preprocessor/src/NumericalInitialization.cc

731 lines
23 KiB
C++

/*
* Copyright © 2003-2023 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 <https://www.gnu.org/licenses/>.
*/
#include <cstdlib>
#include <fstream>
#include <iostream>
#include <sstream>
#include <utility>
#include "NumericalInitialization.hh"
InitParamStatement::InitParamStatement(int symb_id_arg, const expr_t param_value_arg,
const SymbolTable& symbol_table_arg) :
symb_id {symb_id_arg}, param_value {param_value_arg}, symbol_table {symbol_table_arg}
{
}
void
InitParamStatement::checkPass(ModFileStructure& mod_file_struct,
[[maybe_unused]] WarningConsolidation& warnings)
{
if (symbol_table.getName(symb_id) == "dsge_prior_weight")
mod_file_struct.dsge_prior_weight_initialized = true;
// Needed for the workaround discussed in dynare#1173
if (symbol_table.getName(symb_id) == "optimal_policy_discount_factor")
param_value->collectVariables(SymbolType::parameter,
mod_file_struct.parameters_in_planner_discount);
}
void
InitParamStatement::writeOutput(ostream& output, [[maybe_unused]] const string& basename,
bool minimal_workspace) const
{
int id = symbol_table.getTypeSpecificID(symb_id) + 1;
output << "M_.params(" << id << ") = ";
param_value->writeOutput(output);
output << ";" << endl;
if (!minimal_workspace)
output << symbol_table.getName(symb_id) << " = M_.params(" << id << ");" << endl;
}
void
InitParamStatement::writeJsonOutput(ostream& output) const
{
output << R"({"statementName": "param_init", "name": ")" << symbol_table.getName(symb_id)
<< R"(", )"
<< R"("value": ")";
param_value->writeJsonOutput(output, {}, {});
output << R"("})";
}
void
InitParamStatement::fillEvalContext(eval_context_t& eval_context) const
{
try
{
eval_context[symb_id] = param_value->eval(eval_context);
}
catch (ExprNode::EvalException& e)
{
// Do nothing
}
}
InitOrEndValStatement::InitOrEndValStatement(init_values_t init_values_arg,
const SymbolTable& symbol_table_arg,
bool all_values_required_arg) :
init_values {move(init_values_arg)},
symbol_table {symbol_table_arg},
all_values_required {all_values_required_arg}
{
}
void
InitOrEndValStatement::fillEvalContext(eval_context_t& eval_context) const
{
for (auto [symb_id, value] : init_values)
try
{
eval_context[symb_id] = value->eval(eval_context);
}
catch (ExprNode::EvalException& e)
{
// Do nothing
}
}
set<int>
InitOrEndValStatement::getUninitializedVariables(SymbolType type)
{
set<int> unused;
if (!all_values_required)
return unused;
if (type == SymbolType::endogenous)
unused = symbol_table.getEndogenous();
else if (type == SymbolType::exogenous)
unused = symbol_table.getExogenous();
else
{
cerr << "ERROR: Shouldn't arrive here." << endl;
exit(EXIT_FAILURE);
}
for (auto [symb_id, value] : init_values)
unused.erase(symb_id);
return unused;
}
void
InitOrEndValStatement::writeInitValues(ostream& output) const
{
for (auto [symb_id, value] : init_values)
{
if (symbol_table.getType(symb_id) == SymbolType::unusedEndogenous) // See #82
continue;
SymbolType type = symbol_table.getType(symb_id);
int tsid = symbol_table.getTypeSpecificID(symb_id) + 1;
switch (type)
{
case SymbolType::endogenous:
output << "oo_.steady_state";
break;
case SymbolType::exogenous:
output << "oo_.exo_steady_state";
break;
case SymbolType::exogenousDet:
output << "oo_.exo_det_steady_state";
break;
case SymbolType::excludedVariable:
cerr << "ERROR: Variable `" << symbol_table.getName(symb_id)
<< "` was excluded but found in an initval or endval statement" << endl;
exit(EXIT_FAILURE);
default:
cerr << "Should not arrive here" << endl;
exit(EXIT_FAILURE);
}
output << "(" << tsid << ") = ";
value->writeOutput(output);
output << ";" << endl;
}
}
void
InitOrEndValStatement::writeJsonInitValues(ostream& output) const
{
for (bool printed_something {false}; auto& [symb_id, value] : init_values)
{
if (symbol_table.getType(symb_id) == SymbolType::unusedEndogenous) // See #82
continue;
if (exchange(printed_something, true))
output << ", ";
output << R"({"name": ")" << symbol_table.getName(symb_id) << R"(", )"
<< R"("value": ")";
value->writeJsonOutput(output, {}, {});
output << R"("})";
}
}
InitValStatement::InitValStatement(init_values_t init_values_arg,
const SymbolTable& symbol_table_arg,
bool all_values_required_arg) :
InitOrEndValStatement {move(init_values_arg), symbol_table_arg, all_values_required_arg}
{
}
void
InitValStatement::checkPass([[maybe_unused]] ModFileStructure& mod_file_struct,
[[maybe_unused]] WarningConsolidation& warnings)
{
if (mod_file_struct.endval_present)
{
cerr << "ERROR: an 'initval' block cannot appear after an 'endval' block" << endl; // See #104
exit(EXIT_FAILURE);
}
set<int> exogs = getUninitializedVariables(SymbolType::exogenous);
set<int> endogs = getUninitializedVariables(SymbolType::endogenous);
if (endogs.size() > 0)
{
cerr << "ERROR: You have not set the following endogenous variables in initval:";
for (int endog : endogs)
cerr << " " << symbol_table.getName(endog);
cerr << endl;
}
if (exogs.size() > 0)
{
cerr << "ERROR: You have not set the following exogenous variables in initval:";
for (int exog : exogs)
cerr << " " << symbol_table.getName(exog);
cerr << endl;
}
if (endogs.size() > 0 || exogs.size() > 0)
exit(EXIT_FAILURE);
}
void
InitValStatement::writeOutput(ostream& output, [[maybe_unused]] const string& basename,
[[maybe_unused]] bool minimal_workspace) const
{
output << "%" << endl << "% INITVAL instructions" << endl << "%" << endl;
// Writing initval block to set initial values for variables
output << "options_.initval_file = false;" << endl;
writeInitValues(output);
}
void
InitValStatement::writeJsonOutput(ostream& output) const
{
output << R"({"statementName": "initval", "vals": [)";
writeJsonInitValues(output);
output << "]}";
}
void
InitValStatement::writeOutputPostInit(ostream& output) const
{
output << "if M_.exo_nbr > 0" << endl
<< "\too_.exo_simul = ones(M_.maximum_lag,1)*oo_.exo_steady_state';" << endl
<< "end" << endl
<< "if M_.exo_det_nbr > 0" << endl
<< "\too_.exo_det_simul = ones(M_.maximum_lag,1)*oo_.exo_det_steady_state';" << endl
<< "end" << endl;
}
EndValStatement::EndValStatement(init_values_t init_values_arg, const SymbolTable& symbol_table_arg,
bool all_values_required_arg) :
InitOrEndValStatement {move(init_values_arg), symbol_table_arg, all_values_required_arg}
{
}
void
EndValStatement::checkPass([[maybe_unused]] ModFileStructure& mod_file_struct,
[[maybe_unused]] WarningConsolidation& warnings)
{
mod_file_struct.endval_present = true;
set<int> exogs = getUninitializedVariables(SymbolType::exogenous);
set<int> endogs = getUninitializedVariables(SymbolType::endogenous);
if (endogs.size() > 0)
{
cerr << "ERROR: You have not set the following endogenous variables in endval:";
for (int endog : endogs)
cerr << " " << symbol_table.getName(endog);
cerr << endl;
}
if (exogs.size() > 0)
{
cerr << "ERROR: You have not set the following exogenous variables in endval:";
for (int exog : exogs)
cerr << " " << symbol_table.getName(exog);
cerr << endl;
}
if (endogs.size() > 0 || exogs.size() > 0)
exit(EXIT_FAILURE);
}
void
EndValStatement::writeOutput(ostream& output, [[maybe_unused]] const string& basename,
[[maybe_unused]] bool minimal_workspace) const
{
output << "%" << endl << "% ENDVAL instructions" << endl << "%" << endl;
// Writing endval block to set terminal values for variables
output << "oo_.initial_steady_state = oo_.steady_state;" << endl
<< "oo_.initial_exo_steady_state = oo_.exo_steady_state;" << endl;
writeInitValues(output);
}
void
EndValStatement::writeJsonOutput(ostream& output) const
{
output << R"({"statementName": "endval", "vals": [)";
writeJsonInitValues(output);
output << "]}";
}
EndValLearntInStatement::EndValLearntInStatement(int learnt_in_period_arg,
learnt_end_values_t learnt_end_values_arg,
const SymbolTable& symbol_table_arg) :
learnt_in_period {learnt_in_period_arg},
learnt_end_values {move(learnt_end_values_arg)},
symbol_table {symbol_table_arg}
{
}
void
EndValLearntInStatement::checkPass(ModFileStructure& mod_file_struct,
[[maybe_unused]] WarningConsolidation& warnings)
{
mod_file_struct.endval_learnt_in_present = true;
}
string
EndValLearntInStatement::typeToString(LearntEndValType type)
{
switch (type)
{
case LearntEndValType::level:
return "level";
case LearntEndValType::add:
return "add";
case LearntEndValType::multiply:
return "multiply";
}
__builtin_unreachable(); // Silence GCC warning
}
void
EndValLearntInStatement::writeOutput(ostream& output, [[maybe_unused]] const string& basename,
[[maybe_unused]] bool minimal_workspace) const
{
output << "M_.learnt_endval = [ M_.learnt_endval;" << endl;
for (auto [type, symb_id, value] : learnt_end_values)
{
if (symbol_table.getType(symb_id) == SymbolType::unusedEndogenous) // See #82
continue;
output << "struct('learnt_in'," << learnt_in_period << ",'exo_id',"
<< symbol_table.getTypeSpecificID(symb_id) + 1 << ",'type','" << typeToString(type)
<< "'"
<< ",'value',";
value->writeOutput(output);
output << ");" << endl;
}
output << "];" << endl;
}
void
EndValLearntInStatement::writeJsonOutput(ostream& output) const
{
output << R"({"statementName": "endval", "learnt_in": )" << learnt_in_period << R"(, "vals": [)";
for (bool printed_something {false}; auto& [type, symb_id, value] : learnt_end_values)
{
if (symbol_table.getType(symb_id) == SymbolType::unusedEndogenous) // See #82
continue;
if (exchange(printed_something, true))
output << ", ";
output << R"({"name": ")" << symbol_table.getName(symb_id) << R"(", )"
<< R"("type": ")" << typeToString(type) << R"(", )"
<< R"("value": ")";
value->writeJsonOutput(output, {}, {});
output << R"("})";
}
output << "]}";
}
HistValStatement::HistValStatement(hist_values_t hist_values_arg,
const SymbolTable& symbol_table_arg,
bool all_values_required_arg) :
hist_values {move(hist_values_arg)},
symbol_table {symbol_table_arg},
all_values_required {all_values_required_arg}
{
}
void
HistValStatement::checkPass([[maybe_unused]] ModFileStructure& mod_file_struct,
[[maybe_unused]] WarningConsolidation& warnings)
{
if (all_values_required)
{
set<int> unused_endo = symbol_table.getEndogenous();
set<int> unused_exo = symbol_table.getExogenous();
for (const auto& [key, value] : hist_values)
{
int symb_id = key.first;
unused_endo.erase(symb_id);
unused_exo.erase(symb_id);
}
if (unused_endo.size() > 0)
{
cerr << "ERROR: You have not set the following endogenous variables in histval:";
for (int it : unused_endo)
cerr << " " << symbol_table.getName(it);
cerr << endl;
}
if (unused_exo.size() > 0)
{
cerr << "ERROR: You have not set the following exogenous variables in endval:";
for (int it : unused_exo)
cerr << " " << symbol_table.getName(it);
cerr << endl;
}
if (unused_endo.size() > 0 || unused_exo.size() > 0)
exit(EXIT_FAILURE);
}
}
void
HistValStatement::writeOutput(ostream& output, [[maybe_unused]] const string& basename,
[[maybe_unused]] bool minimal_workspace) const
{
output << "%" << endl
<< "% HISTVAL instructions" << endl
<< "%" << endl
<< "M_.histval_dseries = dseries(zeros(M_.orig_maximum_lag_with_diffs_expanded, "
"M_.orig_endo_nbr"
<< (symbol_table.AuxVarsSize() > 0 ? "+sum([M_.aux_vars.type]==6)" : "")
<< (symbol_table.exo_nbr() > 0 ? "+M_.exo_nbr" : "")
<< (symbol_table.exo_det_nbr() > 0 ? "+M_.exo_det_nbr" : "")
<< "), dates(sprintf('%dY', -M_.orig_maximum_lag_with_diffs_expanded+1)), [ "
"M_.endo_names(1:M_.orig_endo_nbr); "
<< (symbol_table.AuxVarsSize() > 0
? "M_.endo_names([M_.aux_vars(find([M_.aux_vars.type]==6)).endo_index]); "
: "")
<< (symbol_table.exo_nbr() > 0 ? "M_.exo_names; " : "")
<< (symbol_table.exo_det_nbr() > 0 ? "M_.exo_det_names; " : "") << "]);" << endl;
for (const auto& [key, value] : hist_values)
{
auto [symb_id, lag] = key;
if (symbol_table.getType(symb_id) == SymbolType::unusedEndogenous) // See #82
continue;
output << "M_.histval_dseries{'" << symbol_table.getName(symb_id) << "'}(dates('" << lag
<< "Y'))=";
value->writeOutput(output);
output << ";" << endl;
}
output << "if exist(['+' M_.fname '/dynamic_set_auxiliary_series.m'])" << endl
<< " eval(['M_.histval_dseries = ' M_.fname "
"'.dynamic_set_auxiliary_series(M_.histval_dseries, M_.params);']);"
<< endl
<< "end" << endl
<< "M_.endo_histval = M_.histval_dseries{M_.endo_names{:}}(dates(sprintf('%dY', "
"1-M_.maximum_lag)):dates('0Y')).data';"
<< endl
<< "M_.endo_histval(isnan(M_.endo_histval)) = 0;"
<< endl; // Ensure that lead aux variables do not have a NaN
if (symbol_table.exo_nbr() > 0)
output << "M_.exo_histval = M_.histval_dseries{M_.exo_names{:}}(dates(sprintf('%dY', "
"1-M_.maximum_lag)):dates('0Y')).data';"
<< endl;
if (symbol_table.exo_det_nbr() > 0)
output << "M_.exo_det_histval = M_.histval_dseries{M_.exo_det_names{:}}(dates(sprintf('%dY', "
"1-M_.maximum_lag)):dates('0Y')).data';"
<< endl;
}
void
HistValStatement::writeJsonOutput(ostream& output) const
{
output << R"({"statementName": "histval", "vals": [)";
for (bool printed_something {false}; const auto& [key, value] : hist_values)
{
auto& [symb_id, lag] = key;
if (symbol_table.getType(symb_id) == SymbolType::unusedEndogenous) // See #82
continue;
if (exchange(printed_something, true))
output << ", ";
output << R"({ "name": ")" << symbol_table.getName(symb_id) << R"(")"
<< R"(, "lag": )" << lag << R"(, "value": ")";
value->writeJsonOutput(output, {}, {});
output << R"("})";
}
output << "]}";
}
InitvalFileStatement::InitvalFileStatement(OptionsList options_list_arg) :
options_list {move(options_list_arg)}
{
}
void
InitvalFileStatement::writeOutput(ostream& output, [[maybe_unused]] const string& basename,
[[maybe_unused]] bool minimal_workspace) const
{
output << "%" << endl
<< "% INITVAL_FILE statement" << endl
<< "%" << endl
<< "options_.initval_file = true;" << endl;
options_list.writeOutput(output, "options_initvalf");
output << "[oo_.initval_series, options_.periods] = histvalf_initvalf('INITVALF', M_, "
"options_initvalf);"
<< endl;
}
void
InitvalFileStatement::writeJsonOutput(ostream& output) const
{
output << R"({"statementName": "initval_file")";
if (!options_list.empty())
{
output << ", ";
options_list.writeJsonOutput(output);
}
output << "}";
}
HistvalFileStatement::HistvalFileStatement(OptionsList options_list_arg) :
options_list {move(options_list_arg)}
{
}
void
HistvalFileStatement::writeOutput(ostream& output, [[maybe_unused]] const string& basename,
[[maybe_unused]] bool minimal_workspace) const
{
output << "%" << endl
<< "% HISTVAL_FILE statement" << endl
<< "%" << endl
<< "options_.histval_file = true;" << endl;
options_list.writeOutput(output, "options_histvalf");
output
<< "[M_.endo_histval, M_.exo_histval, M_.exo_det_histval] = histvalf(M_, options_histvalf);"
<< endl;
}
void
HistvalFileStatement::writeJsonOutput(ostream& output) const
{
output << R"({"statementName": "histval_file")";
if (!options_list.empty())
{
output << ", ";
options_list.writeJsonOutput(output);
}
output << "}";
}
HomotopySetupStatement::HomotopySetupStatement(bool from_initval_to_endval_arg,
homotopy_values_t homotopy_values_arg,
const SymbolTable& symbol_table_arg) :
from_initval_to_endval {from_initval_to_endval_arg},
homotopy_values {move(homotopy_values_arg)},
symbol_table {symbol_table_arg}
{
}
void
HomotopySetupStatement::writeOutput(ostream& output, [[maybe_unused]] const string& basename,
[[maybe_unused]] bool minimal_workspace) const
{
output << "%" << endl
<< "% HOMOTOPY_SETUP instructions" << endl
<< "%" << endl
<< "options_.homotopy_from_initval_to_endval = " << boolalpha << from_initval_to_endval
<< ';' << endl
<< "options_.homotopy_values = zeros(0, 4);" << endl;
for (auto [symb_id, expression1, expression2] : homotopy_values)
{
const SymbolType type = symbol_table.getType(symb_id);
const int tsid = symbol_table.getTypeSpecificID(symb_id) + 1;
output << "options_.homotopy_values = vertcat(options_.homotopy_values, [ "
<< static_cast<int>(type) << ", " << tsid << ", ";
if (expression1)
expression1->writeOutput(output);
else
output << "NaN";
output << ", ";
expression2->writeOutput(output);
output << "]);" << endl;
}
}
void
HomotopySetupStatement::writeJsonOutput(ostream& output) const
{
output << R"({"statementName": "homotopy", )"
<< R"("values": [)";
for (bool printed_something {false};
const auto& [symb_id, expression1, expression2] : homotopy_values)
{
if (exchange(printed_something, true))
output << ", ";
output << R"({"name": ")" << symbol_table.getName(symb_id) << R"(")"
<< R"(, "initial_value": ")";
if (expression1)
expression1->writeJsonOutput(output, {}, {});
else
output << "NaN";
output << R"(", "final_value": ")";
expression2->writeJsonOutput(output, {}, {});
output << R"("})";
}
output << "]"
<< "}";
}
SaveParamsAndSteadyStateStatement::SaveParamsAndSteadyStateStatement(string filename_arg) :
filename {move(filename_arg)}
{
}
void
SaveParamsAndSteadyStateStatement::writeOutput(ostream& output,
[[maybe_unused]] const string& basename,
[[maybe_unused]] bool minimal_workspace) const
{
output << "save_params_and_steady_state('" << filename << "');" << endl;
}
void
SaveParamsAndSteadyStateStatement::writeJsonOutput(ostream& output) const
{
output << R"({"statementName": "save_params_and_steady_state")"
<< R"(, "filename": ")" << filename << R"(")"
<< "}";
}
LoadParamsAndSteadyStateStatement::LoadParamsAndSteadyStateStatement(
const filesystem::path& filename, const SymbolTable& symbol_table_arg,
WarningConsolidation& warnings) :
symbol_table {symbol_table_arg}
{
cout << "Reading " << filename.string() << "." << endl;
ifstream f;
f.open(filename, ios::in);
if (f.fail())
{
cerr << "ERROR: Can't open " << filename.string() << endl;
exit(EXIT_FAILURE);
}
while (true)
{
string symb_name, value;
f >> symb_name >> value;
if (f.eof())
break;
try
{
int symb_id = symbol_table.getID(symb_name);
content[symb_id] = value;
}
catch (SymbolTable::UnknownSymbolNameException& e)
{
warnings << "WARNING: Unknown symbol " << symb_name << " in " << filename.string()
<< endl;
}
}
f.close();
}
void
LoadParamsAndSteadyStateStatement::writeOutput(ostream& output,
[[maybe_unused]] const string& basename,
[[maybe_unused]] bool minimal_workspace) const
{
for (const auto& [id, value] : content)
{
switch (symbol_table.getType(id))
{
case SymbolType::parameter:
output << "M_.params";
break;
case SymbolType::endogenous:
output << "oo_.steady_state";
break;
case SymbolType::exogenous:
output << "oo_.exo_steady_state";
break;
case SymbolType::exogenousDet:
output << "oo_.exo_det_steady_state";
break;
default:
cerr << "ERROR: Unsupported variable type for " << symbol_table.getName(id)
<< " in load_params_and_steady_state" << endl;
exit(EXIT_FAILURE);
}
int tsid = symbol_table.getTypeSpecificID(id) + 1;
output << "(" << tsid << ") = " << value << ";" << endl;
}
}
void
LoadParamsAndSteadyStateStatement::writeJsonOutput(ostream& output) const
{
output << R"({"statementName": "load_params_and_steady_state",)"
<< R"("values": [)";
for (bool printed_something {false}; const auto& [id, value] : content)
{
if (exchange(printed_something, true))
output << ", ";
output << R"({"name": ")" << symbol_table.getName(id) << R"(")"
<< R"(, "value": ")" << value << R"("})";
}
output << "]"
<< "}";
}
void
LoadParamsAndSteadyStateStatement::fillEvalContext(eval_context_t& eval_context) const
{
for (const auto& [id, value] : content)
/* We use strtod() instead of stod() because we want underflows and
overflows to respectively yield 0 and ±Inf. See also the comment in
NumericalConstants.cc */
eval_context[id] = strtod(value.c_str(), nullptr);
}