2785 lines
124 KiB
C++
2785 lines
124 KiB
C++
/*
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* Copyright © 2003-2021 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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#include <iostream>
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#include <cmath>
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#include <cstdlib>
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#include <cassert>
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#include <algorithm>
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#include <sstream>
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#include "StaticModel.hh"
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#include "DynamicModel.hh"
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void
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StaticModel::copyHelper(const StaticModel &m)
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{
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}
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StaticModel::StaticModel(SymbolTable &symbol_table_arg,
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NumericalConstants &num_constants_arg,
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ExternalFunctionsTable &external_functions_table_arg) :
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ModelTree{symbol_table_arg, num_constants_arg, external_functions_table_arg}
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{
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}
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StaticModel::StaticModel(const StaticModel &m) :
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ModelTree{m}
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{
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copyHelper(m);
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}
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StaticModel &
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StaticModel::operator=(const StaticModel &m)
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{
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ModelTree::operator=(m);
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copyHelper(m);
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return *this;
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}
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StaticModel::StaticModel(const DynamicModel &m) :
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ModelTree{m.symbol_table, m.num_constants, m.external_functions_table}
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{
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// Convert model local variables (need to be done first)
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for (int it : m.local_variables_vector)
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AddLocalVariable(it, m.local_variables_table.find(it)->second->toStatic(*this));
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// Convert equations
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int static_only_index = 0;
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set<int> dynamic_equations = m.equation_tags.getDynamicEqns();
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for (int i = 0; i < static_cast<int>(m.equations.size()); i++)
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try
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{
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// If equation is dynamic, replace it by an equation marked [static]
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if (dynamic_equations.find(i) != dynamic_equations.end())
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{
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auto [static_only_equations,
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static_only_equations_lineno,
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static_only_equations_equation_tags] = m.getStaticOnlyEquationsInfo();
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addEquation(static_only_equations[static_only_index]->toStatic(*this),
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static_only_equations_lineno[static_only_index],
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static_only_equations_equation_tags.getTagsByEqn(static_only_index));
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static_only_index++;
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}
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else
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addEquation(m.equations[i]->toStatic(*this),
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m.equations_lineno[i],
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m.equation_tags.getTagsByEqn(i));
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}
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catch (DataTree::DivisionByZeroException)
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{
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cerr << "...division by zero error encountred when converting equation " << i << " to static" << endl;
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exit(EXIT_FAILURE);
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}
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// Convert auxiliary equations
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for (auto aux_eq : m.aux_equations)
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addAuxEquation(aux_eq->toStatic(*this));
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user_set_add_flags = m.user_set_add_flags;
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user_set_subst_flags = m.user_set_subst_flags;
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user_set_add_libs = m.user_set_add_libs;
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user_set_subst_libs = m.user_set_subst_libs;
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user_set_compiler = m.user_set_compiler;
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}
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void
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StaticModel::compileDerivative(ofstream &code_file, unsigned int &instruction_number, int eq, int symb_id, const temporary_terms_t &temporary_terms, const temporary_terms_idxs_t &temporary_terms_idxs) const
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{
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if (auto it = derivatives[1].find({ eq, getDerivID(symbol_table.getID(SymbolType::endogenous, symb_id), 0) });
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it != derivatives[1].end())
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it->second->compile(code_file, instruction_number, false, temporary_terms, temporary_terms_idxs, false, false);
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else
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{
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FLDZ_ fldz;
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fldz.write(code_file, instruction_number);
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}
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}
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void
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StaticModel::compileChainRuleDerivative(ofstream &code_file, unsigned int &instruction_number, int blk, int eq, int var, int lag, const temporary_terms_t &temporary_terms, const temporary_terms_idxs_t &temporary_terms_idxs) const
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{
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if (auto it = blocks_derivatives[blk].find({ eq, var, lag });
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it != blocks_derivatives[blk].end())
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it->second->compile(code_file, instruction_number, false, temporary_terms, temporary_terms_idxs, false, false);
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else
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{
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FLDZ_ fldz;
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fldz.write(code_file, instruction_number);
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}
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}
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void
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StaticModel::writeStaticPerBlockHelper(int blk, ostream &output, ExprNodeOutputType output_type, temporary_terms_t &temporary_terms) const
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{
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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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// The equations
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deriv_node_temp_terms_t tef_terms;
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auto write_eq_tt = [&](int eq)
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{
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for (auto it : blocks_temporary_terms[blk][eq])
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{
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if (dynamic_cast<AbstractExternalFunctionNode *>(it))
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it->writeExternalFunctionOutput(output, output_type, temporary_terms, blocks_temporary_terms_idxs, tef_terms);
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output << " ";
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it->writeOutput(output, output_type, blocks_temporary_terms[blk][eq], blocks_temporary_terms_idxs, tef_terms);
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output << '=';
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it->writeOutput(output, output_type, temporary_terms, blocks_temporary_terms_idxs, tef_terms);
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temporary_terms.insert(it);
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output << ';' << endl;
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}
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};
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for (int eq = 0; eq < blocks[blk].size; eq++)
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{
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write_eq_tt(eq);
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EquationType equ_type = getBlockEquationType(blk, eq);
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BinaryOpNode *e = getBlockEquationExpr(blk, eq);
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expr_t lhs = e->arg1, rhs = e->arg2;
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switch (simulation_type)
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{
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case BlockSimulationType::evaluateBackward:
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case BlockSimulationType::evaluateForward:
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evaluation:
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if (equ_type == EquationType::evaluateRenormalized)
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{
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e = getBlockEquationRenormalizedExpr(blk, eq);
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lhs = e->arg1;
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rhs = e->arg2;
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}
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else if (equ_type != EquationType::evaluate)
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{
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cerr << "Type mismatch for equation " << getBlockEquationID(blk, eq)+1 << endl;
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exit(EXIT_FAILURE);
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}
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output << " ";
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lhs->writeOutput(output, output_type, temporary_terms, blocks_temporary_terms_idxs);
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output << '=';
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rhs->writeOutput(output, output_type, temporary_terms, blocks_temporary_terms_idxs);
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output << ';' << endl;
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break;
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case BlockSimulationType::solveBackwardSimple:
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case BlockSimulationType::solveForwardSimple:
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case BlockSimulationType::solveBackwardComplete:
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case BlockSimulationType::solveForwardComplete:
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if (eq < block_recursive_size)
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goto evaluation;
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output << " residual" << LEFT_ARRAY_SUBSCRIPT(output_type)
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<< eq-block_recursive_size+ARRAY_SUBSCRIPT_OFFSET(output_type)
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<< RIGHT_ARRAY_SUBSCRIPT(output_type) << "=(";
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lhs->writeOutput(output, output_type, temporary_terms, blocks_temporary_terms_idxs);
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output << ")-(";
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rhs->writeOutput(output, output_type, temporary_terms, blocks_temporary_terms_idxs);
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output << ");" << endl;
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break;
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default:
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cerr << "Incorrect type for block " << blk+1 << endl;
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exit(EXIT_FAILURE);
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}
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}
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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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// Write temporary terms for derivatives
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write_eq_tt(blocks[blk].size);
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ostringstream i_output, j_output, v_output;
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int line_counter = ARRAY_SUBSCRIPT_OFFSET(output_type);
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for (const auto &[indices, d] : blocks_derivatives[blk])
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{
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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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void
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StaticModel::writeStaticPerBlockMFiles(const string &basename) const
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{
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temporary_terms_t temporary_terms; // Temp terms written so far
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for (int blk = 0; blk < static_cast<int>(blocks.size()); blk++)
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{
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BlockSimulationType simulation_type = blocks[blk].simulation_type;
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string filename = packageDir(basename + ".block") + "/static_" + to_string(blk+1) + ".m";
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ofstream output;
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output.open(filename, ios::out | ios::binary);
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if (!output.is_open())
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{
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cerr << "ERROR: Can't open file " << filename << " for writing" << endl;
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exit(EXIT_FAILURE);
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}
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output << "%" << endl
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<< "% " << filename << " : Computes static version of one block" << 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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<< "%" << endl;
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if (simulation_type == BlockSimulationType::evaluateBackward
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|| simulation_type == BlockSimulationType::evaluateForward)
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output << "function [y, T] = static_" << blk+1 << "(y, x, params, T)" << endl;
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else
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output << "function [residual, y, T, g1] = static_" << blk+1 << "(y, x, params, T)" << endl;
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output << " % ////////////////////////////////////////////////////////////////////////" << endl
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<< " % //" << string(" Block ").substr(static_cast<int>(log10(blk + 1))) << blk+1
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<< " //" << endl
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<< " % // Simulation type "
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<< BlockSim(simulation_type) << " //" << endl
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<< " % ////////////////////////////////////////////////////////////////////////" << endl;
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if (simulation_type != BlockSimulationType::evaluateBackward
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&& simulation_type != BlockSimulationType::evaluateForward)
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output << " residual=zeros(" << blocks[blk].mfs_size << ",1);" << endl
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<< " g1_i=zeros(" << blocks_derivatives[blk].size() << ",1);" << endl
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<< " g1_j=zeros(" << blocks_derivatives[blk].size() << ",1);" << endl
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<< " g1_v=zeros(" << blocks_derivatives[blk].size() << ",1);" << endl
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<< endl;
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writeStaticPerBlockHelper(blk, output, ExprNodeOutputType::matlabStaticModel, temporary_terms);
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if (simulation_type != BlockSimulationType::evaluateBackward
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&& simulation_type != BlockSimulationType::evaluateForward)
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output << endl
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<< " g1=sparse(g1_i, g1_j, g1_v, " << blocks[blk].mfs_size << "," << blocks[blk].mfs_size << ");" << endl;
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output << "end" << endl;
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output.close();
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}
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}
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void
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StaticModel::writeStaticPerBlockCFiles(const string &basename) const
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{
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temporary_terms_t temporary_terms; // Temp terms written so far
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for (int blk = 0; blk < static_cast<int>(blocks.size()); blk++)
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{
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BlockSimulationType simulation_type = blocks[blk].simulation_type;
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string filename = basename + "/model/src/static_" + to_string(blk+1) + ".c";
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ofstream output;
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output.open(filename, ios::out | ios::binary);
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if (!output.is_open())
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{
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cerr << "ERROR: Can't open file " << filename << " for writing" << endl;
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exit(EXIT_FAILURE);
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}
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output << "/* Block " << blk+1 << endl
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<< " " << BlockSim(simulation_type) << " */" << endl
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<< endl
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<< "#include <math.h>" << endl
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<< "#include <stdlib.h>" << endl
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<< R"(#include "mex.h")" << endl
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<< endl;
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// Write function definition if BinaryOpcode::powerDeriv is used
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writePowerDerivHeader(output);
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output << endl;
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if (simulation_type == BlockSimulationType::evaluateBackward
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|| simulation_type == BlockSimulationType::evaluateForward)
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output << "void static_" << blk+1 << "(double *restrict y, const double *restrict x, const double *restrict params, double *restrict T)" << endl;
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else
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output << "void static_" << blk+1 << "(double *restrict y, const double *restrict x, const double *restrict params, double *restrict T, double *restrict residual, double *restrict g1_i, double *restrict g1_j, double *restrict g1_v)" << endl;
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output << '{' << endl;
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writeStaticPerBlockHelper(blk, output, ExprNodeOutputType::CStaticModel, temporary_terms);
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output << '}' << endl
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<< endl;
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ostringstream header;
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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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header << "void static_" << blk+1 << "_mx(mxArray *y, const mxArray *x, const mxArray *params, mxArray *T)";
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output << header.str() << endl
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<< '{' << endl
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<< " static_" << blk+1 << "(mxGetPr(y), mxGetPr(x), mxGetPr(params), mxGetPr(T));" << endl
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<< '}' << endl;
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}
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else
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{
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header << "void static_" << blk+1 << "_mx(mxArray *y, const mxArray *x, const mxArray *params, mxArray *T, mxArray **residual, mxArray **g1)";
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output << header.str() << endl
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<< '{' << endl
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<< " *residual = mxCreateDoubleMatrix(" << blocks[blk].mfs_size << ",1,mxREAL);" << endl
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<< " mxArray *g1_i = mxCreateDoubleMatrix(" << blocks_derivatives[blk].size() << ",1,mxREAL);" << endl
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<< " mxArray *g1_j = mxCreateDoubleMatrix(" << blocks_derivatives[blk].size() << ",1,mxREAL);" << endl
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<< " mxArray *g1_v = mxCreateDoubleMatrix(" << blocks_derivatives[blk].size() << ",1,mxREAL);" << endl
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<< " static_" << blk+1 << "(mxGetPr(y), mxGetPr(x), mxGetPr(params), mxGetPr(T), mxGetPr(*residual), mxGetPr(g1_i), mxGetPr(g1_j), mxGetPr(g1_v));" << endl
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<< " mxArray *plhs[1];" << endl
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<< " mxArray *m = mxCreateDoubleScalar(" << blocks[blk].mfs_size << ");" << endl
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<< " mxArray *n = mxCreateDoubleScalar(" << blocks[blk].mfs_size << ");" << endl
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<< " mxArray *prhs[5] = { g1_i, g1_j, g1_v, m, n };" << endl
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<< R"( mexCallMATLAB(1, plhs, 5, prhs, "sparse");)" << endl
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<< " *g1 = plhs[0];" << endl
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<< " mxDestroyArray(g1_i);" << endl
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<< " mxDestroyArray(g1_j);" << endl
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<< " mxDestroyArray(g1_v);" << endl
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<< " mxDestroyArray(m);" << endl
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<< " mxDestroyArray(n);" << endl
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<< '}' << endl;
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}
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output.close();
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filename = basename + "/model/src/static_" + to_string(blk+1) + ".h";
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ofstream header_output;
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header_output.open(filename, ios::out | ios::binary);
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if (!header_output.is_open())
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{
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cerr << "ERROR: Can't open file " << filename << " for writing" << endl;
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exit(EXIT_FAILURE);
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}
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header_output << header.str() << ';' << endl;
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header_output.close();
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}
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}
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void
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StaticModel::writeStaticBytecode(const string &basename) const
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{
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ostringstream tmp_output;
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ofstream code_file;
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unsigned int instruction_number = 0;
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bool file_open = false;
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string main_name = basename + "/model/bytecode/static.cod";
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code_file.open(main_name, ios::out | ios::binary | ios::ate);
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if (!code_file.is_open())
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{
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cerr << R"(Error : Can't open file ")" << main_name << R"(" for writing)" << endl;
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exit(EXIT_FAILURE);
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}
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int count_u;
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int u_count_int = 0;
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writeBytecodeBinFile(basename + "/model/bytecode/static.bin", u_count_int, file_open, false);
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file_open = true;
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// Compute the union of temporary terms from residuals and 1st derivatives
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temporary_terms_t temporary_terms = temporary_terms_derivatives[0];
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copy(temporary_terms_derivatives[1].begin(), temporary_terms_derivatives[1].end(),
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inserter(temporary_terms, temporary_terms.end()));
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//Temporary variables declaration
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FDIMST_ fdimst(temporary_terms.size());
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fdimst.write(code_file, instruction_number);
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FBEGINBLOCK_ fbeginblock(symbol_table.endo_nbr(),
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BlockSimulationType::solveForwardComplete,
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0,
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symbol_table.endo_nbr(),
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endo_idx_block2orig,
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eq_idx_block2orig,
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false,
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symbol_table.endo_nbr(),
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0,
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0,
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u_count_int,
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symbol_table.endo_nbr());
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fbeginblock.write(code_file, instruction_number);
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temporary_terms_t temporary_terms_union;
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compileTemporaryTerms(code_file, instruction_number, false, false, temporary_terms_union, temporary_terms_idxs);
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compileModelEquations(code_file, instruction_number, false, false, temporary_terms_union, temporary_terms_idxs);
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FENDEQU_ fendequ;
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fendequ.write(code_file, instruction_number);
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// Get the current code_file position and jump if eval = true
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streampos pos1 = code_file.tellp();
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FJMPIFEVAL_ fjmp_if_eval(0);
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fjmp_if_eval.write(code_file, instruction_number);
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int prev_instruction_number = instruction_number;
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vector<vector<pair<int, int>>> my_derivatives(symbol_table.endo_nbr());
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count_u = symbol_table.endo_nbr();
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for (const auto & [indices, d1] : derivatives[1])
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{
|
|
int deriv_id = indices[1];
|
|
if (getTypeByDerivID(deriv_id) == SymbolType::endogenous)
|
|
{
|
|
int eq = indices[0];
|
|
int symb = getSymbIDByDerivID(deriv_id);
|
|
int var = symbol_table.getTypeSpecificID(symb);
|
|
FNUMEXPR_ fnumexpr(ExpressionType::FirstEndoDerivative, eq, var);
|
|
fnumexpr.write(code_file, instruction_number);
|
|
if (!my_derivatives[eq].size())
|
|
my_derivatives[eq].clear();
|
|
my_derivatives[eq].emplace_back(var, count_u);
|
|
|
|
d1->compile(code_file, instruction_number, false, temporary_terms_union, temporary_terms_idxs, false, false);
|
|
|
|
FSTPSU_ fstpsu(count_u);
|
|
fstpsu.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 (my_derivatives[i].size())
|
|
{
|
|
for (auto it = my_derivatives[i].begin(); it != my_derivatives[i].end(); ++it)
|
|
{
|
|
FLDSU_ fldsu(it->second);
|
|
fldsu.write(code_file, instruction_number);
|
|
FLDSV_ fldsv{static_cast<int>(SymbolType::endogenous), static_cast<unsigned int>(it->first)};
|
|
fldsv.write(code_file, instruction_number);
|
|
FBINARY_ fbinary{static_cast<int>(BinaryOpcode::times)};
|
|
fbinary.write(code_file, instruction_number);
|
|
if (it != my_derivatives[i].begin())
|
|
{
|
|
FBINARY_ fbinary{static_cast<int>(BinaryOpcode::plus)};
|
|
fbinary.write(code_file, instruction_number);
|
|
}
|
|
}
|
|
FBINARY_ fbinary{static_cast<int>(BinaryOpcode::minus)};
|
|
fbinary.write(code_file, instruction_number);
|
|
}
|
|
FSTPSU_ fstpsu(i);
|
|
fstpsu.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;
|
|
|
|
temporary_terms_t tt2, tt3;
|
|
|
|
// The Jacobian if we have to solve the block determinsitic bloc
|
|
for (const auto & [indices, d1] : derivatives[1])
|
|
{
|
|
int deriv_id = indices[1];
|
|
if (getTypeByDerivID(deriv_id) == SymbolType::endogenous)
|
|
{
|
|
int eq = indices[0];
|
|
int symb = getSymbIDByDerivID(deriv_id);
|
|
int var = symbol_table.getTypeSpecificID(symb);
|
|
FNUMEXPR_ fnumexpr(ExpressionType::FirstEndoDerivative, eq, var);
|
|
fnumexpr.write(code_file, instruction_number);
|
|
if (!my_derivatives[eq].size())
|
|
my_derivatives[eq].clear();
|
|
my_derivatives[eq].emplace_back(var, count_u);
|
|
|
|
d1->compile(code_file, instruction_number, false, temporary_terms_union, temporary_terms_idxs, false, false);
|
|
FSTPG2_ fstpg2(eq, var);
|
|
fstpg2.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
|
|
StaticModel::writeStaticBlockBytecode(const string &basename) 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 = nullptr, rhs = nullptr;
|
|
BinaryOpNode *eq_node;
|
|
Uff Uf[symbol_table.endo_nbr()];
|
|
map<expr_t, int> reference_count;
|
|
vector<int> feedback_variables;
|
|
bool file_open = false;
|
|
|
|
string main_name = basename + "/model/bytecode/static.cod";
|
|
code_file.open(main_name, ios::out | ios::binary | ios::ate);
|
|
if (!code_file.is_open())
|
|
{
|
|
cerr << R"(Error : Can't open file ")" << main_name << R"(" for writing)" << endl;
|
|
exit(EXIT_FAILURE);
|
|
}
|
|
//Temporary variables declaration
|
|
|
|
FDIMST_ fdimst(blocks_temporary_terms_idxs.size());
|
|
fdimst.write(code_file, instruction_number);
|
|
|
|
temporary_terms_t temporary_terms_union;
|
|
|
|
for (int block = 0; block < static_cast<int>(blocks.size()); 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 = blocks[block].simulation_type;
|
|
int block_size = blocks[block].size;
|
|
int block_mfs = blocks[block].mfs_size;
|
|
int block_recursive = blocks[block].getRecursiveSize();
|
|
|
|
if (simulation_type == BlockSimulationType::solveTwoBoundariesSimple
|
|
|| simulation_type == BlockSimulationType::solveTwoBoundariesComplete
|
|
|| simulation_type == BlockSimulationType::solveBackwardComplete
|
|
|| simulation_type == BlockSimulationType::solveForwardComplete)
|
|
{
|
|
writeBlockBytecodeBinFile(basename, block, u_count_int, file_open);
|
|
file_open = true;
|
|
}
|
|
|
|
FBEGINBLOCK_ fbeginblock(block_mfs,
|
|
simulation_type,
|
|
blocks[block].first_equation,
|
|
block_size,
|
|
endo_idx_block2orig,
|
|
eq_idx_block2orig,
|
|
blocks[block].linear,
|
|
symbol_table.endo_nbr(),
|
|
0,
|
|
0,
|
|
u_count_int,
|
|
block_size);
|
|
|
|
fbeginblock.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 Temporary terms
|
|
deriv_node_temp_terms_t tef_terms;
|
|
/* Keep a backup of temporary_terms_union here, since temp. terms are
|
|
written a second time below. This is probably unwanted… */
|
|
temporary_terms_t ttu_old = temporary_terms_union;
|
|
|
|
auto write_eq_tt = [&](int eq)
|
|
{
|
|
for (auto it : blocks_temporary_terms[block][eq])
|
|
{
|
|
if (dynamic_cast<AbstractExternalFunctionNode *>(it))
|
|
it->compileExternalFunctionOutput(code_file, instruction_number, false, temporary_terms_union, blocks_temporary_terms_idxs, false, false, tef_terms);
|
|
|
|
FNUMEXPR_ fnumexpr(ExpressionType::TemporaryTerm, static_cast<int>(blocks_temporary_terms_idxs.at(it)));
|
|
fnumexpr.write(code_file, instruction_number);
|
|
it->compile(code_file, instruction_number, false, temporary_terms_union, blocks_temporary_terms_idxs, false, false, tef_terms);
|
|
FSTPST_ fstpst(static_cast<int>(blocks_temporary_terms_idxs.at(it)));
|
|
fstpst.write(code_file, instruction_number);
|
|
temporary_terms_union.insert(it);
|
|
}
|
|
};
|
|
|
|
for (i = 0; i < block_size; i++)
|
|
{
|
|
write_eq_tt(i);
|
|
|
|
// The equations
|
|
int variable_ID, equation_ID;
|
|
EquationType equ_type;
|
|
switch (simulation_type)
|
|
{
|
|
evaluation:
|
|
case BlockSimulationType::evaluateBackward:
|
|
case BlockSimulationType::evaluateForward:
|
|
equ_type = getBlockEquationType(block, i);
|
|
{
|
|
FNUMEXPR_ fnumexpr(ExpressionType::ModelEquation, getBlockEquationID(block, i));
|
|
fnumexpr.write(code_file, instruction_number);
|
|
}
|
|
if (equ_type == EquationType::evaluate)
|
|
{
|
|
eq_node = getBlockEquationExpr(block, i);
|
|
lhs = eq_node->arg1;
|
|
rhs = eq_node->arg2;
|
|
rhs->compile(code_file, instruction_number, false, temporary_terms_union, blocks_temporary_terms_idxs, false, false);
|
|
lhs->compile(code_file, instruction_number, true, temporary_terms_union, blocks_temporary_terms_idxs, false, false);
|
|
}
|
|
else if (equ_type == EquationType::evaluateRenormalized)
|
|
{
|
|
eq_node = getBlockEquationRenormalizedExpr(block, i);
|
|
lhs = eq_node->arg1;
|
|
rhs = eq_node->arg2;
|
|
rhs->compile(code_file, instruction_number, false, temporary_terms_union, blocks_temporary_terms_idxs, false, false);
|
|
lhs->compile(code_file, instruction_number, true, temporary_terms_union, blocks_temporary_terms_idxs, false, false);
|
|
}
|
|
break;
|
|
case BlockSimulationType::solveBackwardComplete:
|
|
case BlockSimulationType::solveForwardComplete:
|
|
if (i < block_recursive)
|
|
goto evaluation;
|
|
variable_ID = getBlockVariableID(block, i);
|
|
equation_ID = getBlockEquationID(block, i);
|
|
feedback_variables.push_back(variable_ID);
|
|
Uf[equation_ID].Ufl = nullptr;
|
|
goto end;
|
|
default:
|
|
end:
|
|
FNUMEXPR_ fnumexpr(ExpressionType::ModelEquation, getBlockEquationID(block, i));
|
|
fnumexpr.write(code_file, instruction_number);
|
|
eq_node = getBlockEquationExpr(block, i);
|
|
lhs = eq_node->arg1;
|
|
rhs = eq_node->arg2;
|
|
lhs->compile(code_file, instruction_number, false, temporary_terms_union, blocks_temporary_terms_idxs, false, false);
|
|
rhs->compile(code_file, instruction_number, false, temporary_terms_union, blocks_temporary_terms_idxs, false, false);
|
|
|
|
FBINARY_ fbinary{static_cast<int>(BinaryOpcode::minus)};
|
|
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);
|
|
|
|
// The Jacobian if we have to solve the block
|
|
if (simulation_type != BlockSimulationType::evaluateBackward
|
|
&& simulation_type != BlockSimulationType::evaluateForward)
|
|
{
|
|
// Write temporary terms for derivatives
|
|
write_eq_tt(blocks[block].size);
|
|
|
|
switch (simulation_type)
|
|
{
|
|
case BlockSimulationType::solveBackwardSimple:
|
|
case BlockSimulationType::solveForwardSimple:
|
|
{
|
|
FNUMEXPR_ fnumexpr(ExpressionType::FirstEndoDerivative, 0, 0);
|
|
fnumexpr.write(code_file, instruction_number);
|
|
}
|
|
compileDerivative(code_file, instruction_number, getBlockEquationID(block, 0), getBlockVariableID(block, 0), temporary_terms_union, blocks_temporary_terms_idxs);
|
|
{
|
|
FSTPG_ fstpg(0);
|
|
fstpg.write(code_file, instruction_number);
|
|
}
|
|
break;
|
|
|
|
case BlockSimulationType::solveBackwardComplete:
|
|
case BlockSimulationType::solveForwardComplete:
|
|
count_u = feedback_variables.size();
|
|
for (const auto &[indices, ignore2] : blocks_derivatives[block])
|
|
{
|
|
auto [eq, var, ignore] = indices;
|
|
int eqr = getBlockEquationID(block, eq);
|
|
int varr = getBlockVariableID(block, var);
|
|
if (eq >= block_recursive && var >= block_recursive)
|
|
{
|
|
if (!Uf[eqr].Ufl)
|
|
{
|
|
Uf[eqr].Ufl = static_cast<Uff_l *>(malloc(sizeof(Uff_l)));
|
|
Uf[eqr].Ufl_First = Uf[eqr].Ufl;
|
|
}
|
|
else
|
|
{
|
|
Uf[eqr].Ufl->pNext = static_cast<Uff_l *>(malloc(sizeof(Uff_l)));
|
|
Uf[eqr].Ufl = Uf[eqr].Ufl->pNext;
|
|
}
|
|
Uf[eqr].Ufl->pNext = nullptr;
|
|
Uf[eqr].Ufl->u = count_u;
|
|
Uf[eqr].Ufl->var = varr;
|
|
FNUMEXPR_ fnumexpr(ExpressionType::FirstEndoDerivative, eqr, varr);
|
|
fnumexpr.write(code_file, instruction_number);
|
|
compileChainRuleDerivative(code_file, instruction_number, block, eq, var, 0, temporary_terms_union, blocks_temporary_terms_idxs);
|
|
FSTPSU_ fstpsu(count_u);
|
|
fstpsu.write(code_file, instruction_number);
|
|
count_u++;
|
|
}
|
|
}
|
|
for (i = 0; i < block_size; i++)
|
|
{
|
|
if (i >= 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)
|
|
{
|
|
FLDSU_ fldsu(Uf[v].Ufl->u);
|
|
fldsu.write(code_file, instruction_number);
|
|
FLDSV_ fldsv{static_cast<int>(SymbolType::endogenous), static_cast<unsigned int>(Uf[v].Ufl->var)};
|
|
fldsv.write(code_file, instruction_number);
|
|
|
|
FBINARY_ fbinary{static_cast<int>(BinaryOpcode::times)};
|
|
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{static_cast<int>(BinaryOpcode::minus)};
|
|
fbinary.write(code_file, instruction_number);
|
|
|
|
FSTPSU_ fstpsu(i - block_recursive);
|
|
fstpsu.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;
|
|
|
|
tef_terms.clear();
|
|
temporary_terms_union = ttu_old;
|
|
|
|
for (i = 0; i < block_size; i++)
|
|
{
|
|
write_eq_tt(i);
|
|
|
|
// The equations
|
|
int variable_ID, equation_ID;
|
|
EquationType equ_type;
|
|
switch (simulation_type)
|
|
{
|
|
evaluation_l:
|
|
case BlockSimulationType::evaluateBackward:
|
|
case BlockSimulationType::evaluateForward:
|
|
equ_type = getBlockEquationType(block, i);
|
|
{
|
|
FNUMEXPR_ fnumexpr(ExpressionType::ModelEquation, getBlockEquationID(block, i));
|
|
fnumexpr.write(code_file, instruction_number);
|
|
}
|
|
if (equ_type == EquationType::evaluate)
|
|
{
|
|
eq_node = getBlockEquationExpr(block, i);
|
|
lhs = eq_node->arg1;
|
|
rhs = eq_node->arg2;
|
|
rhs->compile(code_file, instruction_number, false, temporary_terms_union, blocks_temporary_terms_idxs, false, false);
|
|
lhs->compile(code_file, instruction_number, true, temporary_terms_union, blocks_temporary_terms_idxs, false, false);
|
|
}
|
|
else if (equ_type == EquationType::evaluateRenormalized)
|
|
{
|
|
eq_node = getBlockEquationRenormalizedExpr(block, i);
|
|
lhs = eq_node->arg1;
|
|
rhs = eq_node->arg2;
|
|
rhs->compile(code_file, instruction_number, false, temporary_terms_union, blocks_temporary_terms_idxs, false, false);
|
|
lhs->compile(code_file, instruction_number, true, temporary_terms_union, blocks_temporary_terms_idxs, false, false);
|
|
}
|
|
break;
|
|
case BlockSimulationType::solveBackwardComplete:
|
|
case BlockSimulationType::solveForwardComplete:
|
|
if (i < block_recursive)
|
|
goto evaluation_l;
|
|
variable_ID = getBlockVariableID(block, i);
|
|
equation_ID = getBlockEquationID(block, i);
|
|
feedback_variables.push_back(variable_ID);
|
|
Uf[equation_ID].Ufl = nullptr;
|
|
goto end_l;
|
|
default:
|
|
end_l:
|
|
FNUMEXPR_ fnumexpr(ExpressionType::ModelEquation, getBlockEquationID(block, i));
|
|
fnumexpr.write(code_file, instruction_number);
|
|
eq_node = getBlockEquationExpr(block, i);
|
|
lhs = eq_node->arg1;
|
|
rhs = eq_node->arg2;
|
|
lhs->compile(code_file, instruction_number, false, temporary_terms_union, blocks_temporary_terms_idxs, false, false);
|
|
rhs->compile(code_file, instruction_number, false, temporary_terms_union, blocks_temporary_terms_idxs, false, false);
|
|
|
|
FBINARY_ fbinary{static_cast<int>(BinaryOpcode::minus)};
|
|
fbinary.write(code_file, instruction_number);
|
|
|
|
FSTPR_ fstpr(i - block_recursive);
|
|
fstpr.write(code_file, instruction_number);
|
|
}
|
|
}
|
|
FENDEQU_ fendequ_l;
|
|
fendequ_l.write(code_file, instruction_number);
|
|
|
|
// The Jacobian if we have to solve the block determinsitic bloc
|
|
|
|
// Write temporary terms for derivatives
|
|
write_eq_tt(blocks[block].size);
|
|
|
|
switch (simulation_type)
|
|
{
|
|
case BlockSimulationType::solveBackwardSimple:
|
|
case BlockSimulationType::solveForwardSimple:
|
|
{
|
|
FNUMEXPR_ fnumexpr(ExpressionType::FirstEndoDerivative, 0, 0);
|
|
fnumexpr.write(code_file, instruction_number);
|
|
}
|
|
compileDerivative(code_file, instruction_number, getBlockEquationID(block, 0), getBlockVariableID(block, 0), temporary_terms_union, blocks_temporary_terms_idxs);
|
|
{
|
|
FSTPG2_ fstpg2(0, 0);
|
|
fstpg2.write(code_file, instruction_number);
|
|
}
|
|
break;
|
|
case BlockSimulationType::evaluateBackward:
|
|
case BlockSimulationType::evaluateForward:
|
|
case BlockSimulationType::solveBackwardComplete:
|
|
case BlockSimulationType::solveForwardComplete:
|
|
count_u = feedback_variables.size();
|
|
for (const auto &[indices, ignore2] : blocks_derivatives[block])
|
|
{
|
|
auto &[eq, var, ignore] = indices;
|
|
int eqr = getBlockEquationID(block, eq);
|
|
int varr = getBlockVariableID(block, var);
|
|
FNUMEXPR_ fnumexpr(ExpressionType::FirstEndoDerivative, eqr, varr, 0);
|
|
fnumexpr.write(code_file, instruction_number);
|
|
|
|
compileChainRuleDerivative(code_file, instruction_number, block, eq, var, 0, temporary_terms_union, blocks_temporary_terms_idxs);
|
|
|
|
FSTPG2_ fstpg2(eq, var);
|
|
fstpg2.write(code_file, instruction_number);
|
|
}
|
|
break;
|
|
default:
|
|
break;
|
|
}
|
|
// 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
|
|
StaticModel::writeBlockBytecodeBinFile(const string &basename, int num,
|
|
int &u_count_int, bool &file_open) const
|
|
{
|
|
int j;
|
|
std::ofstream SaveCode;
|
|
string filename = basename + "/model/bytecode/static.bin";
|
|
if (file_open)
|
|
SaveCode.open(filename, ios::out | ios::in | ios::binary | ios::ate);
|
|
else
|
|
SaveCode.open(filename, ios::out | ios::binary);
|
|
if (!SaveCode.is_open())
|
|
{
|
|
cerr << "Error : Can't open file " << filename << " for writing" << endl;
|
|
exit(EXIT_FAILURE);
|
|
}
|
|
u_count_int = 0;
|
|
int block_size = blocks[num].size;
|
|
int block_mfs = blocks[num].mfs_size;
|
|
int block_recursive = blocks[num].getRecursiveSize();
|
|
for (const auto &[indices, ignore2] : blocks_derivatives[num])
|
|
{
|
|
auto [eq, var, ignore] = indices;
|
|
int lag = 0;
|
|
if (eq >= block_recursive && var >= block_recursive)
|
|
{
|
|
int v = eq - block_recursive;
|
|
SaveCode.write(reinterpret_cast<char *>(&v), sizeof(v));
|
|
int varr = var - block_recursive;
|
|
SaveCode.write(reinterpret_cast<char *>(&varr), sizeof(varr));
|
|
SaveCode.write(reinterpret_cast<char *>(&lag), sizeof(lag));
|
|
int u = u_count_int + block_mfs;
|
|
SaveCode.write(reinterpret_cast<char *>(&u), sizeof(u));
|
|
u_count_int++;
|
|
}
|
|
}
|
|
|
|
for (j = block_recursive; j < block_size; j++)
|
|
{
|
|
int varr = getBlockVariableID(num, j);
|
|
SaveCode.write(reinterpret_cast<char *>(&varr), sizeof(varr));
|
|
}
|
|
for (j = block_recursive; j < block_size; j++)
|
|
{
|
|
int eqr = getBlockEquationID(num, j);
|
|
SaveCode.write(reinterpret_cast<char *>(&eqr), sizeof(eqr));
|
|
}
|
|
SaveCode.close();
|
|
}
|
|
|
|
void
|
|
StaticModel::computingPass(int derivsOrder, int paramsDerivsOrder, const eval_context_t &eval_context, bool no_tmp_terms, bool block, bool bytecode)
|
|
{
|
|
initializeVariablesAndEquations();
|
|
|
|
vector<BinaryOpNode *> neweqs;
|
|
for (int eq = 0; eq < static_cast<int>(equations.size() - aux_equations.size()); eq++)
|
|
{
|
|
expr_t eq_tmp = equations[eq]->substituteStaticAuxiliaryVariable();
|
|
neweqs.push_back(dynamic_cast<BinaryOpNode *>(eq_tmp->toStatic(*this)));
|
|
}
|
|
|
|
for (auto &aux_equation : aux_equations)
|
|
{
|
|
expr_t eq_tmp = aux_equation->substituteStaticAuxiliaryDefinition();
|
|
neweqs.push_back(dynamic_cast<BinaryOpNode *>(eq_tmp->toStatic(*this)));
|
|
}
|
|
|
|
equations.clear();
|
|
copy(neweqs.begin(), neweqs.end(), back_inserter(equations));
|
|
|
|
// Compute derivatives w.r. to all endogenous
|
|
set<int> vars;
|
|
for (int i = 0; i < symbol_table.endo_nbr(); i++)
|
|
{
|
|
int id = symbol_table.getID(SymbolType::endogenous, i);
|
|
// if (!symbol_table.isAuxiliaryVariableButNotMultiplier(id))
|
|
vars.insert(getDerivID(id, 0));
|
|
}
|
|
|
|
// Launch computations
|
|
cout << "Computing static model derivatives (order " << derivsOrder << ")." << endl;
|
|
|
|
computeDerivatives(derivsOrder, vars);
|
|
|
|
if (paramsDerivsOrder > 0)
|
|
{
|
|
cout << "Computing static model derivatives w.r.t. parameters (order " << paramsDerivsOrder << ")." << endl;
|
|
computeParamsDerivatives(paramsDerivsOrder);
|
|
}
|
|
|
|
if (block)
|
|
{
|
|
auto contemporaneous_jacobian = evaluateAndReduceJacobian(eval_context);
|
|
|
|
computeNonSingularNormalization(contemporaneous_jacobian);
|
|
|
|
auto [prologue, epilogue] = computePrologueAndEpilogue();
|
|
|
|
auto first_order_endo_derivatives = collectFirstOrderDerivativesEndogenous();
|
|
|
|
equationTypeDetermination(first_order_endo_derivatives, mfs);
|
|
|
|
cout << "Finding the optimal block decomposition of the model ..." << endl;
|
|
|
|
computeBlockDecomposition(prologue, epilogue);
|
|
|
|
reduceBlockDecomposition();
|
|
|
|
printBlockDecomposition();
|
|
|
|
computeChainRuleJacobian();
|
|
|
|
determineLinearBlocks();
|
|
|
|
if (!no_tmp_terms)
|
|
computeBlockTemporaryTerms();
|
|
}
|
|
else
|
|
{
|
|
computeTemporaryTerms(true, no_tmp_terms);
|
|
|
|
/* Must be called after computeTemporaryTerms(), because it depends on
|
|
temporary_terms_mlv to be filled */
|
|
if (paramsDerivsOrder > 0 && !no_tmp_terms)
|
|
computeParamsDerivativesTemporaryTerms();
|
|
}
|
|
}
|
|
|
|
void
|
|
StaticModel::writeStaticMFile(const string &basename) const
|
|
{
|
|
writeStaticModel(basename, false, false);
|
|
}
|
|
|
|
void
|
|
StaticModel::writeWrapperFunctions(const string &basename, const string &ending) const
|
|
{
|
|
string name;
|
|
if (ending == "g1")
|
|
name = "static_resid_g1";
|
|
else if (ending == "g2")
|
|
name = "static_resid_g1_g2";
|
|
else if (ending == "g3")
|
|
name = "static_resid_g1_g2_g3";
|
|
|
|
string filename = packageDir(basename) + "/" + name + ".m";
|
|
ofstream output;
|
|
output.open(filename, ios::out | ios::binary);
|
|
if (!output.is_open())
|
|
{
|
|
cerr << "Error: Can't open file " << filename << " for writing" << endl;
|
|
exit(EXIT_FAILURE);
|
|
}
|
|
|
|
if (ending == "g1")
|
|
output << "function [residual, g1] = " << name << "(T, y, x, params, T_flag)" << endl
|
|
<< "% function [residual, g1] = " << name << "(T, y, x, params, T_flag)" << endl;
|
|
else if (ending == "g2")
|
|
output << "function [residual, g1, g2] = " << name << "(T, y, x, params, T_flag)" << endl
|
|
<< "% function [residual, g1, g2] = " << name << "(T, y, x, params, T_flag)" << endl;
|
|
else if (ending == "g3")
|
|
output << "function [residual, g1, g2, g3] = " << name << "(T, y, x, params, T_flag)" << endl
|
|
<< "% function [residual, g1, g2, g3] = " << name << "(T, y, x, params, T_flag)" << endl;
|
|
|
|
output << "%" << endl
|
|
<< "% Wrapper function automatically created by Dynare" << endl
|
|
<< "%" << endl
|
|
<< endl
|
|
<< " if T_flag" << endl
|
|
<< " T = " << basename << ".static_" << ending << "_tt(T, y, x, params);" << endl
|
|
<< " end" << endl;
|
|
|
|
if (ending == "g1")
|
|
output << " residual = " << basename << ".static_resid(T, y, x, params, false);" << endl
|
|
<< " g1 = " << basename << ".static_g1(T, y, x, params, false);" << endl;
|
|
else if (ending == "g2")
|
|
output << " [residual, g1] = " << basename << ".static_resid_g1(T, y, x, params, false);" << endl
|
|
<< " g2 = " << basename << ".static_g2(T, y, x, params, false);" << endl;
|
|
else if (ending == "g3")
|
|
output << " [residual, g1, g2] = " << basename << ".static_resid_g1_g2(T, y, x, params, false);" << endl
|
|
<< " g3 = " << basename << ".static_g3(T, y, x, params, false);" << endl;
|
|
|
|
output << endl << "end" << endl;
|
|
output.close();
|
|
}
|
|
|
|
void
|
|
StaticModel::writeStaticModelHelper(const string &basename,
|
|
const string &name, const string &retvalname,
|
|
const string &name_tt, size_t ttlen,
|
|
const string &previous_tt_name,
|
|
const ostringstream &init_s, const ostringstream &end_s,
|
|
const ostringstream &s, const ostringstream &s_tt) const
|
|
{
|
|
string filename = packageDir(basename) + "/" + name_tt + ".m";
|
|
ofstream output;
|
|
output.open(filename, ios::out | ios::binary);
|
|
if (!output.is_open())
|
|
{
|
|
cerr << "Error: Can't open file " << filename << " for writing" << endl;
|
|
exit(EXIT_FAILURE);
|
|
}
|
|
|
|
output << "function T = " << name_tt << "(T, y, x, params)" << endl
|
|
<< "% function T = " << name_tt << "(T, y, x, params)" << endl
|
|
<< "%" << endl
|
|
<< "% File created by Dynare Preprocessor from .mod file" << endl
|
|
<< "%" << endl
|
|
<< "% Inputs:" << endl
|
|
<< "% T [#temp variables by 1] double vector of temporary terms to be filled by function" << endl
|
|
<< "% y [M_.endo_nbr by 1] double vector of endogenous variables in declaration order" << endl
|
|
<< "% x [M_.exo_nbr by 1] double vector of exogenous variables in declaration order" << endl
|
|
<< "% params [M_.param_nbr by 1] double vector of parameter values in declaration order" << endl
|
|
<< "%" << endl
|
|
<< "% Output:" << endl
|
|
<< "% T [#temp variables by 1] double vector of temporary terms" << endl
|
|
<< "%" << endl << endl
|
|
<< "assert(length(T) >= " << ttlen << ");" << endl
|
|
<< endl;
|
|
|
|
if (!previous_tt_name.empty())
|
|
output << "T = " << basename << "." << previous_tt_name << "(T, y, x, params);" << endl << endl;
|
|
|
|
output << s_tt.str() << endl
|
|
<< "end" << endl;
|
|
output.close();
|
|
|
|
filename = packageDir(basename) + "/" + name + ".m";
|
|
output.open(filename, ios::out | ios::binary);
|
|
if (!output.is_open())
|
|
{
|
|
cerr << "Error: Can't open file " << filename << " for writing" << endl;
|
|
exit(EXIT_FAILURE);
|
|
}
|
|
|
|
output << "function " << retvalname << " = " << name << "(T, y, x, params, T_flag)" << endl
|
|
<< "% function " << retvalname << " = " << name << "(T, y, x, params, T_flag)" << endl
|
|
<< "%" << endl
|
|
<< "% File created by Dynare Preprocessor from .mod file" << endl
|
|
<< "%" << endl
|
|
<< "% Inputs:" << endl
|
|
<< "% T [#temp variables by 1] double vector of temporary terms to be filled by function" << endl
|
|
<< "% y [M_.endo_nbr by 1] double vector of endogenous variables in declaration order" << endl
|
|
<< "% x [M_.exo_nbr by 1] double vector of exogenous variables in declaration order" << endl
|
|
<< "% params [M_.param_nbr by 1] double vector of parameter values in declaration order" << endl
|
|
<< "% to evaluate the model" << endl
|
|
<< "% T_flag boolean boolean flag saying whether or not to calculate temporary terms" << endl
|
|
<< "%" << endl
|
|
<< "% Output:" << endl
|
|
<< "% " << retvalname << endl
|
|
<< "%" << endl << endl;
|
|
|
|
if (!name_tt.empty())
|
|
output << "if T_flag" << endl
|
|
<< " T = " << basename << "." << name_tt << "(T, y, x, params);" << endl
|
|
<< "end" << endl;
|
|
|
|
output << init_s.str() << endl
|
|
<< s.str()
|
|
<< end_s.str() << endl
|
|
<< "end" << endl;
|
|
output.close();
|
|
}
|
|
|
|
void
|
|
StaticModel::writeStaticMatlabCompatLayer(const string &basename) const
|
|
{
|
|
string filename = packageDir(basename) + "/static.m";
|
|
ofstream output;
|
|
output.open(filename, ios::out | ios::binary);
|
|
if (!output.is_open())
|
|
{
|
|
cerr << "Error: Can't open file " << filename << " for writing" << endl;
|
|
exit(EXIT_FAILURE);
|
|
}
|
|
int ntt = temporary_terms_mlv.size() + temporary_terms_derivatives[0].size() + temporary_terms_derivatives[1].size() + temporary_terms_derivatives[2].size() + temporary_terms_derivatives[3].size();
|
|
|
|
output << "function [residual, g1, g2, g3] = static(y, x, params)" << endl
|
|
<< " T = NaN(" << ntt << ", 1);" << endl
|
|
<< " if nargout <= 1" << endl
|
|
<< " residual = " << basename << ".static_resid(T, y, x, params, true);" << endl
|
|
<< " elseif nargout == 2" << endl
|
|
<< " [residual, g1] = " << basename << ".static_resid_g1(T, y, x, params, true);" << endl
|
|
<< " elseif nargout == 3" << endl
|
|
<< " [residual, g1, g2] = " << basename << ".static_resid_g1_g2(T, y, x, params, true);" << endl
|
|
<< " else" << endl
|
|
<< " [residual, g1, g2, g3] = " << basename << ".static_resid_g1_g2_g3(T, y, x, params, true);" << endl
|
|
<< " end" << endl
|
|
<< "end" << endl;
|
|
|
|
output.close();
|
|
}
|
|
|
|
void
|
|
StaticModel::writeStaticModel(ostream &StaticOutput, bool use_dll, bool julia) const
|
|
{
|
|
writeStaticModel("", StaticOutput, use_dll, julia);
|
|
}
|
|
|
|
void
|
|
StaticModel::writeStaticModel(const string &basename, bool use_dll, bool julia) const
|
|
{
|
|
ofstream StaticOutput;
|
|
writeStaticModel(basename, StaticOutput, use_dll, julia);
|
|
}
|
|
|
|
void
|
|
StaticModel::writeStaticModel(const string &basename,
|
|
ostream &StaticOutput, bool use_dll, bool julia) const
|
|
{
|
|
vector<ostringstream> d_output(derivatives.size()); // Derivatives output (at all orders, including 0=residual)
|
|
vector<ostringstream> tt_output(derivatives.size()); // Temp terms output (at all orders)
|
|
|
|
ExprNodeOutputType output_type = (use_dll ? ExprNodeOutputType::CStaticModel :
|
|
julia ? ExprNodeOutputType::juliaStaticModel : ExprNodeOutputType::matlabStaticModel);
|
|
|
|
deriv_node_temp_terms_t tef_terms;
|
|
temporary_terms_t temp_term_union;
|
|
|
|
writeModelLocalVariableTemporaryTerms(temp_term_union, temporary_terms_idxs,
|
|
tt_output[0], output_type, tef_terms);
|
|
|
|
writeTemporaryTerms(temporary_terms_derivatives[0],
|
|
temp_term_union,
|
|
temporary_terms_idxs,
|
|
tt_output[0], output_type, tef_terms);
|
|
|
|
writeModelEquations(d_output[0], output_type, temp_term_union);
|
|
|
|
int nrows = equations.size();
|
|
int JacobianColsNbr = symbol_table.endo_nbr();
|
|
int hessianColsNbr = JacobianColsNbr*JacobianColsNbr;
|
|
|
|
auto getJacobCol = [this](int var) { return symbol_table.getTypeSpecificID(getSymbIDByDerivID(var)); };
|
|
|
|
// Write Jacobian w.r. to endogenous only
|
|
if (!derivatives[1].empty())
|
|
{
|
|
writeTemporaryTerms(temporary_terms_derivatives[1],
|
|
temp_term_union,
|
|
temporary_terms_idxs,
|
|
tt_output[1], output_type, tef_terms);
|
|
|
|
for (const auto & [indices, d1] : derivatives[1])
|
|
{
|
|
auto [eq, var] = vectorToTuple<2>(indices);
|
|
|
|
jacobianHelper(d_output[1], eq, getJacobCol(var), output_type);
|
|
d_output[1] << "=";
|
|
d1->writeOutput(d_output[1], output_type,
|
|
temp_term_union, temporary_terms_idxs, tef_terms);
|
|
d_output[1] << ";" << endl;
|
|
}
|
|
}
|
|
|
|
// Write derivatives for order ≥ 2
|
|
for (size_t i = 2; i < derivatives.size(); i++)
|
|
if (!derivatives[i].empty())
|
|
{
|
|
writeTemporaryTerms(temporary_terms_derivatives[i],
|
|
temp_term_union,
|
|
temporary_terms_idxs,
|
|
tt_output[i], output_type, tef_terms);
|
|
|
|
/* When creating the sparse matrix (in MATLAB or C mode), since storage
|
|
is in column-major order, output the first column, then the second,
|
|
then the third. This gives a significant performance boost in use_dll
|
|
mode (at both compilation and runtime), because it facilitates memory
|
|
accesses and expression reusage. */
|
|
ostringstream i_output, j_output, v_output;
|
|
|
|
int k = 0; // Current line index in the 3-column matrix
|
|
for (const auto &[vidx, d] : derivatives[i])
|
|
{
|
|
int eq = vidx[0];
|
|
|
|
int col_idx = 0;
|
|
for (size_t j = 1; j < vidx.size(); j++)
|
|
{
|
|
col_idx *= JacobianColsNbr;
|
|
col_idx += getJacobCol(vidx[j]);
|
|
}
|
|
|
|
if (output_type == ExprNodeOutputType::juliaStaticModel)
|
|
{
|
|
d_output[i] << " @inbounds " << "g" << i << "[" << eq + 1 << "," << col_idx + 1 << "] = ";
|
|
d->writeOutput(d_output[i], output_type, temp_term_union, temporary_terms_idxs, tef_terms);
|
|
d_output[i] << endl;
|
|
}
|
|
else
|
|
{
|
|
i_output << "g" << i << "_i" << LEFT_ARRAY_SUBSCRIPT(output_type)
|
|
<< k + ARRAY_SUBSCRIPT_OFFSET(output_type)
|
|
<< RIGHT_ARRAY_SUBSCRIPT(output_type)
|
|
<< "=" << eq + 1 << ";" << endl;
|
|
j_output << "g" << i << "_j" << LEFT_ARRAY_SUBSCRIPT(output_type)
|
|
<< k + ARRAY_SUBSCRIPT_OFFSET(output_type)
|
|
<< RIGHT_ARRAY_SUBSCRIPT(output_type)
|
|
<< "=" << col_idx + 1 << ";" << endl;
|
|
v_output << "g" << i << "_v" << LEFT_ARRAY_SUBSCRIPT(output_type)
|
|
<< k + ARRAY_SUBSCRIPT_OFFSET(output_type)
|
|
<< RIGHT_ARRAY_SUBSCRIPT(output_type) << "=";
|
|
d->writeOutput(v_output, output_type, temp_term_union, temporary_terms_idxs, tef_terms);
|
|
v_output << ";" << endl;
|
|
|
|
k++;
|
|
}
|
|
|
|
// Output symetric elements at order 2
|
|
if (i == 2 && vidx[1] != vidx[2])
|
|
{
|
|
int col_idx_sym = getJacobCol(vidx[2]) * JacobianColsNbr + getJacobCol(vidx[1]);
|
|
|
|
if (output_type == ExprNodeOutputType::juliaStaticModel)
|
|
d_output[2] << " @inbounds g2[" << eq + 1 << "," << col_idx_sym + 1 << "] = "
|
|
<< "g2[" << eq + 1 << "," << col_idx + 1 << "]" << endl;
|
|
else
|
|
{
|
|
i_output << "g" << i << "_i" << LEFT_ARRAY_SUBSCRIPT(output_type)
|
|
<< k + ARRAY_SUBSCRIPT_OFFSET(output_type)
|
|
<< RIGHT_ARRAY_SUBSCRIPT(output_type)
|
|
<< "=" << eq + 1 << ";" << endl;
|
|
j_output << "g" << i << "_j" << LEFT_ARRAY_SUBSCRIPT(output_type)
|
|
<< k + ARRAY_SUBSCRIPT_OFFSET(output_type)
|
|
<< RIGHT_ARRAY_SUBSCRIPT(output_type)
|
|
<< "=" << col_idx_sym + 1 << ";" << endl;
|
|
v_output << "g" << i << "_v" << LEFT_ARRAY_SUBSCRIPT(output_type)
|
|
<< k + ARRAY_SUBSCRIPT_OFFSET(output_type)
|
|
<< RIGHT_ARRAY_SUBSCRIPT(output_type) << "="
|
|
<< "g" << i << "_v" << LEFT_ARRAY_SUBSCRIPT(output_type)
|
|
<< k-1 + ARRAY_SUBSCRIPT_OFFSET(output_type)
|
|
<< RIGHT_ARRAY_SUBSCRIPT(output_type) << ";" << endl;
|
|
|
|
k++;
|
|
}
|
|
}
|
|
}
|
|
if (output_type != ExprNodeOutputType::juliaStaticModel)
|
|
d_output[i] << i_output.str() << j_output.str() << v_output.str();
|
|
}
|
|
|
|
if (output_type == ExprNodeOutputType::matlabStaticModel)
|
|
{
|
|
// Check that we don't have more than 32 nested parenthesis because Matlab does not suppor this. See Issue #1201
|
|
map<string, string> tmp_paren_vars;
|
|
bool message_printed = false;
|
|
for (auto &it : tt_output)
|
|
fixNestedParenthesis(it, tmp_paren_vars, message_printed);
|
|
for (auto &it : d_output)
|
|
fixNestedParenthesis(it, tmp_paren_vars, message_printed);
|
|
|
|
ostringstream init_output, end_output;
|
|
init_output << "residual = zeros(" << equations.size() << ", 1);";
|
|
end_output << "if ~isreal(residual)" << endl
|
|
<< " residual = real(residual)+imag(residual).^2;" << endl
|
|
<< "end";
|
|
writeStaticModelHelper(basename, "static_resid", "residual", "static_resid_tt",
|
|
temporary_terms_mlv.size() + temporary_terms_derivatives[0].size(),
|
|
"", init_output, end_output,
|
|
d_output[0], tt_output[0]);
|
|
|
|
init_output.str("");
|
|
end_output.str("");
|
|
init_output << "g1 = zeros(" << equations.size() << ", " << symbol_table.endo_nbr() << ");";
|
|
end_output << "if ~isreal(g1)" << endl
|
|
<< " g1 = real(g1)+2*imag(g1);" << endl
|
|
<< "end";
|
|
writeStaticModelHelper(basename, "static_g1", "g1", "static_g1_tt",
|
|
temporary_terms_mlv.size() + temporary_terms_derivatives[0].size() + temporary_terms_derivatives[1].size(),
|
|
"static_resid_tt",
|
|
init_output, end_output,
|
|
d_output[1], tt_output[1]);
|
|
writeWrapperFunctions(basename, "g1");
|
|
|
|
// For order ≥ 2
|
|
int ncols = JacobianColsNbr;
|
|
int ntt = temporary_terms_mlv.size() + temporary_terms_derivatives[0].size() + temporary_terms_derivatives[1].size();
|
|
for (size_t i = 2; i < derivatives.size(); i++)
|
|
{
|
|
ncols *= JacobianColsNbr;
|
|
ntt += temporary_terms_derivatives[i].size();
|
|
string gname = "g" + to_string(i);
|
|
string gprevname = "g" + to_string(i-1);
|
|
|
|
init_output.str("");
|
|
end_output.str("");
|
|
if (derivatives[i].size())
|
|
{
|
|
init_output << gname << "_i = zeros(" << NNZDerivatives[i] << ",1);" << endl
|
|
<< gname << "_j = zeros(" << NNZDerivatives[i] << ",1);" << endl
|
|
<< gname << "_v = zeros(" << NNZDerivatives[i] << ",1);" << endl;
|
|
end_output << gname << " = sparse("
|
|
<< gname << "_i," << gname << "_j," << gname << "_v,"
|
|
<< nrows << "," << ncols << ");";
|
|
}
|
|
else
|
|
init_output << gname << " = sparse([],[],[]," << nrows << "," << ncols << ");";
|
|
writeStaticModelHelper(basename, "static_" + gname, gname,
|
|
"static_" + gname + "_tt",
|
|
ntt,
|
|
"static_" + gprevname + "_tt",
|
|
init_output, end_output,
|
|
d_output[i], tt_output[i]);
|
|
if (i <= 3)
|
|
writeWrapperFunctions(basename, gname);
|
|
}
|
|
|
|
writeStaticMatlabCompatLayer(basename);
|
|
}
|
|
else if (output_type == ExprNodeOutputType::CStaticModel)
|
|
{
|
|
for (size_t i = 0; i < d_output.size(); i++)
|
|
{
|
|
string funcname = i == 0 ? "resid" : "g" + to_string(i);
|
|
StaticOutput << "void static_" << funcname << "_tt(const double *restrict y, const double *restrict x, const double *restrict params, double *restrict T)" << endl
|
|
<< "{" << endl
|
|
<< tt_output[i].str()
|
|
<< "}" << endl
|
|
<< endl
|
|
<< "void static_" << funcname << "(const double *restrict y, const double *restrict x, const double *restrict params, const double *restrict T, ";
|
|
if (i == 0)
|
|
StaticOutput << "double *restrict residual";
|
|
else if (i == 1)
|
|
StaticOutput << "double *restrict g1";
|
|
else
|
|
StaticOutput << "double *restrict " << funcname << "_i, double *restrict " << funcname << "_j, double *restrict " << funcname << "_v";
|
|
StaticOutput << ")" << endl
|
|
<< "{" << endl;
|
|
if (i == 0)
|
|
StaticOutput << " double lhs, rhs;" << endl;
|
|
StaticOutput << d_output[i].str()
|
|
<< "}" << endl
|
|
<< endl;
|
|
}
|
|
}
|
|
else
|
|
{
|
|
stringstream output;
|
|
output << "module " << basename << "Static" << endl
|
|
<< "#" << endl
|
|
<< "# NB: this file was automatically generated by Dynare" << endl
|
|
<< "# from " << basename << ".mod" << endl
|
|
<< "#" << endl
|
|
<< "using StatsFuns" << endl << endl
|
|
<< "export tmp_nbr, static!, staticResid!, staticG1!, staticG2!, staticG3!" << endl << endl
|
|
<< "#=" << endl
|
|
<< "# The comments below apply to all functions contained in this module #" << endl
|
|
<< " NB: The arguments contained on the first line of the function" << endl
|
|
<< " definition are those that are modified in place" << endl << endl
|
|
<< "## Exported Functions ##" << endl
|
|
<< " static! : Wrapper function; computes residuals, Jacobian, Hessian," << endl
|
|
<< " and third order derivatives matroces depending on the arguments provided" << endl
|
|
<< " staticResid! : Computes the static model residuals" << endl
|
|
<< " staticG1! : Computes the static model Jacobian" << endl
|
|
<< " staticG2! : Computes the static model Hessian" << endl
|
|
<< " staticG3! : Computes the static model third derivatives" << endl << endl
|
|
<< "## Exported Variables ##" << endl
|
|
<< " tmp_nbr : Vector{Int}(4) respectively the number of temporary variables" << endl
|
|
<< " for the residuals, g1, g2 and g3." << endl << endl
|
|
<< "## Local Functions ##" << endl
|
|
<< " staticResidTT! : Computes the static model temporary terms for the residuals" << endl
|
|
<< " staticG1TT! : Computes the static model temporary terms for the Jacobian" << endl
|
|
<< " staticG2TT! : Computes the static model temporary terms for the Hessian" << endl
|
|
<< " staticG3TT! : Computes the static model temporary terms for the third derivatives" << endl << endl
|
|
<< "## Function Arguments ##" << endl
|
|
<< " T : Vector{Float64}(num_temp_terms) temporary terms" << endl
|
|
<< " y : Vector{Float64}(model_.endo_nbr) endogenous variables in declaration order" << endl
|
|
<< " x : Vector{Float64}(model_.exo_nbr) exogenous variables in declaration order" << endl
|
|
<< " params : Vector{Float64}(model_.param) parameter values in declaration order" << endl
|
|
<< " residual : Vector{Float64}(model_.eq_nbr) residuals of the static model equations" << endl
|
|
<< " in order of declaration of the equations. Dynare may prepend auxiliary equations," << endl
|
|
<< " see model.aux_vars" << endl
|
|
<< " g1 : Matrix{Float64}(model.eq_nbr,model_.endo_nbr) Jacobian matrix of the static model equations" << endl
|
|
<< " The columns and rows respectively correspond to the variables in declaration order and the" << endl
|
|
<< " equations in order of declaration" << endl
|
|
<< " g2 : spzeros(model.eq_nbr, model_.endo^2) Hessian matrix of the static model equations" << endl
|
|
<< " The columns and rows respectively correspond to the variables in declaration order and the" << endl
|
|
<< " equations in order of declaration" << endl
|
|
<< " g3 : spzeros(model.eq_nbr, model_.endo^3) Third order derivatives matrix of the static model equations" << endl
|
|
<< " The columns and rows respectively correspond to the variables in declaration order and the" << endl
|
|
<< " equations in order of declaration" << endl << endl
|
|
<< "## Remarks ##" << endl
|
|
<< " [1] The size of `T`, ie the value of `num_temp_terms`, depends on the version of the static model called. The number of temporary variables" << endl
|
|
<< " used for the different returned objects (residuals, jacobian, hessian or third order derivatives) is given by the elements in `tmp_nbr`" << endl
|
|
<< " exported vector. The first element is the number of temporaries used for the computation of the residuals, the second element is the" << endl
|
|
<< " number of temporaries used for the evaluation of the jacobian matrix, etc. If one calls the version of the static model computing the" << endl
|
|
<< " residuals, and the jacobian and hessian matrices, then `T` must have at least `sum(tmp_nbr[1:3])` elements." << endl
|
|
<< "=#" << endl << endl;
|
|
|
|
// Write the number of temporary terms
|
|
output << "tmp_nbr = zeros(Int,4)" << endl
|
|
<< "tmp_nbr[1] = " << temporary_terms_mlv.size() + temporary_terms_derivatives[0].size() << "# Number of temporary terms for the residuals" << endl
|
|
<< "tmp_nbr[2] = " << temporary_terms_derivatives[1].size() << "# Number of temporary terms for g1 (jacobian)" << endl
|
|
<< "tmp_nbr[3] = " << temporary_terms_derivatives[2].size() << "# Number of temporary terms for g2 (hessian)" << endl
|
|
<< "tmp_nbr[4] = " << temporary_terms_derivatives[3].size() << "# Number of temporary terms for g3 (third order derivates)" << endl << endl;
|
|
|
|
// staticResidTT!
|
|
output << "function staticResidTT!(T::Vector{Float64}," << endl
|
|
<< " y::Vector{Float64}, x::Vector{Float64}, params::Vector{Float64})" << endl
|
|
<< " @assert length(T) >= " << temporary_terms_mlv.size() + temporary_terms_derivatives[0].size() << endl
|
|
<< tt_output[0].str()
|
|
<< " return nothing" << endl
|
|
<< "end" << endl << endl;
|
|
|
|
// static!
|
|
output << "function staticResid!(T::Vector{Float64}, residual::Vector{Float64}," << endl
|
|
<< " y::Vector{Float64}, x::Vector{Float64}, params::Vector{Float64}, T0_flag::Bool)" << endl
|
|
<< " @assert length(y) == " << symbol_table.endo_nbr() << endl
|
|
<< " @assert length(x) == " << symbol_table.exo_nbr() << endl
|
|
<< " @assert length(params) == " << symbol_table.param_nbr() << endl
|
|
<< " @assert length(residual) == " << equations.size() << endl
|
|
<< " if T0_flag" << endl
|
|
<< " staticResidTT!(T, y, x, params)" << endl
|
|
<< " end" << endl
|
|
<< d_output[0].str()
|
|
<< " if ~isreal(residual)" << endl
|
|
<< " residual = real(residual)+imag(residual).^2;" << endl
|
|
<< " end" << endl
|
|
<< " return nothing" << endl
|
|
<< "end" << endl << endl;
|
|
|
|
// staticG1TT!
|
|
output << "function staticG1TT!(T::Vector{Float64}," << endl
|
|
<< " y::Vector{Float64}, x::Vector{Float64}, params::Vector{Float64}, T0_flag::Bool)" << endl
|
|
<< " if T0_flag" << endl
|
|
<< " staticResidTT!(T, y, x, params)" << endl
|
|
<< " end" << endl
|
|
<< tt_output[1].str()
|
|
<< " return nothing" << endl
|
|
<< "end" << endl << endl;
|
|
|
|
// staticG1!
|
|
output << "function staticG1!(T::Vector{Float64}, g1::Matrix{Float64}," << endl
|
|
<< " y::Vector{Float64}, x::Vector{Float64}, params::Vector{Float64}, T1_flag::Bool, T0_flag::Bool)" << endl
|
|
<< " @assert length(T) >= "
|
|
<< temporary_terms_mlv.size() + temporary_terms_derivatives[0].size() + temporary_terms_derivatives[1].size() << endl
|
|
<< " @assert size(g1) == (" << equations.size() << ", " << symbol_table.endo_nbr() << ")" << endl
|
|
<< " @assert length(y) == " << symbol_table.endo_nbr() << endl
|
|
<< " @assert length(x) == " << symbol_table.exo_nbr() << endl
|
|
<< " @assert length(params) == " << symbol_table.param_nbr() << endl
|
|
<< " if T1_flag" << endl
|
|
<< " staticG1TT!(T, y, x, params, T0_flag)" << endl
|
|
<< " end" << endl
|
|
<< " fill!(g1, 0.0)" << endl
|
|
<< d_output[1].str()
|
|
<< " if ~isreal(g1)" << endl
|
|
<< " g1 = real(g1)+2*imag(g1);" << endl
|
|
<< " end" << endl
|
|
<< " return nothing" << endl
|
|
<< "end" << endl << endl;
|
|
|
|
// staticG2TT!
|
|
output << "function staticG2TT!(T::Vector{Float64}," << endl
|
|
<< " y::Vector{Float64}, x::Vector{Float64}, params::Vector{Float64}, T1_flag::Bool, T0_flag::Bool)" << endl
|
|
<< " if T1_flag" << endl
|
|
<< " staticG1TT!(T, y, x, params, TO_flag)" << endl
|
|
<< " end" << endl
|
|
<< tt_output[2].str()
|
|
<< " return nothing" << endl
|
|
<< "end" << endl << endl;
|
|
|
|
// staticG2!
|
|
output << "function staticG2!(T::Vector{Float64}, g2::Matrix{Float64}," << endl
|
|
<< " y::Vector{Float64}, x::Vector{Float64}, params::Vector{Float64}, T2_flag::Bool, T1_flag::Bool, T0_flag::Bool)" << endl
|
|
<< " @assert length(T) >= "
|
|
<< temporary_terms_mlv.size() + temporary_terms_derivatives[0].size() + temporary_terms_derivatives[1].size() + temporary_terms_derivatives[2].size() << endl
|
|
<< " @assert size(g2) == (" << equations.size() << ", " << hessianColsNbr << ")" << endl
|
|
<< " @assert length(y) == " << symbol_table.endo_nbr() << endl
|
|
<< " @assert length(x) == " << symbol_table.exo_nbr() << endl
|
|
<< " @assert length(params) == " << symbol_table.param_nbr() << endl
|
|
<< " if T2_flag" << endl
|
|
<< " staticG2TT!(T, y, x, params, T1_flag, T0_flag)" << endl
|
|
<< " end" << endl
|
|
<< " fill!(g2, 0.0)" << endl
|
|
<< d_output[2].str()
|
|
<< " return nothing" << endl
|
|
<< "end" << endl << endl;
|
|
|
|
// staticG3TT!
|
|
output << "function staticG3TT!(T::Vector{Float64}," << endl
|
|
<< " y::Vector{Float64}, x::Vector{Float64}, params::Vector{Float64}, T2_flag::Bool, T1_flag::Bool, T0_flag::Bool)" << endl
|
|
<< " if T2_flag" << endl
|
|
<< " staticG2TT!(T, y, x, params, T1_flag, T0_flag)" << endl
|
|
<< " end" << endl
|
|
<< tt_output[3].str()
|
|
<< " return nothing" << endl
|
|
<< "end" << endl << endl;
|
|
|
|
// staticG3!
|
|
int ncols = hessianColsNbr * JacobianColsNbr;
|
|
output << "function staticG3!(T::Vector{Float64}, g3::Matrix{Float64}," << endl
|
|
<< " y::Vector{Float64}, x::Vector{Float64}, params::Vector{Float64}, T3_flag::Bool, T2_flag::Bool, T1_flag::Bool, T0_flag::Bool)" << endl
|
|
<< " @assert length(T) >= "
|
|
<< temporary_terms_mlv.size() + temporary_terms_derivatives[0].size() + temporary_terms_derivatives[1].size() + temporary_terms_derivatives[2].size() + temporary_terms_derivatives[3].size() << endl
|
|
<< " @assert size(g3) == (" << nrows << ", " << ncols << ")" << endl
|
|
<< " @assert length(y) == " << symbol_table.endo_nbr() << endl
|
|
<< " @assert length(x) == " << symbol_table.exo_nbr() << endl
|
|
<< " @assert length(params) == " << symbol_table.param_nbr() << endl
|
|
<< " if T3_flag" << endl
|
|
<< " staticG3TT!(T, y, x, params, T2_flag, T1_flag, T0_flag)" << endl
|
|
<< " end" << endl
|
|
<< " fill!(g3, 0.0)" << endl
|
|
<< d_output[3].str()
|
|
<< " return nothing" << endl
|
|
<< "end" << endl << endl;
|
|
|
|
// static!
|
|
output << "function static!(T::Vector{Float64}, residual::Vector{Float64}," << endl
|
|
<< " y::Vector{Float64}, x::Vector{Float64}, params::Vector{Float64})" << endl
|
|
<< " staticResid!(T, residual, y, x, params, true)" << endl
|
|
<< " return nothing" << endl
|
|
<< "end" << endl
|
|
<< endl
|
|
<< "function static!(T::Vector{Float64}, residual::Vector{Float64}, g1::Matrix{Float64}," << endl
|
|
<< " y::Vector{Float64}, x::Vector{Float64}, params::Vector{Float64})" << endl
|
|
<< " staticG1!(T, g1, y, x, params, true, true)" << endl
|
|
<< " staticResid!(T, residual, y, x, params, false)" << endl
|
|
<< " return nothing" << endl
|
|
<< "end" << endl
|
|
<< endl
|
|
<< "function static!(T::Vector{Float64}, g1::Matrix{Float64}," << endl
|
|
<< " y::Vector{Float64}, x::Vector{Float64}, params::Vector{Float64})" << endl
|
|
<< " staticG1!(T, g1, y, x, params, true, false)" << endl
|
|
<< " return nothing" << endl
|
|
<< "end" << endl
|
|
<< endl
|
|
<< "function static!(T::Vector{Float64}, residual::Vector{Float64}, g1::Matrix{Float64}, g2::Matrix{Float64}," << endl
|
|
<< " y::Vector{Float64}, x::Vector{Float64}, params::Vector{Float64})" << endl
|
|
<< " staticG2!(T, g2, y, x, params, true, true, true)" << endl
|
|
<< " staticG1!(T, g1, y, x, params, false, false)" << endl
|
|
<< " staticResid!(T, residual, y, x, params, false)" << endl
|
|
<< " return nothing" << endl
|
|
<< "end" << endl
|
|
<< endl;
|
|
|
|
// Write function definition if BinaryOpcode::powerDeriv is used
|
|
writePowerDerivJulia(output);
|
|
|
|
output << "end" << endl;
|
|
|
|
writeToFileIfModified(output, basename + "Static.jl");
|
|
}
|
|
}
|
|
|
|
void
|
|
StaticModel::writeStaticCFile(const string &basename) const
|
|
{
|
|
// Writing comments and function definition command
|
|
string filename = basename + "/model/src/static.c";
|
|
|
|
int ntt = temporary_terms_mlv.size() + temporary_terms_derivatives[0].size() + temporary_terms_derivatives[1].size() + temporary_terms_derivatives[2].size() + temporary_terms_derivatives[3].size();
|
|
|
|
ofstream output;
|
|
output.open(filename, ios::out | ios::binary);
|
|
if (!output.is_open())
|
|
{
|
|
cerr << "ERROR: Can't open file " << filename << " for writing" << endl;
|
|
exit(EXIT_FAILURE);
|
|
}
|
|
|
|
output << "/*" << endl
|
|
<< " * " << filename << " : Computes static model for Dynare" << endl
|
|
<< " *" << endl
|
|
<< " * Warning : this file is generated automatically by Dynare" << endl
|
|
<< " * from model file (.mod)" << endl << endl
|
|
<< " */" << endl
|
|
<< endl
|
|
<< "#include <math.h>" << endl
|
|
<< "#include <stdlib.h>" << endl
|
|
<< R"(#include "mex.h")" << endl
|
|
<< endl;
|
|
|
|
// Write function definition if BinaryOpcode::powerDeriv is used
|
|
writePowerDeriv(output);
|
|
|
|
output << endl;
|
|
|
|
writeStaticModel(output, true, false);
|
|
|
|
output << "void mexFunction(int nlhs, mxArray *plhs[], int nrhs, const mxArray *prhs[])" << endl
|
|
<< "{" << endl
|
|
<< " if (nrhs > 3)" << endl
|
|
<< R"( mexErrMsgTxt("Accepts at most 3 output arguments");)" << endl
|
|
<< " if (nrhs != 3)" << endl
|
|
<< R"( mexErrMsgTxt("Requires exactly 3 input arguments");)" << endl
|
|
<< " double *y = mxGetPr(prhs[0]);" << endl
|
|
<< " double *x = mxGetPr(prhs[1]);" << endl
|
|
<< " double *params = mxGetPr(prhs[2]);" << endl
|
|
<< endl
|
|
<< " double *T = (double *) malloc(sizeof(double)*" << ntt << ");" << endl
|
|
<< endl
|
|
<< " if (nlhs >= 1)" << endl
|
|
<< " {" << endl
|
|
<< " plhs[0] = mxCreateDoubleMatrix(" << equations.size() << ",1, mxREAL);" << endl
|
|
<< " double *residual = mxGetPr(plhs[0]);" << endl
|
|
<< " static_resid_tt(y, x, params, T);" << endl
|
|
<< " static_resid(y, x, params, T, residual);" << endl
|
|
<< " }" << endl
|
|
<< endl
|
|
<< " if (nlhs >= 2)" << endl
|
|
<< " {" << endl
|
|
<< " plhs[1] = mxCreateDoubleMatrix(" << equations.size() << ", " << symbol_table.endo_nbr() << ", mxREAL);" << endl
|
|
<< " double *g1 = mxGetPr(plhs[1]);" << endl
|
|
<< " static_g1_tt(y, x, params, T);" << endl
|
|
<< " static_g1(y, x, params, T, g1);" << endl
|
|
<< " }" << endl
|
|
<< endl
|
|
<< " if (nlhs >= 3)" << endl
|
|
<< " {" << endl
|
|
<< " mxArray *g2_i = mxCreateDoubleMatrix(" << NNZDerivatives[2] << ", " << 1 << ", mxREAL);" << endl
|
|
<< " mxArray *g2_j = mxCreateDoubleMatrix(" << NNZDerivatives[2] << ", " << 1 << ", mxREAL);" << endl
|
|
<< " mxArray *g2_v = mxCreateDoubleMatrix(" << NNZDerivatives[2] << ", " << 1 << ", mxREAL);" << endl
|
|
<< " static_g2_tt(y, x, params, T);" << endl
|
|
<< " static_g2(y, x, params, T, mxGetPr(g2_i), mxGetPr(g2_j), mxGetPr(g2_v));" << endl
|
|
<< " mxArray *m = mxCreateDoubleScalar(" << equations.size() << ");" << endl
|
|
<< " mxArray *n = mxCreateDoubleScalar(" << symbol_table.endo_nbr()*symbol_table.endo_nbr() << ");" << endl
|
|
<< " mxArray *plhs_sparse[1], *prhs_sparse[5] = { g2_i, g2_j, g2_v, m, n };" << endl
|
|
<< R"( mexCallMATLAB(1, plhs_sparse, 5, prhs_sparse, "sparse");)" << endl
|
|
<< " plhs[2] = plhs_sparse[0];" << endl
|
|
<< " mxDestroyArray(g2_i);" << endl
|
|
<< " mxDestroyArray(g2_j);" << endl
|
|
<< " mxDestroyArray(g2_v);" << endl
|
|
<< " mxDestroyArray(m);" << endl
|
|
<< " mxDestroyArray(n);" << endl
|
|
<< " }" << endl
|
|
<< endl
|
|
<< " free(T);" << endl
|
|
<< "}" << endl;
|
|
|
|
output.close();
|
|
}
|
|
|
|
void
|
|
StaticModel::writeStaticJuliaFile(const string &basename) const
|
|
{
|
|
writeStaticModel(basename, false, true);
|
|
}
|
|
|
|
void
|
|
StaticModel::writeStaticFile(const string &basename, bool block, bool bytecode, bool use_dll, const string &mexext, const filesystem::path &matlabroot, const filesystem::path &dynareroot, bool julia) const
|
|
{
|
|
filesystem::path model_dir{basename};
|
|
model_dir /= "model";
|
|
if (use_dll)
|
|
filesystem::create_directories(model_dir / "src");
|
|
if (bytecode)
|
|
filesystem::create_directories(model_dir / "bytecode");
|
|
|
|
if (block)
|
|
{
|
|
if (bytecode)
|
|
writeStaticBlockBytecode(basename);
|
|
else if (use_dll)
|
|
{
|
|
writeStaticPerBlockCFiles(basename);
|
|
writeStaticBlockCFile(basename);
|
|
vector<filesystem::path> src_files{blocks.size() + 1};
|
|
for (int blk = 0; blk < static_cast<int>(blocks.size()); blk++)
|
|
src_files[blk] = model_dir / "src" / ("static_" + to_string(blk+1) + ".c");
|
|
src_files[blocks.size()] = model_dir / "src" / "static.c";
|
|
compileMEX(basename, "static", mexext, src_files, matlabroot, dynareroot);
|
|
}
|
|
else if (julia)
|
|
{
|
|
cerr << "'block' option is not available with Julia" << endl;
|
|
exit(EXIT_FAILURE);
|
|
}
|
|
else // M-files
|
|
{
|
|
writeStaticPerBlockMFiles(basename);
|
|
writeStaticBlockMFile(basename);
|
|
}
|
|
}
|
|
else
|
|
{
|
|
if (bytecode)
|
|
writeStaticBytecode(basename);
|
|
else if (use_dll)
|
|
{
|
|
writeStaticCFile(basename);
|
|
compileMEX(basename, "static", mexext, { model_dir / "src" / "static.c" },
|
|
matlabroot, dynareroot);
|
|
}
|
|
else if (julia)
|
|
writeStaticJuliaFile(basename);
|
|
else // M-files
|
|
writeStaticMFile(basename);
|
|
}
|
|
|
|
writeSetAuxiliaryVariables(basename, julia);
|
|
}
|
|
|
|
bool
|
|
StaticModel::exoPresentInEqs() const
|
|
{
|
|
for (auto equation : equations)
|
|
{
|
|
set<int> result;
|
|
equation->collectVariables(SymbolType::exogenous, result);
|
|
equation->collectVariables(SymbolType::exogenousDet, result);
|
|
if (!result.empty())
|
|
return true;
|
|
}
|
|
return false;
|
|
}
|
|
|
|
void
|
|
StaticModel::writeStaticBlockMFile(const string &basename) const
|
|
{
|
|
string filename = packageDir(basename) + "/static.m";
|
|
|
|
ofstream output;
|
|
output.open(filename, ios::out | ios::binary);
|
|
if (!output.is_open())
|
|
{
|
|
cerr << "ERROR: Can't open file " << filename << " for writing" << endl;
|
|
exit(EXIT_FAILURE);
|
|
}
|
|
|
|
output << "function [residual, y, T, g1] = static(nblock, y, x, params, T)" << endl
|
|
<< " switch nblock" << endl;
|
|
|
|
for (int blk = 0; blk < static_cast<int>(blocks.size()); blk++)
|
|
{
|
|
output << " case " << blk+1 << endl;
|
|
|
|
BlockSimulationType simulation_type = blocks[blk].simulation_type;
|
|
|
|
if (simulation_type == BlockSimulationType::evaluateBackward
|
|
|| simulation_type == BlockSimulationType::evaluateForward)
|
|
output << " [y, T] = " << basename << ".block.static_" << blk+1 << "(y, x, params, T);" << endl
|
|
<< " residual = [];" << endl
|
|
<< " g1 = [];" << endl;
|
|
else
|
|
output << " [residual, y, T, g1] = " << basename << ".block.static_" << blk+1 << "(y, x, params, T);" << endl;
|
|
|
|
}
|
|
output << " end" << endl
|
|
<< "end" << endl;
|
|
output.close();
|
|
}
|
|
|
|
void
|
|
StaticModel::writeStaticBlockCFile(const string &basename) const
|
|
{
|
|
string filename = basename + "/model/src/static.c";
|
|
|
|
ofstream output;
|
|
output.open(filename, ios::out | ios::binary);
|
|
if (!output.is_open())
|
|
{
|
|
cerr << "ERROR: Can't open file " << filename << " for writing" << endl;
|
|
exit(EXIT_FAILURE);
|
|
}
|
|
|
|
output << "#include <math.h>" << endl
|
|
<< R"(#include "mex.h")" << endl;
|
|
|
|
for (int blk = 0; blk < static_cast<int>(blocks.size()); blk++)
|
|
output << R"(#include "static_)" << blk+1 << R"(.h")" << endl;
|
|
|
|
output << endl;
|
|
writePowerDeriv(output);
|
|
|
|
output << endl
|
|
<< "void mexFunction(int nlhs, mxArray *plhs[], int nrhs, const mxArray *prhs[])" << endl
|
|
<< "{" << endl
|
|
<< " if (nrhs != 5)" << endl
|
|
<< R"( mexErrMsgTxt("Requires exactly 5 input arguments");)" << endl
|
|
<< " if (nlhs > 4)" << endl
|
|
<< R"( mexErrMsgTxt("Accepts at most 4 output arguments");)" << endl
|
|
<< " int nblock = (int) mxGetScalar(prhs[0]);" << endl
|
|
<< " const mxArray *y = prhs[1], *x = prhs[2], *params = prhs[3], *T = prhs[4];" << endl
|
|
<< " mxArray *T_new = mxDuplicateArray(T);" << endl
|
|
<< " mxArray *y_new = mxDuplicateArray(y);" << endl
|
|
<< " mxArray *residual, *g1;" << endl
|
|
<< " switch (nblock)" << endl
|
|
<< " {" << endl;
|
|
|
|
for (int blk = 0; blk < static_cast<int>(blocks.size()); blk++)
|
|
{
|
|
output << " case " << blk+1 << ':' << endl;
|
|
|
|
BlockSimulationType simulation_type = blocks[blk].simulation_type;
|
|
|
|
if (simulation_type == BlockSimulationType::evaluateBackward
|
|
|| simulation_type == BlockSimulationType::evaluateForward)
|
|
output << " static_" << blk+1 << "_mx(y_new, x, params, T_new);" << endl
|
|
<< " residual = mxCreateDoubleMatrix(0,0,mxREAL);" << endl
|
|
<< " g1 = mxCreateDoubleMatrix(0,0,mxREAL);" << endl;
|
|
else
|
|
output << " static_" << blk+1 << "_mx(y_new, x, params, T_new, &residual, &g1);" << endl;
|
|
output << " break;" << endl;
|
|
}
|
|
output << " }" << endl
|
|
<< endl
|
|
<< " if (nlhs >= 1)" << endl
|
|
<< " plhs[0] = residual;" << endl
|
|
<< " else" << endl
|
|
<< " mxDestroyArray(residual);" << endl
|
|
<< " if (nlhs >= 2)" << endl
|
|
<< " plhs[1] = y_new;" << endl
|
|
<< " else" << endl
|
|
<< " mxDestroyArray(y_new);" << endl
|
|
<< " if (nlhs >= 3)" << endl
|
|
<< " plhs[2] = T_new;" << endl
|
|
<< " else" << endl
|
|
<< " mxDestroyArray(T_new);" << endl
|
|
<< " if (nlhs >= 4)" << endl
|
|
<< " plhs[3] = g1;" << endl
|
|
<< " else" << endl
|
|
<< " mxDestroyArray(g1);" << endl
|
|
<< "}" << endl;
|
|
output.close();
|
|
}
|
|
|
|
void
|
|
StaticModel::writeDriverOutput(ostream &output, bool block) const
|
|
{
|
|
output << "M_.static_tmp_nbr = [";
|
|
for (const auto &temporary_terms_derivative : temporary_terms_derivatives)
|
|
output << temporary_terms_derivative.size() << "; ";
|
|
output << "];" << endl;
|
|
|
|
/* Write mapping between model local variables and indices in the temporary
|
|
terms vector (dynare#1722) */
|
|
output << "M_.model_local_variables_static_tt_idxs = {" << endl;
|
|
for (auto [mlv, value] : temporary_terms_mlv)
|
|
output << " '" << symbol_table.getName(mlv->symb_id) << "', "
|
|
<< temporary_terms_idxs.at(mlv)+1 << ';' << endl;
|
|
output << "};" << endl;
|
|
|
|
if (!block)
|
|
return;
|
|
|
|
for (int blk = 0; blk < static_cast<int>(blocks.size()); blk++)
|
|
{
|
|
output << "block_structure_stat.block(" << blk+1 << ").Simulation_Type = " << static_cast<int>(blocks[blk].simulation_type) << ";" << endl
|
|
<< "block_structure_stat.block(" << blk+1 << ").endo_nbr = " << blocks[blk].size << ";" << endl
|
|
<< "block_structure_stat.block(" << blk+1 << ").mfs = " << blocks[blk].mfs_size << ";" << endl
|
|
<< "block_structure_stat.block(" << blk+1 << ").equation = [";
|
|
for (int eq = 0; eq < blocks[blk].size; eq++)
|
|
output << " " << getBlockEquationID(blk, eq)+1;
|
|
output << "];" << endl
|
|
<< "block_structure_stat.block(" << blk+1 << ").variable = [";
|
|
for (int var = 0; var < blocks[blk].size; var++)
|
|
output << " " << getBlockVariableID(blk, var)+1;
|
|
output << "];" << endl;
|
|
}
|
|
output << "M_.block_structure_stat.block = block_structure_stat.block;" << endl
|
|
<< "M_.block_structure_stat.variable_reordered = [";
|
|
for (int i = 0; i < symbol_table.endo_nbr(); i++)
|
|
output << " " << endo_idx_block2orig[i]+1;
|
|
output << "];" << endl
|
|
<< "M_.block_structure_stat.equation_reordered = [";
|
|
for (int i = 0; i < symbol_table.endo_nbr(); i++)
|
|
output << " " << eq_idx_block2orig[i]+1;
|
|
output << "];" << endl;
|
|
|
|
set<pair<int, int>> row_incidence;
|
|
for (const auto &[indices, d1] : derivatives[1])
|
|
if (int deriv_id = indices[1];
|
|
getTypeByDerivID(deriv_id) == SymbolType::endogenous)
|
|
{
|
|
int eq = indices[0];
|
|
int var = symbol_table.getTypeSpecificID(getSymbIDByDerivID(deriv_id));
|
|
row_incidence.emplace(eq, var);
|
|
}
|
|
output << "M_.block_structure_stat.incidence.sparse_IM = [" << endl;
|
|
for (auto [eq, var] : row_incidence)
|
|
output << " " << eq+1 << " " << var+1 << ";" << endl;
|
|
output << "];" << endl
|
|
<< "M_.block_structure_stat.tmp_nbr = " << blocks_temporary_terms_idxs.size()
|
|
<< ";" << endl;
|
|
}
|
|
|
|
SymbolType
|
|
StaticModel::getTypeByDerivID(int deriv_id) const noexcept(false)
|
|
{
|
|
if (deriv_id < symbol_table.endo_nbr())
|
|
return SymbolType::endogenous;
|
|
else if (deriv_id < symbol_table.endo_nbr() + symbol_table.param_nbr())
|
|
return SymbolType::parameter;
|
|
else
|
|
throw UnknownDerivIDException();
|
|
}
|
|
|
|
int
|
|
StaticModel::getLagByDerivID(int deriv_id) const noexcept(false)
|
|
{
|
|
return 0;
|
|
}
|
|
|
|
int
|
|
StaticModel::getSymbIDByDerivID(int deriv_id) const noexcept(false)
|
|
{
|
|
if (deriv_id < symbol_table.endo_nbr())
|
|
return symbol_table.getID(SymbolType::endogenous, deriv_id);
|
|
else if (deriv_id < symbol_table.endo_nbr() + symbol_table.param_nbr())
|
|
return symbol_table.getID(SymbolType::parameter, deriv_id - symbol_table.endo_nbr());
|
|
else
|
|
throw UnknownDerivIDException();
|
|
}
|
|
|
|
int
|
|
StaticModel::getDerivID(int symb_id, int lag) const noexcept(false)
|
|
{
|
|
if (symbol_table.getType(symb_id) == SymbolType::endogenous)
|
|
return symbol_table.getTypeSpecificID(symb_id);
|
|
else if (symbol_table.getType(symb_id) == SymbolType::parameter)
|
|
return symbol_table.getTypeSpecificID(symb_id) + symbol_table.endo_nbr();
|
|
else
|
|
return -1;
|
|
}
|
|
|
|
void
|
|
StaticModel::addAllParamDerivId(set<int> &deriv_id_set)
|
|
{
|
|
for (int i = 0; i < symbol_table.param_nbr(); i++)
|
|
deriv_id_set.insert(i + symbol_table.endo_nbr());
|
|
}
|
|
|
|
void
|
|
StaticModel::computeChainRuleJacobian()
|
|
{
|
|
int nb_blocks = blocks.size();
|
|
blocks_derivatives.resize(nb_blocks);
|
|
for (int blk = 0; blk < nb_blocks; blk++)
|
|
{
|
|
int nb_recursives = blocks[blk].getRecursiveSize();
|
|
|
|
map<int, BinaryOpNode *> recursive_vars;
|
|
for (int i = 0; i < nb_recursives; i++)
|
|
{
|
|
int deriv_id = getDerivID(symbol_table.getID(SymbolType::endogenous, getBlockVariableID(blk, i)), 0);
|
|
if (getBlockEquationType(blk, i) == EquationType::evaluateRenormalized)
|
|
recursive_vars[deriv_id] = getBlockEquationRenormalizedExpr(blk, i);
|
|
else
|
|
recursive_vars[deriv_id] = getBlockEquationExpr(blk, i);
|
|
}
|
|
|
|
assert(blocks[blk].simulation_type != BlockSimulationType::solveTwoBoundariesSimple
|
|
&& blocks[blk].simulation_type != BlockSimulationType::solveTwoBoundariesComplete);
|
|
|
|
int size = blocks[blk].size;
|
|
|
|
for (int eq = nb_recursives; eq < size; eq++)
|
|
{
|
|
int eq_orig = getBlockEquationID(blk, eq);
|
|
for (int var = nb_recursives; var < size; var++)
|
|
{
|
|
int var_orig = getBlockVariableID(blk, var);
|
|
expr_t d1 = equations[eq_orig]->getChainRuleDerivative(getDerivID(symbol_table.getID(SymbolType::endogenous, var_orig), 0), recursive_vars);
|
|
if (d1 != Zero)
|
|
blocks_derivatives[blk][{ eq, var, 0 }] = d1;
|
|
}
|
|
}
|
|
}
|
|
}
|
|
|
|
void
|
|
StaticModel::writeLatexFile(const string &basename, bool write_equation_tags) const
|
|
{
|
|
writeLatexModelFile(basename, "static", ExprNodeOutputType::latexStaticModel, write_equation_tags);
|
|
}
|
|
|
|
void
|
|
StaticModel::writeAuxVarInitval(ostream &output, ExprNodeOutputType output_type) const
|
|
{
|
|
for (auto aux_equation : aux_equations)
|
|
{
|
|
dynamic_cast<ExprNode *>(aux_equation)->writeOutput(output, output_type);
|
|
output << ";" << endl;
|
|
}
|
|
}
|
|
|
|
void
|
|
StaticModel::writeSetAuxiliaryVariables(const string &basename, bool julia) const
|
|
{
|
|
ostringstream output_func_body;
|
|
ExprNodeOutputType output_type = julia ? ExprNodeOutputType::juliaStaticModel : ExprNodeOutputType::matlabStaticModel;
|
|
writeAuxVarRecursiveDefinitions(output_func_body, output_type);
|
|
|
|
if (output_func_body.str().empty())
|
|
return;
|
|
|
|
string func_name = julia ? basename + "_set_auxiliary_variables!" : "set_auxiliary_variables";
|
|
string comment = julia ? "#" : "%";
|
|
|
|
stringstream output;
|
|
if (julia)
|
|
output << "module " << basename << "SetAuxiliaryVariables" << endl
|
|
<< "export " << func_name << endl;
|
|
output << "function ";
|
|
if (!julia)
|
|
output << "y = ";
|
|
output << func_name << "(y, x, params)" << endl
|
|
<< comment << endl
|
|
<< comment << " Status : Computes static model for Dynare" << endl
|
|
<< comment << endl
|
|
<< comment << " Warning : this file is generated automatically by Dynare" << endl
|
|
<< comment << " from model file (.mod)" << endl << endl
|
|
<< output_func_body.str()
|
|
<< "end" << endl;
|
|
if (julia)
|
|
output << "end" << endl;
|
|
|
|
writeToFileIfModified(output, julia ? basename + "SetAuxiliaryVariables.jl" : packageDir(basename) + "/" + func_name + ".m");
|
|
}
|
|
|
|
void
|
|
StaticModel::writeAuxVarRecursiveDefinitions(ostream &output, ExprNodeOutputType output_type) const
|
|
{
|
|
deriv_node_temp_terms_t tef_terms;
|
|
for (auto aux_equation : aux_equations)
|
|
if (dynamic_cast<ExprNode *>(aux_equation)->containsExternalFunction())
|
|
dynamic_cast<ExprNode *>(aux_equation)->writeExternalFunctionOutput(output, ExprNodeOutputType::matlabStaticModel, {}, {}, tef_terms);
|
|
for (auto aux_equation : aux_equations)
|
|
{
|
|
dynamic_cast<ExprNode *>(aux_equation->substituteStaticAuxiliaryDefinition())->writeOutput(output, output_type);
|
|
output << ";" << endl;
|
|
}
|
|
}
|
|
|
|
void
|
|
StaticModel::writeLatexAuxVarRecursiveDefinitions(ostream &output) const
|
|
{
|
|
deriv_node_temp_terms_t tef_terms;
|
|
temporary_terms_t temporary_terms;
|
|
temporary_terms_idxs_t temporary_terms_idxs;
|
|
for (auto aux_equation : aux_equations)
|
|
if (dynamic_cast<ExprNode *>(aux_equation)->containsExternalFunction())
|
|
dynamic_cast<ExprNode *>(aux_equation)->writeExternalFunctionOutput(output, ExprNodeOutputType::latexStaticModel,
|
|
temporary_terms, temporary_terms_idxs, tef_terms);
|
|
for (auto aux_equation : aux_equations)
|
|
{
|
|
output << R"(\begin{dmath})" << endl;
|
|
dynamic_cast<ExprNode *>(aux_equation->substituteStaticAuxiliaryDefinition())->writeOutput(output, ExprNodeOutputType::latexStaticModel);
|
|
output << endl << R"(\end{dmath})" << endl;
|
|
}
|
|
}
|
|
|
|
void
|
|
StaticModel::writeJsonAuxVarRecursiveDefinitions(ostream &output) const
|
|
{
|
|
deriv_node_temp_terms_t tef_terms;
|
|
temporary_terms_t temporary_terms;
|
|
|
|
for (auto aux_equation : aux_equations)
|
|
if (dynamic_cast<ExprNode *>(aux_equation)->containsExternalFunction())
|
|
{
|
|
vector<string> efout;
|
|
dynamic_cast<ExprNode *>(aux_equation)->writeJsonExternalFunctionOutput(efout,
|
|
temporary_terms,
|
|
tef_terms,
|
|
false);
|
|
for (auto it = efout.begin(); it != efout.end(); ++it)
|
|
{
|
|
if (it != efout.begin())
|
|
output << ", ";
|
|
output << *it;
|
|
}
|
|
}
|
|
|
|
for (auto aux_equation : aux_equations)
|
|
{
|
|
output << R"(, {"lhs": ")";
|
|
aux_equation->arg1->writeJsonOutput(output, temporary_terms, tef_terms, false);
|
|
output << R"(", "rhs": ")";
|
|
dynamic_cast<BinaryOpNode *>(aux_equation->substituteStaticAuxiliaryDefinition())->arg2->writeJsonOutput(output, temporary_terms, tef_terms, false);
|
|
output << R"("})";
|
|
}
|
|
}
|
|
|
|
void
|
|
StaticModel::writeParamsDerivativesFile(const string &basename, bool julia) const
|
|
{
|
|
if (!params_derivatives.size())
|
|
return;
|
|
|
|
ExprNodeOutputType output_type = (julia ? ExprNodeOutputType::juliaStaticModel : ExprNodeOutputType::matlabStaticModel);
|
|
|
|
ostringstream tt_output; // Used for storing temporary terms
|
|
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
|
|
|
|
temporary_terms_t temp_term_union;
|
|
deriv_node_temp_terms_t tef_terms;
|
|
|
|
writeModelLocalVariableTemporaryTerms(temp_term_union, params_derivs_temporary_terms_idxs, tt_output, output_type, tef_terms);
|
|
for (const auto &it : params_derivs_temporary_terms)
|
|
writeTemporaryTerms(it.second, temp_term_union, params_derivs_temporary_terms_idxs, tt_output, output_type, tef_terms);
|
|
|
|
for (const auto & [indices, d1] : params_derivatives.find({ 0, 1 })->second)
|
|
{
|
|
auto [eq, param] = vectorToTuple<2>(indices);
|
|
|
|
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, temp_term_union, params_derivs_temporary_terms_idxs, tef_terms);
|
|
jacobian_output << ";" << endl;
|
|
}
|
|
|
|
for (const auto & [indices, d2] : params_derivatives.find({ 1, 1 })->second)
|
|
{
|
|
auto [eq, var, param] = vectorToTuple<3>(indices);
|
|
|
|
int var_col = symbol_table.getTypeSpecificID(getSymbIDByDerivID(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, temp_term_union, params_derivs_temporary_terms_idxs, tef_terms);
|
|
hessian_output << ";" << endl;
|
|
}
|
|
|
|
int i = 1;
|
|
for (const auto &[indices, d2] : params_derivatives.find({ 0, 2 })->second)
|
|
{
|
|
auto [eq, param1, param2] = vectorToTuple<3>(indices);
|
|
|
|
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, temp_term_union, params_derivs_temporary_terms_idxs, tef_terms);
|
|
hessian1_output << ";" << endl;
|
|
|
|
i++;
|
|
|
|
if (param1 != param2)
|
|
{
|
|
// Treat symmetric elements
|
|
hessian1_output << "rpp" << LEFT_ARRAY_SUBSCRIPT(output_type) << i << ",1"
|
|
<< RIGHT_ARRAY_SUBSCRIPT(output_type) << "=" << eq+1 << ";" << endl
|
|
<< "rpp" << LEFT_ARRAY_SUBSCRIPT(output_type) << i << ",2"
|
|
<< RIGHT_ARRAY_SUBSCRIPT(output_type) << "=" << param2_col << ";" << endl
|
|
<< "rpp" << LEFT_ARRAY_SUBSCRIPT(output_type) << i << ",3"
|
|
<< RIGHT_ARRAY_SUBSCRIPT(output_type) << "=" << param1_col << ";" << endl
|
|
<< "rpp" << LEFT_ARRAY_SUBSCRIPT(output_type) << i << ",4"
|
|
<< RIGHT_ARRAY_SUBSCRIPT(output_type)
|
|
<< "=rpp" << LEFT_ARRAY_SUBSCRIPT(output_type) << i-1 << ",4"
|
|
<< RIGHT_ARRAY_SUBSCRIPT(output_type) << ";" << endl;
|
|
i++;
|
|
}
|
|
}
|
|
|
|
i = 1;
|
|
for (const auto &[indices, d2] : params_derivatives.find({ 1, 2 })->second)
|
|
{
|
|
auto [eq, var, param1, param2] = vectorToTuple<4>(indices);
|
|
|
|
int var_col = symbol_table.getTypeSpecificID(getSymbIDByDerivID(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, temp_term_union, params_derivs_temporary_terms_idxs, tef_terms);
|
|
third_derivs_output << ";" << endl;
|
|
|
|
i++;
|
|
|
|
if (param1 != param2)
|
|
{
|
|
// Treat symmetric elements
|
|
third_derivs_output << "gpp" << LEFT_ARRAY_SUBSCRIPT(output_type) << i << ",1"
|
|
<< RIGHT_ARRAY_SUBSCRIPT(output_type) << "=" << eq+1 << ";" << endl
|
|
<< "gpp" << LEFT_ARRAY_SUBSCRIPT(output_type) << i << ",2"
|
|
<< RIGHT_ARRAY_SUBSCRIPT(output_type) << "=" << var_col << ";" << endl
|
|
<< "gpp" << LEFT_ARRAY_SUBSCRIPT(output_type) << i << ",3"
|
|
<< RIGHT_ARRAY_SUBSCRIPT(output_type) << "=" << param2_col << ";" << endl
|
|
<< "gpp" << LEFT_ARRAY_SUBSCRIPT(output_type) << i << ",4"
|
|
<< RIGHT_ARRAY_SUBSCRIPT(output_type) << "=" << param1_col << ";" << endl
|
|
<< "gpp" << LEFT_ARRAY_SUBSCRIPT(output_type) << i << ",5"
|
|
<< RIGHT_ARRAY_SUBSCRIPT(output_type)
|
|
<< "=gpp" << LEFT_ARRAY_SUBSCRIPT(output_type) << i-1 << ",5"
|
|
<< RIGHT_ARRAY_SUBSCRIPT(output_type) << ";" << endl;
|
|
i++;
|
|
}
|
|
}
|
|
|
|
i = 1;
|
|
for (const auto &[indices, d2] : params_derivatives.find({ 2, 1 })->second)
|
|
{
|
|
auto [eq, var1, var2, param] = vectorToTuple<4>(indices);
|
|
|
|
int var1_col = symbol_table.getTypeSpecificID(getSymbIDByDerivID(var1)) + 1;
|
|
int var2_col = symbol_table.getTypeSpecificID(getSymbIDByDerivID(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, temp_term_union, params_derivs_temporary_terms_idxs, tef_terms);
|
|
third_derivs1_output << ";" << endl;
|
|
|
|
i++;
|
|
|
|
if (var1 != var2)
|
|
{
|
|
// Treat symmetric elements
|
|
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) << "=" << var2_col << ";" << endl
|
|
<< "hp" << LEFT_ARRAY_SUBSCRIPT(output_type) << i << ",3"
|
|
<< RIGHT_ARRAY_SUBSCRIPT(output_type) << "=" << var1_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)
|
|
<< "=hp" << LEFT_ARRAY_SUBSCRIPT(output_type) << i-1 << ",5"
|
|
<< RIGHT_ARRAY_SUBSCRIPT(output_type) << ";" << endl;
|
|
i++;
|
|
}
|
|
}
|
|
|
|
ofstream paramsDerivsFile;
|
|
string filename = julia ? basename + "StaticParamsDerivs.jl" : packageDir(basename) + "/static_params_derivs.m";
|
|
paramsDerivsFile.open(filename, 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<string, string> tmp_paren_vars;
|
|
bool message_printed = false;
|
|
fixNestedParenthesis(tt_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] = static_params_derivs(y, x, params)" << endl
|
|
<< "%" << endl
|
|
<< "% Status : Computes derivatives of the static model with respect to the parameters" << endl
|
|
<< "%" << endl
|
|
<< "% Inputs : " << endl
|
|
<< "% y [M_.endo_nbr by 1] double vector of endogenous variables in declaration order" << endl
|
|
<< "% x [M_.exo_nbr by 1] double vector of exogenous variables in declaration order" << endl
|
|
<< "% params [M_.param_nbr by 1] double vector of parameter values in declaration order" << endl
|
|
<< "%" << endl
|
|
<< "% Outputs:" << endl
|
|
<< "% rp [M_.eq_nbr by #params] double Jacobian matrix of static model equations with respect to parameters " << endl
|
|
<< "% Dynare may prepend or append auxiliary equations, see M_.aux_vars" << endl
|
|
<< "% 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
|
|
<< "% rows: variables in declaration order" << endl
|
|
<< "% rows: equations in order of declaration" << 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 static 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
|
|
<< "%" << endl
|
|
<< "%" << endl
|
|
<< "% Warning : this file is generated automatically by Dynare" << endl
|
|
<< "% from model file (.mod)" << endl << endl
|
|
<< "T = NaN(" << params_derivs_temporary_terms_idxs.size() << ",1);" << endl
|
|
<< tt_output.str()
|
|
<< "rp = zeros(" << equations.size() << ", "
|
|
<< symbol_table.param_nbr() << ");" << endl
|
|
<< jacobian_output.str()
|
|
<< "gp = zeros(" << equations.size() << ", " << symbol_table.endo_nbr() << ", "
|
|
<< symbol_table.param_nbr() << ");" << endl
|
|
<< hessian_output.str()
|
|
<< "if nargout >= 3" << endl
|
|
<< "rpp = zeros(" << params_derivatives.find({ 0, 2 })->second.size() << ",4);" << endl
|
|
<< hessian1_output.str()
|
|
<< "gpp = zeros(" << params_derivatives.find({ 1, 2 })->second.size() << ",5);" << endl
|
|
<< third_derivs_output.str()
|
|
<< "end" << endl
|
|
<< "if nargout >= 5" << endl
|
|
<< "hp = zeros(" << params_derivatives.find({ 2, 1 })->second.size() << ",5);" << endl
|
|
<< third_derivs1_output.str()
|
|
<< "end" << endl
|
|
<< "end" << endl;
|
|
}
|
|
else
|
|
paramsDerivsFile << "module " << basename << "StaticParamsDerivs" << 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, params)" << endl
|
|
<< tt_output.str()
|
|
<< "rp = zeros(" << equations.size() << ", "
|
|
<< symbol_table.param_nbr() << ");" << endl
|
|
<< jacobian_output.str()
|
|
<< "gp = zeros(" << equations.size() << ", " << symbol_table.endo_nbr() << ", "
|
|
<< symbol_table.param_nbr() << ");" << endl
|
|
<< hessian_output.str()
|
|
<< "rpp = zeros(" << params_derivatives.find({ 0, 2 })->second.size() << ",4);" << endl
|
|
<< hessian1_output.str()
|
|
<< "gpp = zeros(" << params_derivatives.find({ 1, 2 })->second.size() << ",5);" << endl
|
|
<< third_derivs_output.str()
|
|
<< "hp = zeros(" << params_derivatives.find({ 2, 1 })->second.size() << ",5);" << endl
|
|
<< third_derivs1_output.str()
|
|
<< "(rp, gp, rpp, gpp, hp)" << endl
|
|
<< "end" << endl
|
|
<< "end" << endl;
|
|
|
|
paramsDerivsFile.close();
|
|
}
|
|
|
|
void
|
|
StaticModel::writeJsonOutput(ostream &output) const
|
|
{
|
|
deriv_node_temp_terms_t tef_terms;
|
|
writeJsonModelLocalVariables(output, false, tef_terms);
|
|
output << ", ";
|
|
writeJsonModelEquations(output, false);
|
|
}
|
|
|
|
void
|
|
StaticModel::writeJsonComputingPassOutput(ostream &output, bool writeDetails) const
|
|
{
|
|
ostringstream model_local_vars_output; // Used for storing model local vars
|
|
vector<ostringstream> d_output(derivatives.size()); // Derivatives output (at all orders, including 0=residual)
|
|
|
|
deriv_node_temp_terms_t tef_terms;
|
|
temporary_terms_t temp_term_union;
|
|
|
|
writeJsonModelLocalVariables(model_local_vars_output, true, tef_terms);
|
|
|
|
writeJsonTemporaryTerms(temporary_terms_derivatives[0], temp_term_union, d_output[0], tef_terms, "");
|
|
d_output[0] << ", ";
|
|
writeJsonModelEquations(d_output[0], true);
|
|
|
|
auto getJacobCol = [this](int var) { return symbol_table.getTypeSpecificID(getSymbIDByDerivID(var)); };
|
|
int ncols = symbol_table.endo_nbr();
|
|
for (size_t i = 1; i < derivatives.size(); i++)
|
|
{
|
|
string matrix_name = i == 1 ? "jacobian" : i == 2 ? "hessian" : i == 3 ? "third_derivative" : to_string(i) + "th_derivative";
|
|
writeJsonTemporaryTerms(temporary_terms_derivatives[i], temp_term_union, d_output[i], tef_terms, matrix_name);
|
|
temp_term_union.insert(temporary_terms_derivatives[i].begin(), temporary_terms_derivatives[i].end());
|
|
d_output[i] << R"(, ")" << matrix_name << R"(": {)"
|
|
<< R"( "nrows": )" << equations.size()
|
|
<< R"(, "ncols": )" << ncols
|
|
<< R"(, "entries": [)";
|
|
|
|
for (auto it = derivatives[i].begin(); it != derivatives[i].end(); ++it)
|
|
{
|
|
if (it != derivatives[i].begin())
|
|
d_output[i] << ", ";
|
|
|
|
const vector<int> &vidx = it->first;
|
|
expr_t d = it->second;
|
|
int eq = vidx[0];
|
|
|
|
int col_idx = 0;
|
|
for (size_t j = 1; j < vidx.size(); j++)
|
|
{
|
|
col_idx *= symbol_table.endo_nbr();
|
|
col_idx += getJacobCol(vidx[j]);
|
|
}
|
|
|
|
if (writeDetails)
|
|
d_output[i] << R"({"eq": )" << eq + 1;
|
|
else
|
|
d_output[i] << R"({"row": )" << eq + 1;
|
|
|
|
d_output[i] << R"(, "col": )" << (i > 1 ? "[" : "") << col_idx + 1;
|
|
|
|
if (i == 2 && vidx[1] != vidx[2]) // Symmetric elements in hessian
|
|
{
|
|
int col_idx_sym = getJacobCol(vidx[2]) * symbol_table.endo_nbr() + getJacobCol(vidx[1]);
|
|
d_output[i] << ", " << col_idx_sym + 1;
|
|
}
|
|
if (i > 1)
|
|
d_output[i] << "]";
|
|
|
|
if (writeDetails)
|
|
for (size_t j = 1; j < vidx.size(); j++)
|
|
d_output[i] << R"(, "var)" << (i > 1 ? to_string(j) : "") << R"(": ")" << symbol_table.getName(getSymbIDByDerivID(vidx[j])) << R"(")";
|
|
|
|
d_output[i] << R"(, "val": ")";
|
|
d->writeJsonOutput(d_output[i], temp_term_union, tef_terms);
|
|
d_output[i] << R"("})" << endl;
|
|
}
|
|
d_output[i] << "]}";
|
|
|
|
ncols *= symbol_table.endo_nbr();
|
|
}
|
|
|
|
if (writeDetails)
|
|
output << R"("static_model": {)";
|
|
else
|
|
output << R"("static_model_simple": {)";
|
|
output << model_local_vars_output.str();
|
|
for (const auto &it : d_output)
|
|
output << ", " << it.str();
|
|
output << "}";
|
|
}
|
|
|
|
void
|
|
StaticModel::writeJsonParamsDerivativesFile(ostream &output, bool writeDetails) const
|
|
{
|
|
if (!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, true, tef_terms);
|
|
|
|
temporary_terms_t temp_term_union;
|
|
for (const auto &it : params_derivs_temporary_terms)
|
|
writeJsonTemporaryTerms(it.second, temp_term_union, model_output, tef_terms, "all");
|
|
|
|
jacobian_output << R"("deriv_wrt_params": {)"
|
|
<< R"( "neqs": )" << equations.size()
|
|
<< R"(, "nparamcols": )" << symbol_table.param_nbr()
|
|
<< R"(, "entries": [)";
|
|
auto &rp = params_derivatives.find({ 0, 1 })->second;
|
|
for (auto it = rp.begin(); it != rp.end(); ++it)
|
|
{
|
|
if (it != rp.begin())
|
|
jacobian_output << ", ";
|
|
|
|
auto [eq, param] = vectorToTuple<2>(it->first);
|
|
expr_t d1 = it->second;
|
|
|
|
int param_col = symbol_table.getTypeSpecificID(getSymbIDByDerivID(param)) + 1;
|
|
|
|
if (writeDetails)
|
|
jacobian_output << R"({"eq": )" << eq + 1;
|
|
else
|
|
jacobian_output << R"({"row": )" << eq + 1;
|
|
|
|
if (writeDetails)
|
|
jacobian_output << R"(, "param_col": )" << param_col;
|
|
|
|
jacobian_output << R"(, "param": ")" << symbol_table.getName(getSymbIDByDerivID(param)) << R"(")";
|
|
|
|
jacobian_output << R"(, "val": ")";
|
|
d1->writeJsonOutput(jacobian_output, temp_term_union, tef_terms);
|
|
jacobian_output << R"("})" << endl;
|
|
}
|
|
jacobian_output << "]}";
|
|
|
|
hessian_output << R"("deriv_jacobian_wrt_params": {)"
|
|
<< R"( "neqs": )" << equations.size()
|
|
<< R"(, "nvarcols": )" << symbol_table.endo_nbr()
|
|
<< R"(, "nparamcols": )" << symbol_table.param_nbr()
|
|
<< R"(, "entries": [)";
|
|
auto &gp = params_derivatives.find({ 1, 1 })->second;
|
|
for (auto it = gp.begin(); it != gp.end(); ++it)
|
|
{
|
|
if (it != gp.begin())
|
|
hessian_output << ", ";
|
|
|
|
auto [eq, var, param] = vectorToTuple<3>(it->first);
|
|
expr_t d2 = it->second;
|
|
|
|
int var_col = symbol_table.getTypeSpecificID(getSymbIDByDerivID(var)) + 1;
|
|
int param_col = symbol_table.getTypeSpecificID(getSymbIDByDerivID(param)) + 1;
|
|
|
|
if (writeDetails)
|
|
hessian_output << R"({"eq": )" << eq + 1;
|
|
else
|
|
hessian_output << R"({"row": )" << eq + 1;
|
|
|
|
if (writeDetails)
|
|
hessian_output << R"(, "var": ")" << symbol_table.getName(getSymbIDByDerivID(var)) << R"(")"
|
|
<< R"(, "param": ")" << symbol_table.getName(getSymbIDByDerivID(param)) << R"(")";
|
|
|
|
hessian_output << R"(, "var_col": )" << var_col
|
|
<< R"(, "param_col": )" << param_col
|
|
<< R"(, "val": ")";
|
|
d2->writeJsonOutput(hessian_output, temp_term_union, tef_terms);
|
|
hessian_output << R"("})" << endl;
|
|
}
|
|
hessian_output << "]}";
|
|
|
|
hessian1_output << R"("second_deriv_residuals_wrt_params": {)"
|
|
<< R"( "nrows": )" << equations.size()
|
|
<< R"(, "nparam1cols": )" << symbol_table.param_nbr()
|
|
<< R"(, "nparam2cols": )" << symbol_table.param_nbr()
|
|
<< R"(, "entries": [)";
|
|
auto &rpp = params_derivatives.find({ 0, 2 })->second;
|
|
for (auto it = rpp.begin(); it != rpp.end(); ++it)
|
|
{
|
|
if (it != rpp.begin())
|
|
hessian1_output << ", ";
|
|
|
|
auto [eq, param1, param2] = vectorToTuple<3>(it->first);
|
|
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 << R"({"eq": )" << eq + 1;
|
|
else
|
|
hessian1_output << R"({"row": )" << eq + 1;
|
|
|
|
hessian1_output << R"(, "param1_col": )" << param1_col
|
|
<< R"(, "param2_col": )" << param2_col;
|
|
|
|
if (writeDetails)
|
|
hessian1_output << R"(, "param1": ")" << symbol_table.getName(getSymbIDByDerivID(param1)) << R"(")"
|
|
<< R"(, "param2": ")" << symbol_table.getName(getSymbIDByDerivID(param2)) << R"(")";
|
|
|
|
hessian1_output << R"(, "val": ")";
|
|
d2->writeJsonOutput(hessian1_output, temp_term_union, tef_terms);
|
|
hessian1_output << R"("})" << endl;
|
|
}
|
|
hessian1_output << "]}";
|
|
|
|
third_derivs_output << R"("second_deriv_jacobian_wrt_params": {)"
|
|
<< R"( "neqs": )" << equations.size()
|
|
<< R"(, "nvarcols": )" << symbol_table.endo_nbr()
|
|
<< R"(, "nparam1cols": )" << symbol_table.param_nbr()
|
|
<< R"(, "nparam2cols": )" << symbol_table.param_nbr()
|
|
<< R"(, "entries": [)";
|
|
auto &gpp = params_derivatives.find({ 1, 2 })->second;
|
|
for (auto it = gpp.begin(); it != gpp.end(); ++it)
|
|
{
|
|
if (it != gpp.begin())
|
|
third_derivs_output << ", ";
|
|
|
|
auto [eq, var, param1, param2] = vectorToTuple<4>(it->first);
|
|
expr_t d2 = it->second;
|
|
|
|
int var_col = symbol_table.getTypeSpecificID(getSymbIDByDerivID(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 << R"({"eq": )" << eq + 1;
|
|
else
|
|
third_derivs_output << R"({"row": )" << eq + 1;
|
|
third_derivs_output << R"(, "var_col": )" << var_col
|
|
<< R"(, "param1_col": )" << param1_col
|
|
<< R"(, "param2_col": )" << param2_col;
|
|
|
|
if (writeDetails)
|
|
third_derivs_output << R"(, "var": ")" << symbol_table.getName(var) << R"(")"
|
|
<< R"(, "param1": ")" << symbol_table.getName(getSymbIDByDerivID(param1)) << R"(")"
|
|
<< R"(, "param2": ")" << symbol_table.getName(getSymbIDByDerivID(param2)) << R"(")";
|
|
|
|
third_derivs_output << R"(, "val": ")";
|
|
d2->writeJsonOutput(third_derivs_output, temp_term_union, tef_terms);
|
|
third_derivs_output << R"("})" << endl;
|
|
}
|
|
third_derivs_output << "]}" << endl;
|
|
|
|
third_derivs1_output << R"("derivative_hessian_wrt_params": {)"
|
|
<< R"( "neqs": )" << equations.size()
|
|
<< R"(, "nvar1cols": )" << symbol_table.endo_nbr()
|
|
<< R"(, "nvar2cols": )" << symbol_table.endo_nbr()
|
|
<< R"(, "nparamcols": )" << symbol_table.param_nbr()
|
|
<< R"(, "entries": [)";
|
|
auto &hp = params_derivatives.find({ 2, 1 })->second;
|
|
for (auto it = hp.begin(); it != hp.end(); ++it)
|
|
{
|
|
if (it != hp.begin())
|
|
third_derivs1_output << ", ";
|
|
|
|
auto [eq, var1, var2, param] = vectorToTuple<4>(it->first);
|
|
expr_t d2 = it->second;
|
|
|
|
int var1_col = symbol_table.getTypeSpecificID(getSymbIDByDerivID(var1)) + 1;
|
|
int var2_col = symbol_table.getTypeSpecificID(getSymbIDByDerivID(var2)) + 1;
|
|
int param_col = symbol_table.getTypeSpecificID(getSymbIDByDerivID(param)) + 1;
|
|
|
|
if (writeDetails)
|
|
third_derivs1_output << R"({"eq": )" << eq + 1;
|
|
else
|
|
third_derivs1_output << R"({"row": )" << eq + 1;
|
|
|
|
third_derivs1_output << R"(, "var1_col": )" << var1_col
|
|
<< R"(, "var2_col": )" << var2_col
|
|
<< R"(, "param_col": )" << param_col;
|
|
|
|
if (writeDetails)
|
|
third_derivs1_output << R"(, "var1": ")" << symbol_table.getName(getSymbIDByDerivID(var1)) << R"(")"
|
|
<< R"(, "var2": ")" << symbol_table.getName(getSymbIDByDerivID(var2)) << R"(")"
|
|
<< R"(, "param1": ")" << symbol_table.getName(getSymbIDByDerivID(param)) << R"(")";
|
|
|
|
third_derivs1_output << R"(, "val": ")";
|
|
d2->writeJsonOutput(third_derivs1_output, temp_term_union, tef_terms);
|
|
third_derivs1_output << R"("})" << endl;
|
|
}
|
|
third_derivs1_output << "]}" << endl;
|
|
|
|
if (writeDetails)
|
|
output << R"("static_model_params_derivative": {)";
|
|
else
|
|
output << R"("static_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()
|
|
<< "}";
|
|
}
|