326 lines
16 KiB
C++
326 lines
16 KiB
C++
/*
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* Copyright © 2003-2022 Dynare Team
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*
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* This file is part of Dynare.
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*
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* Dynare is free software: you can redistribute it and/or modify
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* it under the terms of the GNU General Public License as published by
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* the Free Software Foundation, either version 3 of the License, or
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* (at your option) any later version.
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*
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* Dynare is distributed in the hope that it will be useful,
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* but WITHOUT ANY WARRANTY; without even the implied warranty of
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* MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the
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* GNU General Public License for more details.
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*
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* You should have received a copy of the GNU General Public License
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* along with Dynare. If not, see <https://www.gnu.org/licenses/>.
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*/
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#ifndef _STATIC_MODEL_HH
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#define _STATIC_MODEL_HH
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#include <fstream>
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#include <filesystem>
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#include "ModelTree.hh"
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#include "Bytecode.hh"
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using namespace std;
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class DynamicModel;
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//! Stores a static model, as derived from the "model" block when leads and lags have been removed
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class StaticModel : public ModelTree
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{
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private:
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// Writes static model file (MATLAB/Octave version, legacy representation)
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void writeStaticMFile(const string &basename) const;
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/* Writes the main static function of block decomposed model (MATLAB/Octave
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version, legacy representation) */
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void writeStaticBlockMFile(const string &basename) const;
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/* Writes the main static functions of block decomposed model (C version,
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legacy representation), then compiles it with the per-block functions into
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a single MEX */
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void writeStaticBlockCFile(const string &basename, vector<filesystem::path> per_block_object_files, const string &mexext, const filesystem::path &matlabroot, const filesystem::path &dynareroot) const;
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// Helper for writing a per-block static file of block decomposed model (legacy representation)
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template<ExprNodeOutputType output_type>
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void writeStaticPerBlockHelper(int blk, ostream &output, temporary_terms_t &temporary_terms) const;
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/* Writes the per-block static files of block decomposed model (MATLAB/Octave
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version, legacy representation) */
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void writeStaticPerBlockMFiles(const string &basename) const;
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/* Writes the per-block static files of block decomposed model (C version,
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legacy representation).
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Returns the list of paths to the generated C source files (not the headers) */
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vector<filesystem::path> writeStaticPerBlockCFiles(const string &basename, const string &mexext, const filesystem::path &matlabroot, const filesystem::path &dynareroot) const;
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//! Writes the code of the block-decomposed model in virtual machine bytecode
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void writeStaticBlockBytecode(const string &basename) const;
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//! Writes the code of the model in virtual machine bytecode
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void writeStaticBytecode(const string &basename) const;
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//! Computes jacobian and prepares for equation normalization
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/*! Using values from initval/endval blocks and parameter initializations:
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- computes the jacobian for the model w.r. to contemporaneous variables
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- removes edges of the incidence matrix when derivative w.r. to the corresponding variable is too close to zero (below the cutoff)
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*/
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void evaluateJacobian(const eval_context_t &eval_context, jacob_map_t *j_m, bool dynamic);
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SymbolType getTypeByDerivID(int deriv_id) const noexcept(false) override;
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int getLagByDerivID(int deriv_id) const noexcept(false) override;
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int getSymbIDByDerivID(int deriv_id) const noexcept(false) override;
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int getTypeSpecificIDByDerivID(int deriv_id) const override;
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int
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getJacobianCol(int deriv_id, [[maybe_unused]] bool sparse) const override
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{
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return getTypeSpecificIDByDerivID(deriv_id);
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}
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int
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getJacobianColsNbr([[maybe_unused]] bool sparse) const override
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{
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return symbol_table.endo_nbr();
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}
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void computeChainRuleJacobian() override;
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/* Helper for writing MATLAB/Octave functions for residuals/derivatives and
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their temporary terms (legacy representation) */
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void writeStaticMFileHelper(const string &basename,
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const string &name, const string &retvalname,
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const string &name_tt, size_t ttlen,
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const string &previous_tt_name,
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const ostringstream &init_s, const ostringstream &end_s,
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const ostringstream &s, const ostringstream &s_tt) const;
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/* Writes MATLAB/Octave wrapper function for computing residuals and
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derivatives at the same time (legacy representation) */
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void writeStaticMWrapperFunction(const string &basename, const string &ending) const;
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/* Create the compatibility static.m file for MATLAB/Octave not yet using the
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temporary terms array interface (legacy representation) */
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void writeStaticMCompatFile(const string &name) const;
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int
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getBlockJacobianEndoCol([[maybe_unused]] int blk, int var, [[maybe_unused]] int lag) const override
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{
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return var;
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}
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// Write the block structure of the model in the driver file
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void writeBlockDriverOutput(ostream &output) const;
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protected:
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string
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modelClassName() const override
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{
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return "static model";
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}
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public:
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StaticModel(SymbolTable &symbol_table_arg,
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NumericalConstants &num_constants,
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ExternalFunctionsTable &external_functions_table_arg);
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StaticModel(const StaticModel &m);
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StaticModel &operator=(const StaticModel &m);
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//! Creates the static version of a dynamic model
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explicit StaticModel(const DynamicModel &m);
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//! Writes information about the static model to the driver file
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void writeDriverOutput(ostream &output) const;
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//! Execute computations (variable sorting + derivation + block decomposition)
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/*!
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\param eval_context evaluation context for normalization
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\param no_tmp_terms if true, no temporary terms will be computed in the static files
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\param derivsOrder order of derivation with respect to endogenous
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\param paramsDerivsOrder order of derivatives w.r. to a pair (endogenous, parameter) to be computed
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*/
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void computingPass(int derivsOrder, int paramsDerivsOrder, const eval_context_t &eval_context, bool no_tmp_terms, bool block);
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//! Writes static model file (+ bytecode)
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void writeStaticFile(const string &basename, bool block, bool use_dll, const string &mexext, const filesystem::path &matlabroot, const filesystem::path &dynareroot, bool julia) const;
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//! Write JSON Output (used by PlannerObjectiveStatement)
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void writeJsonOutput(ostream &output) const;
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//! Write JSON representation of static model
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void writeJsonComputingPassOutput(ostream &output, bool writeDetails) const;
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//! Write JSON params derivatives
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void writeJsonParamsDerivatives(ostream &output, bool writeDetails) const;
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//! Writes file containing static parameters derivatives
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template<bool julia>
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void writeParamsDerivativesFile(const string &basename) const;
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//! Writes LaTeX file with the equations of the static model
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void writeLatexFile(const string &basename, bool write_equation_tags) const;
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//! Writes initializations in oo_.steady_state or steady state file for the auxiliary variables
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void writeAuxVarInitval(ostream &output, ExprNodeOutputType output_type) const;
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//! Writes definition of the auxiliary variables in a .m or .jl file
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void writeSetAuxiliaryVariables(const string &basename, bool julia) const;
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void writeAuxVarRecursiveDefinitions(ostream &output, ExprNodeOutputType output_type) const;
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void writeLatexAuxVarRecursiveDefinitions(ostream &output) const;
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void writeJsonAuxVarRecursiveDefinitions(ostream &output) const;
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//! To ensure that no exogenous is present in the planner objective
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//! See #1264
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bool exoPresentInEqs() const;
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int getDerivID(int symb_id, int lag) const noexcept(false) override;
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void addAllParamDerivId(set<int> &deriv_id_set) override;
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};
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template<ExprNodeOutputType output_type>
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void
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StaticModel::writeStaticPerBlockHelper(int blk, ostream &output, temporary_terms_t &temporary_terms) const
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{
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static_assert(!isSparseModelOutput(output_type));
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BlockSimulationType simulation_type { blocks[blk].simulation_type };
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int block_recursive_size { blocks[blk].getRecursiveSize() };
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// Write residuals and temporary terms (incl. for derivatives)
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writePerBlockHelper<output_type>(blk, output, temporary_terms);
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// The Jacobian if we have to solve the block
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if (simulation_type != BlockSimulationType::evaluateBackward
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&& simulation_type != BlockSimulationType::evaluateForward)
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{
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ostringstream i_output, j_output, v_output;
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for (int line_counter { ARRAY_SUBSCRIPT_OFFSET(output_type) };
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const auto &[indices, d] : blocks_derivatives[blk])
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{
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const auto &[eq, var, ignore] {indices};
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i_output << " g1_i" << LEFT_ARRAY_SUBSCRIPT(output_type) << line_counter
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<< RIGHT_ARRAY_SUBSCRIPT(output_type) << '=' << eq+1-block_recursive_size
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<< ';' << endl;
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j_output << " g1_j" << LEFT_ARRAY_SUBSCRIPT(output_type) << line_counter
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<< RIGHT_ARRAY_SUBSCRIPT(output_type) << '=' << var+1-block_recursive_size
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<< ';' << endl;
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v_output << " g1_v" << LEFT_ARRAY_SUBSCRIPT(output_type) << line_counter
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<< RIGHT_ARRAY_SUBSCRIPT(output_type) << '=';
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d->writeOutput(v_output, output_type, temporary_terms, blocks_temporary_terms_idxs);
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v_output << ';' << endl;
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line_counter++;
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}
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output << i_output.str() << j_output.str() << v_output.str();
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}
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}
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template<bool julia>
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void
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StaticModel::writeParamsDerivativesFile(const string &basename) const
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{
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if (!params_derivatives.size())
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return;
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constexpr ExprNodeOutputType output_type { julia ? ExprNodeOutputType::juliaStaticModel : ExprNodeOutputType::matlabStaticModel };
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auto [tt_output, rp_output, gp_output, rpp_output, gpp_output, hp_output, g3p_output]
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{ writeParamsDerivativesFileHelper<output_type>() };
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// g3p_output is ignored
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if constexpr(!julia)
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{
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filesystem::path filename {packageDir(basename) / "static_params_derivs.m"};
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ofstream paramsDerivsFile {filename, ios::out | ios::binary};
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if (!paramsDerivsFile.is_open())
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{
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cerr << "ERROR: Can't open file " << filename.string() << " for writing" << endl;
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exit(EXIT_FAILURE);
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}
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paramsDerivsFile << "function [rp, gp, rpp, gpp, hp] = static_params_derivs(y, x, params)" << endl
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<< "%" << endl
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<< "% Status : Computes derivatives of the static model with respect to the parameters" << endl
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<< "%" << endl
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<< "% Inputs : " << endl
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<< "% y [M_.endo_nbr by 1] double vector of endogenous variables in declaration order" << endl
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<< "% x [M_.exo_nbr by 1] double vector of exogenous variables in declaration order" << endl
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<< "% params [M_.param_nbr by 1] double vector of parameter values in declaration order" << endl
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<< "%" << endl
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<< "% Outputs:" << endl
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<< "% rp [M_.eq_nbr by #params] double Jacobian matrix of static model equations with respect to parameters " << endl
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<< "% Dynare may prepend or append auxiliary equations, see M_.aux_vars" << endl
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<< "% gp [M_.endo_nbr by M_.endo_nbr by #params] double Derivative of the Jacobian matrix of the static model equations with respect to the parameters" << endl
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<< "% rows: variables in declaration order" << endl
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<< "% rows: equations in order of declaration" << endl
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<< "% rpp [#second_order_residual_terms by 4] double Hessian matrix of second derivatives of residuals with respect to parameters;" << endl
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<< "% rows: respective derivative term" << endl
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<< "% 1st column: equation number of the term appearing" << endl
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<< "% 2nd column: number of the first parameter in derivative" << endl
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<< "% 3rd column: number of the second parameter in derivative" << endl
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<< "% 4th column: value of the Hessian term" << endl
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<< "% gpp [#second_order_Jacobian_terms by 5] double Hessian matrix of second derivatives of the Jacobian with respect to the parameters;" << endl
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<< "% rows: respective derivative term" << endl
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<< "% 1st column: equation number of the term appearing" << endl
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<< "% 2nd column: column number of variable in Jacobian of the static model" << endl
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<< "% 3rd column: number of the first parameter in derivative" << endl
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<< "% 4th column: number of the second parameter in derivative" << endl
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<< "% 5th column: value of the Hessian term" << endl
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<< "%" << endl
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<< "%" << endl
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<< "% Warning : this file is generated automatically by Dynare" << endl
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<< "% from model file (.mod)" << endl << endl
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<< "T = NaN(" << params_derivs_temporary_terms_idxs.size() << ",1);" << endl
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<< tt_output.str()
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<< "rp = zeros(" << equations.size() << ", "
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<< symbol_table.param_nbr() << ");" << endl
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<< rp_output.str()
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<< "gp = zeros(" << equations.size() << ", " << symbol_table.endo_nbr() << ", "
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<< symbol_table.param_nbr() << ");" << endl
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<< gp_output.str()
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<< "if nargout >= 3" << endl
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<< "rpp = zeros(" << params_derivatives.at({ 0, 2 }).size() << ",4);" << endl
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<< rpp_output.str()
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<< "gpp = zeros(" << params_derivatives.at({ 1, 2 }).size() << ",5);" << endl
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<< gpp_output.str()
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<< "end" << endl
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<< "if nargout >= 5" << endl
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<< "hp = zeros(" << params_derivatives.at({ 2, 1 }).size() << ",5);" << endl
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<< hp_output.str()
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<< "end" << endl
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<< "end" << endl;
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paramsDerivsFile.close();
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}
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else
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{
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stringstream output;
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output << "# NB: this file was automatically generated by Dynare" << endl
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<< "# from " << basename << ".mod" << endl
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<< "#" << endl
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<< "function static_params_derivs(y, x, params)" << endl
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<< "@inbounds begin" << endl
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<< tt_output.str()
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<< "rp = zeros(" << equations.size() << ", "
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<< symbol_table.param_nbr() << ");" << endl
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<< rp_output.str()
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<< "gp = zeros(" << equations.size() << ", " << symbol_table.endo_nbr() << ", "
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<< symbol_table.param_nbr() << ");" << endl
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<< gp_output.str()
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<< "rpp = zeros(" << params_derivatives.at({ 0, 2 }).size() << ",4);" << endl
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<< rpp_output.str()
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<< "gpp = zeros(" << params_derivatives.at({ 1, 2 }).size() << ",5);" << endl
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<< gpp_output.str()
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<< "hp = zeros(" << params_derivatives.at({ 2, 1 }).size() << ",5);" << endl
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<< hp_output.str()
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<< "end" << endl
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<< "return (rp, gp, rpp, gpp, hp)" << endl
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<< "end" << endl;
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writeToFileIfModified(output, filesystem::path{basename} / "model" / "julia" / "StaticParamsDerivs.jl");
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}
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}
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#endif
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