Commit 16164792 authored by Houtan Bastani's avatar Houtan Bastani
Browse files

Implement explicit writing of first order conditions of Ramsey problem (ticket #5)

parent acf385b5
......@@ -216,6 +216,15 @@ RamseyPolicyStatement::writeOutput(ostream &output, const string &basename) cons
output << "ramsey_policy(var_list_);\n";
}
string
RamseyPolicyStatement::getPlannerDiscount() const
{
OptionsList::num_options_t::const_iterator it = options_list.num_options.find("planner_discount");
if (it != options_list.num_options.end())
return it->second;
return "1.0";
}
DiscretionaryPolicyStatement::DiscretionaryPolicyStatement(const SymbolList &symbol_list_arg,
const OptionsList &options_list_arg) :
symbol_list(symbol_list_arg),
......@@ -847,6 +856,12 @@ PlannerObjectiveStatement::checkPass(ModFileStructure &mod_file_struct)
mod_file_struct.planner_objective_present = true;
}
StaticModel *
PlannerObjectiveStatement::getPlannerObjective() const
{
return model_tree;
}
void
PlannerObjectiveStatement::computingPass()
{
......
......@@ -101,6 +101,7 @@ public:
const OptionsList &options_list_arg);
virtual void checkPass(ModFileStructure &mod_file_struct);
virtual void writeOutput(ostream &output, const string &basename) const;
virtual string getPlannerDiscount() const;
};
class DiscretionaryPolicyStatement : public Statement
......@@ -342,6 +343,8 @@ public:
/*! \todo allow for the possibility of disabling temporary terms */
virtual void computingPass();
virtual void writeOutput(ostream &output, const string &basename) const;
//! Return the Planner Objective
StaticModel *getPlannerObjective() const;
};
class BVARDensityStatement : public Statement
......
......@@ -18,6 +18,7 @@
*/
#include <iostream>
#include <sstream>
#include <cmath>
#include <cstdlib>
#include <cassert>
......@@ -3006,6 +3007,89 @@ DynamicModel::cloneDynamic(DynamicModel &dynamic_model) const
dynamic_model.addAuxEquation((*it)->cloneDynamic(dynamic_model));
}
void
DynamicModel::replaceMyEquations(DynamicModel &dynamic_model) const
{
dynamic_model.equations.clear();
for (vector<BinaryOpNode *>::const_iterator it = equations.begin();
it != equations.end(); it++)
dynamic_model.addEquation((*it)->cloneDynamic(dynamic_model));
}
void
DynamicModel::computeRamseyPolicyFOCs(const StaticModel &static_model, const string &discount_factor)
{
// Add aux LM to constraints in equations
// equation[i]->lhs = rhs becomes equation[i]->AUX_LAMBDA_i*(lhs-rhs) = 0
int i;
for (i = 0; i < (int) equations.size(); i++)
{
BinaryOpNode *substeq = dynamic_cast<BinaryOpNode *>(equations[i]->addMultipliersToConstraints(i));
assert(substeq != NULL);
equations[i] = substeq;
}
cout << "Ramsey Problem: added " << i << " Multipliers." << endl;
// Add Planner Objective to equations to include in computeDerivIDs
assert(static_model.equations.size() == 1);
addEquation(static_model.equations[0]->cloneDynamic(*this));
// Get max endo lead and max endo lag
set<pair<int, int> > dynvars;
int max_eq_lead = 0;
int max_eq_lag = 0;
for (int i = 0; i < (int) equations.size(); i++)
equations[i]->collectVariables(eEndogenous, dynvars);
for (set<pair<int, int> >::const_iterator it = dynvars.begin();
it != dynvars.end(); it++)
{
int lag = it->second;
if (max_eq_lead < lag)
max_eq_lead = lag;
else if (-max_eq_lag > lag)
max_eq_lag = -lag;
}
// Create (modified) Lagrangian (so that we can take the derivative once at time t)
expr_t lagrangian = Zero;
expr_t discount_factor_node = AddNonNegativeConstant(discount_factor);
for (i = 0; i < (int) equations.size(); i++)
for (int lag = -max_eq_lag; lag <= max_eq_lead; lag++)
{
expr_t dfpower = NULL;
std::stringstream lagstream;
lagstream << abs(lag);
if (lag < 0)
dfpower = AddNonNegativeConstant(lagstream.str());
else if (lag == 0)
dfpower = Zero;
else
dfpower = AddMinus(Zero, AddNonNegativeConstant(lagstream.str()));
lagrangian = AddPlus(AddTimes(AddPower(discount_factor_node, dfpower),
equations[i]->getNonZeroPartofEquation()->decreaseLeadsLags(lag)), lagrangian);
}
equations.clear();
addEquation(AddEqual(lagrangian, Zero));
computeDerivIDs();
//Compute derivatives and overwrite equations
vector<expr_t> neweqs;
for (deriv_id_table_t::const_iterator it = deriv_id_table.begin();
it != deriv_id_table.end(); it++)
// For all endogenous variables with zero lag
if (symbol_table.getType(it->first.first) == eEndogenous && it->first.second == 0)
neweqs.push_back(AddEqual(equations[0]->getNonZeroPartofEquation()->getDerivative(it->second), Zero));
// Add new equations
equations.clear();
for (int i = 0; i < (int) neweqs.size(); i++)
addEquation(neweqs[i]);
}
void
DynamicModel::toStatic(StaticModel &static_model) const
{
......@@ -3634,6 +3718,9 @@ DynamicModel::substituteLeadLagInternal(aux_var_t type, bool deterministic_model
case avExpectationRIS:
cout << "expectation conditional on a restricted information set";
break;
case avMultiplier:
cerr << "avMultiplier encountered: impossible case" << endl;
exit(EXIT_FAILURE);
}
cout << ": added " << neweqs.size() << " auxiliary variables and equations." << endl;
}
......
......@@ -284,6 +284,10 @@ public:
/*! It assumes that the dynamic model given in argument has just been allocated */
void cloneDynamic(DynamicModel &dynamic_model) const;
//! Replaces model equations with derivatives of Lagrangian w.r.t. endogenous
void computeRamseyPolicyFOCs(const StaticModel &static_model, const string &discount_factor);
void replaceMyEquations(DynamicModel &dynamic_model) const;
//! Writes LaTeX file with the equations of the dynamic model
void writeLatexFile(const string &basename) const;
......
......@@ -2238,6 +2238,15 @@ BinaryOpNode::prepareForDerivation()
inserter(non_null_derivatives, non_null_derivatives.begin()));
}
expr_t
BinaryOpNode::getNonZeroPartofEquation() const
{
assert(arg1 == datatree.Zero || arg2 == datatree.Zero);
if (arg1 == datatree.Zero)
return arg2;
return arg1;
}
expr_t
BinaryOpNode::composeDerivatives(expr_t darg1, expr_t darg2)
{
......@@ -3342,6 +3351,14 @@ BinaryOpNode::substituteExpectation(subst_table_t &subst_table, vector<BinaryOpN
return buildSimilarBinaryOpNode(arg1subst, arg2subst, datatree);
}
expr_t
BinaryOpNode::addMultipliersToConstraints(int i)
{
int symb_id = datatree.symbol_table.addMultiplierAuxiliaryVar(i);
expr_t newAuxLM = datatree.AddVariable(symb_id, 0);
return datatree.AddEqual(datatree.AddTimes(newAuxLM, datatree.AddMinus(arg1, arg2)), datatree.Zero);
}
bool
BinaryOpNode::isNumConstNodeEqualTo(double value) const
{
......
......@@ -657,6 +657,10 @@ public:
virtual expr_t removeTrendLeadLag(map<int, expr_t> trend_symbols_map) const;
//! Function to write out the oPowerNode in expr_t terms as opposed to writing out the function itself
expr_t unpackPowerDeriv() const;
//! Returns AUX_LAMBDA*(lhs-rhs) = 0, creating lagrange multiplier AUX_LAMBDA
expr_t addMultipliersToConstraints(int i);
//! Returns the non-zero hand-side of an equation (that must have a hand side equal to zero)
expr_t getNonZeroPartofEquation() const;
};
//! Trinary operator node
......
......@@ -21,16 +21,20 @@
#include <iostream>
#include <fstream>
#include <typeinfo>
#include <cassert>
#include "ModFile.hh"
#include "ConfigFile.hh"
#include "ComputingTasks.hh"
ModFile::ModFile() : expressions_tree(symbol_table, num_constants, external_functions_table),
dynamic_model(symbol_table, num_constants, external_functions_table),
trend_dynamic_model(symbol_table, num_constants, external_functions_table),
ramsey_FOC_equations_dynamic_model(symbol_table, num_constants, external_functions_table),
static_model(symbol_table, num_constants, external_functions_table),
steady_state_model(symbol_table, num_constants, external_functions_table, static_model),
linear(false), block(false), byte_code(false),
use_dll(false), no_static(false), nonstationary_variables(false)
use_dll(false), no_static(false), nonstationary_variables(false),
ramsey_policy_orig_eqn_nbr(0)
{
}
......@@ -236,6 +240,32 @@ ModFile::transformPass()
dynamic_model.removeTrendVariableFromEquations();
}
if (mod_file_struct.ramsey_policy_present)
{
StaticModel *planner_objective = NULL;
string planner_discount = "";
for (vector<Statement *>::iterator it = statements.begin(); it != statements.end(); it++)
{
PlannerObjectiveStatement *pos = dynamic_cast<PlannerObjectiveStatement *>(*it);
if (pos != NULL)
planner_objective = pos->getPlannerObjective();
RamseyPolicyStatement *rps = dynamic_cast<RamseyPolicyStatement *>(*it);
if (rps != NULL)
planner_discount = rps->getPlannerDiscount();
}
assert(planner_objective != NULL && !planner_discount.empty());
ramsey_policy_orig_eqn_nbr = dynamic_model.equation_number();
/*
clone the model then clone the new equations back to the original because
we have to call computeDerivIDs (in computeRamseyPolicyFOCs and computingPass)
*/
dynamic_model.cloneDynamic(ramsey_FOC_equations_dynamic_model);
ramsey_FOC_equations_dynamic_model.computeRamseyPolicyFOCs(*planner_objective, planner_discount);
ramsey_FOC_equations_dynamic_model.replaceMyEquations(dynamic_model);
}
if (mod_file_struct.stoch_simul_present
|| mod_file_struct.estimation_present
|| mod_file_struct.osr_present
......@@ -286,14 +316,20 @@ ModFile::transformPass()
cerr << "ERROR: There are " << dynamic_model.equation_number() << " equations but " << symbol_table.endo_nbr() << " endogenous variables!" << endl;
exit(EXIT_FAILURE);
}
if (symbol_table.exo_det_nbr() > 0 && mod_file_struct.simul_present)
{
cerr << "ERROR: A .mod file cannot contain both a simul command and varexo_det declaration (all exogenous variables are deterministic in this case)" << endl;
exit(EXIT_FAILURE);
}
cout << "Found " << dynamic_model.equation_number() << " equation(s)." << endl;
if (!mod_file_struct.ramsey_policy_present)
cout << "Found " << dynamic_model.equation_number() << " equation(s)." << endl;
else
{
cout << "Found " << ramsey_policy_orig_eqn_nbr << " equation(s)." << endl;
cout << "Found " << dynamic_model.equation_number() << " FOC equation(s) for Ramsey Problem." << endl;
}
if (symbol_table.exists("dsge_prior_weight"))
if (mod_file_struct.bayesian_irf_present)
......@@ -518,14 +554,27 @@ ModFile::writeOutputFiles(const string &basename, bool clear_all, bool console,
if (block && !byte_code)
mOutputFile << "addpath " << basename << ";" << endl;
if (mod_file_struct.ramsey_policy_present)
mOutputFile << "M_.orig_eq_nbr = " << ramsey_policy_orig_eqn_nbr << ";" << endl;
if (dynamic_model.equation_number() > 0)
{
if (dynamic_model_needed)
/* to be removed before ramsey_policy commit
if (mod_file_struct.ramsey_policy_present)
ramsey_policy_FOC_dynamic_model.writeOutput(mOutputFile, basename, block, byte_code, use_dll, mod_file_struct.order_option);
else
*/
dynamic_model.writeOutput(mOutputFile, basename, block, byte_code, use_dll, mod_file_struct.order_option);
else
dynamic_model.writeOutput(mOutputFile, basename, false, false, false, mod_file_struct.order_option);
if (!no_static)
static_model.writeOutput(mOutputFile, block);
/* to be removed before ramsey_policy commit
if (mod_file_struct.ramsey_policy_present)
ramsey_policy_FOC_static_model.writeOutput(mOutputFile, block);
else
*/
static_model.writeOutput(mOutputFile, block);
}
// Print statements
......@@ -565,13 +614,23 @@ ModFile::writeOutputFiles(const string &basename, bool clear_all, bool console,
if (dynamic_model.equation_number() > 0)
{
if (!no_static)
static_model.writeStaticFile(basename, block, byte_code);
/* to be removed before ramsey_policy commit
if (mod_file_struct.ramsey_policy_present)
ramsey_policy_FOC_static_model.writeStaticFile(basename, block, byte_code);
else
*/
static_model.writeStaticFile(basename, block, byte_code);
if (dynamic_model_needed)
{
dynamic_model.writeDynamicFile(basename, block, byte_code, use_dll, mod_file_struct.order_option);
dynamic_model.writeParamsDerivativesFile(basename);
}
/* to be removed before ramsey_policy commit
if (mod_file_struct.ramsey_policy_present)
ramsey_policy_FOC_dynamic_model.writeDynamicFile(basename, false, false, false, mod_file_struct.order_option);
else
*/
{
dynamic_model.writeDynamicFile(basename, block, byte_code, use_dll, mod_file_struct.order_option);
dynamic_model.writeParamsDerivativesFile(basename);
}
else
{
dynamic_model.writeDynamicFile(basename, false, false, false, mod_file_struct.order_option);
......
......@@ -53,6 +53,8 @@ public:
DynamicModel dynamic_model;
//! A copy of Dynamic model, for testing trends declared by user
DynamicModel trend_dynamic_model;
//! A model in which to create the FOC for the ramsey problem
DynamicModel ramsey_FOC_equations_dynamic_model;
//! Static model, as derived from the "model" block when leads and lags have been removed
StaticModel static_model;
//! Static model, as declared in the "steady_state_model" block if present
......@@ -79,6 +81,9 @@ public:
/*! Filled using initval blocks and parameters initializations */
eval_context_t global_eval_context;
//! Stores the original number of equations in the model_block
int ramsey_policy_orig_eqn_nbr;
private:
//! List of statements
vector<Statement *> statements;
......
......@@ -24,12 +24,14 @@
#include "SymbolTable.hh"
AuxVarInfo::AuxVarInfo(int symb_id_arg, aux_var_t type_arg, int orig_symb_id_arg, int orig_lead_lag_arg, string expectation_information_set_name_arg) :
AuxVarInfo::AuxVarInfo(int symb_id_arg, aux_var_t type_arg, int orig_symb_id_arg, int orig_lead_lag_arg,
string expectation_information_set_name_arg, int equation_number_for_multiplier_arg) :
symb_id(symb_id_arg),
type(type_arg),
orig_symb_id(orig_symb_id_arg),
orig_lead_lag(orig_lead_lag_arg),
expectation_information_set_name(expectation_information_set_name_arg)
expectation_information_set_name(expectation_information_set_name_arg),
equation_number_for_multiplier(equation_number_for_multiplier_arg)
{
}
......@@ -235,6 +237,9 @@ SymbolTable::writeOutput(ostream &output) const throw (NotYetFrozenException)
output << "M_.aux_vars(" << i+1 << ").orig_index = " << getTypeSpecificID(aux_vars[i].get_orig_symb_id())+1 << ";" << endl
<< "M_.aux_vars(" << i+1 << ").orig_lead_lag = " << aux_vars[i].get_orig_lead_lag() << ";" << endl;
break;
case avMultiplier:
output << "M_.aux_vars(" << i+1 << ").eq_nbr = '" << aux_vars[i].get_equation_number_for_multiplier() << "';" << endl;
break;
}
}
......@@ -285,7 +290,7 @@ SymbolTable::addLeadAuxiliaryVarInternal(bool endo, int index) throw (FrozenExce
exit(EXIT_FAILURE);
}
aux_vars.push_back(AuxVarInfo(symb_id, (endo ? avEndoLead : avExoLead), 0, 0, ""));
aux_vars.push_back(AuxVarInfo(symb_id, (endo ? avEndoLead : avExoLead), 0, 0, "", 0));
return symb_id;
}
......@@ -311,7 +316,7 @@ SymbolTable::addLagAuxiliaryVarInternal(bool endo, int orig_symb_id, int orig_le
exit(EXIT_FAILURE);
}
aux_vars.push_back(AuxVarInfo(symb_id, (endo ? avEndoLag : avExoLag), orig_symb_id, orig_lead_lag, ""));
aux_vars.push_back(AuxVarInfo(symb_id, (endo ? avEndoLag : avExoLag), orig_symb_id, orig_lead_lag, "", 0));
return symb_id;
}
......@@ -362,8 +367,29 @@ SymbolTable::addExpectationAuxiliaryVar(int information_set, int index, const st
exit(EXIT_FAILURE);
}
aux_vars.push_back(AuxVarInfo(symb_id, (information_set_name.empty() ? avExpectation : avExpectationRIS), 0, 0, information_set_name));
aux_vars.push_back(AuxVarInfo(symb_id, (information_set_name.empty() ? avExpectation : avExpectationRIS), 0, 0, information_set_name, 0));
return symb_id;
}
int
SymbolTable::addMultiplierAuxiliaryVar(int index) throw (FrozenException)
{
ostringstream varname;
int symb_id;
varname << "MULT_" << index;
try
{
symb_id = addSymbol(varname.str(), eEndogenous);
}
catch (AlreadyDeclaredException &e)
{
cerr << "ERROR: you should rename your variable called " << varname.str() << ", this name is internally used by Dynare" << endl;
exit(EXIT_FAILURE);
}
aux_vars.push_back(AuxVarInfo(symb_id, avMultiplier, 0, 0, "", index));
return symb_id;
}
......
......@@ -33,12 +33,13 @@ using namespace std;
//! Types of auxiliary variables
enum aux_var_t
{
avEndoLead = 0, //!< Substitute for endo leads >= 2
avEndoLag = 1, //!< Substitute for endo lags >= 2
avExoLead = 2, //!< Substitute for exo leads >= 2
avExoLag = 3, //!< Substitute for exo lags >= 2
avExpectation = 4, //!< Substitute for Expectation Operator
avExpectationRIS = 5 //!< Substitute for Expectation Operator Conditional on Restricted Information Set
avEndoLead = 0, //!< Substitute for endo leads >= 2
avEndoLag = 1, //!< Substitute for endo lags >= 2
avExoLead = 2, //!< Substitute for exo leads >= 2
avExoLag = 3, //!< Substitute for exo lags >= 2
avExpectation = 4, //!< Substitute for Expectation Operator
avExpectationRIS = 5, //!< Substitute for Expectation Operator Conditional on Restricted Information Set
avMultiplier = 6 //!< Multipliers for FOC of Ramsey Probelem
};
//! Information on some auxiliary variables
......@@ -50,13 +51,15 @@ private:
int orig_symb_id; //!< Symbol ID of the endo of the original model represented by this aux var. Only used for avEndoLag and avExoLag.
int orig_lead_lag; //!< Lead/lag of the endo of the original model represented by this aux var. Only used for avEndoLag and avExoLag.
string expectation_information_set_name; //!< Stores 'full' or 'varobs' for avExpectationRIS. Not used otherwise.
int equation_number_for_multiplier; //!< Stores the original constraint equation number associated with this aux var. Only used for avMultiplier.
public:
AuxVarInfo(int symb_id_arg, aux_var_t type_arg, int orig_symb_id, int orig_lead_lag, string expectation_information_set_name_arg);
AuxVarInfo(int symb_id_arg, aux_var_t type_arg, int orig_symb_id, int orig_lead_lag, string expectation_information_set_name_arg, int equation_number_for_multiplier_arg);
int get_symb_id() const { return symb_id; };
aux_var_t get_type() const { return type; };
int get_orig_symb_id() const { return orig_symb_id; };
int get_orig_lead_lag() const { return orig_lead_lag; };
string get_expectation_information_set_name() const { return expectation_information_set_name; };
int get_equation_number_for_multiplier() const { return equation_number_for_multiplier; };
};
//! Stores the symbol table
......@@ -214,6 +217,12 @@ public:
\return the symbol ID of the new symbol
*/
int addExpectationAuxiliaryVar(int information_set, int index, const string &information_set_name) throw (FrozenException);
//! Adds an auxiliary variable for the multiplier for the FOCs of the Ramsey Problem
/*!
\param[in] index Used to construct the variable name
\return the symbol ID of the new symbol
*/
int addMultiplierAuxiliaryVar(int index) throw (FrozenException);
//! Searches auxiliary variables which are substitutes for a given symbol_id and lead/lag
/*!
The search is only performed among auxiliary variables of endo/exo lag.
......
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