413 lines
22 KiB
C++
413 lines
22 KiB
C++
/*
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* Copyright (C) 2003-2017 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 <http://www.gnu.org/licenses/>.
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*/
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#ifndef _MODELTREE_HH
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#define _MODELTREE_HH
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using namespace std;
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#include <string>
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#include <vector>
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#include <deque>
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#include <map>
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#include <ostream>
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#include "DataTree.hh"
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#include "ExtendedPreprocessorTypes.hh"
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//! Vector describing equations: BlockSimulationType, if BlockSimulationType == EVALUATE_s then a expr_t on the new normalized equation
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typedef vector<pair<EquationType, expr_t > > equation_type_and_normalized_equation_t;
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//! Vector describing variables: max_lag in the block, max_lead in the block
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typedef vector<pair< int, int> > lag_lead_vector_t;
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//! for each block contains pair< pair<Simulation_Type, first_equation>, pair < Block_Size, Recursive_part_Size > >
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typedef vector<pair< pair< BlockSimulationType, int>, pair<int, int> > > block_type_firstequation_size_mfs_t;
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//! for a block contains derivatives pair< pair<block_equation_number, block_variable_number> , pair<lead_lag, expr_t> >
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typedef vector< pair<pair<int, int>, pair< int, expr_t > > > block_derivatives_equation_variable_laglead_nodeid_t;
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//! for all blocks derivatives description
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typedef vector<block_derivatives_equation_variable_laglead_nodeid_t> blocks_derivatives_t;
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//! Shared code for static and dynamic models
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class ModelTree : public DataTree
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{
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friend class DynamicModel;
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friend class StaticModel;
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protected:
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//! Stores declared and generated auxiliary equations
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vector<BinaryOpNode *> equations;
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//! Stores line numbers of declared equations; -1 means undefined
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vector<int> equations_lineno;
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//! Only stores generated auxiliary equations, in an order meaningful for evaluation
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deque<BinaryOpNode *> aux_equations;
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//! Stores equation tags
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vector<pair<int, pair<string, string> > > equation_tags;
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//! Number of non-zero derivatives
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int NNZDerivatives[3];
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typedef map<pair<int, int>, expr_t> first_derivatives_t;
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//! First order derivatives
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/*! First index is equation number, second is variable w.r. to which is computed the derivative.
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Only non-null derivatives are stored in the map.
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Variable indices are those of the getDerivID() method.
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*/
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first_derivatives_t first_derivatives;
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typedef map<pair<int, pair<int, int> >, expr_t> second_derivatives_t;
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//! Second order derivatives
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/*! First index is equation number, second and third are variables w.r. to which is computed the derivative.
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Only non-null derivatives are stored in the map.
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Contains only second order derivatives where var1 >= var2 (for obvious symmetry reasons).
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Variable indices are those of the getDerivID() method.
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*/
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second_derivatives_t second_derivatives;
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typedef map<pair<int, pair<int, pair<int, int> > >, expr_t> third_derivatives_t;
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//! Third order derivatives
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/*! First index is equation number, second, third and fourth are variables w.r. to which is computed the derivative.
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Only non-null derivatives are stored in the map.
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Contains only third order derivatives where var1 >= var2 >= var3 (for obvious symmetry reasons).
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Variable indices are those of the getDerivID() method.
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*/
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third_derivatives_t third_derivatives;
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//! Derivatives of the residuals w.r. to parameters
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/*! First index is equation number, second is parameter.
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Only non-null derivatives are stored in the map.
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Parameter indices are those of the getDerivID() method.
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*/
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first_derivatives_t residuals_params_derivatives;
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//! Second derivatives of the residuals w.r. to parameters
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/*! First index is equation number, second and third indeces are parameters.
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Only non-null derivatives are stored in the map.
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Parameter indices are those of the getDerivID() method.
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*/
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second_derivatives_t residuals_params_second_derivatives;
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//! Derivatives of the jacobian w.r. to parameters
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/*! First index is equation number, second is endo/exo/exo_det variable, and third is parameter.
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Only non-null derivatives are stored in the map.
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Variable and parameter indices are those of the getDerivID() method.
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*/
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second_derivatives_t jacobian_params_derivatives;
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//! Second derivatives of the jacobian w.r. to parameters
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/*! First index is equation number, second is endo/exo/exo_det variable, and third and fourth are parameters.
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Only non-null derivatives are stored in the map.
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Variable and parameter indices are those of the getDerivID() method.
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*/
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third_derivatives_t jacobian_params_second_derivatives;
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//! Derivatives of the hessian w.r. to parameters
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/*! First index is equation number, first and second are endo/exo/exo_det variable, and third is parameter.
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Only non-null derivatives are stored in the map.
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Variable and parameter indices are those of the getDerivID() method.
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*/
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third_derivatives_t hessian_params_derivatives;
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//! Temporary terms for the static/dynamic file (those which will be noted Txxxx)
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temporary_terms_t temporary_terms;
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temporary_terms_t temporary_terms_res;
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temporary_terms_t temporary_terms_g1;
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temporary_terms_t temporary_terms_g2;
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temporary_terms_t temporary_terms_g3;
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//! Temporary terms for the file containing parameters derivatives
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temporary_terms_t params_derivs_temporary_terms;
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temporary_terms_t params_derivs_temporary_terms_res;
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temporary_terms_t params_derivs_temporary_terms_g1;
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temporary_terms_t params_derivs_temporary_terms_res2;
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temporary_terms_t params_derivs_temporary_terms_g12;
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temporary_terms_t params_derivs_temporary_terms_g2;
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//! Trend variables and their growth factors
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map<int, expr_t> trend_symbols_map;
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//! for all trends; the boolean is true if this is a log-trend, false otherwise
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typedef map<int, pair<bool, expr_t> > nonstationary_symbols_map_t;
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//! Nonstationary variables and their deflators
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nonstationary_symbols_map_t nonstationary_symbols_map;
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//! vector of block reordered variables and equations
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vector<int> equation_reordered, variable_reordered, inv_equation_reordered, inv_variable_reordered;
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//! the file containing the model and the derivatives code
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ofstream code_file;
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//! Computes 1st derivatives
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/*! \param vars the derivation IDs w.r. to which compute the derivatives */
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void computeJacobian(const set<int> &vars);
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//! Computes 2nd derivatives
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/*! \param vars the derivation IDs w.r. to which derive the 1st derivatives */
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void computeHessian(const set<int> &vars);
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//! Computes 3rd derivatives
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/*! \param vars the derivation IDs w.r. to which derive the 2nd derivatives */
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void computeThirdDerivatives(const set<int> &vars);
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//! Computes derivatives of the Jacobian and Hessian w.r. to parameters
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void computeParamsDerivatives(int paramsDerivsOrder);
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//! Write derivative of an equation w.r. to a variable
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void writeDerivative(ostream &output, int eq, int symb_id, int lag, ExprNodeOutputType output_type, const temporary_terms_t &temporary_terms) const;
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//! Computes temporary terms (for all equations and derivatives)
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void computeTemporaryTerms(bool is_matlab);
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//! Computes temporary terms for the file containing parameters derivatives
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void computeParamsDerivativesTemporaryTerms();
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//! Writes temporary terms
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void writeTemporaryTerms(const temporary_terms_t &tt, const temporary_terms_t &ttm1, ostream &output, ExprNodeOutputType output_type, deriv_node_temp_terms_t &tef_terms) const;
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void writeJsonTemporaryTerms(const temporary_terms_t &tt, const temporary_terms_t &ttm1, ostream &output, deriv_node_temp_terms_t &tef_terms, string &concat) const;
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//! Compiles temporary terms
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void compileTemporaryTerms(ostream &code_file, unsigned int &instruction_number, const temporary_terms_t &tt, map_idx_t map_idx, bool dynamic, bool steady_dynamic) const;
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//! Adds informations for simulation in a binary file
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void Write_Inf_To_Bin_File(const string &basename, int &u_count_int, bool &file_open, bool is_two_boundaries, int block_mfs) const;
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//! Fixes output when there are more than 32 nested parens, Issue #1201
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void fixNestedParenthesis(ostringstream &output, map<string, string> &tmp_paren_vars, bool &message_printed) const;
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//! Tests if string contains more than 32 nested parens, Issue #1201
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bool testNestedParenthesis(const string &str) const;
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//! Writes model local variables
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/*! No temporary term is used in the output, so that local parameters declarations can be safely put before temporary terms declaration in the output files */
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void writeModelLocalVariables(ostream &output, ExprNodeOutputType output_type, deriv_node_temp_terms_t &tef_terms) const;
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//! Writes model equations
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void writeModelEquations(ostream &output, ExprNodeOutputType output_type) const;
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//! Writes JSON model equations
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//! if residuals = true, we are writing the dynamic/static model.
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//! Otherwise, just the model equations (with line numbers, no tmp terms)
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void writeJsonModelEquations(ostream &output, bool residuals) const;
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void writeJsonModelLocalVariables(ostream &output, deriv_node_temp_terms_t &tef_terms) const;
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//! Compiles model equations
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void compileModelEquations(ostream &code_file, unsigned int &instruction_number, const temporary_terms_t &tt, const map_idx_t &map_idx, bool dynamic, bool steady_dynamic) const;
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//! Writes LaTeX model file
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void writeLatexModelFile(const string &basename, ExprNodeOutputType output_type, const bool write_equation_tags) const;
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//! Sparse matrix of double to store the values of the Jacobian
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/*! First index is equation number, second index is endogenous type specific ID */
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typedef map<pair<int, int>, double> jacob_map_t;
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//! Sparse matrix of double to store the values of the Jacobian
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/*! First index is lag, second index is equation number, third index is endogenous type specific ID */
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typedef map<pair<int, pair<int, int> >, expr_t> dynamic_jacob_map_t;
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//! Normalization of equations
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/*! Maps endogenous type specific IDs to equation numbers */
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vector<int> endo2eq;
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//! number of equation in the prologue and in the epilogue
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unsigned int epilogue, prologue;
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//! for each block contains pair< max_lag, max_lead>
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lag_lead_vector_t block_lag_lead;
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//! Compute the matching between endogenous and variable using the jacobian contemporaneous_jacobian
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/*!
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\param contemporaneous_jacobian Jacobian used as an incidence matrix: all elements declared in the map (even if they are zero), are used as vertices of the incidence matrix
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\return True if a complete normalization has been achieved
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*/
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bool computeNormalization(const jacob_map_t &contemporaneous_jacobian, bool verbose);
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//! Try to compute the matching between endogenous and variable using a decreasing cutoff
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/*!
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Applied to the jacobian contemporaneous_jacobian and stop when a matching is found.
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If no matching is found using a strictly positive cutoff, then a zero cutoff is applied (i.e. use a symbolic normalization); in that case, the method adds zeros in the jacobian matrices to reflect all the edges in the symbolic incidence matrix.
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If no matching is found with a zero cutoff close to zero an error message is printout.
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*/
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void computeNonSingularNormalization(jacob_map_t &contemporaneous_jacobian, double cutoff, jacob_map_t &static_jacobian, dynamic_jacob_map_t &dynamic_jacobian);
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//! Try to normalized each unnormalized equation (matched endogenous variable only on the LHS)
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void computeNormalizedEquations(multimap<int, int> &endo2eqs) const;
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//! Evaluate the jacobian and suppress all the elements below the cutoff
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void evaluateAndReduceJacobian(const eval_context_t &eval_context, jacob_map_t &contemporaneous_jacobian, jacob_map_t &static_jacobian, dynamic_jacob_map_t &dynamic_jacobian, double cutoff, bool verbose);
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//! Search the equations and variables belonging to the prologue and the epilogue of the model
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void computePrologueAndEpilogue(const jacob_map_t &static_jacobian, vector<int> &equation_reordered, vector<int> &variable_reordered);
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//! Determine the type of each equation of model and try to normalized the unnormalized equation using computeNormalizedEquations
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equation_type_and_normalized_equation_t equationTypeDetermination(const map<pair<int, pair<int, int> >, expr_t> &first_order_endo_derivatives, const vector<int> &Index_Var_IM, const vector<int> &Index_Equ_IM, int mfs) const;
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//! Compute the block decomposition and for a non-recusive block find the minimum feedback set
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void computeBlockDecompositionAndFeedbackVariablesForEachBlock(const jacob_map_t &static_jacobian, const dynamic_jacob_map_t &dynamic_jacobian, vector<int> &equation_reordered, vector<int> &variable_reordered, vector<pair<int, int> > &blocks, const equation_type_and_normalized_equation_t &Equation_Type, bool verbose_, bool select_feedback_variable, int mfs, vector<int> &inv_equation_reordered, vector<int> &inv_variable_reordered, lag_lead_vector_t &equation_lag_lead, lag_lead_vector_t &variable_lag_lead_t, vector<unsigned int> &n_static, vector<unsigned int> &n_forward, vector<unsigned int> &n_backward, vector<unsigned int> &n_mixed) const;
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//! Reduce the number of block merging the same type equation in the prologue and the epilogue and determine the type of each block
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block_type_firstequation_size_mfs_t reduceBlocksAndTypeDetermination(const dynamic_jacob_map_t &dynamic_jacobian, vector<pair<int, int> > &blocks, const equation_type_and_normalized_equation_t &Equation_Type, const vector<int> &variable_reordered, const vector<int> &equation_reordered, vector<unsigned int> &n_static, vector<unsigned int> &n_forward, vector<unsigned int> &n_backward, vector<unsigned int> &n_mixed, vector<pair< pair<int, int>, pair<int, int> > > &block_col_type);
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//! Determine the maximum number of lead and lag for the endogenous variable in a bloc
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void getVariableLeadLagByBlock(const dynamic_jacob_map_t &dynamic_jacobian, const vector<int> &components_set, int nb_blck_sim, lag_lead_vector_t &equation_lead_lag, lag_lead_vector_t &variable_lead_lag, const vector<int> &equation_reordered, const vector<int> &variable_reordered) const;
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//! Print an abstract of the block structure of the model
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void printBlockDecomposition(const vector<pair<int, int> > &blocks) const;
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//! Determine for each block if it is linear or not
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vector<bool> BlockLinear(const blocks_derivatives_t &blocks_derivatives, const vector<int> &variable_reordered) const;
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//! Determine the simulation type of each block
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virtual BlockSimulationType getBlockSimulationType(int block_number) const = 0;
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//! Return the number of blocks
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virtual unsigned int getNbBlocks() const = 0;
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//! Return the first equation number of a block
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virtual unsigned int getBlockFirstEquation(int block_number) const = 0;
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//! Return the size of the block block_number
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virtual unsigned int getBlockSize(int block_number) const = 0;
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//! Return the number of exogenous variable in the block block_number
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virtual unsigned int getBlockExoSize(int block_number) const = 0;
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//! Return the number of colums in the jacobian matrix for exogenous variable in the block block_number
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virtual unsigned int getBlockExoColSize(int block_number) const = 0;
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//! Return the number of feedback variable of the block block_number
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virtual unsigned int getBlockMfs(int block_number) const = 0;
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//! Return the maximum lag in a block
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virtual unsigned int getBlockMaxLag(int block_number) const = 0;
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//! Return the maximum lead in a block
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virtual unsigned int getBlockMaxLead(int block_number) const = 0;
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inline void
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setBlockLeadLag(int block, int max_lag, int max_lead)
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{
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block_lag_lead[block] = make_pair(max_lag, max_lead);
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};
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//! Return the type of equation (equation_number) belonging to the block block_number
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virtual EquationType getBlockEquationType(int block_number, int equation_number) const = 0;
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//! Return true if the equation has been normalized
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virtual bool isBlockEquationRenormalized(int block_number, int equation_number) const = 0;
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//! Return the expr_t of the equation equation_number belonging to the block block_number
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virtual expr_t getBlockEquationExpr(int block_number, int equation_number) const = 0;
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//! Return the expr_t of the renormalized equation equation_number belonging to the block block_number
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virtual expr_t getBlockEquationRenormalizedExpr(int block_number, int equation_number) const = 0;
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//! Return the original number of equation equation_number belonging to the block block_number
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virtual int getBlockEquationID(int block_number, int equation_number) const = 0;
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//! Return the original number of variable variable_number belonging to the block block_number
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virtual int getBlockVariableID(int block_number, int variable_number) const = 0;
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//! Return the original number of the exogenous variable varexo_number belonging to the block block_number
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virtual int getBlockVariableExoID(int block_number, int variable_number) const = 0;
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//! Return the position of equation_number in the block number belonging to the block block_number
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virtual int getBlockInitialEquationID(int block_number, int equation_number) const = 0;
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//! Return the position of variable_number in the block number belonging to the block block_number
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virtual int getBlockInitialVariableID(int block_number, int variable_number) const = 0;
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//! Return the position of variable_number in the block number belonging to the block block_number
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virtual int getBlockInitialExogenousID(int block_number, int variable_number) const = 0;
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//! Return the position of the deterministic exogenous variable_number in the block number belonging to the block block_number
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virtual int getBlockInitialDetExogenousID(int block_number, int variable_number) const = 0;
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//! Return the position of the other endogenous variable_number in the block number belonging to the block block_number
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virtual int getBlockInitialOtherEndogenousID(int block_number, int variable_number) const = 0;
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//! Initialize equation_reordered & variable_reordered
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void initializeVariablesAndEquations();
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public:
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ModelTree(SymbolTable &symbol_table_arg, NumericalConstants &num_constants_arg, ExternalFunctionsTable &external_functions_table_arg);
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//! Absolute value under which a number is considered to be zero
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double cutoff;
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//! Compute the minimum feedback set
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/*! 0 : all endogenous variables are considered as feedback variables
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1 : the variables belonging to non normalized equation are considered as feedback variables
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2 : the variables belonging to a non linear equation are considered as feedback variables
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3 : the variables belonging to a non normalizable non linear equation are considered as feedback variables
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default value = 0 */
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int mfs;
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//! Declare a node as an equation of the model; also give its line number
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void addEquation(expr_t eq, int lineno);
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//! Declare a node as an equation of the model, also giving its tags
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void addEquation(expr_t eq, int lineno, const vector<pair<string, string> > &eq_tags);
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//! Declare a node as an auxiliary equation of the model, adding it at the end of the list of auxiliary equations
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void addAuxEquation(expr_t eq);
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//! Returns the number of equations in the model
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int equation_number() const;
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//! Adds a trend variable with its growth factor
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void addTrendVariables(vector<int> trend_vars, expr_t growth_factor) throw (TrendException);
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//! Adds a nonstationary variables with their (common) deflator
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void addNonstationaryVariables(vector<int> nonstationary_vars, bool log_deflator, expr_t deflator) throw (TrendException);
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//! Is a given variable non-stationary?
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bool isNonstationary(int symb_id) const;
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void set_cutoff_to_zero();
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//! Helper for writing the Jacobian elements in MATLAB and C
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/*! Writes either (i+1,j+1) or [i+j*no_eq] */
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void jacobianHelper(ostream &output, int eq_nb, int col_nb, ExprNodeOutputType output_type) const;
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//! Helper for writing the sparse Hessian or third derivatives in MATLAB and C
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/*! If order=2, writes either v2(i+1,j+1) or v2[i+j*NNZDerivatives[1]]
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If order=3, writes either v3(i+1,j+1) or v3[i+j*NNZDerivatives[2]] */
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void sparseHelper(int order, ostream &output, int row_nb, int col_nb, ExprNodeOutputType output_type) const;
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inline static std::string
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c_Equation_Type(int type)
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{
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char c_Equation_Type[4][13] =
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{
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"E_UNKNOWN ",
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"E_EVALUATE ",
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"E_EVALUATE_S",
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"E_SOLVE "
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};
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return (c_Equation_Type[type]);
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};
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inline static std::string
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BlockType0(BlockType type)
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{
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switch (type)
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{
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case SIMULTANS:
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return ("SIMULTANEOUS TIME SEPARABLE ");
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break;
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case PROLOGUE:
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return ("PROLOGUE ");
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break;
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case EPILOGUE:
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return ("EPILOGUE ");
|
|
break;
|
|
case SIMULTAN:
|
|
return ("SIMULTANEOUS TIME UNSEPARABLE");
|
|
break;
|
|
default:
|
|
return ("UNKNOWN ");
|
|
break;
|
|
}
|
|
};
|
|
|
|
inline static std::string
|
|
BlockSim(int type)
|
|
{
|
|
switch (type)
|
|
{
|
|
case EVALUATE_FORWARD:
|
|
return ("EVALUATE FORWARD ");
|
|
break;
|
|
case EVALUATE_BACKWARD:
|
|
return ("EVALUATE BACKWARD ");
|
|
break;
|
|
case SOLVE_FORWARD_SIMPLE:
|
|
return ("SOLVE FORWARD SIMPLE ");
|
|
break;
|
|
case SOLVE_BACKWARD_SIMPLE:
|
|
return ("SOLVE BACKWARD SIMPLE ");
|
|
break;
|
|
case SOLVE_TWO_BOUNDARIES_SIMPLE:
|
|
return ("SOLVE TWO BOUNDARIES SIMPLE ");
|
|
break;
|
|
case SOLVE_FORWARD_COMPLETE:
|
|
return ("SOLVE FORWARD COMPLETE ");
|
|
break;
|
|
case SOLVE_BACKWARD_COMPLETE:
|
|
return ("SOLVE BACKWARD COMPLETE ");
|
|
break;
|
|
case SOLVE_TWO_BOUNDARIES_COMPLETE:
|
|
return ("SOLVE TWO BOUNDARIES COMPLETE");
|
|
break;
|
|
default:
|
|
return ("UNKNOWN ");
|
|
break;
|
|
}
|
|
};
|
|
};
|
|
|
|
#endif
|