preprocessor/src/DynamicModel.hh

580 lines
26 KiB
C++

/*
* Copyright (C) 2003-2018 Dynare Team
*
* This file is part of Dynare.
*
* Dynare is free software: you can redistribute it and/or modify
* it under the terms of the GNU General Public License as published by
* the Free Software Foundation, either version 3 of the License, or
* (at your option) any later version.
*
* Dynare is distributed in the hope that it will be useful,
* but WITHOUT ANY WARRANTY; without even the implied warranty of
* MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the
* GNU General Public License for more details.
*
* You should have received a copy of the GNU General Public License
* along with Dynare. If not, see <http://www.gnu.org/licenses/>.
*/
#ifndef _DYNAMICMODEL_HH
#define _DYNAMICMODEL_HH
using namespace std;
#define ZERO_BAND 1e-8
#include <fstream>
#include <boost/crc.hpp>
#include "StaticModel.hh"
//! Stores a dynamic model
class DynamicModel : public ModelTree
{
private:
//! Stores equations declared as [static]
/*! They will be used in toStatic() to replace equations marked as [dynamic] */
vector<BinaryOpNode *> static_only_equations;
//! Stores line numbers of equations declared as [static]
vector<int> static_only_equations_lineno;
//! Stores the equation tags of equations declared as [static]
vector<vector<pair<string, string> > > static_only_equations_equation_tags;
typedef map<pair<int, int>, int> deriv_id_table_t;
//! Maps a pair (symbol_id, lag) to a deriv ID
deriv_id_table_t deriv_id_table;
//! Maps a deriv ID to a pair (symbol_id, lag)
vector<pair<int, int> > inv_deriv_id_table;
//! Maps a deriv_id to the column index of the dynamic Jacobian
/*! Contains only endogenous, exogenous and exogenous deterministic */
map<int, int> dyn_jacobian_cols_table;
//! Maximum lag and lead over all types of variables (positive values)
/*! Set by computeDerivIDs() */
int max_lag, max_lead;
//! Maximum lag and lead over endogenous variables (positive values)
/*! Set by computeDerivIDs() */
int max_endo_lag, max_endo_lead;
//! Maximum lag and lead over exogenous variables (positive values)
/*! Set by computeDerivIDs() */
int max_exo_lag, max_exo_lead;
//! Maximum lag and lead over deterministic exogenous variables (positive values)
/*! Set by computeDerivIDs() */
int max_exo_det_lag, max_exo_det_lead;
//! Maximum lag and lead over all types of variables (positive values) of original model
int max_lag_orig, max_lead_orig;
//! Maximum lag and lead over endogenous variables (positive values) of original model
int max_endo_lag_orig, max_endo_lead_orig;
//! Maximum lag and lead over exogenous variables (positive values) of original model
int max_exo_lag_orig, max_exo_lead_orig;
//! Maximum lag and lead over deterministic exogenous variables (positive values) of original model
int max_exo_det_lag_orig, max_exo_det_lead_orig;
//! Cross reference information
map<int, ExprNode::EquationInfo> xrefs;
map<pair<int, int>, set<int> > xref_param;
map<pair<int, int>, set<int> > xref_endo;
map<pair<int, int>, set<int> > xref_exo;
map<pair<int, int>, set<int> > xref_exo_det;
//! Nonzero equations in the Hessian
map<int, string> nonzero_hessian_eqs;
//! Number of columns of dynamic jacobian
/*! Set by computeDerivID()s and computeDynJacobianCols() */
int dynJacobianColsNbr;
//! Temporary terms for block decomposed models
vector< vector<temporary_terms_t> > v_temporary_terms;
vector<temporary_terms_inuse_t> v_temporary_terms_inuse;
//! Store the derivatives or the chainrule derivatives:map<pair< equation, pair< variable, lead_lag >, expr_t>
typedef map< pair< int, pair< int, int> >, expr_t> first_chain_rule_derivatives_t;
first_chain_rule_derivatives_t first_chain_rule_derivatives;
//! Writes dynamic model file (Matlab version)
void writeDynamicMFile(const string &dynamic_basename) const;
//! Writes dynamic model file (Julia version)
void writeDynamicJuliaFile(const string &dynamic_basename) const;
//! Writes dynamic model file (C version)
/*! \todo add third derivatives handling */
void writeDynamicCFile(const string &dynamic_basename, const int order) const;
//! Writes dynamic model file when SparseDLL option is on
void writeSparseDynamicMFile(const string &dynamic_basename, const string &basename) const;
//! Writes the dynamic model equations and its derivatives
/*! \todo add third derivatives handling in C output */
void writeDynamicModel(ostream &DynamicOutput, bool use_dll, bool julia) const;
//! Writes the Block reordred structure of the model in M output
void writeModelEquationsOrdered_M(const string &dynamic_basename) const;
//! Writes the code of the Block reordred structure of the model in virtual machine bytecode
void writeModelEquationsCode_Block(string &file_name, const string &bin_basename, const map_idx_t &map_idx) const;
//! Writes the code of the model in virtual machine bytecode
void writeModelEquationsCode(string &file_name, const string &bin_basename, const map_idx_t &map_idx) const;
//! Computes jacobian and prepares for equation normalization
/*! Using values from initval/endval blocks and parameter initializations:
- computes the jacobian for the model w.r. to contemporaneous variables
- removes edges of the incidence matrix when derivative w.r. to the corresponding variable is too close to zero (below the cutoff)
*/
//void evaluateJacobian(const eval_context_t &eval_context, jacob_map *j_m, bool dynamic);
//! return a map on the block jacobian
map<pair<pair<int, pair<int, int> >, pair<int, int> >, int> get_Derivatives(int block);
//! Computes chain rule derivatives of the Jacobian w.r. to endogenous variables
void computeChainRuleJacobian(blocks_derivatives_t &blocks_derivatives);
string reform(string name) const;
map_idx_t map_idx;
//! sorts the temporary terms in the blocks order
void computeTemporaryTermsOrdered();
//! creates a mapping from the index of temporary terms to a natural index
void computeTemporaryTermsMapping();
//! Write derivative code of an equation w.r. to a variable
void compileDerivative(ofstream &code_file, unsigned int &instruction_number, int eq, int symb_id, int lag, const map_idx_t &map_idx) const;
//! Write chain rule derivative code of an equation w.r. to a variable
void compileChainRuleDerivative(ofstream &code_file, unsigned int &instruction_number, int eq, int var, int lag, const map_idx_t &map_idx) const;
//! Get the type corresponding to a derivation ID
virtual SymbolType getTypeByDerivID(int deriv_id) const throw (UnknownDerivIDException);
//! Get the lag corresponding to a derivation ID
virtual int getLagByDerivID(int deriv_id) const throw (UnknownDerivIDException);
//! Get the symbol ID corresponding to a derivation ID
virtual int getSymbIDByDerivID(int deriv_id) const throw (UnknownDerivIDException);
//! Compute the column indices of the dynamic Jacobian
void computeDynJacobianCols(bool jacobianExo);
//! Computes derivatives of the Jacobian w.r. to trend vars and tests that they are equal to zero
void testTrendDerivativesEqualToZero(const eval_context_t &eval_context);
//! Collect only the first derivatives
map<pair<int, pair<int, int> >, expr_t> collect_first_order_derivatives_endogenous();
//! Allocates the derivation IDs for all dynamic variables of the model
/*! Also computes max_{endo,exo}_{lead_lag}, and initializes dynJacobianColsNbr to the number of dynamic endos */
void computeDerivIDs();
//! Write chain rule derivative of a recursive equation w.r. to a variable
void writeChainRuleDerivative(ostream &output, int eq, int var, int lag, ExprNodeOutputType output_type, const temporary_terms_t &temporary_terms) const;
//! Collecte the derivatives w.r. to endogenous of the block, to endogenous of previouys blocks and to exogenous
void collect_block_first_order_derivatives();
//! Collecte the informations about exogenous, deterministic exogenous and endogenous from the previous block for each block
void collectBlockVariables();
//! Factorized code for substitutions of leads/lags
/*! \param[in] type determines which type of variables is concerned
\param[in] deterministic_model whether we are in a deterministic model (only for exogenous leads/lags)
\param[in] subset variables to which to apply the transformation (only for diff of forward vars)
*/
void substituteLeadLagInternal(aux_var_t type, bool deterministic_model, const vector<string> &subset);
private:
//! Indicate if the temporary terms are computed for the overall model (true) or not (false). Default value true
bool global_temporary_terms;
//! Vector describing equations: BlockSimulationType, if BlockSimulationType == EVALUATE_s then a expr_t on the new normalized equation
equation_type_and_normalized_equation_t equation_type_and_normalized_equation;
//! for each block contains pair< Simulation_Type, pair < Block_Size, Recursive_part_Size > >
block_type_firstequation_size_mfs_t block_type_firstequation_size_mfs;
//! for all blocks derivatives description
blocks_derivatives_t blocks_derivatives;
//! The jacobian without the elements below the cutoff
dynamic_jacob_map_t dynamic_jacobian;
//! Vector indicating if the block is linear in endogenous variable (true) or not (false)
vector<bool> blocks_linear;
//! Map the derivatives for a block pair<lag, make_pair(make_pair(eq, var)), expr_t>
typedef map<pair< int, pair<int, int> >, expr_t> derivative_t;
//! Vector of derivative for each blocks
vector<derivative_t> derivative_endo, derivative_other_endo, derivative_exo, derivative_exo_det;
//!List for each block and for each lag-lead all the other endogenous variables and exogenous variables
typedef set<int> var_t;
typedef map<int, var_t> lag_var_t;
vector<lag_var_t> other_endo_block, exo_block, exo_det_block;
//!List for each block the exogenous variables
vector<pair<var_t, int> > block_var_exo;
map< int, map<int, int> > block_exo_index, block_det_exo_index, block_other_endo_index;
//! for each block described the number of static, forward, backward and mixed variables in the block
/*! pair< pair<static, forward>, pair<backward,mixed> > */
vector<pair< pair<int, int>, pair<int, int> > > block_col_type;
//! Help computeXrefs to compute the reverse references (i.e. param->eqs, endo->eqs, etc)
void computeRevXref(map<pair<int, int>, set<int> > &xrefset, const set<pair<int, int> > &eiref, int eqn);
//! Write reverse cross references
void writeRevXrefs(ostream &output, const map<pair<int, int>, set<int> > &xrefmap, const string &type) const;
//! List for each variable its block number and its maximum lag and lead inside the block
vector<pair<int, pair<int, int> > > variable_block_lead_lag;
//! List for each equation its block number
vector<int> equation_block;
//!Maximum lead and lag for each block on endogenous of the block, endogenous of the previous blocks, exogenous and deterministic exogenous
vector<pair<int, int> > endo_max_leadlag_block, other_endo_max_leadlag_block, exo_max_leadlag_block, exo_det_max_leadlag_block, max_leadlag_block;
public:
DynamicModel(SymbolTable &symbol_table_arg, NumericalConstants &num_constants_arg, ExternalFunctionsTable &external_functions_table_argx);
//! Adds a variable node
/*! This implementation allows for non-zero lag */
virtual VariableNode *AddVariable(int symb_id, int lag = 0);
//! Compute cross references
void computeXrefs();
//! Write cross references
void writeXrefs(ostream &output) const;
//! Execute computations (variable sorting + derivation)
/*!
\param jacobianExo whether derivatives w.r. to exo and exo_det should be in the Jacobian (derivatives w.r. to endo are always computed)
\param hessian whether 2nd derivatives w.r. to exo, exo_det and endo should be computed (implies jacobianExo = true)
\param thirdDerivatives whether 3rd derivatives w.r. to endo/exo/exo_det should be computed (implies jacobianExo = true)
\param paramsDerivsOrder order of derivatives w.r. to a pair (endo/exo/exo_det, parameter) to be computed (>0 implies jacobianExo = true)
\param eval_context evaluation context for normalization
\param no_tmp_terms if true, no temporary terms will be computed in the dynamic files
*/
void computingPass(bool jacobianExo, bool hessian, bool thirdDerivatives, int paramsDerivsOrder,
const eval_context_t &eval_context, bool no_tmp_terms, bool block, bool use_dll, bool bytecode, const bool nopreprocessoroutput);
//! Writes model initialization and lead/lag incidence matrix to output
void writeOutput(ostream &output, const string &basename, bool block, bool byte_code, bool use_dll, int order, bool estimation_present, bool compute_xrefs, bool julia) const;
//! Write JSON Output
void writeJsonOutput(ostream &output) const;
//! Write JSON Output representation of original dynamic model
void writeJsonOriginalModelOutput(ostream &output) const;
//! Write JSON Output representation of model info (useful stuff from M_)
void writeJsonDynamicModelInfo(ostream &output) const;
//! Write JSON Output representation of dynamic model after computing pass
void writeJsonComputingPassOutput(ostream &output, bool writeDetails) const;
//! Write JSON prams derivatives file
void writeJsonParamsDerivativesFile(ostream &output, bool writeDetails) const;
//! Write cross reference output if the xref maps have been filed
void writeJsonXrefs(ostream &output) const;
void writeJsonXrefsHelper(ostream &output, const map<pair<int, int>, set<int> > &xrefs) const;
//! Print equations that have non-zero second derivatives
void printNonZeroHessianEquations(ostream &output) const;
//! Set the equations that have non-zero second derivatives
void setNonZeroHessianEquations(map<int, string> &eqs);
//! Adds informations for simulation in a binary file
void Write_Inf_To_Bin_File_Block(const string &dynamic_basename, const string &bin_basename,
const int &num, int &u_count_int, bool &file_open, bool is_two_boundaries) const;
//! Writes dynamic model file
void writeDynamicFile(const string &basename, bool block, bool bytecode, bool use_dll, int order, bool julia) const;
//! Writes file containing parameters derivatives
void writeParamsDerivativesFile(const string &basename, bool julia) const;
//! Converts to static model (only the equations)
/*! It assumes that the static model given in argument has just been allocated */
void toStatic(StaticModel &static_model) const;
//! Find endogenous variables not used in model
set<int> findUnusedEndogenous();
//! Find exogenous variables not used in model
set<int> findUnusedExogenous();
//! Set the max leads/lags of the original model
void setLeadsLagsOrig();
//! Copies a dynamic model (only the equations)
/*! It assumes that the dynamic model given in argument has just been allocated */
void cloneDynamic(DynamicModel &dynamic_model) const;
//! Replaces model equations with derivatives of Lagrangian w.r.t. endogenous
void computeRamseyPolicyFOCs(const StaticModel &static_model, const bool nopreprocessoroutput);
//! Replaces the model equations in dynamic_model with those in this model
void replaceMyEquations(DynamicModel &dynamic_model) const;
//! Adds an equation marked as [static]
void addStaticOnlyEquation(expr_t eq, int lineno, const vector<pair<string, string> > &eq_tags);
//! Returns number of static only equations
size_t staticOnlyEquationsNbr() const;
//! Returns number of dynamic only equations
size_t dynamicOnlyEquationsNbr() const;
//! Writes LaTeX file with the equations of the dynamic model
void writeLatexFile(const string &basename, const bool write_equation_tags) const;
//! Writes LaTeX file with the equations of the dynamic model (for the original model)
void writeLatexOriginalFile(const string &basename, const bool write_equation_tags) const;
virtual int getDerivID(int symb_id, int lag) const throw (UnknownDerivIDException);
virtual int getDynJacobianCol(int deriv_id) const throw (UnknownDerivIDException);
virtual void addAllParamDerivId(set<int> &deriv_id_set);
//! Returns true indicating that this is a dynamic model
virtual bool
isDynamic() const
{
return true;
};
//! Drive test of detrended equations
void runTrendTest(const eval_context_t &eval_context);
//! Transforms the model by removing all leads greater or equal than 2 on endos
/*! Note that this can create new lags on endos and exos */
void substituteEndoLeadGreaterThanTwo(bool deterministic_model);
//! Transforms the model by removing all lags greater or equal than 2 on endos
void substituteEndoLagGreaterThanTwo(bool deterministic_model);
//! Transforms the model by removing all leads on exos
/*! Note that this can create new lags on endos and exos */
void substituteExoLead(bool deterministic_model);
//! Transforms the model by removing all lags on exos
void substituteExoLag(bool deterministic_model);
//! Transforms the model by removing all oExpectation
void substituteExpectation(bool partial_information_model);
//! Transforms the model by decreasing the lead/lag of predetermined variables in model equations by one
void transformPredeterminedVariables();
//! Transforms the model by removing trends specified by the user
void detrendEquations();
//! Transforms the model by replacing trend variables with a 1
void removeTrendVariableFromEquations();
//! Transforms the model by creating aux vars for the diff of forward vars
/*! If subset is empty, does the transformation for all fwrd vars; otherwise
restrict it to the vars in subset */
void differentiateForwardVars(const vector<string> &subset);
//! Fills eval context with values of model local variables and auxiliary variables
void fillEvalContext(eval_context_t &eval_context) const;
//! Return the number of blocks
virtual unsigned int
getNbBlocks() const
{
return (block_type_firstequation_size_mfs.size());
};
//! Determine the simulation type of each block
virtual BlockSimulationType
getBlockSimulationType(int block_number) const
{
return (block_type_firstequation_size_mfs[block_number].first.first);
};
//! Return the first equation number of a block
virtual unsigned int
getBlockFirstEquation(int block_number) const
{
return (block_type_firstequation_size_mfs[block_number].first.second);
};
//! Return the size of the block block_number
virtual unsigned int
getBlockSize(int block_number) const
{
return (block_type_firstequation_size_mfs[block_number].second.first);
};
//! Return the number of exogenous variable in the block block_number
virtual unsigned int
getBlockExoSize(int block_number) const
{
return (block_var_exo[block_number].first.size());
};
//! Return the number of colums in the jacobian matrix for exogenous variable in the block block_number
virtual unsigned int
getBlockExoColSize(int block_number) const
{
return (block_var_exo[block_number].second);
};
//! Return the number of feedback variable of the block block_number
virtual unsigned int
getBlockMfs(int block_number) const
{
return (block_type_firstequation_size_mfs[block_number].second.second);
};
//! Return the maximum lag in a block
virtual unsigned int
getBlockMaxLag(int block_number) const
{
return (block_lag_lead[block_number].first);
};
//! Return the maximum lead in a block
virtual unsigned int
getBlockMaxLead(int block_number) const
{
return (block_lag_lead[block_number].second);
};
//! Return the type of equation (equation_number) belonging to the block block_number
virtual EquationType
getBlockEquationType(int block_number, int equation_number) const
{
return (equation_type_and_normalized_equation[equation_reordered[block_type_firstequation_size_mfs[block_number].first.second+equation_number]].first);
};
//! Return true if the equation has been normalized
virtual bool
isBlockEquationRenormalized(int block_number, int equation_number) const
{
return (equation_type_and_normalized_equation[equation_reordered[block_type_firstequation_size_mfs[block_number].first.second+equation_number]].first == E_EVALUATE_S);
};
//! Return the expr_t of the equation equation_number belonging to the block block_number
virtual expr_t
getBlockEquationExpr(int block_number, int equation_number) const
{
return (equations[equation_reordered[block_type_firstequation_size_mfs[block_number].first.second+equation_number]]);
};
//! Return the expr_t of the renormalized equation equation_number belonging to the block block_number
virtual expr_t
getBlockEquationRenormalizedExpr(int block_number, int equation_number) const
{
return (equation_type_and_normalized_equation[equation_reordered[block_type_firstequation_size_mfs[block_number].first.second+equation_number]].second);
};
//! Return the original number of equation equation_number belonging to the block block_number
virtual int
getBlockEquationID(int block_number, int equation_number) const
{
return (equation_reordered[block_type_firstequation_size_mfs[block_number].first.second+equation_number]);
};
//! Return the original number of variable variable_number belonging to the block block_number
virtual int
getBlockVariableID(int block_number, int variable_number) const
{
return (variable_reordered[block_type_firstequation_size_mfs[block_number].first.second+variable_number]);
};
//! Return the original number of the exogenous variable varexo_number belonging to the block block_number
virtual int
getBlockVariableExoID(int block_number, int variable_number) const
{
map<int, var_t>::const_iterator it = exo_block[block_number].find(variable_number);
return (it->first);
};
//! Return the position of equation_number in the block number belonging to the block block_number
virtual int
getBlockInitialEquationID(int block_number, int equation_number) const
{
return ((int) inv_equation_reordered[equation_number] - (int) block_type_firstequation_size_mfs[block_number].first.second);
};
//! Return the position of variable_number in the block number belonging to the block block_number
virtual int
getBlockInitialVariableID(int block_number, int variable_number) const
{
return ((int) inv_variable_reordered[variable_number] - (int) block_type_firstequation_size_mfs[block_number].first.second);
};
//! Return the block number containing the endogenous variable variable_number
int
getBlockVariableID(int variable_number) const
{
return (variable_block_lead_lag[variable_number].first);
};
//! Return the position of the exogenous variable_number in the block number belonging to the block block_number
virtual int
getBlockInitialExogenousID(int block_number, int variable_number) const
{
map< int, map<int, int> >::const_iterator it = block_exo_index.find(block_number);
if (it != block_exo_index.end())
{
map<int, int>::const_iterator it1 = it->second.find(variable_number);
if (it1 != it->second.end())
return it1->second;
else
return -1;
}
else
return (-1);
};
//! Return the position of the deterministic exogenous variable_number in the block number belonging to the block block_number
virtual int
getBlockInitialDetExogenousID(int block_number, int variable_number) const
{
map< int, map<int, int> >::const_iterator it = block_det_exo_index.find(block_number);
if (it != block_det_exo_index.end())
{
map<int, int>::const_iterator it1 = it->second.find(variable_number);
if (it1 != it->second.end())
return it1->second;
else
return -1;
}
else
return (-1);
};
//! Return the position of the other endogenous variable_number in the block number belonging to the block block_number
virtual int
getBlockInitialOtherEndogenousID(int block_number, int variable_number) const
{
map< int, map<int, int> >::const_iterator it = block_other_endo_index.find(block_number);
if (it != block_other_endo_index.end())
{
map<int, int>::const_iterator it1 = it->second.find(variable_number);
if (it1 != it->second.end())
return it1->second;
else
return -1;
}
else
return (-1);
};
bool isModelLocalVariableUsed() const;
//! Returns true if a parameter was used in the model block with a lead or lag
bool ParamUsedWithLeadLag() const;
//! Writes model initialization and lead/lag incidence matrix to C output
void writeCOutput(ostream &output, const string &basename, bool block, bool byte_code, bool use_dll, int order, bool estimation_present) const;
//! Writes model initialization and lead/lag incidence matrix to Cpp output
void writeCCOutput(ostream &output, const string &basename, bool block, bool byte_code, bool use_dll, int order, bool estimation_present) const;
//! Writes C file containing residuals
void writeResidualsC(const string &basename, bool cuda) const;
//! Writes C file containing first order derivatives of model evaluated at steady state
void writeFirstDerivativesC(const string &basename, bool cuda) const;
//! Writes C file containing first order derivatives of model evaluated at steady state (conpressed sparse column)
void writeFirstDerivativesC_csr(const string &basename, bool cuda) const;
//! Writes C file containing second order derivatives of model evaluated at steady state (compressed sparse column)
void writeSecondDerivativesC_csr(const string &basename, bool cuda) const;
//! Writes C file containing third order derivatives of model evaluated at steady state (compressed sparse column)
void writeThirdDerivativesC_csr(const string &basename, bool cuda) const;
bool isChecksumMatching(const string &basename) const;
};
//! Classes to re-order derivatives for various sparse storage formats
class derivative
{
public:
long unsigned int linear_address;
long unsigned int col_nbr;
unsigned int row_nbr;
expr_t value;
derivative(long unsigned int arg1, long unsigned int arg2, int arg3, expr_t arg4) :
linear_address(arg1), col_nbr(arg2), row_nbr(arg3), value(arg4)
{
};
};
class derivative_less_than
{
public:
bool
operator()(const derivative &d1, const derivative &d2) const
{
return d1.linear_address < d2.linear_address;
}
};
#endif