativesFile(const string &basename, bool julia) const { if (!residuals_params_derivatives.size() && !residuals_params_second_derivatives.size() && !jacobian_params_derivatives.size() && !jacobian_params_second_derivatives.size() && !hessian_params_derivatives.size()) return; ExprNodeOutputType output_type = (julia ? oJuliaDynamicModel : oMatlabDynamicModel); ostringstream model_local_vars_output; // Used for storing model local vars ostringstream model_output; // Used for storing model temp vars and equations ostringstream jacobian_output; // Used for storing jacobian equations ostringstream hessian_output; // Used for storing Hessian equations ostringstream hessian1_output; // Used for storing Hessian equations ostringstream third_derivs_output; // Used for storing third order derivatives equations ostringstream third_derivs1_output; // Used for storing third order derivatives equations deriv_node_temp_terms_t tef_terms; writeModelLocalVariables(model_local_vars_output, output_type, tef_terms); temporary_terms_t temp_terms_empty; writeTemporaryTerms(params_derivs_temporary_terms, temp_terms_empty, model_output, output_type, tef_terms); for (first_derivatives_t::const_iterator it = residuals_params_derivatives.begin(); it != residuals_params_derivatives.end(); it++) { int eq = it->first.first; int param = it->first.second; expr_t d1 = it->second; int param_col = symbol_table.getTypeSpecificID(getSymbIDByDerivID(param)) + 1; jacobian_output << "rp" << LEFT_ARRAY_SUBSCRIPT(output_type) << eq+1 << ", " << param_col << RIGHT_ARRAY_SUBSCRIPT(output_type) << " = "; d1->writeOutput(jacobian_output, output_type, params_derivs_temporary_terms, tef_terms); jacobian_output << ";" << endl; } for (second_derivatives_t::const_iterator it = jacobian_params_derivatives.begin(); it != jacobian_params_derivatives.end(); it++) { int eq = it->first.first; int var = it->first.second.first; int param = it->first.second.second; expr_t d2 = it->second; int var_col = getDynJacobianCol(var) + 1; int param_col = symbol_table.getTypeSpecificID(getSymbIDByDerivID(param)) + 1; hessian_output << "gp" << LEFT_ARRAY_SUBSCRIPT(output_type) << eq+1 << ", " << var_col << ", " << param_col << RIGHT_ARRAY_SUBSCRIPT(output_type) << " = "; d2->writeOutput(hessian_output, output_type, params_derivs_temporary_terms, tef_terms); hessian_output << ";" << endl; } int i = 1; for (second_derivatives_t::const_iterator it = residuals_params_second_derivatives.begin(); it != residuals_params_second_derivatives.end(); ++it, i++) { int eq = it->first.first; int param1 = it->first.second.first; int param2 = it->first.second.second; expr_t d2 = it->second; int param1_col = symbol_table.getTypeSpecificID(getSymbIDByDerivID(param1)) + 1; int param2_col = symbol_table.getTypeSpecificID(getSymbIDByDerivID(param2)) + 1; 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) << "=" << param1_col << ";" << endl << "rpp" << LEFT_ARRAY_SUBSCRIPT(output_type) << i << ",3" << RIGHT_ARRAY_SUBSCRIPT(output_type) << "=" << param2_col << ";" << endl << "rpp" << LEFT_ARRAY_SUBSCRIPT(output_type) << i << ",4" << RIGHT_ARRAY_SUBSCRIPT(output_type) << "="; d2->writeOutput(hessian1_output, output_type, params_derivs_temporary_terms, tef_terms); hessian1_output << ";" << endl; } i = 1; for (third_derivatives_t::const_iterator it = jacobian_params_second_derivatives.begin(); it != jacobian_params_second_derivatives.end(); ++it, i++) { int eq = it->first.first; int var = it->first.second.first; int param1 = it->first.second.second.first; int param2 = it->first.second.second.second; expr_t d2 = it->second; int var_col = getDynJacobianCol(var) + 1; int param1_col = symbol_table.getTypeSpecificID(getSymbIDByDerivID(param1)) + 1; int param2_col = symbol_table.getTypeSpecificID(getSymbIDByDerivID(param2)) + 1; 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) << "=" << param1_col << ";" << endl << "gpp" << LEFT_ARRAY_SUBSCRIPT(output_type) << i << ",4" << RIGHT_ARRAY_SUBSCRIPT(output_type) << "=" << param2_col << ";" << endl << "gpp" << LEFT_ARRAY_SUBSCRIPT(output_type) << i << ",5" << RIGHT_ARRAY_SUBSCRIPT(output_type) << "="; d2->writeOutput(third_derivs_output, output_type, params_derivs_temporary_terms, tef_terms); third_derivs_output << ";" << endl; } i = 1; for (third_derivatives_t::const_iterator it = hessian_params_derivatives.begin(); it != hessian_params_derivatives.end(); ++it, i++) { int eq = it->first.first; int var1 = it->first.second.first; int var2 = it->first.second.second.first; int param = it->first.second.second.second; expr_t d2 = it->second; int var1_col = getDynJacobianCol(var1) + 1; int var2_col = getDynJacobianCol(var2) + 1; int param_col = symbol_table.getTypeSpecificID(getSymbIDByDerivID(param)) + 1; third_derivs1_output << "hp" << LEFT_ARRAY_SUBSCRIPT(output_type) << i << ",1" << RIGHT_ARRAY_SUBSCRIPT(output_type) << "=" << eq+1 << ";" << endl << "hp" << LEFT_ARRAY_SUBSCRIPT(output_type) << i << ",2" << RIGHT_ARRAY_SUBSCRIPT(output_type) << "=" << var1_col << ";" << endl << "hp" << LEFT_ARRAY_SUBSCRIPT(output_type) << i << ",3" << RIGHT_ARRAY_SUBSCRIPT(output_type) << "=" << var2_col << ";" << endl << "hp" << LEFT_ARRAY_SUBSCRIPT(output_type) << i << ",4" << RIGHT_ARRAY_SUBSCRIPT(output_type) << "=" << param_col << ";" << endl << "hp" << LEFT_ARRAY_SUBSCRIPT(output_type) << i << ",5" << RIGHT_ARRAY_SUBSCRIPT(output_type) << "="; d2->writeOutput(third_derivs1_output, output_type, params_derivs_temporary_terms, tef_terms); third_derivs1_output << ";" << endl; } string filename = julia ? basename + "DynamicParamsDerivs.jl" : basename + "_params_derivs.m"; ofstream paramsDerivsFile; paramsDerivsFile.open(filename.c_str(), ios::out | ios::binary); if (!paramsDerivsFile.is_open()) { cerr << "ERROR: Can't open file " << filename << " for writing" << endl; exit(EXIT_FAILURE); } if (!julia) { // Check that we don't have more than 32 nested parenthesis because Matlab does not suppor this. See Issue #1201 map tmp_paren_vars; bool message_printed = false; fixNestedParenthesis(model_output, tmp_paren_vars, message_printed); fixNestedParenthesis(model_local_vars_output, tmp_paren_vars, message_printed); fixNestedParenthesis(jacobian_output, tmp_paren_vars, message_printed); fixNestedParenthesis(hessian_output, tmp_paren_vars, message_printed); fixNestedParenthesis(hessian1_output, tmp_paren_vars, message_printed); fixNestedParenthesis(third_derivs_output, tmp_paren_vars, message_printed); fixNestedParenthesis(third_derivs1_output, tmp_paren_vars, message_printed); paramsDerivsFile << "function [rp, gp, rpp, gpp, hp] = " << basename << "_params_derivs(y, x, params, steady_state, it_, ss_param_deriv, ss_param_2nd_deriv)" << endl << "%" << endl << "% Compute the derivatives of the dynamic model with respect to the parameters" << endl << "% Inputs :" << endl << "% y [#dynamic variables by 1] double vector of endogenous variables in the order stored" << endl << "% in M_.lead_lag_incidence; see the Manual" << endl << "% x [nperiods by M_.exo_nbr] double matrix of exogenous variables (in declaration order)" << endl << "% for all simulation periods" << endl << "% params [M_.param_nbr by 1] double vector of parameter values in declaration order" << endl << "% steady_state [M_.endo_nbr by 1] double vector of steady state values" << endl << "% it_ scalar double time period for exogenous variables for which to evaluate the model" << endl << "% ss_param_deriv [M_.eq_nbr by #params] Jacobian matrix of the steady states values with respect to the parameters" << endl << "% ss_param_2nd_deriv [M_.eq_nbr by #params by #params] Hessian matrix of the steady states values with respect to the parameters" << endl << "%" << endl << "% Outputs:" << endl << "% rp [M_.eq_nbr by #params] double Jacobian matrix of dynamic model equations with respect to parameters " << endl << "% Dynare may prepend or append auxiliary equations, see M_.aux_vars" << endl << "% gp [M_.endo_nbr by #dynamic variables by #params] double Derivative of the Jacobian matrix of the dynamic model equations with respect to the parameters" << endl << "% rows: equations in order of declaration" << endl << "% columns: variables in order stored in M_.lead_lag_incidence" << endl << "% rpp [#second_order_residual_terms by 4] double Hessian matrix of second derivatives of residuals with respect to parameters;" << endl << "% rows: respective derivative term" << endl << "% 1st column: equation number of the term appearing" << endl << "% 2nd column: number of the first parameter in derivative" << endl << "% 3rd column: number of the second parameter in derivative" << endl << "% 4th column: value of the Hessian term" << endl << "% gpp [#second_order_Jacobian_terms by 5] double Hessian matrix of second derivatives of the Jacobian with respect to the parameters;" << endl << "% rows: respective derivative term" << endl << "% 1st column: equation number of the term appearing" << endl << "% 2nd column: column number of variable in Jacobian of the dynamic model" << endl << "% 3rd column: number of the first parameter in derivative" << endl << "% 4th column: number of the second parameter in derivative" << endl << "% 5th column: value of the Hessian term" << endl << "% hp [#first_order_Hessian_terms by 5] double Jacobian matrix of derivatives of the dynamic Hessian with respect to the parameters;" << endl << "% rows: respective derivative term" << endl << "% 1st column: equation number of the term appearing" << endl << "% 2nd column: column number of first variable in Hessian of the dynamic model" << endl << "% 3rd column: column number of second variable in Hessian of the dynamic model" << endl << "% 4th column: number of the parameter in derivative" << endl << "% 5th column: value of the Hessian term" << endl << "%" << endl << "%" << endl << "% Warning : this file is generated automatically by Dynare" << endl << "% from model file (.mod)" << endl << endl << model_local_vars_output.str() << model_output.str() << "rp = zeros(" << equations.size() << ", " << symbol_table.param_nbr() << ");" << endl << jacobian_output.str() << "gp = zeros(" << equations.size() << ", " << dynJacobianColsNbr << ", " << symbol_table.param_nbr() << ");" << endl << hessian_output.str() << "if nargout >= 3" << endl << "rpp = zeros(" << residuals_params_second_derivatives.size() << ",4);" << endl << hessian1_output.str() << "gpp = zeros(" << jacobian_params_second_derivatives.size() << ",5);" << endl << third_derivs_output.str() << "end" << endl << "if nargout >= 5" << endl << "hp = zeros(" << hessian_params_derivatives.size() << ",5);" << endl << third_derivs1_output.str() << "end" << endl << "end" << endl; } else paramsDerivsFile << "module " << basename << "DynamicParamsDerivs" << endl << "#" << endl << "# NB: this file was automatically generated by Dynare" << endl << "# from " << basename << ".mod" << endl << "#" << endl << "export params_derivs" << endl << endl << "function params_derivs(y, x, paramssteady_state, it_, " << "ss_param_deriv, ss_param_2nd_deriv)" << endl << model_local_vars_output.str() << model_output.str() << "rp = zeros(" << equations.size() << ", " << symbol_table.param_nbr() << ");" << endl << jacobian_output.str() << "gp = zeros(" << equations.size() << ", " << dynJacobianColsNbr << ", " << symbol_table.param_nbr() << ");" << endl << hessian_output.str() << "rpp = zeros(" << residuals_params_second_derivatives.size() << ",4);" << endl << hessian1_output.str() << "gpp = zeros(" << jacobian_params_second_derivatives.size() << ",5);" << endl << third_derivs_output.str() << "hp = zeros(" << hessian_params_derivatives.size() << ",5);" << endl << third_derivs1_output.str() << "(rp, gp, rpp, gpp, hp)" << endl << "end" << endl << "end" << endl; paramsDerivsFile.close(); } void DynamicModel::writeChainRuleDerivative(ostream &output, int eqr, int varr, int lag, ExprNodeOutputType output_type, const temporary_terms_t &temporary_terms) const { map >, expr_t>::const_iterator it = first_chain_rule_derivatives.find(make_pair(eqr, make_pair(varr, lag))); if (it != first_chain_rule_derivatives.end()) (it->second)->writeOutput(output, output_type, temporary_terms); else output << 0; } void DynamicModel::writeLatexFile(const string &basename, const bool write_equation_tags) const { writeLatexModelFile(basename + "_dynamic", oLatexDynamicModel, write_equation_tags); } void DynamicModel::writeLatexOriginalFile(const string &basename, const bool write_equation_tags) const { writeLatexModelFile(basename + "_original", oLatexDynamicModel, write_equation_tags); } void DynamicModel::substituteEndoLeadGreaterThanTwo(bool deterministic_model) { substituteLeadLagInternal(avEndoLead, deterministic_model, vector()); } void DynamicModel::substituteEndoLagGreaterThanTwo(bool deterministic_model) { substituteLeadLagInternal(avEndoLag, deterministic_model, vector()); } void DynamicModel::substituteExoLead(bool deterministic_model) { substituteLeadLagInternal(avExoLead, deterministic_model, vector()); } void DynamicModel::substituteExoLag(bool deterministic_model) { substituteLeadLagInternal(avExoLag, deterministic_model, vector()); } void DynamicModel::substituteLeadLagInternal(aux_var_t type, bool deterministic_model, const vector &subset) { ExprNode::subst_table_t subst_table; vector neweqs; // Substitute in used model local variables set used_local_vars; for (size_t i = 0; i < equations.size(); i++) equations[i]->collectVariables(eModelLocalVariable, used_local_vars); for (set::const_iterator it = used_local_vars.begin(); it != used_local_vars.end(); ++it) { const expr_t value = local_variables_table.find(*it)->second; expr_t subst; switch (type) { case avEndoLead: subst = value->substituteEndoLeadGreaterThanTwo(subst_table, neweqs, deterministic_model); break; case avEndoLag: subst = value->substituteEndoLagGreaterThanTwo(subst_table, neweqs); break; case avExoLead: subst = value->substituteExoLead(subst_table, neweqs, deterministic_model); break; case avExoLag: subst = value->substituteExoLag(subst_table, neweqs); break; case avDiffForward: subst = value->differentiateForwardVars(subset, subst_table, neweqs); break; default: cerr << "DynamicModel::substituteLeadLagInternal: impossible case" << endl; exit(EXIT_FAILURE); } local_variables_table[*it] = subst; } // Substitute in equations for (int i = 0; i < (int) equations.size(); i++) { expr_t subst; switch (type) { case avEndoLead: subst = equations[i]->substituteEndoLeadGreaterThanTwo(subst_table, neweqs, deterministic_model); break; case avEndoLag: subst = equations[i]->substituteEndoLagGreaterThanTwo(subst_table, neweqs); break; case avExoLead: subst = equations[i]->substituteExoLead(subst_table, neweqs, deterministic_model); break; case avExoLag: subst = equations[i]->substituteExoLag(subst_table, neweqs); break; case avDiffForward: subst = equations[i]->differentiateForwardVars(subset, subst_table, neweqs); break; default: cerr << "DynamicModel::substituteLeadLagInternal: impossible case" << endl; exit(EXIT_FAILURE); } BinaryOpNode *substeq = dynamic_cast(subst); assert(substeq != NULL); equations[i] = substeq; } // Substitute in aux_equations // Without this loop, the auxiliary equations in equations // will diverge from those in aux_equations for (int i = 0; i < (int) aux_equations.size(); i++) { expr_t subst; switch (type) { case avEndoLead: subst = aux_equations[i]->substituteEndoLeadGreaterThanTwo(subst_table, neweqs, deterministic_model); break; case avEndoLag: subst = aux_equations[i]->substituteEndoLagGreaterThanTwo(subst_table, neweqs); break; case avExoLead: subst = aux_equations[i]->substituteExoLead(subst_table, neweqs, deterministic_model); break; case avExoLag: subst = aux_equations[i]->substituteExoLag(subst_table, neweqs); break; case avDiffForward: subst = aux_equations[i]->differentiateForwardVars(subset, subst_table, neweqs); break; default: cerr << "DynamicModel::substituteLeadLagInternal: impossible case" << endl; exit(EXIT_FAILURE); } BinaryOpNode *substeq = dynamic_cast(subst); assert(substeq != NULL); aux_equations[i] = substeq; } // Add new equations for (int i = 0; i < (int) neweqs.size(); i++) addEquation(neweqs[i], -1); // Order of auxiliary variable definition equations: // - expectation (entered before this function is called) // - lead variables from lower lead to higher lead // - lag variables from lower lag to higher lag copy(neweqs.begin(), neweqs.end(), back_inserter(aux_equations)); if (neweqs.size() > 0) { cout << "Substitution of "; switch (type) { case avEndoLead: cout << "endo leads >= 2"; break; case avEndoLag: cout << "endo lags >= 2"; break; case avExoLead: cout << "exo leads"; break; case avExoLag: cout << "exo lags"; break; case avExpectation: cout << "expectation"; break; case avDiffForward: cout << "forward vars"; break; default: cerr << "DynamicModel::substituteLeadLagInternal: impossible case" << endl; exit(EXIT_FAILURE); } cout << ": added " << neweqs.size() << " auxiliary variables and equations." << endl; } } void DynamicModel::substituteAdl() { for (int i = 0; i < (int) equations.size(); i++) equations[i] = dynamic_cast(equations[i]->substituteAdl()); } void DynamicModel::substituteDiff() { ExprNode::subst_table_t subst_table; vector neweqs; // Substitute in model local variables for (map::iterator it = local_variables_table.begin(); it != local_variables_table.end(); it++) it->second = it->second->substituteDiff(subst_table, neweqs); // Substitute in equations for (int i = 0; i < (int) equations.size(); i++) { BinaryOpNode *substeq = dynamic_cast(equations[i]->substituteDiff(subst_table, neweqs)); assert(substeq != NULL); equations[i] = substeq; } // Add new equations for (int i = 0; i < (int) neweqs.size(); i++) addEquation(neweqs[i], -1); if (subst_table.size() > 0) cout << "Substitution of Diff operator: added " << neweqs.size() << " auxiliary variables and equations." << endl; } void DynamicModel::substituteExpectation(bool partial_information_model) { ExprNode::subst_table_t subst_table; vector neweqs; // Substitute in model local variables for (map::iterator it = local_variables_table.begin(); it != local_variables_table.end(); it++) it->second = it->second->substituteExpectation(subst_table, neweqs, partial_information_model); // Substitute in equations for (int i = 0; i < (int) equations.size(); i++) { BinaryOpNode *substeq = dynamic_cast(equations[i]->substituteExpectation(subst_table, neweqs, partial_information_model)); assert(substeq != NULL); equations[i] = substeq; } // Add new equations for (int i = 0; i < (int) neweqs.size(); i++) addEquation(neweqs[i], -1); // Add the new set of equations at the *beginning* of aux_equations copy(neweqs.rbegin(), neweqs.rend(), front_inserter(aux_equations)); if (subst_table.size() > 0) { if (partial_information_model) cout << "Substitution of Expectation operator: added " << subst_table.size() << " auxiliary variables and " << neweqs.size() << " auxiliary equations." << endl; else cout << "Substitution of Expectation operator: added " << neweqs.size() << " auxiliary variables and equations." << endl; } } void DynamicModel::transformPredeterminedVariables() { for (int i = 0; i < (int) equations.size(); i++) { BinaryOpNode *substeq = dynamic_cast(equations[i]->decreaseLeadsLagsPredeterminedVariables()); assert(substeq != NULL); equations[i] = substeq; } } void DynamicModel::detrendEquations() { // We go backwards in the list of trend_vars, to deal correctly with I(2) processes for (nonstationary_symbols_map_t::const_reverse_iterator it = nonstationary_symbols_map.rbegin(); it != nonstationary_symbols_map.rend(); ++it) for (int i = 0; i < (int) equations.size(); i++) { BinaryOpNode *substeq = dynamic_cast(equations[i]->detrend(it->first, it->second.first, it->second.second)); assert(substeq != NULL); equations[i] = dynamic_cast(substeq); } for (int i = 0; i < (int) equations.size(); i++) { BinaryOpNode *substeq = dynamic_cast(equations[i]->removeTrendLeadLag(trend_symbols_map)); assert(substeq != NULL); equations[i] = dynamic_cast(substeq); } } void DynamicModel::removeTrendVariableFromEquations() { for (int i = 0; i < (int) equations.size(); i++) { BinaryOpNode *substeq = dynamic_cast(equations[i]->replaceTrendVar()); assert(substeq != NULL); equations[i] = dynamic_cast(substeq); } } void DynamicModel::differentiateForwardVars(const vector &subset) { substituteLeadLagInternal(avDiffForward, true, subset); } void DynamicModel::fillEvalContext(eval_context_t &eval_context) const { // First, auxiliary variables for (deque::const_iterator it = aux_equations.begin(); it != aux_equations.end(); it++) { assert((*it)->get_op_code() == oEqual); VariableNode *auxvar = dynamic_cast((*it)->get_arg1()); assert(auxvar != NULL); try { double val = (*it)->get_arg2()->eval(eval_context); eval_context[auxvar->get_symb_id()] = val; } catch (ExprNode::EvalException &e) { // Do nothing } } // Second, model local variables for (map::const_iterator it = local_variables_table.begin(); it != local_variables_table.end(); it++) { try { const expr_t expression = it->second; double val = expression->eval(eval_context); eval_context[it->first] = val; } catch (ExprNode::EvalException &e) { // Do nothing } } //Third, trend variables vector trendVars = symbol_table.getTrendVarIds(); for (vector ::const_iterator it = trendVars.begin(); it != trendVars.end(); it++) eval_context[*it] = 2; //not <= 0 bc of log, not 1 bc of powers } bool DynamicModel::isModelLocalVariableUsed() const { set used_local_vars; size_t i = 0; while (i < equations.size() && used_local_vars.size() == 0) { equations[i]->collectVariables(eModelLocalVariable, used_local_vars); i++; } return used_local_vars.size() > 0; } void DynamicModel::addStaticOnlyEquation(expr_t eq, int lineno, const vector > &eq_tags) { BinaryOpNode *beq = dynamic_cast(eq); assert(beq != NULL && beq->get_op_code() == oEqual); vector > soe_eq_tags; for (size_t i = 0; i < eq_tags.size(); i++) soe_eq_tags.push_back(eq_tags[i]); static_only_equations.push_back(beq); static_only_equations_lineno.push_back(lineno); static_only_equations_equation_tags.push_back(soe_eq_tags); } size_t DynamicModel::staticOnlyEquationsNbr() const { return static_only_equations.size(); } size_t DynamicModel::dynamicOnlyEquationsNbr() const { set eqs; for (vector > >::const_iterator it = equation_tags.begin(); it != equation_tags.end(); ++it) if (it->second.first == "dynamic") eqs.insert(it->first); return eqs.size(); } #ifndef PRIVATE_BUFFER_SIZE # define PRIVATE_BUFFER_SIZE 1024 #endif bool DynamicModel::isChecksumMatching(const string &basename) const { boost::crc_32_type result; std::stringstream buffer; // Write equation tags for (size_t i = 0; i < equation_tags.size(); i++) buffer << " " << equation_tags[i].first + 1 << equation_tags[i].second.first << equation_tags[i].second.second; ExprNodeOutputType buffer_type = oCDynamicModel; for (int eq = 0; eq < (int) equations.size(); eq++) { BinaryOpNode *eq_node = equations[eq]; expr_t lhs = eq_node->get_arg1(); expr_t rhs = eq_node->get_arg2(); // Test if the right hand side of the equation is empty. double vrhs = 1.0; try { vrhs = rhs->eval(eval_context_t()); } catch (ExprNode::EvalException &e) { } if (vrhs != 0) // The right hand side of the equation is not empty ==> residual=lhs-rhs; { buffer << "lhs ="; lhs->writeOutput(buffer, buffer_type, temporary_terms); buffer << ";" << endl; buffer << "rhs ="; rhs->writeOutput(buffer, buffer_type, temporary_terms); buffer << ";" << endl; buffer << "residual" << LEFT_ARRAY_SUBSCRIPT(buffer_type) << eq + ARRAY_SUBSCRIPT_OFFSET(buffer_type) << RIGHT_ARRAY_SUBSCRIPT(buffer_type) << "= lhs-rhs;" << endl; } else // The right hand side of the equation is empty ==> residual=lhs; { buffer << "residual" << LEFT_ARRAY_SUBSCRIPT(buffer_type) << eq + ARRAY_SUBSCRIPT_OFFSET(buffer_type) << RIGHT_ARRAY_SUBSCRIPT(buffer_type) << " = "; lhs->writeOutput(buffer, buffer_type, temporary_terms); buffer << ";" << endl; } } char private_buffer[PRIVATE_BUFFER_SIZE]; while (buffer) { buffer.get(private_buffer, PRIVATE_BUFFER_SIZE); result.process_bytes(private_buffer, strlen(private_buffer)); } bool basename_dir_exists = false; #ifdef _WIN32 int r = mkdir(basename.c_str()); #else int r = mkdir(basename.c_str(), 0777); #endif if (r < 0) if (errno != EEXIST) { perror("ERROR"); exit(EXIT_FAILURE); } else basename_dir_exists = true; // check whether basename directory exist. If not, create it. // If it does, read old checksum if it exist fstream checksum_file; string filename = basename + "/checksum"; unsigned int old_checksum = 0; // read old checksum if it exists if (basename_dir_exists) { checksum_file.open(filename.c_str(), ios::in | ios::binary); if (checksum_file.is_open()) { checksum_file >> old_checksum; checksum_file.close(); } } // write new checksum file if none or different from old checksum if (old_checksum != result.checksum()) { checksum_file.open(filename.c_str(), ios::out | ios::binary); if (!checksum_file.is_open()) { cerr << "ERROR: Can't open file " << filename << endl; exit(EXIT_FAILURE); } checksum_file << result.checksum(); checksum_file.close(); return false; } return true; } void DynamicModel::writeCOutput(ostream &output, const string &basename, bool block_decomposition, bool byte_code, bool use_dll, int order, bool estimation_present) const { int lag_presence[3]; // Loop on endogenous variables vector zeta_back, zeta_mixed, zeta_fwrd, zeta_static; for (int endoID = 0; endoID < symbol_table.endo_nbr(); endoID++) { // Loop on periods for (int lag = 0; lag <= 2; lag++) { lag_presence[lag] = 1; try { getDerivID(symbol_table.getID(eEndogenous, endoID), lag-1); } catch (UnknownDerivIDException &e) { lag_presence[lag] = 0; } } if (lag_presence[0] == 1) if (lag_presence[2] == 1) zeta_mixed.push_back(endoID); else zeta_back.push_back(endoID); else if (lag_presence[2] == 1) zeta_fwrd.push_back(endoID); else zeta_static.push_back(endoID); } output << "size_t nstatic = " << zeta_static.size() << ";" << endl << "size_t nfwrd = " << zeta_fwrd.size() << ";" << endl << "size_t nback = " << zeta_back.size() << ";" << endl << "size_t nmixed = " << zeta_mixed.size() << ";" << endl; output << "size_t zeta_static[" << zeta_static.size() << "] = {"; for (vector::iterator i = zeta_static.begin(); i != zeta_static.end(); ++i) { if (i != zeta_static.begin()) output << ","; output << *i; } output << "};" << endl; output << "size_t zeta_back[" << zeta_back.size() << "] = {"; for (vector::iterator i = zeta_back.begin(); i != zeta_back.end(); ++i) { if (i != zeta_back.begin()) output << ","; output << *i; } output << "};" << endl; output << "size_t zeta_fwrd[" << zeta_fwrd.size() << "] = {"; for (vector::iterator i = zeta_fwrd.begin(); i != zeta_fwrd.end(); ++i) { if (i != zeta_fwrd.begin()) output << ","; output << *i; } output << "};" << endl; output << "size_t zeta_mixed[" << zeta_mixed.size() << "] = {"; for (vector::iterator i = zeta_mixed.begin(); i != zeta_mixed.end(); ++i) { if (i != zeta_mixed.begin()) output << ","; output << *i; } output << "};" << endl; // Write number of non-zero derivatives // Use -1 if the derivatives have not been computed output << "int *NNZDerivatives[3] = {"; switch (order) { case 0: output << NNZDerivatives[0] << ",-1,-1};" << endl; break; case 1: output << NNZDerivatives[0] << "," << NNZDerivatives[1] << ",-1};" << endl; break; case 2: output << NNZDerivatives[0] << "," << NNZDerivatives[1] << "," << NNZDerivatives[2] << "};" << endl; break; default: cerr << "Order larger than 3 not implemented" << endl; exit(EXIT_FAILURE); } } void DynamicModel::writeResidualsC(const string &basename, bool cuda) const { string filename = basename + "_residuals.c"; ofstream mDynamicModelFile, mDynamicMexFile; mDynamicModelFile.open(filename.c_str(), ios::out | ios::binary); if (!mDynamicModelFile.is_open()) { cerr << "Error: Can't open file " << filename << " for writing" << endl; exit(EXIT_FAILURE); } mDynamicModelFile << "/*" << endl << " * " << filename << " : Computes residuals of the model for Dynare" << endl << " *" << endl << " * Warning : this file is generated automatically by Dynare" << endl << " * from model " << basename << "(.mod)" << endl << " */" << endl #if defined(_WIN32) || defined(__CYGWIN32__) || defined(__MINGW32__) << "#ifdef _MSC_VER" << endl << "#define _USE_MATH_DEFINES" << endl << "#endif" << endl #endif << "#include " << endl; mDynamicModelFile << "#include " << endl; mDynamicModelFile << "#define max(a, b) (((a) > (b)) ? (a) : (b))" << endl << "#define min(a, b) (((a) > (b)) ? (b) : (a))" << endl; // Write function definition if oPowerDeriv is used // even for residuals if doing Ramsey writePowerDerivCHeader(mDynamicModelFile); writeNormcdfCHeader(mDynamicModelFile); mDynamicModelFile << "void Residuals(const double *y, double *x, int nb_row_x, double *params, double *steady_state, int it_, double *residual)" << endl << "{" << endl; // this is always empty here, but needed by d1->writeOutput deriv_node_temp_terms_t tef_terms; ostringstream model_output; // Used for storing model equations writeModelEquations(model_output, oCDynamic2Model); mDynamicModelFile << " double lhs, rhs;" << endl << endl << " /* Residual equations */" << endl << model_output.str() << "}" << endl; writePowerDeriv(mDynamicModelFile); writeNormcdf(mDynamicModelFile); mDynamicModelFile.close(); } void DynamicModel::writeFirstDerivativesC(const string &basename, bool cuda) const { string filename = basename + "_first_derivatives.c"; ofstream mDynamicModelFile, mDynamicMexFile; mDynamicModelFile.open(filename.c_str(), ios::out | ios::binary); if (!mDynamicModelFile.is_open()) { cerr << "Error: Can't open file " << filename << " for writing" << endl; exit(EXIT_FAILURE); } mDynamicModelFile << "/*" << endl << " * " << filename << " : Computes first order derivatives of the model for Dynare" << endl << " *" << endl << " * Warning : this file is generated automatically by Dynare" << endl << " * from model " << basename << "(.mod)" << endl << " */" << endl #if defined(_WIN32) || defined(__CYGWIN32__) || defined(__MINGW32__) << "#ifdef _MSC_VER" << endl << "#define _USE_MATH_DEFINES" << endl << "#endif" << endl #endif << "#include " << endl; mDynamicModelFile << "#include " << endl; mDynamicModelFile << "#define max(a, b) (((a) > (b)) ? (a) : (b))" << endl << "#define min(a, b) (((a) > (b)) ? (b) : (a))" << endl; // Write function definition if oPowerDeriv is used writePowerDerivCHeader(mDynamicModelFile); writeNormcdfCHeader(mDynamicModelFile); mDynamicModelFile << "void FirstDerivatives(const double *y, double *x, int nb_row_x, double *params, double *steady_state, int it_, double *residual, double *g1, double *v2, double *v3)" << endl << "{" << endl; // this is always empty here, but needed by d1->writeOutput deriv_node_temp_terms_t tef_terms; // Writing Jacobian for (first_derivatives_t::const_iterator it = first_derivatives.begin(); it != first_derivatives.end(); it++) { int eq = it->first.first; int var = it->first.second; expr_t d1 = it->second; jacobianHelper(mDynamicModelFile, eq, getDynJacobianCol(var), oCDynamicModel); mDynamicModelFile << "="; // oCStaticModel makes reference to the static variables // oCDynamicModel makes reference to the dynamic variables d1->writeOutput(mDynamicModelFile, oCDynamicModel, temporary_terms, tef_terms); mDynamicModelFile << ";" << endl; } mDynamicModelFile << "}" << endl; mDynamicModelFile.close(); } // using compressed sparse row format (CSR) void DynamicModel::writeFirstDerivativesC_csr(const string &basename, bool cuda) const { string filename = basename + "_first_derivatives.c"; ofstream mDynamicModelFile, mDynamicMexFile; mDynamicModelFile.open(filename.c_str(), ios::out | ios::binary); if (!mDynamicModelFile.is_open()) { cerr << "Error: Can't open file " << filename << " for writing" << endl; exit(EXIT_FAILURE); } mDynamicModelFile << "/*" << endl << " * " << filename << " : Computes first order derivatives of the model for Dynare" << endl << " *" << endl << " * Warning : this file is generated automatically by Dynare" << endl << " * from model " << basename << "(.mod)" << endl << " */" << endl #if defined(_WIN32) || defined(__CYGWIN32__) || defined(__MINGW32__) << "#ifdef _MSC_VER" << endl << "#define _USE_MATH_DEFINES" << endl << "#endif" << endl #endif << "#include " << endl; mDynamicModelFile << "#include " << endl; mDynamicModelFile << "#define max(a, b) (((a) > (b)) ? (a) : (b))" << endl << "#define min(a, b) (((a) > (b)) ? (b) : (a))" << endl; // Write function definition if oPowerDeriv is used writePowerDerivCHeader(mDynamicModelFile); writeNormcdfCHeader(mDynamicModelFile); mDynamicModelFile << "void FirstDerivatives(const double *y, double *x, int nb_row_x, double *params, double *steady_state, int it_, double *residual, int *row_ptr, int *col_ptr, double *value)" << endl << "{" << endl; int cols_nbr = 3*symbol_table.endo_nbr() + symbol_table.exo_nbr() + symbol_table.exo_det_nbr(); // this is always empty here, but needed by d1->writeOutput deriv_node_temp_terms_t tef_terms; // Indexing derivatives in column order vector D; for (first_derivatives_t::const_iterator it = first_derivatives.begin(); it != first_derivatives.end(); it++) { int eq = it->first.first; int dynvar = it->first.second; int lag = getLagByDerivID(dynvar); int symb_id = getSymbIDByDerivID(dynvar); SymbolType type = getTypeByDerivID(dynvar); int tsid = symbol_table.getTypeSpecificID(symb_id); int col_id; switch (type) { case eEndogenous: col_id = tsid+(lag+1)*symbol_table.endo_nbr(); break; case eExogenous: col_id = tsid+3*symbol_table.endo_nbr(); break; case eExogenousDet: col_id = tsid+3*symbol_table.endo_nbr()+symbol_table.exo_nbr(); break; default: std::cerr << "This case shouldn't happen" << std::endl; exit(EXIT_FAILURE); } derivative deriv(col_id + eq *cols_nbr, col_id, eq, it->second); D.push_back(deriv); } sort(D.begin(), D.end(), derivative_less_than()); // writing sparse Jacobian vector row_ptr(equations.size()); fill(row_ptr.begin(), row_ptr.end(), 0.0); int k = 0; for (vector::const_iterator it = D.begin(); it != D.end(); ++it) { row_ptr[it->row_nbr]++; mDynamicModelFile << "col_ptr[" << k << "] " << "=" << it->col_nbr << ";" << endl; mDynamicModelFile << "value[" << k << "] = "; // oCstaticModel makes reference to the static variables it->value->writeOutput(mDynamicModelFile, oCDynamic2Model, temporary_terms, tef_terms); mDynamicModelFile << ";" << endl; k++; } // row_ptr must point to the relative address of the first element of the row int cumsum = 0; mDynamicModelFile << "int row_ptr_data[" << row_ptr.size() + 1 << "] = { 0"; for (vector::iterator it = row_ptr.begin(); it != row_ptr.end(); ++it) { cumsum += *it; mDynamicModelFile << ", " << cumsum; } mDynamicModelFile << "};" << endl << "int i;" << endl << "for (i=0; i < " << row_ptr.size() + 1 << "; i++) row_ptr[i] = row_ptr_data[i];" << endl; mDynamicModelFile << "}" << endl; mDynamicModelFile.close(); } void DynamicModel::writeSecondDerivativesC_csr(const string &basename, bool cuda) const { string filename = basename + "_second_derivatives.c"; ofstream mDynamicModelFile, mDynamicMexFile; mDynamicModelFile.open(filename.c_str(), ios::out | ios::binary); if (!mDynamicModelFile.is_open()) { cerr << "Error: Can't open file " << filename << " for writing" << endl; exit(EXIT_FAILURE); } mDynamicModelFile << "/*" << endl << " * " << filename << " : Computes second order derivatives of the model for Dynare" << endl << " *" << endl << " * Warning : this file is generated automatically by Dynare" << endl << " * from model " << basename << "(.mod)" << endl << " */" << endl #if defined(_WIN32) || defined(__CYGWIN32__) || defined(__MINGW32__) << "#ifdef _MSC_VER" << endl << "#define _USE_MATH_DEFINES" << endl << "#endif" << endl #endif << "#include " << endl; mDynamicModelFile << "#include " << endl; mDynamicModelFile << "#define max(a, b) (((a) > (b)) ? (a) : (b))" << endl << "#define min(a, b) (((a) > (b)) ? (b) : (a))" << endl; // write function definition if oPowerDeriv is used writePowerDerivCHeader(mDynamicModelFile); writeNormcdfCHeader(mDynamicModelFile); mDynamicModelFile << "void SecondDerivatives(const double *y, double *x, int nb_row_x, double *params, double *steady_state, int it_, double *residual, int *row_ptr, int *col_ptr, double *value)" << endl << "{" << endl; // this is always empty here, but needed by d1->writeOutput deriv_node_temp_terms_t tef_terms; // Indexing derivatives in column order vector D; int hessianColsNbr = dynJacobianColsNbr*dynJacobianColsNbr; for (second_derivatives_t::const_iterator it = second_derivatives.begin(); it != second_derivatives.end(); it++) { int eq = it->first.first; int var1 = it->first.second.first; int var2 = it->first.second.second; int id1 = getDynJacobianCol(var1); int id2 = getDynJacobianCol(var2); int col_nb = id1 * dynJacobianColsNbr + id2; derivative deriv(col_nb + eq *hessianColsNbr, col_nb, eq, it->second); D.push_back(deriv); if (id1 != id2) { col_nb = id2 * dynJacobianColsNbr + id1; derivative deriv(col_nb + eq *hessianColsNbr, col_nb, eq, it->second); D.push_back(deriv); } } sort(D.begin(), D.end(), derivative_less_than()); // Writing Hessian vector row_ptr(equations.size()); fill(row_ptr.begin(), row_ptr.end(), 0.0); int k = 0; for (vector::const_iterator it = D.begin(); it != D.end(); ++it) { row_ptr[it->row_nbr]++; mDynamicModelFile << "col_ptr[" << k << "] " << "=" << it->col_nbr << ";" << endl; mDynamicModelFile << "value[" << k << "] = "; // oCstaticModel makes reference to the static variables it->value->writeOutput(mDynamicModelFile, oCStaticModel, temporary_terms, tef_terms); mDynamicModelFile << ";" << endl; k++; } // row_ptr must point to the relative address of the first element of the row int cumsum = 0; mDynamicModelFile << "row_ptr = [ 0"; for (vector::iterator it = row_ptr.begin(); it != row_ptr.end(); ++it) { cumsum += *it; mDynamicModelFile << ", " << cumsum; } mDynamicModelFile << "];" << endl; mDynamicModelFile << "}" << endl; writePowerDeriv(mDynamicModelFile); writeNormcdf(mDynamicModelFile); mDynamicModelFile.close(); } void DynamicModel::writeThirdDerivativesC_csr(const string &basename, bool cuda) const { string filename = basename + "_third_derivatives.c"; ofstream mDynamicModelFile, mDynamicMexFile; mDynamicModelFile.open(filename.c_str(), ios::out | ios::binary); if (!mDynamicModelFile.is_open()) { cerr << "Error: Can't open file " << filename << " for writing" << endl; exit(EXIT_FAILURE); } mDynamicModelFile << "/*" << endl << " * " << filename << " : Computes third order derivatives of the model for Dynare" << endl << " *" << endl << " * Warning : this file is generated automatically by Dynare" << endl << " * from model " << basename << "(.mod)" << endl << " */" << endl #if defined(_WIN32) || defined(__CYGWIN32__) || defined(__MINGW32__) << "#ifdef _MSC_VER" << endl << "#define _USE_MATH_DEFINES" << endl << "#endif" << endl #endif << "#include " << endl; mDynamicModelFile << "#include " << endl; mDynamicModelFile << "#define max(a, b) (((a) > (b)) ? (a) : (b))" << endl << "#define min(a, b) (((a) > (b)) ? (b) : (a))" << endl; // Write function definition if oPowerDeriv is used writePowerDerivCHeader(mDynamicModelFile); writeNormcdfCHeader(mDynamicModelFile); mDynamicModelFile << "void ThirdDerivatives(const double *y, double *x, int nb_row_x, double *params, double *steady_state, int it_, double *residual, double *g1, double *v2, double *v3)" << endl << "{" << endl; // this is always empty here, but needed by d1->writeOutput deriv_node_temp_terms_t tef_terms; vector D; int hessianColsNbr = dynJacobianColsNbr*dynJacobianColsNbr; int thirdDerivativesColsNbr = hessianColsNbr*dynJacobianColsNbr; for (third_derivatives_t::const_iterator it = third_derivatives.begin(); it != third_derivatives.end(); it++) { int eq = it->first.first; int var1 = it->first.second.first; int var2 = it->first.second.second.first; int var3 = it->first.second.second.second; int id1 = getDynJacobianCol(var1); int id2 = getDynJacobianCol(var2); int id3 = getDynJacobianCol(var3); // Reference column number for the g3 matrix (with symmetrical derivatives) vector cols; long unsigned int col_nb = id1 * hessianColsNbr + id2 * dynJacobianColsNbr + id3; int thirdDColsNbr = hessianColsNbr*dynJacobianColsNbr; derivative deriv(col_nb + eq *thirdDColsNbr, col_nb, eq, it->second); D.push_back(deriv); cols.push_back(col_nb); col_nb = id1 * hessianColsNbr + id3 * dynJacobianColsNbr + id2; if (find(cols.begin(), cols.end(), col_nb) == cols.end()) { derivative deriv(col_nb + eq *thirdDerivativesColsNbr, col_nb, eq, it->second); D.push_back(deriv); cols.push_back(col_nb); } col_nb = id2 * hessianColsNbr + id1 * dynJacobianColsNbr + id3; if (find(cols.begin(), cols.end(), col_nb) == cols.end()) { derivative deriv(col_nb + eq *thirdDerivativesColsNbr, col_nb, eq, it->second); D.push_back(deriv); cols.push_back(col_nb); } col_nb = id2 * hessianColsNbr + id3 * dynJacobianColsNbr + id1; if (find(cols.begin(), cols.end(), col_nb) == cols.end()) { derivative deriv(col_nb + eq *thirdDerivativesColsNbr, col_nb, eq, it->second); D.push_back(deriv); cols.push_back(col_nb); } col_nb = id3 * hessianColsNbr + id1 * dynJacobianColsNbr + id2; if (find(cols.begin(), cols.end(), col_nb) == cols.end()) { derivative deriv(col_nb + eq *thirdDerivativesColsNbr, col_nb, eq, it->second); D.push_back(deriv); cols.push_back(col_nb); } col_nb = id3 * hessianColsNbr + id2 * dynJacobianColsNbr + id1; if (find(cols.begin(), cols.end(), col_nb) == cols.end()) { derivative deriv(col_nb + eq *thirdDerivativesColsNbr, col_nb, eq, it->second); D.push_back(deriv); } } sort(D.begin(), D.end(), derivative_less_than()); vector row_ptr(equations.size()); fill(row_ptr.begin(), row_ptr.end(), 0.0); int k = 0; for (vector::const_iterator it = D.begin(); it != D.end(); ++it) { row_ptr[it->row_nbr]++; mDynamicModelFile << "col_ptr[" << k << "] " << "=" << it->col_nbr << ";" << endl; mDynamicModelFile << "value[" << k << "] = "; // oCstaticModel makes reference to the static variables it->value->writeOutput(mDynamicModelFile, oCStaticModel, temporary_terms, tef_terms); mDynamicModelFile << ";" << endl; k++; } // row_ptr must point to the relative address of the first element of the row int cumsum = 0; mDynamicModelFile << "row_ptr = [ 0"; for (vector::iterator it = row_ptr.begin(); it != row_ptr.end(); ++it) { cumsum += *it; mDynamicModelFile << ", " << cumsum; } mDynamicModelFile << "];" << endl; mDynamicModelFile << "}" << endl; writePowerDeriv(mDynamicModelFile); writeNormcdf(mDynamicModelFile); mDynamicModelFile.close(); } void DynamicModel::writeCCOutput(ostream &output, const string &basename, bool block_decomposition, bool byte_code, bool use_dll, int order, bool estimation_present) const { int lag_presence[3]; // Loop on endogenous variables for (int endoID = 0; endoID < symbol_table.endo_nbr(); endoID++) { // Loop on periods for (int lag = 0; lag <= 2; lag++) { lag_presence[lag] = 1; try { getDerivID(symbol_table.getID(eEndogenous, endoID), lag-1); } catch (UnknownDerivIDException &e) { lag_presence[lag] = 0; } } if (lag_presence[0] == 1) if (lag_presence[2] == 1) output << "zeta_mixed.push_back(" << endoID << ");" << endl; else output << "zeta_back.push_back(" << endoID << ");" << endl; else if (lag_presence[2] == 1) output << "zeta_fwrd.push_back(" << endoID << ");" << endl; else output << "zeta_static.push_back(" << endoID << ");" << endl; } output << "nstatic = zeta_static.size();" << endl << "nfwrd = zeta_fwrd.size();" << endl << "nback = zeta_back.size();" << endl << "nmixed = zeta_mixed.size();" << endl; // Write number of non-zero derivatives // Use -1 if the derivatives have not been computed output << endl << "NNZDerivatives.push_back(" << NNZDerivatives[0] << ");" << endl; if (order > 1) { output << "NNZDerivatives.push_back(" << NNZDerivatives[1] << ");" << endl; if (order > 2) output << "NNZDerivatives.push_back(" << NNZDerivatives[2] << ");" << endl; else output << "NNZDerivatives.push_back(-1);" << endl; } else output << "NNZDerivatives.push_back(-1);" << endl << "NNZDerivatives.push_back(-1);" << endl; } void DynamicModel::writeJsonOutput(ostream &output) const { writeJsonModelEquations(output, false); output << ", "; writeJsonXrefs(output); } void DynamicModel::writeJsonXrefsHelper(ostream &output, const map, set > &xrefs) const { for (map, set >::const_iterator it = xrefs.begin(); it != xrefs.end(); it++) { if (it != xrefs.begin()) output << ", "; output << "{\"name\": \"" << symbol_table.getName(it->first.first) << "\"" << ", \"shift\": " << it->first.second << ", \"equations\": ["; for (set::const_iterator it1 = it->second.begin(); it1 != it->second.end(); it1++) { if (it1 != it->second.begin()) output << ", "; output << *it1 + 1; } output << "]}"; } } void DynamicModel::writeJsonXrefs(ostream &output) const { output << "\"xrefs\": {" << "\"parameters\": ["; writeJsonXrefsHelper(output, xref_param); output << "]" << ", \"endogenous\": ["; writeJsonXrefsHelper(output, xref_endo); output << "]" << ", \"exogenous\": ["; writeJsonXrefsHelper(output, xref_exo); output << "]" << ", \"exogenous_deterministic\": ["; writeJsonXrefsHelper(output, xref_exo_det); output << "]}" << endl; } void DynamicModel::writeJsonOriginalModelOutput(ostream &output) const { writeJsonModelEquations(output, false); } void DynamicModel::writeJsonDynamicModelInfo(ostream &output) const { output << "\"model_info\": {" << "\"lead_lag_incidence\": ["; // Loop on endogenous variables int nstatic = 0, nfwrd = 0, npred = 0, nboth = 0; for (int endoID = 0; endoID < symbol_table.endo_nbr(); endoID++) { if (endoID != 0) output << ","; output << "["; int sstatic = 1, sfwrd = 0, spred = 0, sboth = 0; // Loop on periods for (int lag = -max_endo_lag; lag <= max_endo_lead; lag++) { // Print variableID if exists with current period, otherwise print 0 try { if (lag != -max_endo_lag) output << ","; int varID = getDerivID(symbol_table.getID(eEndogenous, endoID), lag); output << " " << getDynJacobianCol(varID) + 1; if (lag == -1) { sstatic = 0; spred = 1; } else if (lag == 1) { if (spred == 1) { sboth = 1; spred = 0; } else { sstatic = 0; sfwrd = 1; } } } catch (UnknownDerivIDException &e) { output << " 0"; } } nstatic += sstatic; nfwrd += sfwrd; npred += spred; nboth += sboth; output << "]"; } output << "], " << "\"nstatic\": " << nstatic << ", " << "\"nfwrd\": " << nfwrd << ", " << "\"npred\": " << npred << ", " << "\"nboth\": " << nboth << ", " << "\"nsfwrd\": " << nfwrd+nboth << ", " << "\"nspred\": " << npred+nboth << ", " << "\"ndynamic\": " << npred+nboth+nfwrd << endl; output << "}"; } void DynamicModel::writeJsonComputingPassOutput(ostream &output, bool writeDetails) const { ostringstream model_local_vars_output; // Used for storing model local vars ostringstream model_output; // Used for storing model temp vars and equations ostringstream jacobian_output; // Used for storing jacobian equations ostringstream hessian_output; // Used for storing Hessian equations ostringstream third_derivatives_output; // Used for storing third order derivatives equations deriv_node_temp_terms_t tef_terms; temporary_terms_t temp_term_empty; temporary_terms_t temp_term_union = temporary_terms_res; temporary_terms_t temp_term_union_m_1; string concat = ""; int hessianColsNbr = dynJacobianColsNbr * dynJacobianColsNbr; writeJsonModelLocalVariables(model_local_vars_output, tef_terms); writeJsonTemporaryTerms(temporary_terms_res, temp_term_union_m_1, model_output, tef_terms, concat); model_output << ", "; writeJsonModelEquations(model_output, true); // Writing Jacobian temp_term_union_m_1 = temp_term_union; temp_term_union.insert(temporary_terms_g1.begin(), temporary_terms_g1.end()); concat = "jacobian"; writeJsonTemporaryTerms(temp_term_union, temp_term_union_m_1, jacobian_output, tef_terms, concat); jacobian_output << ", \"jacobian\": {" << " \"nrows\": " << equations.size() << ", \"ncols\": " << dynJacobianColsNbr << ", \"entries\": ["; for (first_derivatives_t::const_iterator it = first_derivatives.begin(); it != first_derivatives.end(); it++) { if (it != first_derivatives.begin()) jacobian_output << ", "; int eq = it->first.first; int var = it->first.second; int col = getDynJacobianCol(var); expr_t d1 = it->second; if (writeDetails) jacobian_output << "{\"eq\": " << eq + 1; else jacobian_output << "{\"row\": " << eq + 1; jacobian_output << ", \"col\": " << col + 1; if (writeDetails) jacobian_output << ", \"var\": \"" << symbol_table.getName(getSymbIDByDerivID(var)) << "\"" << ", \"shift\": " << getLagByDerivID(var); jacobian_output << ", \"val\": \""; d1->writeJsonOutput(jacobian_output, temp_term_union, tef_terms); jacobian_output << "\"}" << endl; } jacobian_output << "]}"; // Writing Hessian temp_term_union_m_1 = temp_term_union; temp_term_union.insert(temporary_terms_g2.begin(), temporary_terms_g2.end()); concat = "hessian"; writeJsonTemporaryTerms(temp_term_union, temp_term_union_m_1, hessian_output, tef_terms, concat); hessian_output << ", \"hessian\": {" << " \"nrows\": " << equations.size() << ", \"ncols\": " << hessianColsNbr << ", \"entries\": ["; for (second_derivatives_t::const_iterator it = second_derivatives.begin(); it != second_derivatives.end(); it++) { if (it != second_derivatives.begin()) hessian_output << ", "; int eq = it->first.first; int var1 = it->first.second.first; int var2 = it->first.second.second; expr_t d2 = it->second; int id1 = getDynJacobianCol(var1); int id2 = getDynJacobianCol(var2); int col_nb = id1 * dynJacobianColsNbr + id2; int col_nb_sym = id2 * dynJacobianColsNbr + id1; if (writeDetails) hessian_output << "{\"eq\": " << eq + 1; else hessian_output << "{\"row\": " << eq + 1; hessian_output << ", \"col\": [" << col_nb + 1; if (id1 != id2) hessian_output << ", " << col_nb_sym + 1; hessian_output << "]"; if (writeDetails) hessian_output << ", \"var1\": \"" << symbol_table.getName(getSymbIDByDerivID(var1)) << "\"" << ", \"shift1\": " << getLagByDerivID(var1) << ", \"var2\": \"" << symbol_table.getName(getSymbIDByDerivID(var2)) << "\"" << ", \"shift2\": " << getLagByDerivID(var2); hessian_output << ", \"val\": \""; d2->writeJsonOutput(hessian_output, temp_term_union, tef_terms); hessian_output << "\"}" << endl; } hessian_output << "]}"; // Writing third derivatives temp_term_union_m_1 = temp_term_union; temp_term_union.insert(temporary_terms_g3.begin(), temporary_terms_g3.end()); concat = "third_derivatives"; writeJsonTemporaryTerms(temp_term_union, temp_term_union_m_1, third_derivatives_output, tef_terms, concat); third_derivatives_output << ", \"third_derivative\": {" << " \"nrows\": " << equations.size() << ", \"ncols\": " << hessianColsNbr * dynJacobianColsNbr << ", \"entries\": ["; for (third_derivatives_t::const_iterator it = third_derivatives.begin(); it != third_derivatives.end(); it++) { if (it != third_derivatives.begin()) third_derivatives_output << ", "; int eq = it->first.first; int var1 = it->first.second.first; int var2 = it->first.second.second.first; int var3 = it->first.second.second.second; expr_t d3 = it->second; if (writeDetails) third_derivatives_output << "{\"eq\": " << eq + 1; else third_derivatives_output << "{\"row\": " << eq + 1; int id1 = getDynJacobianCol(var1); int id2 = getDynJacobianCol(var2); int id3 = getDynJacobianCol(var3); set cols; cols.insert(id1 * hessianColsNbr + id2 * dynJacobianColsNbr + id3); cols.insert(id1 * hessianColsNbr + id3 * dynJacobianColsNbr + id2); cols.insert(id2 * hessianColsNbr + id1 * dynJacobianColsNbr + id3); cols.insert(id2 * hessianColsNbr + id3 * dynJacobianColsNbr + id1); cols.insert(id3 * hessianColsNbr + id1 * dynJacobianColsNbr + id2); cols.insert(id3 * hessianColsNbr + id2 * dynJacobianColsNbr + id1); third_derivatives_output << ", \"col\": ["; for (set::iterator it2 = cols.begin(); it2 != cols.end(); it2++) { if (it2 != cols.begin()) third_derivatives_output << ", "; third_derivatives_output << *it2 + 1; } third_derivatives_output << "]"; if (writeDetails) third_derivatives_output << ", \"var1\": \"" << symbol_table.getName(getSymbIDByDerivID(var1)) << "\"" << ", \"shift1\": " << getLagByDerivID(var1) << ", \"var2\": \"" << symbol_table.getName(getSymbIDByDerivID(var2)) << "\"" << ", \"shift2\": " << getLagByDerivID(var2) << ", \"var3\": \"" << symbol_table.getName(getSymbIDByDerivID(var3)) << "\"" << ", \"shift3\": " << getLagByDerivID(var3); third_derivatives_output << ", \"val\": \""; d3->writeJsonOutput(third_derivatives_output, temp_term_union, tef_terms); third_derivatives_output << "\"}" << endl; } third_derivatives_output << "]}"; if (writeDetails) output << "\"dynamic_model\": {"; else output << "\"dynamic_model_simple\": {"; output << model_local_vars_output.str() << ", " << model_output.str() << ", " << jacobian_output.str() << ", " << hessian_output.str() << ", " << third_derivatives_output.str() << "}"; } void DynamicModel::writeJsonParamsDerivativesFile(ostream &output, bool writeDetails) const { if (!residuals_params_derivatives.size() && !residuals_params_second_derivatives.size() && !jacobian_params_derivatives.size() && !jacobian_params_second_derivatives.size() && !hessian_params_derivatives.size()) return; ostringstream model_local_vars_output; // Used for storing model local vars ostringstream model_output; // Used for storing model temp vars and equations ostringstream jacobian_output; // Used for storing jacobian equations ostringstream hessian_output; // Used for storing Hessian equations ostringstream hessian1_output; // Used for storing Hessian equations ostringstream third_derivs_output; // Used for storing third order derivatives equations ostringstream third_derivs1_output; // Used for storing third order derivatives equations deriv_node_temp_terms_t tef_terms; writeJsonModelLocalVariables(model_local_vars_output, tef_terms); temporary_terms_t temp_terms_empty; string concat = "all"; writeJsonTemporaryTerms(params_derivs_temporary_terms, temp_terms_empty, model_output, tef_terms, concat); jacobian_output << "\"deriv_wrt_params\": {" << " \"neqs\": " << equations.size() << ", \"nparamcols\": " << symbol_table.param_nbr() << ", \"entries\": ["; for (first_derivatives_t::const_iterator it = residuals_params_derivatives.begin(); it != residuals_params_derivatives.end(); it++) { if (it != residuals_params_derivatives.begin()) jacobian_output << ", "; int eq = it->first.first; int param = it->first.second; expr_t d1 = it->second; int param_col = symbol_table.getTypeSpecificID(getSymbIDByDerivID(param)) + 1; if (writeDetails) jacobian_output << "{\"eq\": " << eq + 1; else jacobian_output << "{\"row\": " << eq + 1; jacobian_output << ", \"param_col\": " << param_col + 1; if (writeDetails) jacobian_output << ", \"param\": \"" << symbol_table.getName(getSymbIDByDerivID(param)) << "\""; jacobian_output << ", \"val\": \""; d1->writeJsonOutput(jacobian_output, params_derivs_temporary_terms, tef_terms); jacobian_output << "\"}" << endl; } jacobian_output << "]}"; hessian_output << "\"deriv_jacobian_wrt_params\": {" << " \"neqs\": " << equations.size() << ", \"nvarcols\": " << dynJacobianColsNbr << ", \"nparamcols\": " << symbol_table.param_nbr() << ", \"entries\": ["; for (second_derivatives_t::const_iterator it = jacobian_params_derivatives.begin(); it != jacobian_params_derivatives.end(); it++) { if (it != jacobian_params_derivatives.begin()) hessian_output << ", "; int eq = it->first.first; int var = it->first.second.first; int param = it->first.second.second; expr_t d2 = it->second; int var_col = getDynJacobianCol(var) + 1; int param_col = symbol_table.getTypeSpecificID(getSymbIDByDerivID(param)) + 1; if (writeDetails) hessian_output << "{\"eq\": " << eq + 1; else hessian_output << "{\"row\": " << eq + 1; hessian_output << ", \"var_col\": " << var_col + 1 << ", \"param_col\": " << param_col + 1; if (writeDetails) hessian_output << ", \"var\": \"" << symbol_table.getName(getSymbIDByDerivID(var)) << "\"" << ", \"lag\": " << getLagByDerivID(var) << ", \"param\": \"" << symbol_table.getName(getSymbIDByDerivID(param)) << "\""; hessian_output << ", \"val\": \""; d2->writeJsonOutput(hessian_output, params_derivs_temporary_terms, tef_terms); hessian_output << "\"}" << endl; } hessian_output << "]}"; hessian1_output << "\"second_deriv_residuals_wrt_params\": {" << " \"nrows\": " << equations.size() << ", \"nparam1cols\": " << symbol_table.param_nbr() << ", \"nparam2cols\": " << symbol_table.param_nbr() << ", \"entries\": ["; for (second_derivatives_t::const_iterator it = residuals_params_second_derivatives.begin(); it != residuals_params_second_derivatives.end(); ++it) { if (it != residuals_params_second_derivatives.begin()) hessian1_output << ", "; int eq = it->first.first; int param1 = it->first.second.first; int param2 = it->first.second.second; expr_t d2 = it->second; int param1_col = symbol_table.getTypeSpecificID(getSymbIDByDerivID(param1)) + 1; int param2_col = symbol_table.getTypeSpecificID(getSymbIDByDerivID(param2)) + 1; if (writeDetails) hessian1_output << "{\"eq\": " << eq + 1; else hessian1_output << "{\"row\": " << eq + 1; hessian1_output << ", \"param1_col\": " << param1_col + 1 << ", \"param2_col\": " << param2_col + 1; if (writeDetails) hessian1_output << ", \"param1\": \"" << symbol_table.getName(getSymbIDByDerivID(param1)) << "\"" << ", \"param2\": \"" << symbol_table.getName(getSymbIDByDerivID(param2)) << "\""; hessian1_output << ", \"val\": \""; d2->writeJsonOutput(hessian1_output, params_derivs_temporary_terms, tef_terms); hessian1_output << "\"}" << endl; } hessian1_output << "]}"; third_derivs_output << "\"second_deriv_jacobian_wrt_params\": {" << " \"neqs\": " << equations.size() << ", \"nvarcols\": " << dynJacobianColsNbr << ", \"nparam1cols\": " << symbol_table.param_nbr() << ", \"nparam2cols\": " << symbol_table.param_nbr() << ", \"entries\": ["; for (third_derivatives_t::const_iterator it = jacobian_params_second_derivatives.begin(); it != jacobian_params_second_derivatives.end(); ++it) { if (it != jacobian_params_second_derivatives.begin()) third_derivs_output << ", "; int eq = it->first.first; int var = it->first.second.first; int param1 = it->first.second.second.first; int param2 = it->first.second.second.second; expr_t d2 = it->second; int var_col = getDynJacobianCol(var) + 1; int param1_col = symbol_table.getTypeSpecificID(getSymbIDByDerivID(param1)) + 1; int param2_col = symbol_table.getTypeSpecificID(getSymbIDByDerivID(param2)) + 1; if (writeDetails) third_derivs_output << "{\"eq\": " << eq + 1; else third_derivs_output << "{\"row\": " << eq + 1; third_derivs_output << ", \"var_col\": " << var_col + 1 << ", \"param1_col\": " << param1_col + 1 << ", \"param2_col\": " << param2_col + 1; if (writeDetails) third_derivs_output << ", \"var\": \"" << symbol_table.getName(var) << "\"" << ", \"lag\": " << getLagByDerivID(var) << ", \"param1\": \"" << symbol_table.getName(getSymbIDByDerivID(param1)) << "\"" << ", \"param2\": \"" << symbol_table.getName(getSymbIDByDerivID(param2)) << "\""; third_derivs_output << ", \"val\": \""; d2->writeJsonOutput(third_derivs_output, params_derivs_temporary_terms, tef_terms); third_derivs_output << "\"}" << endl; } third_derivs_output << "]}" << endl; third_derivs1_output << "\"derivative_hessian_wrt_params\": {" << " \"neqs\": " << equations.size() << ", \"nvar1cols\": " << dynJacobianColsNbr << ", \"nvar2cols\": " << dynJacobianColsNbr << ", \"nparamcols\": " << symbol_table.param_nbr() << ", \"entries\": ["; for (third_derivatives_t::const_iterator it = hessian_params_derivatives.begin(); it != hessian_params_derivatives.end(); ++it) { if (it != hessian_params_derivatives.begin()) third_derivs1_output << ", "; int eq = it->first.first; int var1 = it->first.second.first; int var2 = it->first.second.second.first; int param = it->first.second.second.second; expr_t d2 = it->second; int var1_col = getDynJacobianCol(var1) + 1; int var2_col = getDynJacobianCol(var2) + 1; int param_col = symbol_table.getTypeSpecificID(getSymbIDByDerivID(param)) + 1; if (writeDetails) third_derivs1_output << "{\"eq\": " << eq + 1; else third_derivs1_output << "{\"row\": " << eq + 1; third_derivs1_output << ", \"var1_col\": " << var1_col + 1 << ", \"var2_col\": " << var2_col + 1 << ", \"param_col\": " << param_col + 1; if (writeDetails) third_derivs1_output << ", \"var1\": \"" << symbol_table.getName(getSymbIDByDerivID(var1)) << "\"" << ", \"lag1\": " << getLagByDerivID(var1) << ", \"var2\": \"" << symbol_table.getName(getSymbIDByDerivID(var2)) << "\"" << ", \"lag2\": " << getLagByDerivID(var2) << ", \"param\": \"" << symbol_table.getName(getSymbIDByDerivID(param)) << "\""; third_derivs1_output << ", \"val\": \""; d2->writeJsonOutput(third_derivs1_output, params_derivs_temporary_terms, tef_terms); third_derivs1_output << "\"}" << endl; } third_derivs1_output << "]}" << endl; if (writeDetails) output << "\"dynamic_model_params_derivative\": {"; else output << "\"dynamic_model_params_derivatives_simple\": {"; output << model_local_vars_output.str() << ", " << model_output.str() << ", " << jacobian_output.str() << ", " << hessian_output.str() << ", " << hessian1_output.str() << ", " << third_derivs_output.str() << ", " << third_derivs1_output.str() << "}"; }