Commit 934f5f21 authored by sebastien's avatar sebastien
Browse files

v4 parser:

* added third order derivatives in dynamic file (triggered by order=3 option of stoch_simul/olr/osr/ramsey_policy)
* don't output hessian in dynamic file if order=1 is specified


git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@1180 ac1d8469-bf42-47a9-8791-bf33cf982152
parent c3d114a7
......@@ -71,6 +71,11 @@ void
StochSimulStatement::checkPass(ModFileStructure &mod_file_struct)
{
mod_file_struct.stoch_simul_or_similar_present = true;
// Fill in option_order of mod_file_struct
OptionsList::num_options_type::const_iterator it = options_list.num_options.find("order");
if (it != options_list.num_options.end())
mod_file_struct.order_option = atoi(it->second.c_str());
}
void
......@@ -92,6 +97,11 @@ void
RamseyPolicyStatement::checkPass(ModFileStructure &mod_file_struct)
{
mod_file_struct.stoch_simul_or_similar_present = true;
// Fill in option_order of mod_file_struct
OptionsList::num_options_type::const_iterator it = options_list.num_options.find("order");
if (it != options_list.num_options.end())
mod_file_struct.order_option = atoi(it->second.c_str());
}
void
......@@ -113,6 +123,11 @@ void
EstimationStatement::checkPass(ModFileStructure &mod_file_struct)
{
mod_file_struct.stoch_simul_or_similar_present = true;
// Fill in option_order of mod_file_struct
OptionsList::num_options_type::const_iterator it = options_list.num_options.find("order");
if (it != options_list.num_options.end())
mod_file_struct.order_option = atoi(it->second.c_str());
}
void
......@@ -543,6 +558,11 @@ void
OsrStatement::checkPass(ModFileStructure &mod_file_struct)
{
mod_file_struct.stoch_simul_or_similar_present = true;
// Fill in option_order of mod_file_struct
OptionsList::num_options_type::const_iterator it = options_list.num_options.find("order");
if (it != options_list.num_options.end())
mod_file_struct.order_option = atoi(it->second.c_str());
}
void
......@@ -576,6 +596,11 @@ void
OlrStatement::checkPass(ModFileStructure &mod_file_struct)
{
mod_file_struct.stoch_simul_or_similar_present = true;
// Fill in option_order of mod_file_struct
OptionsList::num_options_type::const_iterator it = options_list.num_options.find("order");
if (it != options_list.num_options.end())
mod_file_struct.order_option = atoi(it->second.c_str());
}
void
......
......@@ -47,8 +47,16 @@ ModFile::computingPass()
model_tree.computeJacobian = true;
else
{
if (mod_file_struct.order_option < 1 || mod_file_struct.order_option > 3)
{
cerr << "Incorrect order option..." << endl;
exit(-1);
}
model_tree.computeJacobianExo = true;
model_tree.computeHessian = true;
if (mod_file_struct.order_option >= 2)
model_tree.computeHessian = true;
if (mod_file_struct.order_option == 3)
model_tree.computeThirdDerivatives = true;
}
model_tree.computingPass();
......
......@@ -11,7 +11,8 @@ ModelTree::ModelTree(SymbolTable &symbol_table_arg,
computeJacobian(false),
computeJacobianExo(false),
computeHessian(false),
computeStaticHessian(false)
computeStaticHessian(false),
computeThirdDerivatives(false)
{
}
......@@ -31,7 +32,7 @@ ModelTree::derive(int order)
}
cout << "done" << endl;
if (order == 2)
if (order >= 2)
{
cout << " Processing Order 2... ";
for(first_derivatives_type::const_iterator it = first_derivatives.begin();
......@@ -52,6 +53,32 @@ ModelTree::derive(int order)
}
cout << "done" << endl;
}
if (order >= 3)
{
cout << " Processing Order 3... ";
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;
// By construction, var2 <= var1
NodeID d2 = it->second;
// Store only third derivatives such that var3 <= var2 <= var1
for(int var3 = 0; var3 <= var2; var3++)
{
NodeID d3 = d2->getDerivative(var3);
if (d3 == Zero)
continue;
third_derivatives[make_pair(eq, make_pair(var1, make_pair(var2, var3)))] = d3;
}
}
cout << "done" << endl;
}
}
void
......@@ -68,10 +95,15 @@ ModelTree::computeTemporaryTerms(int order)
it != first_derivatives.end(); it++)
it->second->computeTemporaryTerms(reference_count, temporary_terms);
if (order == 2)
if (order >= 2)
for(second_derivatives_type::iterator it = second_derivatives.begin();
it != second_derivatives.end(); it++)
it->second->computeTemporaryTerms(reference_count, temporary_terms);
if (order >= 3)
for(third_derivatives_type::iterator it = third_derivatives.begin();
it != third_derivatives.end(); it++)
it->second->computeTemporaryTerms(reference_count, temporary_terms);
}
void
......@@ -170,7 +202,7 @@ ModelTree::writeDynamicMFile(const string &dynamic_basename) const
cerr << "Error: Can't open file " << filename << " for writing" << endl;
exit(-1);
}
mDynamicModelFile << "function [residual, g1, g2] = " << dynamic_basename << "(y, x)\n";
mDynamicModelFile << "function [residual, g1, g2, g3] = " << dynamic_basename << "(y, x)\n";
mDynamicModelFile << interfaces::comment()+"\n"+interfaces::comment();
mDynamicModelFile << "Status : Computes dynamic model for Dynare\n" << interfaces::comment() << "\n";
mDynamicModelFile << interfaces::comment();
......@@ -476,6 +508,7 @@ ModelTree::writeDynamicModel(ostream &DynamicOutput) 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;
writeTemporaryTerms(model_output, true);
......@@ -483,6 +516,14 @@ ModelTree::writeDynamicModel(ostream &DynamicOutput) const
writeModelEquations(model_output, true);
int nrows = equations.size();
int nvars;
if (computeJacobianExo)
nvars = variable_table.get_dyn_var_nbr();
else
nvars = variable_table.var_endo_nbr;
int nvars_sq = nvars * nvars;
// Writing Jacobian
if (computeJacobian || computeJacobianExo)
for(first_derivatives_type::const_iterator it = first_derivatives.begin();
......@@ -516,8 +557,8 @@ ModelTree::writeDynamicModel(ostream &DynamicOutput) const
int id1 = variable_table.getSortID(var1);
int id2 = variable_table.getSortID(var2);
int col_nb = id1*variable_table.get_dyn_var_nbr()+id2+1;
int col_nb_sym = id2*variable_table.get_dyn_var_nbr()+id1+1;
int col_nb = id1*nvars+id2+1;
int col_nb_sym = id2*nvars+id1+1;
hessian_output << " g2" << lpar << eq+1 << ", " << col_nb << rpar << " = ";
d2->writeOutput(hessian_output, true, temporary_terms);
......@@ -529,10 +570,42 @@ ModelTree::writeDynamicModel(ostream &DynamicOutput) const
<< "g2" << lpar << eq+1 << ", " << col_nb << rpar << ";" << endl;
}
int nrows = equations.size();
int nvars = variable_table.var_endo_nbr;
if (computeJacobianExo)
nvars += symbol_table.exo_nbr + symbol_table.exo_det_nbr;
// Writing third derivatives
if (computeThirdDerivatives)
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 = variable_table.getSortID(var1);
int id2 = variable_table.getSortID(var2);
int id3 = variable_table.getSortID(var3);
// Reference column number for the g3 matrix
int ref_col = id1 * nvars_sq + id2 * nvars + id3 + 1;
third_derivatives_output << " g3" << lpar << eq+1 << ", " << ref_col << rpar << " = ";
d3->writeOutput(third_derivatives_output, true, temporary_terms);
third_derivatives_output << ";" << endl;
// 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 * nvars_sq + id3 * nvars + id2 + 1);
cols.insert(id2 * nvars_sq + id1 * nvars + id3 + 1);
cols.insert(id2 * nvars_sq + id3 * nvars + id1 + 1);
cols.insert(id3 * nvars_sq + id1 * nvars + id2 + 1);
cols.insert(id3 * nvars_sq + id2 * nvars + id1 + 1);
for(set<int>::iterator it2 = cols.begin(); it2 != cols.end(); it2++)
if (*it2 != ref_col)
third_derivatives_output << " g3" << lpar << eq+1 << ", " << *it2 << rpar << " = "
<< "g3" << lpar << eq+1 << ", " << ref_col << rpar
<< ";" << endl;
}
if (offset == 1)
{
......@@ -561,16 +634,25 @@ ModelTree::writeDynamicModel(ostream &DynamicOutput) const
{
DynamicOutput << "if nargout >= 3,\n";
// Writing initialization instruction for matrix g2
int ncols = nvars*nvars;
DynamicOutput << " g2 = " <<
"sparse([],[],[]," << nrows << ", " << ncols << ", " <<
5*ncols << ");\n";
DynamicOutput << "\n\t"+interfaces::comment()+"\n\t"+interfaces::comment();
DynamicOutput << "Hessian matrix\n\t";
DynamicOutput << interfaces::comment() + "\n\n";
int ncols = nvars_sq;
DynamicOutput << " g2 = sparse([],[],[]," << nrows << ", " << ncols << ", "
<< 5*ncols << ");\n";
DynamicOutput << "\n\t"+interfaces::comment() << "\n\t" << interfaces::comment();
DynamicOutput << "Hessian matrix\n\t" << interfaces::comment() << "\n\n";
DynamicOutput << hessian_output.str() << lsymetric.str();
DynamicOutput << "end;\n";
}
if (computeThirdDerivatives)
{
DynamicOutput << "if nargout >= 4,\n";
int ncols = nvars_sq * nvars;
DynamicOutput << " g3 = sparse([],[],[]," << nrows << ", " << ncols << ", "
<< 5*ncols << ");\n";
DynamicOutput << "\n\t" + interfaces::comment() + "\n\t" + interfaces::comment();
DynamicOutput << "Third order derivatives\n\t" << interfaces::comment() << "\n\n";
DynamicOutput << third_derivatives_output.str();
DynamicOutput << "end;\n";
}
}
else
{
......@@ -709,16 +791,16 @@ ModelTree::computingPass()
rpar = ']';
}
if (computeHessian || computeStaticHessian)
{
derive(2);
computeTemporaryTerms(2);
}
else
{
derive(1);
computeTemporaryTerms(1);
}
// Determine derivation order
int order = 1;
if (computeThirdDerivatives)
order = 3;
else if (computeHessian || computeStaticHessian)
order = 2;
// Launch computations
derive(order);
computeTemporaryTerms(order);
}
void
......
......@@ -3,7 +3,8 @@
ModFileStructure::ModFileStructure() :
check_present(false),
simul_present(false),
stoch_simul_or_similar_present(false)
stoch_simul_or_similar_present(false),
order_option(2)
{
}
......
......@@ -43,7 +43,6 @@ public:
/*!
\param basename The base name used for writing output files. Should be the name of the mod file without its extension
\param clear_all Should a "clear all" instruction be written to output ?
\todo make this method const
*/
void writeOutputFiles(const string &basename, bool clear_all) const;
};
......
......@@ -36,6 +36,15 @@ private:
*/
second_derivatives_type second_derivatives;
typedef map<pair<int, pair<int, pair<int, int> > >, NodeID> third_derivatives_type;
//! Third order derivatives
/*! First index is equation number, second, third and fourth are variables w.r. to which is computed the derivative.
Only non-null derivatives are stored in the map.
Contains only third order derivatives where var1 >= var2 >= var3 (for obvious symmetry reasons).
Variable indexes used are those of the variable_table, before sorting.
*/
third_derivatives_type third_derivatives;
//! Temporary terms (those which will be noted Txxxx)
temporary_terms_type temporary_terms;
......@@ -54,6 +63,7 @@ private:
/*! \todo handle hessian in C output */
void writeStaticModel(ostream &StaticOutput) const;
//! Writes the dynamic model equations and its derivatives
/*! \todo add third derivatives handling in C output */
void writeDynamicModel(ostream &DynamicOutput) const;
//! Writes static model file (Matlab version)
void writeStaticMFile(const string &static_basename) const;
......@@ -62,6 +72,7 @@ private:
//! Writes dynamic model file (Matlab version)
void writeDynamicMFile(const string &dynamic_basename) const;
//! Writes dynamic model file (C version)
/*! \todo add third derivatives handling */
void writeDynamicCFile(const string &dynamic_basename) const;
public:
......@@ -78,9 +89,10 @@ public:
bool computeHessian;
//! Whether static Hessian (w.r. to endogenous only) should be written
bool computeStaticHessian;
//! Whether dynamic third order derivatives (w.r. to endogenous and exogenous) should be written
bool computeThirdDerivatives;
//! Execute computations (variable sorting + derivation)
/*! You must set computeJacobian, computeJacobianExo and computeHessian to correct values before
calling this function */
/*! You must set computeJacobian, computeJacobianExo, computeHessian, computeStaticHessian and computeThirdDerivatives to correct values before calling this function */
void computingPass();
//! Writes model initialization and lead/lag incidence matrix to output
void writeOutput(ostream &output) const;
......
......@@ -15,8 +15,11 @@ public:
bool check_present;
//! Whether a simul statement is present
bool simul_present;
//! Whether a stoch_simul, estimation, olr, osr statement is present
//! Whether a stoch_simul, estimation, olr, osr, ramsey_policy statement is present
bool stoch_simul_or_similar_present;
//! The value of the "order" option of stoch_simul, estimation, olr, osr, ramsey_policy
/*! Defaults to 2 */
int order_option;
};
class Statement
......
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