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preprocessor/DynamicModel.cc

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/*
* Copyright (C) 2003-2009 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/>.
*/
#include <iostream>
#include <cmath>
#include <cstdlib>
#include <cassert>
#include <cstdio>
#include <cerrno>
#include <algorithm>
#include "DynamicModel.hh"
// For mkdir() and chdir()
#ifdef _WIN32
# include <direct.h>
#else
# include <unistd.h>
# include <sys/stat.h>
# include <sys/types.h>
#endif
DynamicModel::DynamicModel(SymbolTable &symbol_table_arg,
NumericalConstants &num_constants_arg) :
ModelTree(symbol_table_arg, num_constants_arg),
max_lag(0), max_lead(0),
max_endo_lag(0), max_endo_lead(0),
max_exo_lag(0), max_exo_lead(0),
max_exo_det_lag(0), max_exo_det_lead(0),
dynJacobianColsNbr(0),
global_temporary_terms(true),
cutoff(1e-15),
mfs(0)
{
}
VariableNode *
DynamicModel::AddVariable(int symb_id, int lag)
{
return AddVariableInternal(symb_id, lag);
}
void
DynamicModel::compileDerivative(ofstream &code_file, int eq, int symb_id, int lag, map_idx_type &map_idx) const
{
first_derivatives_type::const_iterator it = first_derivatives.find(make_pair(eq, getDerivID(symbol_table.getID(eEndogenous, symb_id), lag)));
if (it != first_derivatives.end())
(it->second)->compile(code_file, false, temporary_terms, map_idx, true, false);
else
{
FLDZ_ fldz;
fldz.write(code_file);
}
}
void
DynamicModel::compileChainRuleDerivative(ofstream &code_file, int eqr, int varr, int lag, map_idx_type &map_idx) const
{
map<pair<int, pair<int, int> >, NodeID>::const_iterator it = first_chain_rule_derivatives.find(make_pair(eqr, make_pair(varr, lag)));
if (it != first_chain_rule_derivatives.end())
(it->second)->compile(code_file, false, temporary_terms, map_idx, true, false);
else
{
FLDZ_ fldz;
fldz.write(code_file);
}
}
void
DynamicModel::computeTemporaryTermsOrdered()
{
map<NodeID, pair<int, int> > first_occurence;
map<NodeID, int> reference_count;
BinaryOpNode *eq_node;
first_derivatives_type::const_iterator it;
first_chain_rule_derivatives_type::const_iterator it_chr;
ostringstream tmp_s;
v_temporary_terms.clear();
map_idx.clear();
unsigned int nb_blocks = getNbBlocks();
v_temporary_terms = vector<vector<temporary_terms_type> >(nb_blocks);
v_temporary_terms_inuse = vector<temporary_terms_inuse_type>(nb_blocks);
temporary_terms.clear();
if (!global_temporary_terms)
{
for (unsigned int block = 0; block < nb_blocks; block++)
{
reference_count.clear();
temporary_terms.clear();
unsigned int block_size = getBlockSize(block);
unsigned int block_nb_mfs = getBlockMfs(block);
unsigned int block_nb_recursives = block_size - block_nb_mfs;
v_temporary_terms[block] = vector<temporary_terms_type>(block_size);
for (unsigned int i = 0; i < block_size; i++)
{
if (i < block_nb_recursives && isBlockEquationRenormalized(block, i))
getBlockEquationRenormalizedNodeID(block, i)->computeTemporaryTerms(reference_count, temporary_terms, first_occurence, block, v_temporary_terms, i);
else
{
eq_node = (BinaryOpNode *) getBlockEquationNodeID(block, i);
eq_node->computeTemporaryTerms(reference_count, temporary_terms, first_occurence, block, v_temporary_terms, i);
}
}
for (t_block_derivatives_equation_variable_laglead_nodeid::const_iterator it = blocks_derivatives[block].begin(); it != (blocks_derivatives[block]).end(); it++)
{
NodeID id = it->second.second;
id->computeTemporaryTerms(reference_count, temporary_terms, first_occurence, block, v_temporary_terms, block_size-1);
}
for (t_derivative::const_iterator it = derivative_endo[block].begin(); it != derivative_endo[block].end(); it++)
it->second->computeTemporaryTerms(reference_count, temporary_terms, first_occurence, block, v_temporary_terms, block_size-1);
for (t_derivative::const_iterator it = derivative_other_endo[block].begin(); it != derivative_other_endo[block].end(); it++)
it->second->computeTemporaryTerms(reference_count, temporary_terms, first_occurence, block, v_temporary_terms, block_size-1);
set<int> temporary_terms_in_use;
temporary_terms_in_use.clear();
v_temporary_terms_inuse[block] = temporary_terms_in_use;
}
}
else
{
for (unsigned int block = 0; block < nb_blocks; block++)
{
// Compute the temporary terms reordered
unsigned int block_size = getBlockSize(block);
unsigned int block_nb_mfs = getBlockMfs(block);
unsigned int block_nb_recursives = block_size - block_nb_mfs;
v_temporary_terms[block] = vector<temporary_terms_type>(block_size);
for (unsigned int i = 0; i < block_size; i++)
{
if (i < block_nb_recursives && isBlockEquationRenormalized(block, i))
getBlockEquationRenormalizedNodeID(block, i)->computeTemporaryTerms(reference_count, temporary_terms, first_occurence, block, v_temporary_terms, i);
else
{
eq_node = (BinaryOpNode *) getBlockEquationNodeID(block, i);
eq_node->computeTemporaryTerms(reference_count, temporary_terms, first_occurence, block, v_temporary_terms, i);
}
}
for (t_block_derivatives_equation_variable_laglead_nodeid::const_iterator it = blocks_derivatives[block].begin(); it != (blocks_derivatives[block]).end(); it++)
{
NodeID id = it->second.second;
id->computeTemporaryTerms(reference_count, temporary_terms, first_occurence, block, v_temporary_terms, block_size-1);
}
for (t_derivative::const_iterator it = derivative_endo[block].begin(); it != derivative_endo[block].end(); it++)
it->second->computeTemporaryTerms(reference_count, temporary_terms, first_occurence, block, v_temporary_terms, block_size-1);
for (t_derivative::const_iterator it = derivative_other_endo[block].begin(); it != derivative_other_endo[block].end(); it++)
it->second->computeTemporaryTerms(reference_count, temporary_terms, first_occurence, block, v_temporary_terms, block_size-1);
}
for (unsigned int block = 0; block < nb_blocks; block++)
{
// Collect the temporary terms reordered
unsigned int block_size = getBlockSize(block);
unsigned int block_nb_mfs = getBlockMfs(block);
unsigned int block_nb_recursives = block_size - block_nb_mfs;
set<int> temporary_terms_in_use;
for (unsigned int i = 0; i < block_size; i++)
{
if (i < block_nb_recursives && isBlockEquationRenormalized(block, i))
getBlockEquationRenormalizedNodeID(block, i)->collectTemporary_terms(temporary_terms, temporary_terms_in_use, block);
else
{
eq_node = (BinaryOpNode *) getBlockEquationNodeID(block, i);
eq_node->collectTemporary_terms(temporary_terms, temporary_terms_in_use, block);
}
}
for (t_block_derivatives_equation_variable_laglead_nodeid::const_iterator it = blocks_derivatives[block].begin(); it != (blocks_derivatives[block]).end(); it++)
{
NodeID id = it->second.second;
id->collectTemporary_terms(temporary_terms, temporary_terms_in_use, block);
}
for (t_derivative::const_iterator it = derivative_endo[block].begin(); it != derivative_endo[block].end(); it++)
it->second->collectTemporary_terms(temporary_terms, temporary_terms_in_use, block);
for (t_derivative::const_iterator it = derivative_other_endo[block].begin(); it != derivative_other_endo[block].end(); it++)
it->second->collectTemporary_terms(temporary_terms, temporary_terms_in_use, block);
v_temporary_terms_inuse[block] = temporary_terms_in_use;
}
// Add a mapping form node ID to temporary terms order
int j = 0;
for (temporary_terms_type::const_iterator it = temporary_terms.begin();
it != temporary_terms.end(); it++)
map_idx[(*it)->idx] = j++;
}
}
void
DynamicModel::writeModelEquationsOrdered_M(const string &dynamic_basename) const
{
string tmp_s, sps;
ostringstream tmp_output, tmp1_output, global_output;
NodeID lhs = NULL, rhs = NULL;
BinaryOpNode *eq_node;
ostringstream Uf[symbol_table.endo_nbr()];
map<NodeID, int> reference_count;
temporary_terms_type local_temporary_terms;
ofstream output;
int nze, nze_exo, nze_other_endo;
vector<int> feedback_variables;
ExprNodeOutputType local_output_type;
if (global_temporary_terms)
{
local_output_type = oMatlabDynamicModelSparse;
local_temporary_terms = temporary_terms;
}
else
local_output_type = oMatlabDynamicModelSparseLocalTemporaryTerms;
//----------------------------------------------------------------------
//For each block
for (unsigned int block = 0; block < getNbBlocks(); block++)
{
//recursive_variables.clear();
feedback_variables.clear();
//For a block composed of a single equation determines wether we have to evaluate or to solve the equation
nze = derivative_endo[block].size();
nze_other_endo = derivative_other_endo[block].size();
nze_exo = derivative_exo[block].size();
BlockSimulationType simulation_type = getBlockSimulationType(block);
unsigned int block_size = getBlockSize(block);
unsigned int block_mfs = getBlockMfs(block);
unsigned int block_recursive = block_size - block_mfs;
unsigned int block_exo_size = exo_block[block].size();
unsigned int block_exo_det_size = exo_det_block[block].size();
unsigned int block_other_endo_size = other_endo_block[block].size();
int block_max_lag = max_leadlag_block[block].first;
if (global_temporary_terms)
{
local_output_type = oMatlabDynamicModelSparse;
local_temporary_terms = temporary_terms;
}
else
local_output_type = oMatlabDynamicModelSparseLocalTemporaryTerms;
tmp1_output.str("");
tmp1_output << dynamic_basename << "_" << block+1 << ".m";
output.open(tmp1_output.str().c_str(), ios::out | ios::binary);
output << "%\n";
output << "% " << tmp1_output.str() << " : Computes dynamic model for Dynare\n";
output << "%\n";
output << "% Warning : this file is generated automatically by Dynare\n";
output << "% from model file (.mod)\n\n";
output << "%/\n";
if (simulation_type == EVALUATE_BACKWARD || simulation_type == EVALUATE_FORWARD)
{
output << "function [y, g1, g2, g3, varargout] = " << dynamic_basename << "_" << block+1 << "(y, x, params, jacobian_eval, y_kmin, periods)\n";
}
else if (simulation_type == SOLVE_FORWARD_COMPLETE || simulation_type == SOLVE_BACKWARD_COMPLETE)
output << "function [residual, y, g1, g2, g3, varargout] = " << dynamic_basename << "_" << block+1 << "(y, x, params, it_, jacobian_eval)\n";
else if (simulation_type == SOLVE_BACKWARD_SIMPLE || simulation_type == SOLVE_FORWARD_SIMPLE)
output << "function [residual, y, g1, g2, g3, varargout] = " << dynamic_basename << "_" << block+1 << "(y, x, params, it_, jacobian_eval)\n";
else
output << "function [residual, y, g1, g2, g3, b, varargout] = " << dynamic_basename << "_" << block+1 << "(y, x, params, periods, jacobian_eval, y_kmin, y_size)\n";
BlockType block_type;
if (simulation_type == SOLVE_TWO_BOUNDARIES_COMPLETE || simulation_type == SOLVE_TWO_BOUNDARIES_SIMPLE)
block_type = SIMULTAN;
else if (simulation_type == SOLVE_FORWARD_COMPLETE || simulation_type == SOLVE_BACKWARD_COMPLETE)
block_type = SIMULTANS;
else if ((simulation_type == SOLVE_FORWARD_SIMPLE || simulation_type == SOLVE_BACKWARD_SIMPLE
|| simulation_type == EVALUATE_BACKWARD || simulation_type == EVALUATE_FORWARD)
&& getBlockFirstEquation(block) < prologue)
block_type = PROLOGUE;
else if ((simulation_type == SOLVE_FORWARD_SIMPLE || simulation_type == SOLVE_BACKWARD_SIMPLE
|| simulation_type == EVALUATE_BACKWARD || simulation_type == EVALUATE_FORWARD)
&& getBlockFirstEquation(block) >= equations.size() - epilogue)
block_type = EPILOGUE;
else
block_type = SIMULTANS;
output << " % ////////////////////////////////////////////////////////////////////////" << endl
<< " % //" << string(" Block ").substr(int (log10(block + 1))) << block + 1 << " " << BlockType0(block_type)
<< " //" << endl
<< " % // Simulation type "
<< BlockSim(simulation_type) << " //" << endl
<< " % ////////////////////////////////////////////////////////////////////////" << endl;
output << " global options_;" << endl;
//The Temporary terms
if (simulation_type == EVALUATE_BACKWARD || simulation_type == EVALUATE_FORWARD)
{
output << " if(jacobian_eval)\n";
output << " g1 = spalloc(" << block_mfs << ", " << block_mfs*(1+getBlockMaxLag(block)+getBlockMaxLead(block)) << ", " << nze << ");\n";
output << " g1_x=spalloc(" << block_size << ", " << (block_exo_size + block_exo_det_size)
*(1+max(exo_det_max_leadlag_block[block].first, exo_max_leadlag_block[block].first)+max(exo_det_max_leadlag_block[block].second, exo_max_leadlag_block[block].second))
<< ", " << nze_exo << ");\n";
output << " g1_o=spalloc(" << block_size << ", " << block_other_endo_size
*(1+other_endo_max_leadlag_block[block].first+other_endo_max_leadlag_block[block].second)
<< ", " << nze_other_endo << ");\n";
output << " end;\n";
}
else
{
output << " if(jacobian_eval)\n";
output << " g1 = spalloc(" << block_size << ", " << block_size*(1+getBlockMaxLag(block)+getBlockMaxLead(block)) << ", " << nze << ");\n";
output << " g1_x=spalloc(" << block_size << ", " << (block_exo_size + block_exo_det_size)
*(1+max(exo_det_max_leadlag_block[block].first, exo_max_leadlag_block[block].first)+max(exo_det_max_leadlag_block[block].second, exo_max_leadlag_block[block].second))
<< ", " << nze_exo << ");\n";
output << " g1_o=spalloc(" << block_size << ", " << block_other_endo_size
*(1+other_endo_max_leadlag_block[block].first+other_endo_max_leadlag_block[block].second)
<< ", " << nze_other_endo << ");\n";
output << " else\n";
if (simulation_type == SOLVE_TWO_BOUNDARIES_COMPLETE || simulation_type == SOLVE_TWO_BOUNDARIES_SIMPLE)
{
output << " g1 = spalloc(" << block_mfs << "*options_.periods, "
<< block_mfs << "*(options_.periods+" << max_leadlag_block[block].first+max_leadlag_block[block].second+1 << ")"
<< ", " << nze << "*options_.periods);\n";
}
else
{
output << " g1 = spalloc(" << block_mfs
<< ", " << block_mfs << ", " << nze << ");\n";
output << " g1_tmp_r = spalloc(" << block_recursive
<< ", " << block_size << ", " << nze << ");\n";
output << " g1_tmp_b = spalloc(" << block_mfs
<< ", " << block_size << ", " << nze << ");\n";
}
output << " end;\n";
}
output << " g2=0;g3=0;\n";
if (v_temporary_terms_inuse[block].size())
{
tmp_output.str("");
for (temporary_terms_inuse_type::const_iterator it = v_temporary_terms_inuse[block].begin();
it != v_temporary_terms_inuse[block].end(); it++)
tmp_output << " T" << *it;
output << " global" << tmp_output.str() << ";\n";
}
if (simulation_type == SOLVE_TWO_BOUNDARIES_COMPLETE || simulation_type == SOLVE_TWO_BOUNDARIES_SIMPLE)
{
temporary_terms_type tt2;
tt2.clear();
for (int i = 0; i < (int) block_size; i++)
{
if (v_temporary_terms[block][i].size() && global_temporary_terms)
{
output << " " << "% //Temporary variables initialization" << endl
<< " " << "T_zeros = zeros(y_kmin+periods, 1);" << endl;
for (temporary_terms_type::const_iterator it = v_temporary_terms[block][i].begin();
it != v_temporary_terms[block][i].end(); it++)
{
output << " ";
(*it)->writeOutput(output, oMatlabDynamicModel, local_temporary_terms);
output << " = T_zeros;" << endl;
}
}
}
}
if (simulation_type == SOLVE_BACKWARD_SIMPLE || simulation_type == SOLVE_FORWARD_SIMPLE || simulation_type == SOLVE_BACKWARD_COMPLETE || simulation_type == SOLVE_FORWARD_COMPLETE)
output << " residual=zeros(" << block_mfs << ",1);\n";
else if (simulation_type == SOLVE_TWO_BOUNDARIES_COMPLETE || simulation_type == SOLVE_TWO_BOUNDARIES_SIMPLE)
output << " residual=zeros(" << block_mfs << ",y_kmin+periods);\n";
if (simulation_type == EVALUATE_BACKWARD)
output << " for it_ = (y_kmin+periods):y_kmin+1\n";
if (simulation_type == EVALUATE_FORWARD)
output << " for it_ = y_kmin+1:(y_kmin+periods)\n";
if (simulation_type == SOLVE_TWO_BOUNDARIES_COMPLETE || simulation_type == SOLVE_TWO_BOUNDARIES_SIMPLE)
{
output << " b = zeros(periods*y_size,1);" << endl
<< " for it_ = y_kmin+1:(periods+y_kmin)" << endl
<< " Per_y_=it_*y_size;" << endl
<< " Per_J_=(it_-y_kmin-1)*y_size;" << endl
<< " Per_K_=(it_-1)*y_size;" << endl;
sps = " ";
}
else
if (simulation_type == EVALUATE_BACKWARD || simulation_type == EVALUATE_FORWARD)
sps = " ";
else
sps = "";
// The equations
for (unsigned int i = 0; i < block_size; i++)
{
temporary_terms_type tt2;
tt2.clear();
if (v_temporary_terms[block].size())
{
output << " " << "% //Temporary variables" << endl;
for (temporary_terms_type::const_iterator it = v_temporary_terms[block][i].begin();
it != v_temporary_terms[block][i].end(); it++)
{
output << " " << sps;
(*it)->writeOutput(output, local_output_type, local_temporary_terms);
output << " = ";
(*it)->writeOutput(output, local_output_type, tt2);
// Insert current node into tt2
tt2.insert(*it);
output << ";" << endl;
}
}
int variable_ID = getBlockVariableID(block, i);
int equation_ID = getBlockEquationID(block, i);
EquationType equ_type = getBlockEquationType(block, i);
string sModel = symbol_table.getName(symbol_table.getID(eEndogenous, variable_ID));
eq_node = (BinaryOpNode *) getBlockEquationNodeID(block, i);
lhs = eq_node->get_arg1();
rhs = eq_node->get_arg2();
tmp_output.str("");
lhs->writeOutput(tmp_output, local_output_type, local_temporary_terms);
switch (simulation_type)
{
case EVALUATE_BACKWARD:
case EVALUATE_FORWARD:
evaluation: if (simulation_type == SOLVE_TWO_BOUNDARIES_COMPLETE || simulation_type == SOLVE_TWO_BOUNDARIES_SIMPLE)
output << " % equation " << getBlockEquationID(block, i)+1 << " variable : " << sModel
<< " (" << variable_ID+1 << ") " << c_Equation_Type(equ_type) << endl;
output << " ";
if (equ_type == E_EVALUATE)
{
output << tmp_output.str();
output << " = ";
rhs->writeOutput(output, local_output_type, local_temporary_terms);
}
else if (equ_type == E_EVALUATE_S)
{
output << "%" << tmp_output.str();
output << " = ";
if (isBlockEquationRenormalized(block, i))
{
rhs->writeOutput(output, local_output_type, local_temporary_terms);
output << "\n ";
tmp_output.str("");
eq_node = (BinaryOpNode *) getBlockEquationRenormalizedNodeID(block, i);
lhs = eq_node->get_arg1();
rhs = eq_node->get_arg2();
lhs->writeOutput(output, local_output_type, local_temporary_terms);
output << " = ";
rhs->writeOutput(output, local_output_type, local_temporary_terms);
}
}
else
{
cerr << "Type missmatch for equation " << equation_ID+1 << "\n";
exit(EXIT_FAILURE);
}
output << ";\n";
break;
case SOLVE_BACKWARD_SIMPLE:
case SOLVE_FORWARD_SIMPLE:
case SOLVE_BACKWARD_COMPLETE:
case SOLVE_FORWARD_COMPLETE:
if (i < block_recursive)
goto evaluation;
feedback_variables.push_back(variable_ID);
output << " % equation " << equation_ID+1 << " variable : " << sModel
<< " (" << variable_ID+1 << ") " << c_Equation_Type(equ_type) << endl;
output << " " << "residual(" << i+1-block_recursive << ") = (";
goto end;
case SOLVE_TWO_BOUNDARIES_COMPLETE:
case SOLVE_TWO_BOUNDARIES_SIMPLE:
if (i < block_recursive)
goto evaluation;
feedback_variables.push_back(variable_ID);
output << " % equation " << equation_ID+1 << " variable : " << sModel
<< " (" << variable_ID+1 << ") " << c_Equation_Type(equ_type) << endl;
Uf[equation_ID] << " b(" << i+1-block_recursive << "+Per_J_) = -residual(" << i+1-block_recursive << ", it_)";
output << " residual(" << i+1-block_recursive << ", it_) = (";
goto end;
default:
end:
output << tmp_output.str();
output << ") - (";
rhs->writeOutput(output, local_output_type, local_temporary_terms);
output << ");\n";
#ifdef CONDITION
if (simulation_type == SOLVE_TWO_BOUNDARIES_COMPLETE || simulation_type == SOLVE_TWO_BOUNDARIES_SIMPLE)
output << " condition(" << i+1 << ")=0;\n";
#endif
}
}
// The Jacobian if we have to solve the block
if (simulation_type == SOLVE_TWO_BOUNDARIES_SIMPLE || simulation_type == SOLVE_TWO_BOUNDARIES_COMPLETE)
output << " " << sps << "% Jacobian " << endl;
else
if (simulation_type == SOLVE_BACKWARD_SIMPLE || simulation_type == SOLVE_FORWARD_SIMPLE
|| simulation_type == SOLVE_BACKWARD_COMPLETE || simulation_type == SOLVE_FORWARD_COMPLETE)
output << " % Jacobian " << endl << " if jacobian_eval" << endl;
else
output << " % Jacobian " << endl << " if jacobian_eval" << endl;
switch (simulation_type)
{
case EVALUATE_BACKWARD:
case EVALUATE_FORWARD:
for (t_derivative::const_iterator it = derivative_endo[block].begin(); it != derivative_endo[block].end(); it++)
{
int lag = it->first.first;
int eq = it->first.second.first;
int var = it->first.second.second;
int eqr = getBlockInitialEquationID(block, eq);
int varr = getBlockInitialVariableID(block, var);
NodeID id = it->second;
output << " g1(" << eqr+1 << ", " << varr+1+(lag+block_max_lag)*block_size << ") = ";
id->writeOutput(output, local_output_type, local_temporary_terms);
output << "; % variable=" << symbol_table.getName(symbol_table.getID(eEndogenous, var))
<< "(" << lag
<< ") " << var+1
<< ", equation=" << eq+1 << endl;
}
for (t_derivative::const_iterator it = derivative_other_endo[block].begin(); it != derivative_other_endo[block].end(); it++)
{
int lag = it->first.first;
int eq = it->first.second.first;
int var = it->first.second.second;
int eqr = getBlockInitialEquationID(block, eq);
NodeID id = it->second;
output << " g1_o(" << eqr+1 << ", " << var+1+(lag+block_max_lag)*block_size << ") = ";
id->writeOutput(output, local_output_type, local_temporary_terms);
output << "; % variable=" << symbol_table.getName(symbol_table.getID(eEndogenous, var))
<< "(" << lag
<< ") " << var+1
<< ", equation=" << eq+1 << endl;
}
output << " varargout{1}=g1_x;\n";
output << " varargout{2}=g1_o;\n";
output << " end;" << endl;
output << " end;" << endl;
break;
case SOLVE_BACKWARD_SIMPLE:
case SOLVE_FORWARD_SIMPLE:
case SOLVE_BACKWARD_COMPLETE:
case SOLVE_FORWARD_COMPLETE:
for (t_derivative::const_iterator it = derivative_endo[block].begin(); it != derivative_endo[block].end(); it++)
{
int lag = it->first.first;
unsigned int eq = it->first.second.first;
unsigned int var = it->first.second.second;
NodeID id = it->second;
output << " g1(" << eq+1 << ", " << var+1+(lag+block_max_lag)*block_size << ") = ";
id->writeOutput(output, local_output_type, local_temporary_terms);
output << "; % variable=" << symbol_table.getName(symbol_table.getID(eEndogenous, var))
<< "(" << lag
<< ") " << var+1
<< ", equation=" << eq+1 << endl;
}
for (t_derivative::const_iterator it = derivative_other_endo[block].begin(); it != derivative_other_endo[block].end(); it++)
{
int lag = it->first.first;
unsigned int eq = it->first.second.first;
unsigned int var = it->first.second.second;
NodeID id = it->second;
output << " g1_o(" << eq+1 << ", " << var+1+(lag+block_max_lag)*block_size << ") = ";
id->writeOutput(output, local_output_type, local_temporary_terms);
output << "; % variable=" << symbol_table.getName(symbol_table.getID(eEndogenous, var))
<< "(" << lag
<< ") " << var+1
<< ", equation=" << eq+1 << endl;
}
output << " varargout{1}=g1_x;\n";
output << " varargout{2}=g1_o;\n";
output << " else" << endl;
for (t_block_derivatives_equation_variable_laglead_nodeid::const_iterator it = blocks_derivatives[block].begin(); it != (blocks_derivatives[block]).end(); it++)
{
unsigned int eq = it->first.first;
unsigned int var = it->first.second;
unsigned int eqr = getBlockEquationID(block, eq);
unsigned int varr = getBlockVariableID(block, var);
NodeID id = it->second.second;
int lag = it->second.first;
output << " g1(" << eq+1 << ", " << var+1-block_recursive << ") = ";
id->writeOutput(output, local_output_type, local_temporary_terms);
output << "; % variable=" << symbol_table.getName(symbol_table.getID(eEndogenous, varr))
<< "(" << lag
<< ") " << varr+1
<< ", equation=" << eqr+1 << endl;
}
output << " end;\n";
break;
case SOLVE_TWO_BOUNDARIES_SIMPLE:
case SOLVE_TWO_BOUNDARIES_COMPLETE:
output << " if ~jacobian_eval" << endl;
for (t_block_derivatives_equation_variable_laglead_nodeid::const_iterator it = blocks_derivatives[block].begin(); it != (blocks_derivatives[block]).end(); it++)
{
unsigned int eq = it->first.first;
unsigned int var = it->first.second;
unsigned int eqr = getBlockEquationID(block, eq);
unsigned int varr = getBlockVariableID(block, var);
ostringstream tmp_output;
NodeID id = it->second.second;
int lag = it->second.first;
if (eq >= block_recursive and var >= block_recursive)
{
if (lag == 0)
Uf[eqr] << "+g1(" << eq+1-block_recursive
<< "+Per_J_, " << var+1-block_recursive
<< "+Per_K_)*y(it_, " << varr+1 << ")";
else if (lag == 1)
Uf[eqr] << "+g1(" << eq+1-block_recursive
<< "+Per_J_, " << var+1-block_recursive
<< "+Per_y_)*y(it_+1, " << varr+1 << ")";
else if (lag > 0)
Uf[eqr] << "+g1(" << eq+1-block_recursive
<< "+Per_J_, " << var+1-block_recursive
<< "+y_size*(it_+" << lag-1 << "))*y(it_+" << lag << ", " << varr+1 << ")";
else if (lag < 0)
Uf[eqr] << "+g1(" << eq+1-block_recursive
<< "+Per_J_, " << var+1-block_recursive
<< "+y_size*(it_" << lag-1 << "))*y(it_" << lag << ", " << varr+1 << ")";
if (lag == 0)
tmp_output << " g1(" << eq+1-block_recursive << "+Per_J_, "
<< var+1-block_recursive << "+Per_K_) = ";
else if (lag == 1)
tmp_output << " g1(" << eq+1-block_recursive << "+Per_J_, "
<< var+1-block_recursive << "+Per_y_) = ";
else if (lag > 0)
tmp_output << " g1(" << eq+1-block_recursive << "+Per_J_, "
<< var+1-block_recursive << "+y_size*(it_+" << lag-1 << ")) = ";
else if (lag < 0)
tmp_output << " g1(" << eq+1-block_recursive << "+Per_J_, "
<< var+1-block_recursive << "+y_size*(it_" << lag-1 << ")) = ";
output << " " << tmp_output.str();
id->writeOutput(output, local_output_type, local_temporary_terms);
output << ";";
output << " %2 variable=" << symbol_table.getName(symbol_table.getID(eEndogenous, varr))
<< "(" << lag << ") " << varr+1
<< ", equation=" << eqr+1 << " (" << eq+1 << ")" << endl;
}
#ifdef CONDITION
output << " if (fabs(condition[" << eqr << "])<fabs(u[" << u << "+Per_u_]))\n";
output << " condition(" << eqr << ")=u(" << u << "+Per_u_);\n";
#endif
}
for (unsigned int i = 0; i < block_size; i++)
{
if (i >= block_recursive)
output << " " << Uf[getBlockEquationID(block, i)].str() << ";\n";
#ifdef CONDITION
output << " if (fabs(condition(" << i+1 << "))<fabs(u(" << i << "+Per_u_)))\n";
output << " condition(" << i+1 << ")=u(" << i+1 << "+Per_u_);\n";
#endif
}
#ifdef CONDITION
for (m = 0; m <= ModelBlock->Block_List[block].Max_Lead+ModelBlock->Block_List[block].Max_Lag; m++)
{
k = m-ModelBlock->Block_List[block].Max_Lag;
for (i = 0; i < ModelBlock->Block_List[block].IM_lead_lag[m].size; i++)
{
unsigned int eq = ModelBlock->Block_List[block].IM_lead_lag[m].Equ_Index[i];
unsigned int var = ModelBlock->Block_List[block].IM_lead_lag[m].Var_Index[i];
unsigned int u = ModelBlock->Block_List[block].IM_lead_lag[m].u[i];
unsigned int eqr = ModelBlock->Block_List[block].IM_lead_lag[m].Equ[i];
output << " u(" << u+1 << "+Per_u_) = u(" << u+1 << "+Per_u_) / condition(" << eqr+1 << ");\n";
}
}
for (i = 0; i < ModelBlock->Block_List[block].Size; i++)
output << " u(" << i+1 << "+Per_u_) = u(" << i+1 << "+Per_u_) / condition(" << i+1 << ");\n";
#endif
output << " else" << endl;
for (t_derivative::const_iterator it = derivative_endo[block].begin(); it != derivative_endo[block].end(); it++)
{
int lag = it->first.first;
unsigned int eq = it->first.second.first;
unsigned int var = it->first.second.second;
NodeID id = it->second;
output << " g1(" << eq+1 << ", " << var+1+(lag+block_max_lag)*block_size << ") = ";
id->writeOutput(output, local_output_type, local_temporary_terms);
output << "; % variable=" << symbol_table.getName(symbol_table.getID(eEndogenous, var))
<< "(" << lag
<< ") " << var+1
<< ", equation=" << eq+1 << endl;
}
for (t_derivative::const_iterator it = derivative_other_endo[block].begin(); it != derivative_other_endo[block].end(); it++)
{
int lag = it->first.first;
unsigned int eq = it->first.second.first;
unsigned int var = it->first.second.second;
NodeID id = it->second;
output << " g1_o(" << eq+1 << ", " << var+1+(lag+block_max_lag)*block_size << ") = ";
id->writeOutput(output, local_output_type, local_temporary_terms);
output << "; % variable=" << symbol_table.getName(symbol_table.getID(eEndogenous, var))
<< "(" << lag
<< ") " << var+1
<< ", equation=" << eq+1 << endl;
}
output << " varargout{1}=g1_x;\n";
output << " varargout{2}=g1_o;\n";
output << " end;\n";
output << " end;\n";
break;
default:
break;
}
output.close();
}
}
void
DynamicModel::writeModelEquationsCodeOrdered(const string file_name, const string bin_basename, map_idx_type map_idx) 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;
NodeID lhs = NULL, rhs = NULL;
BinaryOpNode *eq_node;
Uff Uf[symbol_table.endo_nbr()];
map<NodeID, int> reference_count;
vector<int> feedback_variables;
bool file_open = false;
string main_name = file_name;
main_name += ".cod";
code_file.open(main_name.c_str(), ios::out | ios::binary | ios::ate);
if (!code_file.is_open())
{
cout << "Error : Can't open file \"" << main_name << "\" for writing\n";
exit(EXIT_FAILURE);
}
//Temporary variables declaration
FDIMT_ fdimt(temporary_terms.size());
fdimt.write(code_file);
for (unsigned int block = 0; block < getNbBlocks(); block++)
{
feedback_variables.clear();
if (block > 0)
{
FENDBLOCK_ fendblock;
fendblock.write(code_file);
}
int count_u;
int u_count_int = 0;
BlockSimulationType simulation_type = getBlockSimulationType(block);
unsigned int block_size = getBlockSize(block);
unsigned int block_mfs = getBlockMfs(block);
unsigned int block_recursive = block_size - block_mfs;
int block_max_lag = max_leadlag_block[block].first;
if (simulation_type == SOLVE_TWO_BOUNDARIES_SIMPLE || simulation_type == SOLVE_TWO_BOUNDARIES_COMPLETE
|| simulation_type == SOLVE_BACKWARD_COMPLETE || simulation_type == SOLVE_FORWARD_COMPLETE)
{
Write_Inf_To_Bin_File(file_name, bin_basename, block, u_count_int, file_open,
simulation_type == SOLVE_TWO_BOUNDARIES_COMPLETE || simulation_type == SOLVE_TWO_BOUNDARIES_SIMPLE);
file_open = true;
}
FBEGINBLOCK_ fbeginblock(block_mfs,
simulation_type,
getBlockFirstEquation(block),
block_size,
variable_reordered,
equation_reordered,
blocks_linear[block],
symbol_table.endo_nbr(),
block_max_lag,
block_max_lag,
u_count_int
);
fbeginblock.write(code_file);
// The equations
for (i = 0; i < (int) block_size; i++)
{
//The Temporary terms
temporary_terms_type tt2;
tt2.clear();
if (v_temporary_terms[block][i].size())
{
for (temporary_terms_type::const_iterator it = v_temporary_terms[block][i].begin();
it != v_temporary_terms[block][i].end(); it++)
{
(*it)->compile(code_file, false, tt2, map_idx, true, false);
FSTPT_ fstpt((int)(map_idx.find((*it)->idx)->second));
fstpt.write(code_file);
// Insert current node into tt2
tt2.insert(*it);
#ifdef DEBUGC
cout << "FSTPT " << v << "\n";
code_file.write(&FOK, sizeof(FOK));
code_file.write(reinterpret_cast<char *>(&k), sizeof(k));
ki++;
#endif
}
}
#ifdef DEBUGC
for (temporary_terms_type::const_iterator it = v_temporary_terms[block][i].begin();
it != v_temporary_terms[block][i].end(); it++)
{
map_idx_type::const_iterator ii = map_idx.find((*it)->idx);
cout << "map_idx[" << (*it)->idx <<"]=" << ii->second << "\n";
}
#endif
int variable_ID, equation_ID;
EquationType equ_type;
switch (simulation_type)
{
evaluation:
case EVALUATE_BACKWARD:
case EVALUATE_FORWARD:
equ_type = getBlockEquationType(block, i);
if (equ_type == E_EVALUATE)
{
eq_node = (BinaryOpNode *) getBlockEquationNodeID(block, i);
lhs = eq_node->get_arg1();
rhs = eq_node->get_arg2();
rhs->compile(code_file, false, temporary_terms, map_idx, true, false);
lhs->compile(code_file, true, temporary_terms, map_idx, true, false);
}
else if (equ_type == E_EVALUATE_S)
{
eq_node = (BinaryOpNode *) getBlockEquationRenormalizedNodeID(block, i);
lhs = eq_node->get_arg1();
rhs = eq_node->get_arg2();
rhs->compile(code_file, false, temporary_terms, map_idx, true, false);
lhs->compile(code_file, true, temporary_terms, map_idx, true, false);
}
break;
case SOLVE_BACKWARD_COMPLETE:
case SOLVE_FORWARD_COMPLETE:
case SOLVE_TWO_BOUNDARIES_COMPLETE:
case SOLVE_TWO_BOUNDARIES_SIMPLE:
if (i < (int) block_recursive)
goto evaluation;
variable_ID = getBlockVariableID(block, i);
equation_ID = getBlockEquationID(block, i);
feedback_variables.push_back(variable_ID);
Uf[equation_ID].Ufl = NULL;
goto end;
default:
end:
eq_node = (BinaryOpNode *) getBlockEquationNodeID(block, i);
lhs = eq_node->get_arg1();
rhs = eq_node->get_arg2();
lhs->compile(code_file, false, temporary_terms, map_idx, true, false);
rhs->compile(code_file, false, temporary_terms, map_idx, true, false);
FBINARY_ fbinary(oMinus);
fbinary.write(code_file);
FSTPR_ fstpr(i - block_recursive);
fstpr.write(code_file);
}
}
FENDEQU_ fendequ;
fendequ.write(code_file);
// The Jacobian if we have to solve the block
if (simulation_type != EVALUATE_BACKWARD
&& simulation_type != EVALUATE_FORWARD)
{
switch (simulation_type)
{
case SOLVE_BACKWARD_SIMPLE:
case SOLVE_FORWARD_SIMPLE:
compileDerivative(code_file, getBlockEquationID(block, 0), getBlockVariableID(block, 0), 0, map_idx);
{
FSTPG_ fstpg(0);
fstpg.write(code_file);
}
break;
case SOLVE_BACKWARD_COMPLETE:
case SOLVE_FORWARD_COMPLETE:
case SOLVE_TWO_BOUNDARIES_COMPLETE:
case SOLVE_TWO_BOUNDARIES_SIMPLE:
count_u = feedback_variables.size();
for (t_block_derivatives_equation_variable_laglead_nodeid::const_iterator it = blocks_derivatives[block].begin(); it != (blocks_derivatives[block]).end(); it++)
{
unsigned int eq = it->first.first;
unsigned int var = it->first.second;
unsigned int eqr = getBlockEquationID(block, eq);
unsigned int varr = getBlockVariableID(block, var);
int lag = it->second.first;
if (eq >= block_recursive and var >= block_recursive)
{
if (!Uf[eqr].Ufl)
{
Uf[eqr].Ufl = (Uff_l *) malloc(sizeof(Uff_l));
Uf[eqr].Ufl_First = Uf[eqr].Ufl;
}
else
{
Uf[eqr].Ufl->pNext = (Uff_l *) malloc(sizeof(Uff_l));
Uf[eqr].Ufl = Uf[eqr].Ufl->pNext;
}
Uf[eqr].Ufl->pNext = NULL;
Uf[eqr].Ufl->u = count_u;
Uf[eqr].Ufl->var = varr;
Uf[eqr].Ufl->lag = lag;
compileChainRuleDerivative(code_file, eqr, varr, lag, map_idx);
FSTPU_ fstpu(count_u);
fstpu.write(code_file);
count_u++;
}
}
for (i = 0; i < (int) block_size; i++)
{
if (i >= (int) block_recursive)
{
FLDR_ fldr(i-block_recursive);
fldr.write(code_file);
FLDZ_ fldz;
fldz.write(code_file);
v = getBlockEquationID(block, i);
for (Uf[v].Ufl = Uf[v].Ufl_First; Uf[v].Ufl; Uf[v].Ufl = Uf[v].Ufl->pNext)
{
FLDU_ fldu(Uf[v].Ufl->u);
fldu.write(code_file);
FLDV_ fldv(eEndogenous, Uf[v].Ufl->var, Uf[v].Ufl->lag);
fldv.write(code_file);
FBINARY_ fbinary(oTimes);
fbinary.write(code_file);
FCUML_ fcuml;
fcuml.write(code_file);
}
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(oMinus);
fbinary.write(code_file);
FSTPU_ fstpu(i - block_recursive);
fstpu.write(code_file);
}
}
break;
default:
break;
}
}
}
FENDBLOCK_ fendblock;
fendblock.write(code_file);
FEND_ fend;
fend.write(code_file);
code_file.close();
}
void
DynamicModel::writeDynamicMFile(const string &dynamic_basename) const
{
string filename = dynamic_basename + ".m";
ofstream mDynamicModelFile;
mDynamicModelFile.open(filename.c_str(), ios::out | ios::binary);
if (!mDynamicModelFile.is_open())
{
cerr << "Error: Can't open file " << filename << " for writing" << endl;
exit(EXIT_FAILURE);
}
mDynamicModelFile << "function [residual, g1, g2, g3] = " << dynamic_basename << "(y, x, params, it_)" << endl
<< "%" << endl
<< "% Status : Computes dynamic model for Dynare" << endl
<< "%" << endl
<< "% Warning : this file is generated automatically by Dynare" << endl
<< "% from model file (.mod)" << endl << endl;
if (containsSteadyStateOperator())
mDynamicModelFile << "global oo_;" << endl << endl;
writeDynamicModel(mDynamicModelFile, false);
mDynamicModelFile.close();
}
void
DynamicModel::writeDynamicCFile(const string &dynamic_basename) const
{
string filename = dynamic_basename + ".c";
ofstream mDynamicModelFile;
mDynamicModelFile.open(filename.c_str(), ios::out | ios::binary);
if (!mDynamicModelFile.is_open())
{
cerr << "Error: Can't open file " << filename << " for writing" << endl;
exit(EXIT_FAILURE);
}
mDynamicModelFile << "/*" << endl
<< " * " << filename << " : Computes dynamic model for Dynare" << endl
<< " *" << endl
<< " * Warning : this file is generated automatically by Dynare" << endl
<< " * from model file (.mod)" << endl
<< endl
<< " */" << endl
<< "#include <math.h>" << endl
<< "#include \"mex.h\"" << endl
<< endl
<< "#define max(a, b) (((a) > (b)) ? (a) : (b))" << endl
<< "#define min(a, b) (((a) > (b)) ? (b) : (a))" << endl;
// Writing the function body
writeDynamicModel(mDynamicModelFile, true);
// Writing the gateway routine
mDynamicModelFile << "/* The gateway routine */" << endl
<< "void mexFunction(int nlhs, mxArray *plhs[], int nrhs, const mxArray *prhs[])" << endl
<< "{" << endl
<< " double *y, *x, *params;" << endl
<< " double *residual, *g1, *v2, *v3;" << endl
<< " int nb_row_x, it_;" << endl
<< endl
<< " /* Create a pointer to the input matrix y. */" << endl
<< " y = mxGetPr(prhs[0]);" << endl
<< endl
<< " /* Create a pointer to the input matrix x. */" << endl
<< " x = mxGetPr(prhs[1]);" << endl
<< endl
<< " /* Create a pointer to the input matrix params. */" << endl
<< " params = mxGetPr(prhs[2]);" << endl
<< endl
<< " /* Fetch time index */" << endl
<< " it_ = (int) mxGetScalar(prhs[3]) - 1;" << endl
<< endl
<< " /* Gets number of rows of matrix x. */" << endl
<< " nb_row_x = mxGetM(prhs[1]);" << endl
<< endl
<< " residual = NULL;" << endl
<< " if (nlhs >= 1)" << endl
<< " {" << endl
<< " /* Set the output pointer to the output matrix residual. */" << endl
<< " plhs[0] = mxCreateDoubleMatrix(" << equations.size() << ",1, mxREAL);" << endl
<< " /* Create a C pointer to a copy of the output matrix residual. */" << endl
<< " residual = mxGetPr(plhs[0]);" << endl
<< " }" << endl
<< endl
<< " g1 = NULL;" << endl
<< " if (nlhs >= 2)" << endl
<< " {" << endl
<< " /* Set the output pointer to the output matrix g1. */" << endl
<< " plhs[1] = mxCreateDoubleMatrix(" << equations.size() << ", " << dynJacobianColsNbr << ", mxREAL);" << endl
<< " /* Create a C pointer to a copy of the output matrix g1. */" << endl
<< " g1 = mxGetPr(plhs[1]);" << endl
<< " }" << endl
<< endl
<< " v2 = NULL;" << endl
<< " if (nlhs >= 3)" << endl
<< " {" << endl
<< " /* Set the output pointer to the output matrix v2. */" << endl
<< " plhs[2] = mxCreateDoubleMatrix(" << NNZDerivatives[1] << ", " << 3
<< ", mxREAL);" << endl
<< " v2 = mxGetPr(plhs[2]);" << endl
<< " }" << endl
<< endl
<< " if (nlhs >= 4)" << endl
<< " {" << endl
<< " /* Set the output pointer to the output matrix v3. */" << endl
<< " plhs[3] = mxCreateDoubleMatrix(" << NNZDerivatives[2] << ", " << 3 << ", mxREAL);" << endl
<< " v3 = mxGetPr(plhs[3]);" << endl
<< " }" << endl
<< endl
<< " /* Call the C subroutines. */" << endl
<< " Dynamic(y, x, nb_row_x, params, it_, residual, g1, v2, v3);" << endl
<< "}" << endl;
mDynamicModelFile.close();
}
string
DynamicModel::reform(const string name1) const
{
string name = name1;
int pos = name.find("\\", 0);
while (pos >= 0)
{
if (name.substr(pos + 1, 1) != "\\")
{
name = name.insert(pos, "\\");
pos++;
}
pos++;
pos = name.find("\\", pos);
}
return (name);
}
void
DynamicModel::Write_Inf_To_Bin_File(const string &dynamic_basename, const string &bin_basename, const int &num,
int &u_count_int, bool &file_open, bool is_two_boundaries) const
{
int j;
std::ofstream SaveCode;
if (file_open)
SaveCode.open((bin_basename + "_dynamic.bin").c_str(), ios::out | ios::in | ios::binary | ios::ate);
else
SaveCode.open((bin_basename + "_dynamic.bin").c_str(), ios::out | ios::binary);
if (!SaveCode.is_open())
{
cout << "Error : Can't open file \"" << bin_basename << "_dynamic.bin\" for writing\n";
exit(EXIT_FAILURE);
}
u_count_int = 0;
unsigned int block_size = getBlockSize(num);
unsigned int block_mfs = getBlockMfs(num);
unsigned int block_recursive = block_size - block_mfs;
for (t_block_derivatives_equation_variable_laglead_nodeid::const_iterator it = blocks_derivatives[num].begin(); it != (blocks_derivatives[num]).end(); it++)
{
unsigned int eq = it->first.first;
unsigned int var = it->first.second;
int lag = it->second.first;
if (eq >= block_recursive and var >= block_recursive)
{
int v = eq - block_recursive;
SaveCode.write(reinterpret_cast<char *>(&v), sizeof(v));
int varr = var - block_recursive + lag * block_mfs;
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++;
}
}
if (is_two_boundaries)
u_count_int += block_mfs;
for (j = block_recursive; j < (int) block_size; j++)
{
unsigned int varr = getBlockVariableID(num, j);
SaveCode.write(reinterpret_cast<char *>(&varr), sizeof(varr));
}
for (j = block_recursive; j < (int) block_size; j++)
{
unsigned int eqr = getBlockEquationID(num, j);
SaveCode.write(reinterpret_cast<char *>(&eqr), sizeof(eqr));
}
SaveCode.close();
}
void
DynamicModel::writeSparseDynamicMFile(const string &dynamic_basename, const string &basename) const
{
string sp;
ofstream mDynamicModelFile;
ostringstream tmp, tmp1, tmp_eq;
int prev_Simulation_Type;
bool OK;
chdir(basename.c_str());
string filename = dynamic_basename + ".m";
mDynamicModelFile.open(filename.c_str(), ios::out | ios::binary);
if (!mDynamicModelFile.is_open())
{
cerr << "Error: Can't open file " << filename << " for writing" << endl;
exit(EXIT_FAILURE);
}
mDynamicModelFile << "%\n";
mDynamicModelFile << "% " << filename << " : Computes dynamic model for Dynare\n";
mDynamicModelFile << "%\n";
mDynamicModelFile << "% Warning : this file is generated automatically by Dynare\n";
mDynamicModelFile << "% from model file (.mod)\n\n";
mDynamicModelFile << "%/\n";
int Nb_SGE = 0;
bool skip_head, open_par = false;
mDynamicModelFile << "function [varargout] = " << dynamic_basename << "(varargin)\n";
mDynamicModelFile << " global oo_ options_ M_ ;\n";
mDynamicModelFile << " g2=[];g3=[];\n";
//Temporary variables declaration
OK = true;
ostringstream tmp_output;
for (temporary_terms_type::const_iterator it = temporary_terms.begin();
it != temporary_terms.end(); it++)
{
if (OK)
OK = false;
else
tmp_output << " ";
(*it)->writeOutput(tmp_output, oMatlabStaticModelSparse, temporary_terms);
}
if (tmp_output.str().length() > 0)
mDynamicModelFile << " global " << tmp_output.str() << " M_ ;\n";
mDynamicModelFile << " T_init=zeros(1,options_.periods+M_.maximum_lag+M_.maximum_lead);\n";
tmp_output.str("");
for (temporary_terms_type::const_iterator it = temporary_terms.begin();
it != temporary_terms.end(); it++)
{
tmp_output << " ";
(*it)->writeOutput(tmp_output, oMatlabDynamicModel, temporary_terms);
tmp_output << "=T_init;\n";
}
if (tmp_output.str().length() > 0)
mDynamicModelFile << tmp_output.str();
mDynamicModelFile << " y_kmin=M_.maximum_lag;" << endl
<< " y_kmax=M_.maximum_lead;" << endl
<< " y_size=M_.endo_nbr;" << endl
<< " if(length(varargin)>0)" << endl
<< " %it is a simple evaluation of the dynamic model for time _it" << endl
<< " params=varargin{3};" << endl
<< " it_=varargin{4};" << endl
<< " Per_u_=0;" << endl
<< " Per_y_=it_*y_size;" << endl
<< " y=varargin{1};" << endl
<< " ys=y(it_,:);" << endl
<< " x=varargin{2};" << endl;
prev_Simulation_Type = -1;
tmp.str("");
tmp_eq.str("");
unsigned int nb_blocks = getNbBlocks();
unsigned int block = 0;
for (int count_call = 1; block < nb_blocks; block++, count_call++)
{
unsigned int block_size = getBlockSize(block);
unsigned int block_mfs = getBlockMfs(block);
unsigned int block_recursive = block_size - block_mfs;
BlockSimulationType simulation_type = getBlockSimulationType(block);
if (simulation_type == EVALUATE_FORWARD || simulation_type == EVALUATE_BACKWARD)
{
for (unsigned int ik = 0; ik < block_size; ik++)
{
tmp << " " << getBlockVariableID(block, ik)+1;
tmp_eq << " " << getBlockEquationID(block, ik)+1;
}
}
else
{
for (unsigned int ik = block_recursive; ik < block_size; ik++)
{
tmp << " " << getBlockVariableID(block, ik)+1;
tmp_eq << " " << getBlockEquationID(block, ik)+1;
}
}
mDynamicModelFile << " y_index_eq=[" << tmp_eq.str() << "];\n";
mDynamicModelFile << " y_index=[" << tmp.str() << "];\n";
switch (simulation_type)
{
case EVALUATE_FORWARD:
case EVALUATE_BACKWARD:
mDynamicModelFile << " [y, dr(" << count_call << ").g1, dr(" << count_call << ").g2, dr(" << count_call << ").g3, dr(" << count_call << ").g1_x, dr(" << count_call << ").g1_o]=" << dynamic_basename << "_" << block + 1 << "(y, x, params, 1, it_-1, 1);\n";
mDynamicModelFile << " residual(y_index_eq)=ys(y_index)-y(it_, y_index);\n";
break;
case SOLVE_FORWARD_SIMPLE:
case SOLVE_BACKWARD_SIMPLE:
mDynamicModelFile << " [r, dr(" << count_call << ").g1, dr(" << count_call << ").g2, dr(" << count_call << ").g3, dr(" << count_call << ").g1_x, dr(" << count_call << ").g1_o]=" << dynamic_basename << "_" << block + 1 << "(y, x, params, it_, 1);\n";
mDynamicModelFile << " residual(y_index_eq)=r;\n";
break;
case SOLVE_FORWARD_COMPLETE:
case SOLVE_BACKWARD_COMPLETE:
mDynamicModelFile << " [r, dr(" << count_call << ").g1, dr(" << count_call << ").g2, dr(" << count_call << ").g3, dr(" << count_call << ").g1_x, dr(" << count_call << ").g1_o]=" << dynamic_basename << "_" << block + 1 << "(y, x, params, it_, 1);\n";
mDynamicModelFile << " residual(y_index_eq)=r;\n";
break;
case SOLVE_TWO_BOUNDARIES_COMPLETE:
case SOLVE_TWO_BOUNDARIES_SIMPLE:
mDynamicModelFile << " [r, dr(" << count_call << ").g1, dr(" << count_call << ").g2, dr(" << count_call << ").g3, b, dr(" << count_call << ").g1_x, dr(" << count_call << ").g1_o]=" << dynamic_basename << "_" << block + 1 << "(y, x, params, it_-" << max_lag << ", 1, " << max_lag << ", " << block_recursive << ");\n";
mDynamicModelFile << " residual(y_index_eq)=r(:,M_.maximum_lag+1);\n";
break;
default:
break;
}
tmp_eq.str("");
tmp.str("");
}
if (tmp1.str().length())
{
mDynamicModelFile << tmp1.str();
tmp1.str("");
}
mDynamicModelFile << " varargout{1}=residual;" << endl
<< " varargout{2}=dr;" << endl
<< " return;" << endl
<< " end;" << endl
<< " %it is the deterministic simulation of the block decomposed dynamic model" << endl
<< " if(options_.stack_solve_algo==1)" << endl
<< " mthd='Sparse LU';" << endl
<< " elseif(options_.stack_solve_algo==2)" << endl
<< " mthd='GMRES';" << endl
<< " elseif(options_.stack_solve_algo==3)" << endl
<< " mthd='BICGSTAB';" << endl
<< " elseif(options_.stack_solve_algo==4)" << endl
<< " mthd='OPTIMPATH';" << endl
<< " else" << endl
<< " mthd='UNKNOWN';" << endl
<< " end;" << endl
<< " disp (['-----------------------------------------------------']) ;" << endl
<< " disp (['MODEL SIMULATION: (method=' mthd ')']) ;" << endl
<< " fprintf('\\n') ;" << endl
<< " periods=options_.periods;" << endl
<< " maxit_=options_.maxit_;" << endl
<< " solve_tolf=options_.solve_tolf;" << endl
<< " y=oo_.endo_simul';" << endl
<< " x=oo_.exo_simul;" << endl;
prev_Simulation_Type = -1;
mDynamicModelFile << " params=M_.params;\n";
mDynamicModelFile << " oo_.deterministic_simulation.status = 0;\n";
for (block = 0; block < nb_blocks; block++)
{
unsigned int block_size = getBlockSize(block);
unsigned int block_mfs = getBlockMfs(block);
unsigned int block_recursive = block_size - block_mfs;
BlockSimulationType simulation_type = getBlockSimulationType(block);
if (BlockSim(prev_Simulation_Type) == BlockSim(simulation_type)
&& (simulation_type == EVALUATE_FORWARD || simulation_type == EVALUATE_BACKWARD))
skip_head = true;
else
skip_head = false;
if ((simulation_type == EVALUATE_FORWARD) && (block_size))
{
if (!skip_head)
{
if (open_par)
{
mDynamicModelFile << " end\n";
}
mDynamicModelFile << " oo_.deterministic_simulation.status = 1;\n";
mDynamicModelFile << " oo_.deterministic_simulation.error = 0;\n";
mDynamicModelFile << " oo_.deterministic_simulation.iterations = 0;\n";
mDynamicModelFile << " if(isfield(oo_.deterministic_simulation,'block'))\n";
mDynamicModelFile << " blck_num = length(oo_.deterministic_simulation.block)+1;\n";
mDynamicModelFile << " else\n";
mDynamicModelFile << " blck_num = 1;\n";
mDynamicModelFile << " end;\n";
mDynamicModelFile << " oo_.deterministic_simulation.block(blck_num).status = 1;\n";
mDynamicModelFile << " oo_.deterministic_simulation.block(blck_num).error = 0;\n";
mDynamicModelFile << " oo_.deterministic_simulation.block(blck_num).iterations = 0;\n";
mDynamicModelFile << " g1=[];g2=[];g3=[];\n";
mDynamicModelFile << " y=" << dynamic_basename << "_" << block + 1 << "(y, x, params, 0, y_kmin, periods);\n";
mDynamicModelFile << " tmp = y(:,M_.block_structure.block(" << block + 1 << ").variable);\n";
mDynamicModelFile << " if(isnan(tmp) | isinf(tmp))\n";
mDynamicModelFile << " disp(['Inf or Nan value during the evaluation of block " << block <<"']);\n";
mDynamicModelFile << " return;\n";
mDynamicModelFile << " end;\n";
}
}
else if ((simulation_type == EVALUATE_BACKWARD) && (block_size))
{
if (!skip_head)
{
if (open_par)
{
mDynamicModelFile << " end\n";
}
mDynamicModelFile << " oo_.deterministic_simulation.status = 1;\n";
mDynamicModelFile << " oo_.deterministic_simulation.error = 0;\n";
mDynamicModelFile << " oo_.deterministic_simulation.iterations = 0;\n";
mDynamicModelFile << " if(isfield(oo_.deterministic_simulation,'block'))\n";
mDynamicModelFile << " blck_num = length(oo_.deterministic_simulation.block)+1;\n";
mDynamicModelFile << " else\n";
mDynamicModelFile << " blck_num = 1;\n";
mDynamicModelFile << " end;\n";
mDynamicModelFile << " oo_.deterministic_simulation.block(blck_num).status = 1;\n";
mDynamicModelFile << " oo_.deterministic_simulation.block(blck_num).error = 0;\n";
mDynamicModelFile << " oo_.deterministic_simulation.block(blck_num).iterations = 0;\n";
mDynamicModelFile << " g1=[];g2=[];g3=[];\n";
mDynamicModelFile << " " << dynamic_basename << "_" << block + 1 << "(y, x, params, 0, y_kmin, periods);\n";
mDynamicModelFile << " tmp = y(:,M_.block_structure.block(" << block + 1 << ").variable);\n";
mDynamicModelFile << " if(isnan(tmp) | isinf(tmp))\n";
mDynamicModelFile << " disp(['Inf or Nan value during the evaluation of block " << block <<"']);\n";
mDynamicModelFile << " return;\n";
mDynamicModelFile << " end;\n";
}
}
else if ((simulation_type == SOLVE_FORWARD_COMPLETE || simulation_type == SOLVE_FORWARD_SIMPLE) && (block_size))
{
if (open_par)
mDynamicModelFile << " end\n";
open_par = false;
mDynamicModelFile << " g1=0;\n";
mDynamicModelFile << " r=0;\n";
tmp.str("");
for (unsigned int ik = block_recursive; ik < block_size; ik++)
{
tmp << " " << getBlockVariableID(block, ik)+1;
}
mDynamicModelFile << " y_index = [" << tmp.str() << "];\n";
int nze = blocks_derivatives[block].size();
mDynamicModelFile << " if(isfield(oo_.deterministic_simulation,'block'))\n";
mDynamicModelFile << " blck_num = length(oo_.deterministic_simulation.block)+1;\n";
mDynamicModelFile << " else\n";
mDynamicModelFile << " blck_num = 1;\n";
mDynamicModelFile << " end;\n";
mDynamicModelFile << " y = solve_one_boundary('" << dynamic_basename << "_" << block + 1 << "'"
<<", y, x, params, y_index, " << nze
<<", options_.periods, " << blocks_linear[block]
<<", blck_num, y_kmin, options_.maxit_, options_.solve_tolf, options_.slowc, " << cutoff << ", options_.stack_solve_algo, 1, 1, 0);\n";
mDynamicModelFile << " tmp = y(:,M_.block_structure.block(" << block + 1 << ").variable);\n";
mDynamicModelFile << " if(isnan(tmp) | isinf(tmp))\n";
mDynamicModelFile << " disp(['Inf or Nan value during the resolution of block " << block <<"']);\n";
mDynamicModelFile << " return;\n";
mDynamicModelFile << " end;\n";
}
else if ((simulation_type == SOLVE_BACKWARD_COMPLETE || simulation_type == SOLVE_BACKWARD_SIMPLE) && (block_size))
{
if (open_par)
mDynamicModelFile << " end\n";
open_par = false;
mDynamicModelFile << " g1=0;\n";
mDynamicModelFile << " r=0;\n";
tmp.str("");
for (unsigned int ik = block_recursive; ik < block_size; ik++)
{
tmp << " " << getBlockVariableID(block, ik)+1;
}
mDynamicModelFile << " y_index = [" << tmp.str() << "];\n";
int nze = blocks_derivatives[block].size();
mDynamicModelFile << " if(isfield(oo_.deterministic_simulation,'block'))\n";
mDynamicModelFile << " blck_num = length(oo_.deterministic_simulation.block)+1;\n";
mDynamicModelFile << " else\n";
mDynamicModelFile << " blck_num = 1;\n";
mDynamicModelFile << " end;\n";
mDynamicModelFile << " y = solve_one_boundary('" << dynamic_basename << "_" << block + 1 << "'"
<<", y, x, params, y_index, " << nze
<<", options_.periods, " << blocks_linear[block]
<<", blck_num, y_kmin, options_.maxit_, options_.solve_tolf, options_.slowc, " << cutoff << ", options_.stack_solve_algo, 1, 1, 0);\n";
mDynamicModelFile << " tmp = y(:,M_.block_structure.block(" << block + 1 << ").variable);\n";
mDynamicModelFile << " if(isnan(tmp) | isinf(tmp))\n";
mDynamicModelFile << " disp(['Inf or Nan value during the resolution of block " << block <<"']);\n";
mDynamicModelFile << " return;\n";
mDynamicModelFile << " end;\n";
}
else if ((simulation_type == SOLVE_TWO_BOUNDARIES_COMPLETE || simulation_type == SOLVE_TWO_BOUNDARIES_SIMPLE) && (block_size))
{
if (open_par)
mDynamicModelFile << " end\n";
open_par = false;
Nb_SGE++;
int nze = blocks_derivatives[block].size();
mDynamicModelFile << " y_index=[";
for (unsigned int ik = block_recursive; ik < block_size; ik++)
{
mDynamicModelFile << " " << getBlockVariableID(block, ik)+1;
}
mDynamicModelFile << " ];\n";
mDynamicModelFile << " if(isfield(oo_.deterministic_simulation,'block'))\n";
mDynamicModelFile << " blck_num = length(oo_.deterministic_simulation.block)+1;\n";
mDynamicModelFile << " else\n";
mDynamicModelFile << " blck_num = 1;\n";
mDynamicModelFile << " end;\n";
mDynamicModelFile << " y = solve_two_boundaries('" << dynamic_basename << "_" << block + 1 << "'"
<<", y, x, params, y_index, " << nze
<<", options_.periods, " << max_leadlag_block[block].first
<<", " << max_leadlag_block[block].second
<<", " << blocks_linear[block]
<<", blck_num, y_kmin, options_.maxit_, options_.solve_tolf, options_.slowc, " << cutoff << ", options_.stack_solve_algo);\n";
mDynamicModelFile << " tmp = y(:,M_.block_structure.block(" << block + 1 << ").variable);\n";
mDynamicModelFile << " if(isnan(tmp) | isinf(tmp))\n";
mDynamicModelFile << " disp(['Inf or Nan value during the resolution of block " << block <<"']);\n";
mDynamicModelFile << " return;\n";
mDynamicModelFile << " end;\n";
}
prev_Simulation_Type = simulation_type;
}
if (open_par)
mDynamicModelFile << " end;\n";
open_par = false;
mDynamicModelFile << " oo_.endo_simul = y';\n";
mDynamicModelFile << "return;\n";
mDynamicModelFile.close();
writeModelEquationsOrdered_M(dynamic_basename);
chdir("..");
}
void
DynamicModel::writeDynamicModel(ostream &DynamicOutput, bool use_dll) const
{
ostringstream model_output; // Used for storing model equations
ostringstream jacobian_output; // Used for storing jacobian equations
ostringstream hessian_output; // Used for storing Hessian equations
ostringstream third_derivatives_output;
ExprNodeOutputType output_type = (use_dll ? oCDynamicModel : oMatlabDynamicModel);
writeModelLocalVariables(model_output, output_type);
writeTemporaryTerms(temporary_terms, model_output, output_type);
writeModelEquations(model_output, output_type);
int nrows = equations.size();
int hessianColsNbr = dynJacobianColsNbr * dynJacobianColsNbr;
// Writing Jacobian
for (first_derivatives_type::const_iterator it = first_derivatives.begin();
it != first_derivatives.end(); it++)
{
int eq = it->first.first;
int var = it->first.second;
NodeID d1 = it->second;
jacobian_output << "g1";
jacobianHelper(jacobian_output, eq, getDynJacobianCol(var), output_type);
jacobian_output << "=";
d1->writeOutput(jacobian_output, output_type, temporary_terms);
jacobian_output << ";" << endl;
}
// Writing Hessian
int k = 0; // Keep the line of a 2nd derivative in v2
for (second_derivatives_type::const_iterator it = second_derivatives.begin();
it != second_derivatives.end(); it++)
{
int eq = it->first.first;
int var1 = it->first.second.first;
int var2 = it->first.second.second;
NodeID d2 = it->second;
int id1 = getDynJacobianCol(var1);
int id2 = getDynJacobianCol(var2);
int col_nb = id1 * dynJacobianColsNbr + id2;
int col_nb_sym = id2 * dynJacobianColsNbr + id1;
sparseHelper(2, hessian_output, k, 0, output_type);
hessian_output << "=" << eq + 1 << ";" << endl;
sparseHelper(2, hessian_output, k, 1, output_type);
hessian_output << "=" << col_nb + 1 << ";" << endl;
sparseHelper(2, hessian_output, k, 2, output_type);
hessian_output << "=";
d2->writeOutput(hessian_output, output_type, temporary_terms);
hessian_output << ";" << endl;
k++;
// Treating symetric elements
if (id1 != id2)
{
sparseHelper(2, hessian_output, k, 0, output_type);
hessian_output << "=" << eq + 1 << ";" << endl;
sparseHelper(2, hessian_output, k, 1, output_type);
hessian_output << "=" << col_nb_sym + 1 << ";" << endl;
sparseHelper(2, hessian_output, k, 2, output_type);
hessian_output << "=";
sparseHelper(2, hessian_output, k-1, 2, output_type);
hessian_output << ";" << endl;
k++;
}
}
// Writing third derivatives
k = 0; // Keep the line of a 3rd derivative in v3
for (third_derivatives_type::const_iterator it = third_derivatives.begin();
it != third_derivatives.end(); it++)
{
int eq = it->first.first;
int var1 = it->first.second.first;
int var2 = it->first.second.second.first;
int var3 = it->first.second.second.second;
NodeID d3 = it->second;
int id1 = getDynJacobianCol(var1);
int id2 = getDynJacobianCol(var2);
int id3 = getDynJacobianCol(var3);
// Reference column number for the g3 matrix
int ref_col = id1 * hessianColsNbr + id2 * dynJacobianColsNbr + id3;
sparseHelper(3, third_derivatives_output, k, 0, output_type);
third_derivatives_output << "=" << eq + 1 << ";" << endl;
sparseHelper(3, third_derivatives_output, k, 1, output_type);
third_derivatives_output << "=" << ref_col + 1 << ";" << endl;
sparseHelper(3, third_derivatives_output, k, 2, output_type);
third_derivatives_output << "=";
d3->writeOutput(third_derivatives_output, output_type, temporary_terms);
third_derivatives_output << ";" << endl;
k++;
// Compute the column numbers for the 5 other permutations of (id1,id2,id3) and store them in a set (to avoid duplicates if two indexes are equal)
set<int> cols;
cols.insert(id1 * hessianColsNbr + id3 * dynJacobianColsNbr + id2);
cols.insert(id2 * hessianColsNbr + id1 * dynJacobianColsNbr + id3);
cols.insert(id2 * hessianColsNbr + id3 * dynJacobianColsNbr + id1);
cols.insert(id3 * hessianColsNbr + id1 * dynJacobianColsNbr + id2);
cols.insert(id3 * hessianColsNbr + id2 * dynJacobianColsNbr + id1);
int k2 = 0; // Keeps the offset of the permutation relative to k
for (set<int>::iterator it2 = cols.begin(); it2 != cols.end(); it2++)
if (*it2 != ref_col)
{
sparseHelper(3, third_derivatives_output, k+k2, 0, output_type);
third_derivatives_output << "=" << eq + 1 << ";" << endl;
sparseHelper(3, third_derivatives_output, k+k2, 1, output_type);
third_derivatives_output << "=" << *it2 + 1 << ";" << endl;
sparseHelper(3, third_derivatives_output, k+k2, 2, output_type);
third_derivatives_output << "=";
sparseHelper(3, third_derivatives_output, k, 2, output_type);
third_derivatives_output << ";" << endl;
k2++;
}
k += k2;
}
if (!use_dll)
{
DynamicOutput << "%" << endl
<< "% Model equations" << endl
<< "%" << endl
<< endl
<< "residual = zeros(" << nrows << ", 1);" << endl
<< model_output.str()
// Writing initialization instruction for matrix g1
<< "if nargout >= 2," << endl
<< " g1 = zeros(" << nrows << ", " << dynJacobianColsNbr << ");" << endl
<< endl
<< "%" << endl
<< "% Jacobian matrix" << endl
<< "%" << endl
<< endl
<< jacobian_output.str()
<< "end" << endl;
// Initialize g2 matrix
DynamicOutput << "if nargout >= 3," << endl
<< "%" << endl
<< "% Hessian matrix" << endl
<< "%" << endl
<< endl;
if (second_derivatives.size())
DynamicOutput << " v2 = zeros(" << NNZDerivatives[1] << ",3);" << endl
<< hessian_output.str()
<< " g2 = sparse(v2(:,1),v2(:,2),v2(:,3)," << nrows << "," << hessianColsNbr << ");" << endl;
else // Either hessian is all zero, or we didn't compute it
DynamicOutput << " g2 = sparse([],[],[]," << nrows << "," << hessianColsNbr << ");" << endl;
DynamicOutput << "end;" << endl;
// Initialize g3 matrix
DynamicOutput << "if nargout >= 4," << endl
<< "%" << endl
<< "% Third order derivatives" << endl
<< "%" << endl
<< endl;
int ncols = hessianColsNbr * dynJacobianColsNbr;
if (third_derivatives.size())
DynamicOutput << " v3 = zeros(" << NNZDerivatives[2] << ",3);" << endl
<< third_derivatives_output.str()
<< " g3 = sparse(v3(:,1),v3(:,2),v3(:,3)," << nrows << "," << ncols << ");" << endl;
else // Either 3rd derivatives is all zero, or we didn't compute it
DynamicOutput << " g3 = sparse([],[],[]," << nrows << "," << ncols << ");" << endl;
DynamicOutput << "end;" << endl;
}
else
{
DynamicOutput << "void Dynamic(double *y, double *x, int nb_row_x, double *params, int it_, double *residual, double *g1, double *v2, double *v3)" << endl
<< "{" << endl
<< " double lhs, rhs;" << endl
<< endl
<< " /* Residual equations */" << endl
<< model_output.str()
<< " /* Jacobian */" << endl
<< " if (g1 == NULL)" << endl
<< " return;" << endl
<< " else" << endl
<< " {" << endl
<< jacobian_output.str()
<< " }" << endl;
if (second_derivatives.size())
DynamicOutput << " /* Hessian for endogenous and exogenous variables */" << endl
<< " if (v2 == NULL)" << endl
<< " return;" << endl
<< " else" << endl
<< " {" << endl
<< hessian_output.str()
<< " }" << endl;
if (third_derivatives.size())
DynamicOutput << " /* Third derivatives for endogenous and exogenous variables */" << endl
<< " if (v3 == NULL)" << endl
<< " return;" << endl
<< " else" << endl
<< " {" << endl
<< third_derivatives_output.str()
<< " }" << endl;
DynamicOutput << "}" << endl << endl;
}
}
void
DynamicModel::writeOutput(ostream &output, const string &basename, bool block_decomposition, bool byte_code, bool use_dll) const
{
/* Writing initialisation for M_.lead_lag_incidence matrix
M_.lead_lag_incidence is a matrix with as many columns as there are
endogenous variables and as many rows as there are periods in the
models (nbr of rows = M_.max_lag+M_.max_lead+1)
The matrix elements are equal to zero if a variable isn't present in the
model at a given period.
*/
output << "M_.lead_lag_incidence = [";
// Loop on endogenous variables
for (int endoID = 0; endoID < symbol_table.endo_nbr(); endoID++)
{
output << endl;
// Loop on periods
for (int lag = -max_endo_lag; lag <= max_endo_lead; lag++)
{
// Print variableID if exists with current period, otherwise print 0
try
{
int varID = getDerivID(symbol_table.getID(eEndogenous, endoID), lag);
output << " " << getDynJacobianCol(varID) + 1;
}
catch (UnknownDerivIDException &e)
{
output << " 0";
}
}
output << ";";
}
output << "]';" << endl;
// Write equation tags
output << "M_.equations_tags = {" << endl;
for (unsigned int i = 0; i < equation_tags.size(); i++)
output << " " << equation_tags[i].first + 1 << " , '"
<< equation_tags[i].second.first << "' , '"
<< equation_tags[i].second.second << "' ;" << endl;
output << "};" << endl;
//In case of sparse model, writes the block_decomposition structure of the model
if (block_decomposition)
{
int count_lead_lag_incidence = 0;
int max_lead, max_lag, max_lag_endo, max_lead_endo, max_lag_exo, max_lead_exo;
unsigned int nb_blocks = getNbBlocks();
for (unsigned int block = 0; block < nb_blocks; block++)
{
//For a block composed of a single equation determines wether we have to evaluate or to solve the equation
count_lead_lag_incidence = 0;
BlockSimulationType simulation_type = getBlockSimulationType(block);
int block_size = getBlockSize(block);
max_lag = max_leadlag_block[block].first;
max_lead = max_leadlag_block[block].second;
max_lag_endo = endo_max_leadlag_block[block].first;
max_lead_endo = endo_max_leadlag_block[block].second;
max_lag_exo = max(exo_max_leadlag_block[block].first, exo_det_max_leadlag_block[block].first);
max_lead_exo = max(exo_max_leadlag_block[block].second, exo_det_max_leadlag_block[block].second);
vector<int> exogenous(symbol_table.exo_nbr(), -1);
vector<int>::iterator it_exogenous;
exogenous.clear();
ostringstream tmp_s, tmp_s_eq;
tmp_s.str("");
tmp_s_eq.str("");
for (int i = 0; i < block_size; i++)
{
tmp_s << " " << getBlockVariableID(block, i)+1;
tmp_s_eq << " " << getBlockEquationID(block, i)+1;
}
it_exogenous = exogenous.begin();
for (t_lag_var::const_iterator it = exo_block[block].begin(); it != exo_block[block].end(); it++)
it_exogenous = set_union(it->second.begin(), it->second.end(), exogenous.begin(), exogenous.end(), it_exogenous);
output << "M_.block_structure.block(" << block+1 << ").num = " << block+1 << ";\n";
output << "M_.block_structure.block(" << block+1 << ").Simulation_Type = " << simulation_type << ";\n";
output << "M_.block_structure.block(" << block+1 << ").maximum_lag = " << max_lag << ";\n";
output << "M_.block_structure.block(" << block+1 << ").maximum_lead = " << max_lead << ";\n";
output << "M_.block_structure.block(" << block+1 << ").maximum_endo_lag = " << max_lag_endo << ";\n";
output << "M_.block_structure.block(" << block+1 << ").maximum_endo_lead = " << max_lead_endo << ";\n";
output << "M_.block_structure.block(" << block+1 << ").maximum_exo_lag = " << max_lag_exo << ";\n";
output << "M_.block_structure.block(" << block+1 << ").maximum_exo_lead = " << max_lead_exo << ";\n";
output << "M_.block_structure.block(" << block+1 << ").endo_nbr = " << block_size << ";\n";
output << "M_.block_structure.block(" << block+1 << ").equation = [" << tmp_s_eq.str() << "];\n";
output << "M_.block_structure.block(" << block+1 << ").variable = [" << tmp_s.str() << "];\n";
output << "M_.block_structure.block(" << block+1 << ").exogenous = [";
int i = 0;
for (it_exogenous = exogenous.begin(); it_exogenous != exogenous.end(); it_exogenous++)
if (*it_exogenous >= 0)
{
output << " " << *it_exogenous+1;
i++;
}
output << "];\n";
output << "M_.block_structure.block(" << block+1 << ").exo_nbr = " << i << ";\n";
output << "M_.block_structure.block(" << block+1 << ").exo_det_nbr = " << exo_det_block.size() << ";\n";
tmp_s.str("");
count_lead_lag_incidence = 0;
dynamic_jacob_map reordered_dynamic_jacobian;
for (t_block_derivatives_equation_variable_laglead_nodeid::const_iterator it = blocks_derivatives[block].begin(); it != blocks_derivatives[block].end(); it++)
reordered_dynamic_jacobian[make_pair(it->second.first, make_pair(it->first.second, it->first.first))] = it->second.second;
output << "M_.block_structure.block(" << block+1 << ").lead_lag_incidence = [];\n";
int last_var = -1;
for (int lag = -max_lag_endo; lag < max_lead_endo+1; lag++)
{
last_var = 0;
for (dynamic_jacob_map::const_iterator it = reordered_dynamic_jacobian.begin(); it != reordered_dynamic_jacobian.end(); it++)
{
if (lag == it->first.first && last_var != it->first.second.first)
{
count_lead_lag_incidence++;
for (int i = last_var; i < it->first.second.first-1; i++)
tmp_s << " 0";
if (tmp_s.str().length())
tmp_s << " ";
tmp_s << count_lead_lag_incidence;
last_var = it->first.second.first;
}
}
for (int i = last_var + 1; i < block_size; i++)
tmp_s << " 0";
output << "M_.block_structure.block(" << block+1 << ").lead_lag_incidence = [ M_.block_structure.block(" << block+1 << ").lead_lag_incidence; " << tmp_s.str() << "]; %lag = " << lag << "\n";
tmp_s.str("");
}
}
string cst_s;
int nb_endo = symbol_table.endo_nbr();
output << "M_.block_structure.variable_reordered = [";
for (int i = 0; i < nb_endo; i++)
output << " " << variable_reordered[i]+1;
output << "];\n";
output << "M_.block_structure.equation_reordered = [";
for (int i = 0; i < nb_endo; i++)
output << " " << equation_reordered[i]+1;
output << "];\n";
map<pair< int, pair<int, int> >, int> lag_row_incidence;
for (first_derivatives_type::const_iterator it = first_derivatives.begin();
it != first_derivatives.end(); it++)
{
int deriv_id = it->first.second;
if (getTypeByDerivID(deriv_id) == eEndogenous)
{
int eq = it->first.first;
int symb = getSymbIDByDerivID(deriv_id);
int var = symbol_table.getTypeSpecificID(symb);
int lag = getLagByDerivID(deriv_id);
int eqr = inv_equation_reordered[eq];
int varr = inv_variable_reordered[var];
lag_row_incidence[make_pair(lag, make_pair(eqr, varr))] = 1;
}
}
int prev_lag = -1000000;
for (map<pair< int, pair<int, int> >, int>::const_iterator it = lag_row_incidence.begin(); it != lag_row_incidence.end(); it++)
{
if (prev_lag != it->first.first)
{
if (prev_lag != -1000000)
output << "];\n";
prev_lag = it->first.first;
output << "M_.block_structure.incidence(" << max_endo_lag+it->first.first+1 << ").lead_lag = " << prev_lag << ";\n";
output << "M_.block_structure.incidence(" << max_endo_lag+it->first.first+1 << ").sparse_IM = [";
}
output << it->first.second.first << " " << it->first.second.second << ";\n";
}
output << "];\n";
}
// Writing initialization for some other variables
output << "M_.exo_names_orig_ord = [1:" << symbol_table.exo_nbr() << "];" << endl
<< "M_.maximum_lag = " << max_lag << ";" << endl
<< "M_.maximum_lead = " << max_lead << ";" << endl;
if (symbol_table.endo_nbr())
{
output << "M_.maximum_endo_lag = " << max_endo_lag << ";" << endl
<< "M_.maximum_endo_lead = " << max_endo_lead << ";" << endl
<< "oo_.steady_state = zeros(" << symbol_table.endo_nbr() << ", 1);" << endl;
}
if (symbol_table.exo_nbr())
{
output << "M_.maximum_exo_lag = " << max_exo_lag << ";" << endl
<< "M_.maximum_exo_lead = " << max_exo_lead << ";" << endl
<< "oo_.exo_steady_state = zeros(" << symbol_table.exo_nbr() << ", 1);" << endl;
}
if (symbol_table.exo_det_nbr())
{
output << "M_.maximum_exo_det_lag = " << max_exo_det_lag << ";" << endl
<< "M_.maximum_exo_det_lead = " << max_exo_det_lead << ";" << endl
<< "oo_.exo_det_steady_state = zeros(" << symbol_table.exo_det_nbr() << ", 1);" << endl;
}
if (symbol_table.param_nbr())
output << "M_.params = repmat(NaN," << symbol_table.param_nbr() << ", 1);" << endl;
// Write number of non-zero derivatives
output << "M_.NNZDerivatives = zeros(3, 1);" << endl
<< "M_.NNZDerivatives(1) = " << NNZDerivatives[0] << ";" << endl
<< "M_.NNZDerivatives(2) = " << NNZDerivatives[1] << ";" << endl
<< "M_.NNZDerivatives(3) = " << NNZDerivatives[2] << ";" << endl;
}
map<pair<int, pair<int, int > >, NodeID>
DynamicModel::collect_first_order_derivatives_endogenous()
{
map<pair<int, pair<int, int > >, NodeID> endo_derivatives;
for (first_derivatives_type::iterator it2 = first_derivatives.begin();
it2 != first_derivatives.end(); it2++)
{
if (getTypeByDerivID(it2->first.second) == eEndogenous)
{
int eq = it2->first.first;
int var = symbol_table.getTypeSpecificID(getSymbIDByDerivID(it2->first.second));
int lag = getLagByDerivID(it2->first.second);
endo_derivatives[make_pair(eq, make_pair(var, lag))] = it2->second;
}
}
return endo_derivatives;
}
void
DynamicModel::computingPass(bool jacobianExo, bool hessian, bool thirdDerivatives, bool paramsDerivatives,
const eval_context_type &eval_context, bool no_tmp_terms, bool block, bool use_dll)
{
assert(jacobianExo || !(hessian || thirdDerivatives || paramsDerivatives));
// Prepare for derivation
computeDerivIDs();
// Computes dynamic jacobian columns, must be done after computeDerivIDs()
computeDynJacobianCols(jacobianExo);
// Compute derivatives w.r. to all endogenous, and possibly exogenous and exogenous deterministic
set<int> vars;
for (deriv_id_table_t::const_iterator it = deriv_id_table.begin();
it != deriv_id_table.end(); it++)
{
SymbolType type = symbol_table.getType(it->first.first);
if (type == eEndogenous || (jacobianExo && (type == eExogenous || type == eExogenousDet)))
vars.insert(it->second);
}
// Launch computations
cout << "Computing dynamic model derivatives:" << endl
<< " - order 1" << endl;
computeJacobian(vars);
if (hessian)
{
cout << " - order 2" << endl;
computeHessian(vars);
}
if (paramsDerivatives)
{
cout << " - order 2 (derivatives of Jacobian w.r. to parameters)" << endl;
computeParamsDerivatives();
if (!no_tmp_terms)
computeParamsDerivativesTemporaryTerms();
}
if (thirdDerivatives)
{
cout << " - order 3" << endl;
computeThirdDerivatives(vars);
}
if (block)
{
jacob_map contemporaneous_jacobian, static_jacobian;
// for each block contains pair<Size, Feddback_variable>
vector<pair<int, int> > blocks;
evaluateAndReduceJacobian(eval_context, contemporaneous_jacobian, static_jacobian, dynamic_jacobian, cutoff, false);
computeNonSingularNormalization(contemporaneous_jacobian, cutoff, static_jacobian, dynamic_jacobian);
computePrologueAndEpilogue(static_jacobian, equation_reordered, variable_reordered, prologue, epilogue);
map<pair<int, pair<int, int> >, NodeID> first_order_endo_derivatives = collect_first_order_derivatives_endogenous();
equation_type_and_normalized_equation = equationTypeDetermination(equations, first_order_endo_derivatives, variable_reordered, equation_reordered, mfs);
cout << "Finding the optimal block decomposition of the model ...\n";
if (prologue+epilogue < (unsigned int) equation_number())
computeBlockDecompositionAndFeedbackVariablesForEachBlock(static_jacobian, dynamic_jacobian, prologue, epilogue, equation_reordered, variable_reordered, blocks, equation_type_and_normalized_equation, false, true, mfs, inv_equation_reordered, inv_variable_reordered);
block_type_firstequation_size_mfs = reduceBlocksAndTypeDetermination(dynamic_jacobian, prologue, epilogue, blocks, equations, equation_type_and_normalized_equation, variable_reordered, equation_reordered);
printBlockDecomposition(blocks);
computeChainRuleJacobian(blocks_derivatives);
blocks_linear = BlockLinear(blocks_derivatives, variable_reordered);
collect_block_first_order_derivatives();
global_temporary_terms = true;
if (!no_tmp_terms)
computeTemporaryTermsOrdered();
}
else
if (!no_tmp_terms)
computeTemporaryTerms(!use_dll);
}
map<pair<pair<int, pair<int, int> >, pair<int, int> >, int>
DynamicModel::get_Derivatives(int block)
{
map<pair<pair<int, pair<int, int> >, pair<int, int> >, int> Derivatives;
Derivatives.clear();
int max_lag = getBlockMaxLag(block);
int max_lead = getBlockMaxLead(block);
int block_size = getBlockSize(block);
int block_nb_recursive = block_size - getBlockMfs(block);
for (int lag = -max_lag; lag <= max_lead; lag++)
{
for (int eq = 0; eq < block_size; eq++)
{
int eqr = getBlockEquationID(block, eq);
for (int var = 0; var < block_size; var++)
{
int varr = getBlockVariableID(block, var);
if (dynamic_jacobian.find(make_pair(lag, make_pair(eqr, varr))) != dynamic_jacobian.end())
{
bool OK = true;
map<pair<pair<int, pair<int, int> >, pair<int, int> >, int>::const_iterator its = Derivatives.find(make_pair(make_pair(lag, make_pair(eq, var)), make_pair(eqr, varr)));
if (its != Derivatives.end())
{
if (its->second == 2)
OK = false;
}
if (OK)
{
if (getBlockEquationType(block, eq) == E_EVALUATE_S and eq < block_nb_recursive)
//It's a normalized equation, we have to recompute the derivative using chain rule derivative function
Derivatives[make_pair(make_pair(lag, make_pair(eq, var)), make_pair(eqr, varr))] = 1;
else
//It's a feedback equation we can use the derivatives
Derivatives[make_pair(make_pair(lag, make_pair(eq, var)), make_pair(eqr, varr))] = 0;
}
if (var < block_nb_recursive)
{
int eqs = getBlockEquationID(block, var);
for (int vars = block_nb_recursive; vars < block_size; vars++)
{
int varrs = getBlockVariableID(block, vars);
//A new derivative needs to be computed using the chain rule derivative function (a feedback variable appears in a recursive equation)
if (Derivatives.find(make_pair(make_pair(lag, make_pair(var, vars)), make_pair(eqs, varrs))) != Derivatives.end())
Derivatives[make_pair(make_pair(lag, make_pair(eq, vars)), make_pair(eqr, varrs))] = 2;
}
}
}
}
}
}
return (Derivatives);
}
void
DynamicModel::computeChainRuleJacobian(t_blocks_derivatives &blocks_derivatives)
{
map<int, NodeID> recursive_variables;
unsigned int nb_blocks = getNbBlocks();
blocks_derivatives = t_blocks_derivatives(nb_blocks);
for (unsigned int block = 0; block < nb_blocks; block++)
{
t_block_derivatives_equation_variable_laglead_nodeid tmp_derivatives;
recursive_variables.clear();
BlockSimulationType simulation_type = getBlockSimulationType(block);
int block_size = getBlockSize(block);
int block_nb_mfs = getBlockMfs(block);
int block_nb_recursives = block_size - block_nb_mfs;
if (simulation_type == SOLVE_TWO_BOUNDARIES_COMPLETE or simulation_type == SOLVE_TWO_BOUNDARIES_SIMPLE)
{
blocks_derivatives.push_back(t_block_derivatives_equation_variable_laglead_nodeid(0));
for (int i = 0; i < block_nb_recursives; i++)
{
if (getBlockEquationType(block, i) == E_EVALUATE_S)
recursive_variables[getDerivID(symbol_table.getID(eEndogenous, getBlockVariableID(block, i)), 0)] = getBlockEquationRenormalizedNodeID(block, i);
else
recursive_variables[getDerivID(symbol_table.getID(eEndogenous, getBlockVariableID(block, i)), 0)] = getBlockEquationNodeID(block, i);
}
map<pair<pair<int, pair<int, int> >, pair<int, int> >, int> Derivatives = get_Derivatives(block);
map<pair<pair<int, pair<int, int> >, pair<int, int> >, int>::const_iterator it = Derivatives.begin();
for (int i = 0; i < (int) Derivatives.size(); i++)
{
int Deriv_type = it->second;
pair<pair<int, pair<int, int> >, pair<int, int> > it_l(it->first);
it++;
int lag = it_l.first.first;
int eq = it_l.first.second.first;
int var = it_l.first.second.second;
int eqr = it_l.second.first;
int varr = it_l.second.second;
if (Deriv_type == 0)
first_chain_rule_derivatives[make_pair(eqr, make_pair(varr, lag))] = first_derivatives[make_pair(eqr, getDerivID(symbol_table.getID(eEndogenous, varr), lag))];
else if (Deriv_type == 1)
first_chain_rule_derivatives[make_pair(eqr, make_pair(varr, lag))] = (equation_type_and_normalized_equation[eqr].second)->getChainRuleDerivative(getDerivID(symbol_table.getID(eEndogenous, varr), lag), recursive_variables);
else if (Deriv_type == 2)
{
if (getBlockEquationType(block, eq) == E_EVALUATE_S && eq < block_nb_recursives)
first_chain_rule_derivatives[make_pair(eqr, make_pair(varr, lag))] = (equation_type_and_normalized_equation[eqr].second)->getChainRuleDerivative(getDerivID(symbol_table.getID(eEndogenous, varr), lag), recursive_variables);
else
first_chain_rule_derivatives[make_pair(eqr, make_pair(varr, lag))] = equations[eqr]->getChainRuleDerivative(getDerivID(symbol_table.getID(eEndogenous, varr), lag), recursive_variables);
}
tmp_derivatives.push_back(make_pair(make_pair(eq, var), make_pair(lag, first_chain_rule_derivatives[make_pair(eqr, make_pair(varr, lag))])));
}
}
else if (simulation_type == SOLVE_BACKWARD_SIMPLE or simulation_type == SOLVE_FORWARD_SIMPLE
or simulation_type == SOLVE_BACKWARD_COMPLETE or simulation_type == SOLVE_FORWARD_COMPLETE)
{
blocks_derivatives.push_back(t_block_derivatives_equation_variable_laglead_nodeid(0));
for (int i = 0; i < block_nb_recursives; i++)
{
if (getBlockEquationType(block, i) == E_EVALUATE_S)
recursive_variables[getDerivID(symbol_table.getID(eEndogenous, getBlockVariableID(block, i)), 0)] = getBlockEquationRenormalizedNodeID(block, i);
else
recursive_variables[getDerivID(symbol_table.getID(eEndogenous, getBlockVariableID(block, i)), 0)] = getBlockEquationNodeID(block, i);
}
for (int eq = block_nb_recursives; eq < block_size; eq++)
{
int eqr = getBlockEquationID(block, eq);
for (int var = block_nb_recursives; var < block_size; var++)
{
int varr = getBlockVariableID(block, var);
NodeID d1 = equations[eqr]->getChainRuleDerivative(getDerivID(symbol_table.getID(eEndogenous, varr), 0), recursive_variables);
if (d1 == Zero)
continue;
first_chain_rule_derivatives[make_pair(eqr, make_pair(varr, 0))] = d1;
tmp_derivatives.push_back(
make_pair(make_pair(eq, var), make_pair(0, first_chain_rule_derivatives[make_pair(eqr, make_pair(varr, 0))])));
}
}
}
blocks_derivatives[block] = tmp_derivatives;
}
}
void
DynamicModel::collect_block_first_order_derivatives()
{
//! vector for an equation or a variable indicates the block number
vector<int> equation_2_block, variable_2_block;
unsigned int nb_blocks = getNbBlocks();
equation_2_block = vector<int>(equation_reordered.size());
variable_2_block = vector<int>(variable_reordered.size());
for (unsigned int block = 0; block < nb_blocks; block++)
{
unsigned int block_size = getBlockSize(block);
for (unsigned int i = 0; i < block_size; i++)
{
equation_2_block[getBlockEquationID(block, i)] = block;
variable_2_block[getBlockVariableID(block, i)] = block;
}
}
other_endo_block = vector<t_lag_var>(nb_blocks);
exo_block = vector<t_lag_var>(nb_blocks);
exo_det_block = vector<t_lag_var>(nb_blocks);
derivative_endo = vector<t_derivative>(nb_blocks);
derivative_other_endo = vector<t_derivative>(nb_blocks);
derivative_exo = vector<t_derivative>(nb_blocks);
derivative_exo_det = vector<t_derivative>(nb_blocks);
endo_max_leadlag_block = vector<pair<int, int> >(nb_blocks, make_pair(0, 0));
other_endo_max_leadlag_block = vector<pair<int, int> >(nb_blocks, make_pair(0, 0));
exo_max_leadlag_block = vector<pair<int, int> >(nb_blocks, make_pair(0, 0));
exo_det_max_leadlag_block = vector<pair<int, int> >(nb_blocks, make_pair(0, 0));
max_leadlag_block = vector<pair<int, int> >(nb_blocks, make_pair(0, 0));
for (first_derivatives_type::iterator it2 = first_derivatives.begin();
it2 != first_derivatives.end(); it2++)
{
int eq = it2->first.first;
int var = symbol_table.getTypeSpecificID(getSymbIDByDerivID(it2->first.second));
int lag = getLagByDerivID(it2->first.second);
int block_eq = equation_2_block[eq];
int block_var = variable_2_block[var];
t_derivative tmp_derivative;
t_lag_var lag_var;
switch (getTypeByDerivID(it2->first.second))
{
case eEndogenous:
if (block_eq == block_var)
{
if (lag < 0 && lag < -endo_max_leadlag_block[block_eq].first)
endo_max_leadlag_block[block_eq] = make_pair(-lag, endo_max_leadlag_block[block_eq].second);
if (lag > 0 && lag > endo_max_leadlag_block[block_eq].second)
endo_max_leadlag_block[block_eq] = make_pair(endo_max_leadlag_block[block_eq].first, lag);
tmp_derivative = derivative_endo[block_eq];
tmp_derivative[make_pair(lag, make_pair(eq, var))] = first_derivatives[make_pair(eq, getDerivID(symbol_table.getID(eEndogenous, var), lag))];
derivative_endo[block_eq] = tmp_derivative;
}
else
{
if (lag < 0 && lag < -other_endo_max_leadlag_block[block_eq].first)
other_endo_max_leadlag_block[block_eq] = make_pair(-lag, other_endo_max_leadlag_block[block_eq].second);
if (lag > 0 && lag > other_endo_max_leadlag_block[block_eq].second)
other_endo_max_leadlag_block[block_eq] = make_pair(other_endo_max_leadlag_block[block_eq].first, lag);
tmp_derivative = derivative_other_endo[block_eq];
tmp_derivative[make_pair(lag, make_pair(eq, var))] = first_derivatives[make_pair(eq, getDerivID(symbol_table.getID(eEndogenous, var), lag))];
derivative_other_endo[block_eq] = tmp_derivative;
lag_var = other_endo_block[block_eq];
if (lag_var.find(lag) == lag_var.end())
lag_var[lag].clear();
lag_var[lag].insert(var);
other_endo_block[block_eq] = lag_var;
}
break;
case eExogenous:
if (lag < 0 && lag < -exo_max_leadlag_block[block_eq].first)
exo_max_leadlag_block[block_eq] = make_pair(-lag, exo_max_leadlag_block[block_eq].second);
if (lag > 0 && lag > exo_max_leadlag_block[block_eq].second)
exo_max_leadlag_block[block_eq] = make_pair(exo_max_leadlag_block[block_eq].first, lag);
tmp_derivative = derivative_exo[block_eq];
tmp_derivative[make_pair(lag, make_pair(eq, var))] = first_derivatives[make_pair(eq, getDerivID(symbol_table.getID(eExogenous, var), lag))];
derivative_exo[block_eq] = tmp_derivative;
lag_var = exo_block[block_eq];
if (lag_var.find(lag) == lag_var.end())
lag_var[lag].clear();
lag_var[lag].insert(var);
exo_block[block_eq] = lag_var;
break;
case eExogenousDet:
if (lag < 0 && lag < -exo_det_max_leadlag_block[block_eq].first)
exo_det_max_leadlag_block[block_eq] = make_pair(-lag, exo_det_max_leadlag_block[block_eq].second);
if (lag > 0 && lag > exo_det_max_leadlag_block[block_eq].second)
exo_det_max_leadlag_block[block_eq] = make_pair(exo_det_max_leadlag_block[block_eq].first, lag);
tmp_derivative = derivative_exo_det[block_eq];
tmp_derivative[make_pair(lag, make_pair(eq, var))] = first_derivatives[make_pair(eq, getDerivID(symbol_table.getID(eExogenous, var), lag))];
derivative_exo_det[block_eq] = tmp_derivative;
lag_var = exo_det_block[block_eq];
if (lag_var.find(lag) == lag_var.end())
lag_var[lag].clear();
lag_var[lag].insert(var);
exo_det_block[block_eq] = lag_var;
break;
default:
break;
}
if (lag < 0 && lag < -max_leadlag_block[block_eq].first)
max_leadlag_block[block_eq] = make_pair(-lag, max_leadlag_block[block_eq].second);
if (lag > 0 && lag > max_leadlag_block[block_eq].second)
max_leadlag_block[block_eq] = make_pair(max_leadlag_block[block_eq].first, lag);
}
}
void
DynamicModel::writeDynamicFile(const string &basename, bool block, bool bytecode, bool use_dll) const
{
int r;
if (block && bytecode)
writeModelEquationsCodeOrdered(basename + "_dynamic", basename, map_idx);
else if (block && !bytecode)
{
#ifdef _WIN32
r = mkdir(basename.c_str());
#else
r = mkdir(basename.c_str(), 0777);
#endif
if (r < 0 && errno != EEXIST)
{
perror("ERROR");
exit(EXIT_FAILURE);
}
writeSparseDynamicMFile(basename + "_dynamic", basename);
}
else if (use_dll)
writeDynamicCFile(basename + "_dynamic");
else
writeDynamicMFile(basename + "_dynamic");
}
void
DynamicModel::toStatic(StaticModel &static_model) const
{
// Convert model local variables (need to be done first)
for (map<int, NodeID>::const_iterator it = local_variables_table.begin();
it != local_variables_table.end(); it++)
static_model.AddLocalVariable(symbol_table.getName(it->first), it->second->toStatic(static_model));
// Convert equations
for (vector<BinaryOpNode *>::const_iterator it = equations.begin();
it != equations.end(); it++)
static_model.addEquation((*it)->toStatic(static_model));
// Convert auxiliary equations
for (deque<BinaryOpNode *>::const_iterator it = aux_equations.begin();
it != aux_equations.end(); it++)
static_model.addAuxEquation((*it)->toStatic(static_model));
}
void
DynamicModel::computeDerivIDs()
{
set<pair<int, int> > dynvars;
for (int i = 0; i < (int) equations.size(); i++)
equations[i]->collectVariables(eEndogenous, dynvars);
dynJacobianColsNbr = dynvars.size();
for (int i = 0; i < (int) equations.size(); i++)
{
equations[i]->collectVariables(eExogenous, dynvars);
equations[i]->collectVariables(eExogenousDet, dynvars);
equations[i]->collectVariables(eParameter, dynvars);
}
for (set<pair<int, int> >::const_iterator it = dynvars.begin();
it != dynvars.end(); it++)
{
int lag = it->second;
SymbolType type = symbol_table.getType(it->first);
// Setting maximum and minimum lags
if (max_lead < lag)
max_lead = lag;
else if (-max_lag > lag)
max_lag = -lag;
switch (type)
{
case eEndogenous:
if (max_endo_lead < lag)
max_endo_lead = lag;
else if (-max_endo_lag > lag)
max_endo_lag = -lag;
break;
case eExogenous:
if (max_exo_lead < lag)
max_exo_lead = lag;
else if (-max_exo_lag > lag)
max_exo_lag = -lag;
break;
case eExogenousDet:
if (max_exo_det_lead < lag)
max_exo_det_lead = lag;
else if (-max_exo_det_lag > lag)
max_exo_det_lag = -lag;
break;
default:
break;
}
// Create a new deriv_id
int deriv_id = deriv_id_table.size();
deriv_id_table[*it] = deriv_id;
inv_deriv_id_table.push_back(*it);
}
}
SymbolType
DynamicModel::getTypeByDerivID(int deriv_id) const throw (UnknownDerivIDException)
{
return symbol_table.getType(getSymbIDByDerivID(deriv_id));
}
int
DynamicModel::getLagByDerivID(int deriv_id) const throw (UnknownDerivIDException)
{
if (deriv_id < 0 || deriv_id >= (int) inv_deriv_id_table.size())
throw UnknownDerivIDException();
return inv_deriv_id_table[deriv_id].second;
}
int
DynamicModel::getSymbIDByDerivID(int deriv_id) const throw (UnknownDerivIDException)
{
if (deriv_id < 0 || deriv_id >= (int) inv_deriv_id_table.size())
throw UnknownDerivIDException();
return inv_deriv_id_table[deriv_id].first;
}
int
DynamicModel::getDerivID(int symb_id, int lag) const throw (UnknownDerivIDException)
{
deriv_id_table_t::const_iterator it = deriv_id_table.find(make_pair(symb_id, lag));
if (it == deriv_id_table.end())
throw UnknownDerivIDException();
else
return it->second;
}
void
DynamicModel::computeDynJacobianCols(bool jacobianExo)
{
/* Sort the dynamic endogenous variables by lexicographic order over (lag, type_specific_symbol_id)
and fill the dynamic columns for exogenous and exogenous deterministic */
map<pair<int, int>, int> ordered_dyn_endo;
for (deriv_id_table_t::const_iterator it = deriv_id_table.begin();
it != deriv_id_table.end(); it++)
{
const int &symb_id = it->first.first;
const int &lag = it->first.second;
const int &deriv_id = it->second;
SymbolType type = symbol_table.getType(symb_id);
int tsid = symbol_table.getTypeSpecificID(symb_id);
switch (type)
{
case eEndogenous:
ordered_dyn_endo[make_pair(lag, tsid)] = deriv_id;
break;
case eExogenous:
// At this point, dynJacobianColsNbr contains the number of dynamic endogenous
if (jacobianExo)
dyn_jacobian_cols_table[deriv_id] = dynJacobianColsNbr + tsid;
break;
case eExogenousDet:
// At this point, dynJacobianColsNbr contains the number of dynamic endogenous
if (jacobianExo)
dyn_jacobian_cols_table[deriv_id] = dynJacobianColsNbr + symbol_table.exo_nbr() + tsid;
break;
case eParameter:
// We don't assign a dynamic jacobian column to parameters
break;
default:
// Shut up GCC
cerr << "DynamicModel::computeDynJacobianCols: impossible case" << endl;
exit(EXIT_FAILURE);
}
}
// Fill in dynamic jacobian columns for endogenous
int sorted_id = 0;
for (map<pair<int, int>, int>::const_iterator it = ordered_dyn_endo.begin();
it != ordered_dyn_endo.end(); it++)
dyn_jacobian_cols_table[it->second] = sorted_id++;
// Set final value for dynJacobianColsNbr
if (jacobianExo)
dynJacobianColsNbr += symbol_table.exo_nbr() + symbol_table.exo_det_nbr();
}
int
DynamicModel::getDynJacobianCol(int deriv_id) const throw (UnknownDerivIDException)
{
map<int, int>::const_iterator it = dyn_jacobian_cols_table.find(deriv_id);
if (it == dyn_jacobian_cols_table.end())
throw UnknownDerivIDException();
else
return it->second;
}
void
DynamicModel::computeParamsDerivatives()
{
for (deriv_id_table_t::const_iterator it = deriv_id_table.begin();
it != deriv_id_table.end(); it++)
{
if (symbol_table.getType(it->first.first) != eParameter)
continue;
int param = it->second;
for (int eq = 0; eq < (int) equations.size(); eq++)
{
NodeID d1 = equations[eq]->getDerivative(param);
if (d1 == Zero)
continue;
residuals_params_derivatives[make_pair(eq, param)] = d1;
}
for (first_derivatives_type::const_iterator it2 = first_derivatives.begin();
it2 != first_derivatives.end(); it2++)
{
int eq = it2->first.first;
int var = it2->first.second;
NodeID d1 = it2->second;
NodeID d2 = d1->getDerivative(param);
if (d2 == Zero)
continue;
jacobian_params_derivatives[make_pair(eq, make_pair(var, param))] = d2;
}
}
}
void
DynamicModel::computeParamsDerivativesTemporaryTerms()
{
map<NodeID, int> reference_count;
params_derivs_temporary_terms.clear();
for (first_derivatives_type::iterator it = residuals_params_derivatives.begin();
it != residuals_params_derivatives.end(); it++)
it->second->computeTemporaryTerms(reference_count, params_derivs_temporary_terms, true);
for (second_derivatives_type::iterator it = jacobian_params_derivatives.begin();
it != jacobian_params_derivatives.end(); it++)
it->second->computeTemporaryTerms(reference_count, params_derivs_temporary_terms, true);
}
void
DynamicModel::writeParamsDerivativesFile(const string &basename) const
{
if (!residuals_params_derivatives.size()
&& !jacobian_params_derivatives.size())
return;
string filename = basename + "_params_derivs.m";
ofstream paramsDerivsFile;
paramsDerivsFile.open(filename.c_str(), ios::out | ios::binary);
if (!paramsDerivsFile.is_open())
{
cerr << "ERROR: Can't open file " << filename << " for writing" << endl;
exit(EXIT_FAILURE);
}
paramsDerivsFile << "function [rp, gp] = " << basename << "_params_derivs(y, x, params, it_)" << endl
<< "%" << endl
<< "% Warning : this file is generated automatically by Dynare" << endl
<< "% from model file (.mod)" << endl << endl;
writeTemporaryTerms(params_derivs_temporary_terms, paramsDerivsFile, oMatlabDynamicModel);
// Write parameter derivative
paramsDerivsFile << "rp = zeros(" << equation_number() << ", "
<< symbol_table.param_nbr() << ");" << endl;
for (first_derivatives_type::const_iterator it = residuals_params_derivatives.begin();
it != residuals_params_derivatives.end(); it++)
{
int eq = it->first.first;
int param = it->first.second;
NodeID d1 = it->second;
int param_col = symbol_table.getTypeSpecificID(getSymbIDByDerivID(param)) + 1;
paramsDerivsFile << "rp(" << eq+1 << ", " << param_col << ") = ";
d1->writeOutput(paramsDerivsFile, oMatlabDynamicModel, params_derivs_temporary_terms);
paramsDerivsFile << ";" << endl;
}
// Write jacobian derivatives
paramsDerivsFile << "gp = zeros(" << equation_number() << ", " << dynJacobianColsNbr << ", "
<< symbol_table.param_nbr() << ");" << endl;
for (second_derivatives_type::const_iterator it = jacobian_params_derivatives.begin();
it != jacobian_params_derivatives.end(); it++)
{
int eq = it->first.first;
int var = it->first.second.first;
int param = it->first.second.second;
NodeID d2 = it->second;
int var_col = getDynJacobianCol(var) + 1;
int param_col = symbol_table.getTypeSpecificID(getSymbIDByDerivID(param)) + 1;
paramsDerivsFile << "gp(" << eq+1 << ", " << var_col << ", " << param_col << ") = ";
d2->writeOutput(paramsDerivsFile, oMatlabDynamicModel, params_derivs_temporary_terms);
paramsDerivsFile << ";" << endl;
}
paramsDerivsFile.close();
}
void
DynamicModel::writeChainRuleDerivative(ostream &output, int eqr, int varr, int lag,
ExprNodeOutputType output_type,
const temporary_terms_type &temporary_terms) const
{
map<pair<int, pair<int, int> >, NodeID>::const_iterator it = first_chain_rule_derivatives.find(make_pair(eqr, make_pair(varr, lag)));
if (it != first_chain_rule_derivatives.end())
(it->second)->writeOutput(output, output_type, temporary_terms);
else
output << 0;
}
void
DynamicModel::writeLatexFile(const string &basename) const
{
writeLatexModelFile(basename + "_dynamic.tex", oLatexDynamicModel);
}
void
DynamicModel::jacobianHelper(ostream &output, int eq_nb, int col_nb, ExprNodeOutputType output_type) const
{
output << LEFT_ARRAY_SUBSCRIPT(output_type);
if (IS_MATLAB(output_type))
output << eq_nb + 1 << "," << col_nb + 1;
else
output << eq_nb + col_nb *equations.size();
output << RIGHT_ARRAY_SUBSCRIPT(output_type);
}
void
DynamicModel::sparseHelper(int order, ostream &output, int row_nb, int col_nb, ExprNodeOutputType output_type) const
{
output << "v" << order << LEFT_ARRAY_SUBSCRIPT(output_type);
if (IS_MATLAB(output_type))
output << row_nb + 1 << "," << col_nb + 1;
else
output << row_nb + col_nb * NNZDerivatives[order-1];
output << RIGHT_ARRAY_SUBSCRIPT(output_type);
}
void
DynamicModel::substituteEndoLeadGreaterThanTwo()
{
substituteLeadLagInternal(avEndoLead);
}
void
DynamicModel::substituteEndoLagGreaterThanTwo()
{
substituteLeadLagInternal(avEndoLag);
}
void
DynamicModel::substituteExoLead()
{
substituteLeadLagInternal(avExoLead);
}
void
DynamicModel::substituteExoLag()
{
substituteLeadLagInternal(avExoLag);
}
void
DynamicModel::substituteLeadLagInternal(aux_var_t type)
{
ExprNode::subst_table_t subst_table;
vector<BinaryOpNode *> neweqs;
// Substitute in model local variables
for (map<int, NodeID>::iterator it = local_variables_table.begin();
it != local_variables_table.end(); it++)
{
NodeID subst;
switch (type)
{
case avEndoLead:
subst = it->second->substituteEndoLeadGreaterThanTwo(subst_table, neweqs);
break;
case avEndoLag:
subst = it->second->substituteEndoLagGreaterThanTwo(subst_table, neweqs);
break;
case avExoLead:
subst = it->second->substituteExoLead(subst_table, neweqs);
break;
case avExoLag:
subst = it->second->substituteExoLag(subst_table, neweqs);
break;
default:
cerr << "DynamicModel::substituteLeadLagInternal: impossible case" << endl;
exit(EXIT_FAILURE);
}
it->second = subst;
}
// Substitute in equations
for (int i = 0; i < (int) equations.size(); i++)
{
NodeID subst;
switch (type)
{
case avEndoLead:
subst = equations[i]->substituteEndoLeadGreaterThanTwo(subst_table, neweqs);
break;
case avEndoLag:
subst = equations[i]->substituteEndoLagGreaterThanTwo(subst_table, neweqs);
break;
case avExoLead:
subst = equations[i]->substituteExoLead(subst_table, neweqs);
break;
case avExoLag:
subst = equations[i]->substituteExoLag(subst_table, neweqs);
break;
default:
cerr << "DynamicModel::substituteLeadLagInternal: impossible case" << endl;
exit(EXIT_FAILURE);
}
BinaryOpNode *substeq = dynamic_cast<BinaryOpNode *>(subst);
assert(substeq != NULL);
equations[i] = substeq;
}
// Add new equations
for (int i = 0; i < (int) neweqs.size(); i++)
addEquation(neweqs[i]);
// Add the new set of equations at the *beginning* of aux_equations
copy(neweqs.rbegin(), neweqs.rend(), front_inserter(aux_equations));
if (neweqs.size() > 0)
{
cout << "Substitution of ";
switch (type)
{
case avEndoLead:
cout << "endo leads >= 2";
break;
case avEndoLag:
cout << "endo lags >= 2";
break;
case avExoLead:
cout << "exo leads";
break;
case avExoLag:
cout << "exo lags";
break;
case avExpectation:
cout << "expectation";
break;
case avExpectationRIS:
cout << "expectation conditional on a restricted information set";
break;
}
cout << ": added " << neweqs.size() << " auxiliary variables and equations." << endl;
}
}
void
DynamicModel::substituteExpectation(bool partial_information_model)
{
ExprNode::subst_table_t subst_table;
vector<BinaryOpNode *> neweqs;
// Substitute in model local variables
for (map<int, NodeID>::iterator it = local_variables_table.begin();
it != local_variables_table.end(); it++)
it->second = it->second->substituteExpectation(subst_table, neweqs, partial_information_model);
// Substitute in equations
for (int i = 0; i < (int) equations.size(); i++)
{
BinaryOpNode *substeq = dynamic_cast<BinaryOpNode *>(equations[i]->substituteExpectation(subst_table, neweqs, partial_information_model));
assert(substeq != NULL);
equations[i] = substeq;
}
// Add new equations
for (int i = 0; i < (int) neweqs.size(); i++)
addEquation(neweqs[i]);
// Add the new set of equations at the *beginning* of aux_equations
copy(neweqs.rbegin(), neweqs.rend(), front_inserter(aux_equations));
if (subst_table.size() > 0)
{
if (partial_information_model)
cout << "Substitution of Expectation operator: added " << subst_table.size() << " auxiliary variables and " << neweqs.size() << " auxiliary equations." << endl;
else
cout << "Substitution of Expectation operator: added " << neweqs.size() << " auxiliary variables and equations." << endl;
}
}
void
DynamicModel::transformPredeterminedVariables()
{
for (int i = 0; i < (int) equations.size(); i++)
{
BinaryOpNode *substeq = dynamic_cast<BinaryOpNode *>(equations[i]->decreaseLeadsLagsPredeterminedVariables());
assert(substeq != NULL);
equations[i] = substeq;
}
}
void
DynamicModel::fillEvalContext(eval_context_type &eval_context) const
{
// First, auxiliary variables
for (deque<BinaryOpNode *>::const_iterator it = aux_equations.begin();
it != aux_equations.end(); it++)
{
assert((*it)->get_op_code() == oEqual);
VariableNode *auxvar = dynamic_cast<VariableNode *>((*it)->get_arg1());
assert(auxvar != NULL);
try
{
double val = (*it)->get_arg2()->eval(eval_context);
eval_context[auxvar->get_symb_id()] = val;
}
catch (ExprNode::EvalException &e)
{
// Do nothing
}
}
// Second, model local variables
for (map<int, NodeID>::const_iterator it = local_variables_table.begin();
it != local_variables_table.end(); it++)
{
try
{
const NodeID expression = it->second;
double val = expression->eval(eval_context);
eval_context[it->first] = val;
}
catch (ExprNode::EvalException &e)
{
// Do nothing
}
}
}
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