Commit 078574ee authored by Houtan Bastani's avatar Houtan Bastani
Browse files

external_function: add support for use_dll

parent c19df582
......@@ -3602,6 +3602,22 @@ ExternalFunctionNode::writeExternalFunctionArguments(ostream &output, ExprNodeOu
}
}
void
ExternalFunctionNode::writePrhs(ostream &output, ExprNodeOutputType output_type,
const temporary_terms_t &temporary_terms,
deriv_node_temp_terms_t &tef_terms, const string &ending) const
{
output << "mxArray *prhs"<< ending << "[nrhs"<< ending << "];" << endl;
int i = 0;
for (vector<expr_t>::const_iterator it = arguments.begin();
it != arguments.end(); it++)
{
output << "prhs" << ending << "[" << i++ << "] = mxCreateDoubleScalar("; // All external_function arguments are scalars
(*it)->writeOutput(output, output_type, temporary_terms, tef_terms);
output << ");" << endl;
}
}
void
ExternalFunctionNode::writeOutput(ostream &output, ExprNodeOutputType output_type,
const temporary_terms_t &temporary_terms,
......@@ -3625,6 +3641,8 @@ ExternalFunctionNode::writeOutput(ostream &output, ExprNodeOutputType output_typ
return;
}
if (IS_C(output_type))
output << "*";
output << "TEF_" << getIndxInTefTerms(symb_id, tef_terms);
}
......@@ -3647,17 +3665,61 @@ ExternalFunctionNode::writeExternalFunctionOutput(ostream &output, ExprNodeOutpu
int second_deriv_symb_id = datatree.external_functions_table.getSecondDerivSymbID(symb_id);
assert(second_deriv_symb_id != eExtFunSetButNoNameProvided);
if (symb_id == first_deriv_symb_id &&
symb_id == second_deriv_symb_id)
output << "[TEF_" << indx << " TEFD_"<< indx << " TEFDD_"<< indx << "] = ";
else if (symb_id == first_deriv_symb_id)
output << "[TEF_" << indx << " TEFD_"<< indx << "] = ";
if (IS_C(output_type))
{
stringstream ending;
ending << "_tef_" << getIndxInTefTerms(symb_id, tef_terms);
if (symb_id == first_deriv_symb_id &&
symb_id == second_deriv_symb_id)
output << "int nlhs" << ending.str() << " = 3;" << endl
<< "double *TEF_" << indx << ", "
<< "*TEFD_" << indx << ", "
<< "*TEFDD_" << indx << ";" << endl;
else if (symb_id == first_deriv_symb_id)
output << "int nlhs" << ending.str() << " = 2;" << endl
<< "double *TEF_" << indx << ", "
<< "*TEFD_" << indx << "; " << endl;
else
output << "int nlhs" << ending.str() << " = 1;" << endl
<< "double *TEF_" << indx << ";" << endl;
output << "mxArray *plhs" << ending.str()<< "[nlhs"<< ending.str() << "];" << endl;
output << "int nrhs" << ending.str()<< " = " << arguments.size() << ";" << endl;
writePrhs(output, output_type, temporary_terms, tef_terms, ending.str());
output << "mexCallMATLAB("
<< "nlhs" << ending.str() << ", "
<< "plhs" << ending.str() << ", "
<< "nrhs" << ending.str() << ", "
<< "prhs" << ending.str() << ", \""
<< datatree.symbol_table.getName(symb_id) << "\");" << endl;
if (symb_id == first_deriv_symb_id &&
symb_id == second_deriv_symb_id)
output << "TEF_" << indx << " = mxGetPr(plhs" << ending.str() << "[0]);" << endl
<< "TEFD_" << indx << " = mxGetPr(plhs" << ending.str() << "[1]);" << endl
<< "TEFDD_" << indx << " = mxGetPr(plhs" << ending.str() << "[2]);" << endl
<< "int TEFDD_" << indx << "_nrows = (int)mxGetM(plhs" << ending.str()<< "[2]);" << endl;
else if (symb_id == first_deriv_symb_id)
output << "TEF_" << indx << " = mxGetPr(plhs" << ending.str() << "[0]);" << endl
<< "TEFD_" << indx << " = mxGetPr(plhs" << ending.str() << "[1]);" << endl;
else
output << "TEF_" << indx << " = mxGetPr(plhs" << ending.str() << "[0]);" << endl;
}
else
output << "TEF_" << indx << " = ";
{
if (symb_id == first_deriv_symb_id &&
symb_id == second_deriv_symb_id)
output << "[TEF_" << indx << " TEFD_"<< indx << " TEFDD_"<< indx << "] = ";
else if (symb_id == first_deriv_symb_id)
output << "[TEF_" << indx << " TEFD_"<< indx << "] = ";
else
output << "TEF_" << indx << " = ";
output << datatree.symbol_table.getName(symb_id) << "(";
writeExternalFunctionArguments(output, output_type, temporary_terms, tef_terms);
output << ");" << endl;
output << datatree.symbol_table.getName(symb_id) << "(";
writeExternalFunctionArguments(output, output_type, temporary_terms, tef_terms);
output << ");" << endl;
}
}
}
......@@ -3940,13 +4002,22 @@ FirstDerivExternalFunctionNode::writeOutput(ostream &output, ExprNodeOutputType
int first_deriv_symb_id = datatree.external_functions_table.getFirstDerivSymbID(symb_id);
assert(first_deriv_symb_id != eExtFunSetButNoNameProvided);
int tmpIndx = inputIndex;
if (IS_C(output_type))
tmpIndx = tmpIndx - 1;
if (first_deriv_symb_id == symb_id)
output << "TEFD_" << getIndxInTefTerms(symb_id, tef_terms) << "(" << inputIndex << ")";
output << "TEFD_" << getIndxInTefTerms(symb_id, tef_terms)
<< LEFT_ARRAY_SUBSCRIPT(output_type) << tmpIndx << RIGHT_ARRAY_SUBSCRIPT(output_type);
else if (first_deriv_symb_id == eExtFunNotSet)
output << "TEFD_fdd_" << getIndxInTefTerms(symb_id, tef_terms) << "_" << inputIndex;
{
if (IS_C(output_type))
output << "*";
output << "TEFD_fdd_" << getIndxInTefTerms(symb_id, tef_terms) << "_" << inputIndex;
}
else
output << "TEFD_def_" << getIndxInTefTerms(first_deriv_symb_id, tef_terms)
<< "(" << inputIndex << ")";
<< LEFT_ARRAY_SUBSCRIPT(output_type) << tmpIndx << RIGHT_ARRAY_SUBSCRIPT(output_type);
}
void
......@@ -3958,11 +4029,73 @@ FirstDerivExternalFunctionNode::writeExternalFunctionOutput(ostream &output, Exp
int first_deriv_symb_id = datatree.external_functions_table.getFirstDerivSymbID(symb_id);
assert(first_deriv_symb_id != eExtFunSetButNoNameProvided);
if (!alreadyWrittenAsTefTerm(first_deriv_symb_id, tef_terms))
if (first_deriv_symb_id == symb_id || alreadyWrittenAsTefTerm(first_deriv_symb_id, tef_terms))
return;
if (IS_C(output_type))
if (first_deriv_symb_id == eExtFunNotSet)
{
stringstream ending;
ending << "_tefd_fdd_" << getIndxInTefTerms(symb_id, tef_terms) << "_" << inputIndex;
output << "int nlhs" << ending.str() << " = 1;" << endl
<< "double *TEFD_fdd_" << getIndxInTefTerms(symb_id, tef_terms) << "_" << inputIndex << ";" << endl
<< "mxArray *plhs" << ending.str() << "[nlhs"<< ending.str() << "];" << endl
<< "int nrhs" << ending.str() << " = 3;" << endl
<< "mxArray *prhs" << ending.str() << "[nrhs"<< ending.str() << "];" << endl
<< "mwSize dims" << ending.str() << "[2];" << endl;
output << "dims" << ending.str() << "[0] = 1;" << endl
<< "dims" << ending.str() << "[1] = " << arguments.size() << ";" << endl;
output << "prhs" << ending.str() << "[0] = mxCreateString(\"" << datatree.symbol_table.getName(symb_id) << "\");" << endl
<< "prhs" << ending.str() << "[1] = mxCreateDoubleScalar(" << inputIndex << ");"<< endl
<< "prhs" << ending.str() << "[2] = mxCreateCellArray(2, dims" << ending.str() << ");"<< endl;
int i = 0;
for (vector<expr_t>::const_iterator it = arguments.begin();
it != arguments.end(); it++)
{
output << "mxSetCell(prhs" << ending.str() << "[2], "
<< i++ << ", "
<< "mxCreateDoubleScalar("; // All external_function arguments are scalars
(*it)->writeOutput(output, output_type, temporary_terms, tef_terms);
output << "));" << endl;
}
output << "mexCallMATLAB("
<< "nlhs" << ending.str() << ", "
<< "plhs" << ending.str() << ", "
<< "nrhs" << ending.str() << ", "
<< "prhs" << ending.str() << ", \""
<< "jacob_element\");" << endl;
output << "TEFD_fdd_" << getIndxInTefTerms(symb_id, tef_terms) << "_" << inputIndex
<< " = mxGetPr(plhs" << ending.str() << "[0]);" << endl;
}
else
{
tef_terms[make_pair(first_deriv_symb_id, arguments)] = (int) tef_terms.size();
int indx = getIndxInTefTerms(first_deriv_symb_id, tef_terms);
stringstream ending;
ending << "_tefd_def_" << indx;
output << "int nlhs" << ending.str() << " = 1;" << endl
<< "double *TEFD_def_" << indx << ";" << endl
<< "mxArray *plhs" << ending.str() << "[nlhs"<< ending.str() << "];" << endl
<< "int nrhs" << ending.str() << " = " << arguments.size() << ";" << endl;
writePrhs(output, output_type, temporary_terms, tef_terms, ending.str());
output << "mexCallMATLAB("
<< "nlhs" << ending.str() << ", "
<< "plhs" << ending.str() << ", "
<< "nrhs" << ending.str() << ", "
<< "prhs" << ending.str() << ", \""
<< datatree.symbol_table.getName(first_deriv_symb_id) << "\");" << endl;
output << "TEFD_def_" << indx << " = mxGetPr(plhs" << ending.str() << "[0]);" << endl;
}
else
{
if (first_deriv_symb_id == symb_id)
return;
else if (first_deriv_symb_id == eExtFunNotSet)
if (first_deriv_symb_id == eExtFunNotSet)
output << "TEFD_fdd_" << getIndxInTefTerms(symb_id, tef_terms) << "_" << inputIndex << " = jacob_element('"
<< datatree.symbol_table.getName(symb_id) << "'," << inputIndex << ",{";
else
......@@ -4041,13 +4174,37 @@ SecondDerivExternalFunctionNode::writeOutput(ostream &output, ExprNodeOutputType
int second_deriv_symb_id = datatree.external_functions_table.getSecondDerivSymbID(symb_id);
assert(second_deriv_symb_id != eExtFunSetButNoNameProvided);
int tmpIndex1 = inputIndex1;
int tmpIndex2 = inputIndex2;
if (IS_C(output_type))
{
tmpIndex1 = tmpIndex1 - 1;
tmpIndex2 = tmpIndex2 - 1;
}
int indx = getIndxInTefTerms(symb_id, tef_terms);
if (second_deriv_symb_id == symb_id)
output << "TEFDD_" << getIndxInTefTerms(symb_id, tef_terms) << "(" << inputIndex1 << "," << inputIndex2 << ")";
if (IS_C(output_type))
output << "TEFDD_" << indx
<< LEFT_ARRAY_SUBSCRIPT(output_type) << tmpIndex1 << " * TEFDD_" << indx << "_nrows + "
<< tmpIndex2 << RIGHT_ARRAY_SUBSCRIPT(output_type);
else
output << "TEFDD_" << getIndxInTefTerms(symb_id, tef_terms)
<< LEFT_ARRAY_SUBSCRIPT(output_type) << tmpIndex1 << "," << tmpIndex2 << RIGHT_ARRAY_SUBSCRIPT(output_type);
else if (second_deriv_symb_id == eExtFunNotSet)
output << "TEFDD_fdd_" << getIndxInTefTerms(symb_id, tef_terms) << "_" << inputIndex1 << "_" << inputIndex2;
{
if (IS_C(output_type))
output << "*";
output << "TEFDD_fdd_" << getIndxInTefTerms(symb_id, tef_terms) << "_" << inputIndex1 << "_" << inputIndex2;
}
else
output << "TEFDD_def_" << getIndxInTefTerms(second_deriv_symb_id, tef_terms)
<< "(" << inputIndex1 << "," << inputIndex2 << ")";
if (IS_C(output_type))
output << "TEFDD_def_" << getIndxInTefTerms(second_deriv_symb_id, tef_terms)
<< LEFT_ARRAY_SUBSCRIPT(output_type) << tmpIndex1 << " * PROBLEM_" << indx << "_nrows"
<< tmpIndex2 << RIGHT_ARRAY_SUBSCRIPT(output_type);
else
output << "TEFDD_def_" << getIndxInTefTerms(second_deriv_symb_id, tef_terms)
<< LEFT_ARRAY_SUBSCRIPT(output_type) << tmpIndex1 << "," << tmpIndex2 << RIGHT_ARRAY_SUBSCRIPT(output_type);
}
void
......@@ -4059,11 +4216,76 @@ SecondDerivExternalFunctionNode::writeExternalFunctionOutput(ostream &output, Ex
int second_deriv_symb_id = datatree.external_functions_table.getSecondDerivSymbID(symb_id);
assert(second_deriv_symb_id != eExtFunSetButNoNameProvided);
if (!alreadyWrittenAsTefTerm(second_deriv_symb_id, tef_terms))
if (alreadyWrittenAsTefTerm(second_deriv_symb_id, tef_terms) ||
second_deriv_symb_id == symb_id)
return;
if (IS_C(output_type))
if (second_deriv_symb_id == eExtFunNotSet)
{
stringstream ending;
ending << "_tefdd_fdd_" << getIndxInTefTerms(symb_id, tef_terms) << "_" << inputIndex1 << "_" << inputIndex2;
output << "int nlhs" << ending.str() << " = 1;" << endl
<< "double *TEFDD_fdd_" << getIndxInTefTerms(symb_id, tef_terms) << "_" << inputIndex1 << "_" << inputIndex2 << ";" << endl
<< "mxArray *plhs" << ending.str() << "[nlhs"<< ending.str() << "];" << endl
<< "int nrhs" << ending.str() << " = 4;" << endl
<< "mxArray *prhs" << ending.str() << "[nrhs"<< ending.str() << "];" << endl
<< "mwSize dims" << ending.str() << "[2];" << endl;
output << "dims" << ending.str() << "[0] = 1;" << endl
<< "dims" << ending.str() << "[1] = " << arguments.size() << ";" << endl;
output << "prhs" << ending.str() << "[0] = mxCreateString(\"" << datatree.symbol_table.getName(symb_id) << "\");" << endl
<< "prhs" << ending.str() << "[1] = mxCreateDoubleScalar(" << inputIndex1 << ");"<< endl
<< "prhs" << ending.str() << "[2] = mxCreateDoubleScalar(" << inputIndex2 << ");"<< endl
<< "prhs" << ending.str() << "[3] = mxCreateCellArray(2, dims" << ending.str() << ");"<< endl;
int i = 0;
for (vector<expr_t>::const_iterator it = arguments.begin();
it != arguments.end(); it++)
{
output << "mxSetCell(prhs" << ending.str() << "[3], "
<< i++ << ", "
<< "mxCreateDoubleScalar("; // All external_function arguments are scalars
(*it)->writeOutput(output, output_type, temporary_terms, tef_terms);
output << "));" << endl;
}
output << "mexCallMATLAB("
<< "nlhs" << ending.str() << ", "
<< "plhs" << ending.str() << ", "
<< "nrhs" << ending.str() << ", "
<< "prhs" << ending.str() << ", \""
<< "hess_element\");" << endl;
output << "TEFDD_fdd_" << getIndxInTefTerms(symb_id, tef_terms) << "_" << inputIndex1 << "_" << inputIndex2
<< " = mxGetPr(plhs" << ending.str() << "[0]);" << endl;
}
else
{
tef_terms[make_pair(second_deriv_symb_id, arguments)] = (int) tef_terms.size();
int indx = getIndxInTefTerms(second_deriv_symb_id, tef_terms);
stringstream ending;
ending << "_tefdd_def_" << indx;
output << "int nlhs" << ending.str() << " = 1;" << endl
<< "double *TEFDD_def_" << indx << ";" << endl
<< "mxArray *plhs" << ending.str() << "[nlhs"<< ending.str() << "];" << endl
<< "int nrhs" << ending.str() << " = " << arguments.size() << ";" << endl;
writePrhs(output, output_type, temporary_terms, tef_terms, ending.str());
output << "mexCallMATLAB("
<< "nlhs" << ending.str() << ", "
<< "plhs" << ending.str() << ", "
<< "nrhs" << ending.str() << ", "
<< "prhs" << ending.str() << ", \""
<< datatree.symbol_table.getName(second_deriv_symb_id) << "\");" << endl;
output << "TEFDD_def_" << indx << " = mxGetPr(plhs" << ending.str() << "[0]);" << endl;
}
else
{
if (second_deriv_symb_id == symb_id)
return;
else if (second_deriv_symb_id == eExtFunNotSet)
if (second_deriv_symb_id == eExtFunNotSet)
output << "TEFDD_fdd_" << getIndxInTefTerms(symb_id, tef_terms) << "_" << inputIndex1 << "_" << inputIndex2
<< " = hess_element('" << datatree.symbol_table.getName(symb_id) << "',"
<< inputIndex1 << "," << inputIndex2 << ",{";
......
......@@ -702,6 +702,7 @@ public:
virtual expr_t decreaseLeadsLagsPredeterminedVariables() const;
virtual bool isNumConstNodeEqualTo(double value) const;
virtual bool isVariableNodeEqualTo(SymbolType type_arg, int variable_id, int lag_arg) const;
virtual void writePrhs(ostream &output, ExprNodeOutputType output_type, const temporary_terms_t &temporary_terms, deriv_node_temp_terms_t &tef_terms, const string &ending) const;
};
class FirstDerivExternalFunctionNode : public ExternalFunctionNode
......
......@@ -145,9 +145,9 @@ ModFile::checkPass()
exit(EXIT_FAILURE);
}
if ((use_dll || byte_code) && (external_functions_table.get_total_number_of_unique_model_block_external_functions() > 0))
if (byte_code && (external_functions_table.get_total_number_of_unique_model_block_external_functions() > 0))
{
cerr << "ERROR: In 'model' block, use of external functions is not compatible with 'use_dll' or 'bytecode'" << endl;
cerr << "ERROR: In 'model' block, use of external functions is not compatible with 'bytecode'" << endl;
exit(EXIT_FAILURE);
}
......
......@@ -1085,31 +1085,29 @@ ModelTree::writeTemporaryTerms(const temporary_terms_t &tt, ostream &output,
// To store the functions that have already been written in the form TEF* = ext_fun();
deriv_node_temp_terms_t tef_terms;
if (tt.size() > 0 && (IS_C(output_type)))
output << "double" << endl;
for (temporary_terms_t::const_iterator it = tt.begin();
it != tt.end(); it++)
{
if (IS_C(output_type) && it != tt.begin())
output << "," << endl;
if (dynamic_cast<ExternalFunctionNode *>(*it) != NULL)
(*it)->writeExternalFunctionOutput(output, output_type, tt2, tef_terms);
if (IS_C(output_type))
output << "double ";
(*it)->writeOutput(output, output_type, tt, tef_terms);
output << " = ";
(*it)->writeOutput(output, output_type, tt2, tef_terms);
if (IS_C(output_type))
output << ";" << endl;
// Insert current node into tt2
tt2.insert(*it);
if (IS_MATLAB(output_type))
output << ";" << endl;
}
if (IS_C(output_type))
output << ";" << endl;
}
void
......
......@@ -52,8 +52,14 @@ OCTAVE_MODS = \
conditional_variance_decomposition/example1.mod \
dsge-var/simul_hybrid.mod \
dsge-var/dsgevar_forward_calibrated_lambda.mod \
dsge-var/dsgevar_forward_estimated_lambda.mod
dsge-var/dsgevar_forward_estimated_lambda.mod \
external_function/example1_1st_and_2nd_deriv_functions_provided.mod \
external_function/example1_1st_and_2nd_deriv_functions_provided_dll.mod \
external_function/example1_1st_deriv_function_provided.mod \
external_function/example1_1st_deriv_function_provided_dll.mod \
external_function/example1_no_deriv_functions_provided.mod \
external_function/example1_no_deriv_functions_provided_dll.mod
MODS = $(OCTAVE_MODS) \
arima/mod1b.mod \
arima/mod1c.mod \
......
// Example 1 from Collard's guide to Dynare
var y, c, k, a, h, b;
varexo e, u;
parameters beta, rho, alpha, delta, theta, psi, tau;
alpha = 0.36;
rho = 0.95;
tau = 0.025;
beta = 0.99;
delta = 0.025;
psi = 0;
theta = 2.95;
phi = 0.1;
external_function(nargs=2, name=extFunWithFirstAndSecondDerivs, first_deriv_provided, second_deriv_provided);
model(use_dll);
c*theta*h^(1+psi)=(1-alpha)*y;
k = beta*(((exp(b)*c)/(exp(b(+1))*c(+1)))
*(exp(b(+1))*alpha*y(+1)+(1-delta)*k));
y = exp(a)*(k(-1)^alpha)*(h^(1-alpha));
k = exp(b)*(y-c)+extFunWithFirstAndSecondDerivs((1-delta),k(-1));
a = rho*a(-1)+tau*b(-1) + e;
b = tau*a(-1)+rho*b(-1) + u;
end;
initval;
y = 1.08068253095672;
c = 0.80359242014163;
h = 0.29175631001732;
k = 11.08360443260358;
a = 0;
b = 0;
e = 0;
u = 0;
end;
shocks;
var e; stderr 0.009;
var u; stderr 0.009;
var e, u = phi*0.009*0.009;
end;
stoch_simul;
// Example 1 from Collard's guide to Dynare
var y, c, k, a, h, b;
varexo e, u;
parameters beta, rho, alpha, delta, theta, psi, tau;
alpha = 0.36;
rho = 0.95;
tau = 0.025;
beta = 0.99;
delta = 0.025;
psi = 0;
theta = 2.95;
phi = 0.1;
external_function(nargs=2, name=extFunNoDerivs, first_deriv_provided=extFunDeriv);
model(use_dll);
c*theta*h^(1+psi)=(1-alpha)*y;
k = beta*(((exp(b)*c)/(exp(b(+1))*c(+1)))
*(exp(b(+1))*alpha*y(+1)+(1-delta)*k));
y = exp(a)*(k(-1)^alpha)*(h^(1-alpha));
k = exp(b)*(y-c)+extFunNoDerivs((1-delta),k(-1));
a = rho*a(-1)+tau*b(-1) + e;
b = tau*a(-1)+rho*b(-1) + u;
end;
initval;
y = 1.08068253095672;
c = 0.80359242014163;
h = 0.29175631001732;
k = 11.08360443260358;
a = 0;
b = 0;
e = 0;
u = 0;
end;
shocks;
var e; stderr 0.009;
var u; stderr 0.009;
var e, u = phi*0.009*0.009;
end;
stoch_simul;
// Example 1 from Collard's guide to Dynare
var y, c, k, a, h, b;
varexo e, u;
parameters beta, rho, alpha, delta, theta, psi, tau;
alpha = 0.36;
rho = 0.95;
tau = 0.025;
beta = 0.99;
delta = 0.025;
psi = 0;
theta = 2.95;
phi = 0.1;
external_function(nargs=2, name=extFunNoDerivs);
model(use_dll);
c*theta*h^(1+psi)=(1-alpha)*y;
k = beta*(((exp(b)*c)/(exp(b(+1))*c(+1)))
*(exp(b(+1))*alpha*y(+1)+(1-delta)*k));
y = exp(a)*(k(-1)^alpha)*(h^(1-alpha));
k = exp(b)*(y-c)+extFunNoDerivs((1-delta),k(-1));
a = rho*a(-1)+tau*b(-1) + e;
b = tau*a(-1)+rho*b(-1) + u;
end;
initval;
y = 1.08068253095672;
c = 0.80359242014163;
h = 0.29175631001732;
k = 11.08360443260358;
a = 0;
b = 0;
e = 0;
u = 0;
end;
shocks;
var e; stderr 0.009;
var u; stderr 0.009;
var e, u = phi*0.009*0.009;
end;
stoch_simul;
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