Commit 6e514b7d authored by MichelJuillard's avatar MichelJuillard

Merge pull request #1156 from MichelJuillard/auxiliary

Auxiliary variables in static model
parents 62bdb510 1628f01f
......@@ -143,8 +143,8 @@ end
% the auxiliary variables before the Lagrange multipliers are treated
% as ordinary endogenous variables
aux_eq = [1:orig_endo_aux_nbr, orig_endo_aux_nbr+orig_eq_nbr+1:size(fJ,1)];
A = fJ(aux_eq,orig_endo_aux_nbr+1:end);
y = res(aux_eq);
A = fJ(1:orig_endo_aux_nbr,orig_endo_nbr+find(aux_vars_type==6));
y = res(1:orig_endo_aux_nbr);
mult = -A\y;
resids1 = y+A*mult;
......
......@@ -125,7 +125,7 @@ function [ys,params,info] = evaluate_steady_state(ys_init,M,options,oo,steadysta
%check whether steady state really solves the model
resids = evaluate_static_model(ys,exo_ss,params,M,options);
n_multipliers=M.endo_nbr-M.orig_endo_nbr;
n_multipliers=M.orig_eq_nbr;
nan_indices_multiplier=find(isnan(resids(1:n_multipliers)));
nan_indices=find(isnan(resids(n_multipliers+1:end)));
......@@ -196,9 +196,12 @@ function [ys,params,info] = evaluate_steady_state(ys_init,M,options,oo,steadysta
elseif (options.bytecode == 0 && options.block == 0)
if options.linear == 0
% non linear model
[ys,check] = dynare_solve([M.fname '_static'],...
static_model = str2func([M.fname '_static']);
[ys,check] = dynare_solve(@static_problem,...
ys_init,...
options, exo_ss, params);
options, exo_ss, params,...
M.orig_endo_nbr,...
static_model);
else
% linear model
fh_static = str2func([M.fname '_static']);
......@@ -294,3 +297,8 @@ function [ys,params,info] = evaluate_steady_state(ys_init,M,options,oo,steadysta
info(2) = NaN;
return
end
function [resids,jac] = static_problem(y,x,params,nvar,fh_static_model)
[r,j] = fh_static_model(y,x,params);
resids = r(1:nvar);
jac = j(1:nvar,1:nvar);
......@@ -130,26 +130,19 @@ else
dyssdtheta=zeros(length(oo_.dr.ys),M_.param_nbr);
d2yssdtheta=zeros(length(oo_.dr.ys),M_.param_nbr,M_.param_nbr);
[residual, gg1] = feval([M_.fname,'_static'],oo_.dr.ys, oo_.exo_steady_state', M_.params);
df = feval([M_.fname,'_params_derivs'],yy0, repmat(oo_.exo_steady_state',[M_.maximum_exo_lag+M_.maximum_exo_lead+1]), ...
M_.params, oo_.dr.ys, 1, dyssdtheta, d2yssdtheta);
df = feval([M_.fname,'_static_params_derivs'],oo_.dr.ys, repmat(oo_.exo_steady_state',[M_.maximum_exo_lag+M_.maximum_exo_lead+1]), ...
M_.params);
dyssdtheta = -gg1\df;
if nargout>5,
[residual, gg1, gg2] = feval([M_.fname,'_static'],oo_.dr.ys, oo_.exo_steady_state', M_.params);
[residual, g1, g2, g3] = feval([M_.fname,'_dynamic'],yy0, oo_.exo_steady_state', ...
M_.params, oo_.dr.ys, 1);
[nr, nc]=size(g2);
[nr, nc]=size(gg2);
[df, gp, d2f] = feval([M_.fname,'_params_derivs'],yy0, oo_.exo_steady_state', ...
M_.params, oo_.dr.ys, 1, dyssdtheta*0, d2yssdtheta);
[df, gpx, d2f] = feval([M_.fname,'_static_params_derivs'],oo_.dr.ys, oo_.exo_steady_state', ...
M_.params);%, oo_.dr.ys, 1, dyssdtheta*0, d2yssdtheta);
d2f = get_all_resid_2nd_derivs(d2f,length(oo_.dr.ys),M_.param_nbr);
gpx = zeros(nr,nr,M_.param_nbr);
for j=1:nr,
for i=1:nr,
inx = I == i;
gpx(j,i,:)=sum(gp(j,inx,:),2);
end
end
% d2f = d2f(:,indx,indx);
if isempty(find(gg2)),
for j=1:M_.param_nbr,
d2yssdtheta(:,:,j) = -gg1\d2f(:,:,j);
......@@ -196,9 +189,9 @@ else
M_.params, oo_.dr.ys, 1, dyssdtheta,d2yssdtheta);
[residual, g1, g2 ] = feval([M_.fname,'_dynamic'],yy0, repmat(oo_.exo_steady_state',[M_.maximum_exo_lag+M_.maximum_exo_lead+1,1]), ...
M_.params, oo_.dr.ys, 1);
[nr, nc]=size(g2);
end
[nr, nc]=size(g2);
nc = sqrt(nc);
Hss = dyssdtheta(oo_.dr.order_var,indx);
dyssdtheta = dyssdtheta(I,:);
......
......@@ -215,7 +215,7 @@ ExprNode::createEndoLeadAuxiliaryVarForMyself(subst_table_t &subst_table, vector
it = subst_table.find(orig_expr);
if (it == subst_table.end())
{
int symb_id = datatree.symbol_table.addEndoLeadAuxiliaryVar(orig_expr->idx);
int symb_id = datatree.symbol_table.addEndoLeadAuxiliaryVar(orig_expr->idx, substexpr);
neweqs.push_back(dynamic_cast<BinaryOpNode *>(datatree.AddEqual(datatree.AddVariable(symb_id, 0), substexpr)));
substexpr = datatree.AddVariable(symb_id, +1);
assert(dynamic_cast<VariableNode *>(substexpr) != NULL);
......@@ -251,7 +251,7 @@ ExprNode::createExoLeadAuxiliaryVarForMyself(subst_table_t &subst_table, vector<
it = subst_table.find(orig_expr);
if (it == subst_table.end())
{
int symb_id = datatree.symbol_table.addExoLeadAuxiliaryVar(orig_expr->idx);
int symb_id = datatree.symbol_table.addExoLeadAuxiliaryVar(orig_expr->idx, substexpr);
neweqs.push_back(dynamic_cast<BinaryOpNode *>(datatree.AddEqual(datatree.AddVariable(symb_id, 0), substexpr)));
substexpr = datatree.AddVariable(symb_id, +1);
assert(dynamic_cast<VariableNode *>(substexpr) != NULL);
......@@ -502,6 +502,13 @@ NumConstNode::isInStaticForm() const
return true;
}
expr_t
NumConstNode::substituteStaticAuxiliaryVariable() const
{
return const_cast<NumConstNode *>(this);
}
VariableNode::VariableNode(DataTree &datatree_arg, int symb_id_arg, int lag_arg) :
ExprNode(datatree_arg),
symb_id(symb_id_arg),
......@@ -836,6 +843,22 @@ VariableNode::writeOutput(ostream &output, ExprNodeOutputType output_type,
}
}
expr_t
VariableNode::substituteStaticAuxiliaryVariable() const
{
if (type == eEndogenous)
{
try
{
return datatree.symbol_table.getAuxiliaryVarsExprNode(symb_id)->substituteStaticAuxiliaryVariable();
}
catch (SymbolTable::SearchFailedException &e)
{
}
}
return const_cast<VariableNode *>(this);
}
double
VariableNode::eval(const eval_context_t &eval_context) const throw (EvalException, EvalExternalFunctionException)
{
......@@ -1217,7 +1240,7 @@ VariableNode::substituteEndoLagGreaterThanTwo(subst_table_t &subst_table, vector
it = subst_table.find(orig_expr);
if (it == subst_table.end())
{
int aux_symb_id = datatree.symbol_table.addEndoLagAuxiliaryVar(symb_id, cur_lag+1);
int aux_symb_id = datatree.symbol_table.addEndoLagAuxiliaryVar(symb_id, cur_lag+1, substexpr);
neweqs.push_back(dynamic_cast<BinaryOpNode *>(datatree.AddEqual(datatree.AddVariable(aux_symb_id, 0), substexpr)));
substexpr = datatree.AddVariable(aux_symb_id, -1);
subst_table[orig_expr] = substexpr;
......@@ -1290,7 +1313,7 @@ VariableNode::substituteExoLag(subst_table_t &subst_table, vector<BinaryOpNode *
it = subst_table.find(orig_expr);
if (it == subst_table.end())
{
int aux_symb_id = datatree.symbol_table.addExoLagAuxiliaryVar(symb_id, cur_lag+1);
int aux_symb_id = datatree.symbol_table.addExoLagAuxiliaryVar(symb_id, cur_lag+1, substexpr);
neweqs.push_back(dynamic_cast<BinaryOpNode *>(datatree.AddEqual(datatree.AddVariable(aux_symb_id, 0), substexpr)));
substexpr = datatree.AddVariable(aux_symb_id, -1);
subst_table[orig_expr] = substexpr;
......@@ -1339,7 +1362,8 @@ VariableNode::differentiateForwardVars(const vector<string> &subset, subst_table
diffvar = const_cast<VariableNode *>(it->second);
else
{
int aux_symb_id = datatree.symbol_table.addDiffForwardAuxiliaryVar(symb_id);
int aux_symb_id = datatree.symbol_table.addDiffForwardAuxiliaryVar(symb_id, datatree.AddMinus(datatree.AddVariable(symb_id, 0),
datatree.AddVariable(symb_id, -1)));
neweqs.push_back(dynamic_cast<BinaryOpNode *>(datatree.AddEqual(datatree.AddVariable(aux_symb_id, 0), datatree.AddMinus(datatree.AddVariable(symb_id, 0),
datatree.AddVariable(symb_id, -1)))));
diffvar = datatree.AddVariable(aux_symb_id, 1);
......@@ -2533,6 +2557,16 @@ UnaryOpNode::isInStaticForm() const
return arg->isInStaticForm();
}
expr_t
UnaryOpNode::substituteStaticAuxiliaryVariable() const
{
expr_t argsubst = arg->substituteStaticAuxiliaryVariable();
if (op_code == oExpectation)
return argsubst;
else
return buildSimilarUnaryOpNode(argsubst, datatree);
}
BinaryOpNode::BinaryOpNode(DataTree &datatree_arg, const expr_t arg1_arg,
BinaryOpcode op_code_arg, const expr_t arg2_arg) :
ExprNode(datatree_arg),
......@@ -3820,6 +3854,21 @@ BinaryOpNode::isInStaticForm() const
return arg1->isInStaticForm() && arg2->isInStaticForm();
}
expr_t
BinaryOpNode::substituteStaticAuxiliaryVariable() const
{
expr_t arg1subst = arg1->substituteStaticAuxiliaryVariable();
expr_t arg2subst = arg2->substituteStaticAuxiliaryVariable();
return buildSimilarBinaryOpNode(arg1subst, arg2subst, datatree);
}
expr_t
BinaryOpNode::substituteStaticAuxiliaryDefinition() const
{
expr_t arg2subst = arg2->substituteStaticAuxiliaryVariable();
return buildSimilarBinaryOpNode(arg1, arg2subst, datatree);
}
TrinaryOpNode::TrinaryOpNode(DataTree &datatree_arg, const expr_t arg1_arg,
TrinaryOpcode op_code_arg, const expr_t arg2_arg, const expr_t arg3_arg) :
ExprNode(datatree_arg),
......@@ -4471,6 +4520,15 @@ TrinaryOpNode::isInStaticForm() const
return arg1->isInStaticForm() && arg2->isInStaticForm() && arg3->isInStaticForm();
}
expr_t
TrinaryOpNode::substituteStaticAuxiliaryVariable() const
{
expr_t arg1subst = arg1->substituteStaticAuxiliaryVariable();
expr_t arg2subst = arg2->substituteStaticAuxiliaryVariable();
expr_t arg3subst = arg3->substituteStaticAuxiliaryVariable();
return buildSimilarTrinaryOpNode(arg1subst, arg2subst, arg3subst, datatree);
}
AbstractExternalFunctionNode::AbstractExternalFunctionNode(DataTree &datatree_arg,
int symb_id_arg,
const vector<expr_t> &arguments_arg) :
......@@ -4815,6 +4873,15 @@ AbstractExternalFunctionNode::containsExternalFunction() const
return true;
}
expr_t
AbstractExternalFunctionNode::substituteStaticAuxiliaryVariable() const
{
vector<expr_t> arguments_subst;
for (vector<expr_t>::const_iterator it = arguments.begin(); it != arguments.end(); it++)
arguments_subst.push_back((*it)->substituteStaticAuxiliaryVariable());
return buildSimilarExternalFunctionNode(arguments_subst, datatree);
}
ExternalFunctionNode::ExternalFunctionNode(DataTree &datatree_arg,
int symb_id_arg,
const vector<expr_t> &arguments_arg) :
......
......@@ -442,6 +442,9 @@ public:
//! Returns true if the expression is in static form (no lead, no lag, no expectation, no STEADY_STATE)
virtual bool isInStaticForm() const = 0;
//! Substitute auxiliary variables by their expression in static model
virtual expr_t substituteStaticAuxiliaryVariable() const = 0;
};
//! Object used to compare two nodes (using their indexes)
......@@ -501,6 +504,7 @@ public:
virtual expr_t cloneDynamic(DataTree &dynamic_datatree) const;
virtual expr_t removeTrendLeadLag(map<int, expr_t> trend_symbols_map) const;
virtual bool isInStaticForm() const;
virtual expr_t substituteStaticAuxiliaryVariable() const;
};
//! Symbol or variable node
......@@ -565,6 +569,8 @@ public:
virtual expr_t cloneDynamic(DataTree &dynamic_datatree) const;
virtual expr_t removeTrendLeadLag(map<int, expr_t> trend_symbols_map) const;
virtual bool isInStaticForm() const;
//! Substitute auxiliary variables by their expression in static model
virtual expr_t substituteStaticAuxiliaryVariable() const;
};
//! Unary operator node
......@@ -648,6 +654,8 @@ public:
virtual expr_t cloneDynamic(DataTree &dynamic_datatree) const;
virtual expr_t removeTrendLeadLag(map<int, expr_t> trend_symbols_map) const;
virtual bool isInStaticForm() const;
//! Substitute auxiliary variables by their expression in static model
virtual expr_t substituteStaticAuxiliaryVariable() const;
};
//! Binary operator node
......@@ -750,6 +758,10 @@ public:
//! Returns the non-zero hand-side of an equation (that must have a hand side equal to zero)
expr_t getNonZeroPartofEquation() const;
virtual bool isInStaticForm() const;
//! Substitute auxiliary variables by their expression in static model
virtual expr_t substituteStaticAuxiliaryVariable() const;
//! Substitute auxiliary variables by their expression in static model auxiliary variable definition
virtual expr_t substituteStaticAuxiliaryDefinition() const;
};
//! Trinary operator node
......@@ -820,6 +832,8 @@ public:
virtual expr_t cloneDynamic(DataTree &dynamic_datatree) const;
virtual expr_t removeTrendLeadLag(map<int, expr_t> trend_symbols_map) const;
virtual bool isInStaticForm() const;
//! Substitute auxiliary variables by their expression in static model
virtual expr_t substituteStaticAuxiliaryVariable() const;
};
//! External function node
......@@ -899,6 +913,8 @@ public:
virtual expr_t cloneDynamic(DataTree &dynamic_datatree) const = 0;
virtual expr_t removeTrendLeadLag(map<int, expr_t> trend_symbols_map) const;
virtual bool isInStaticForm() const;
//! Substitute auxiliary variables by their expression in static model
virtual expr_t substituteStaticAuxiliaryVariable() const;
};
class ExternalFunctionNode : public AbstractExternalFunctionNode
......
......@@ -39,8 +39,7 @@ ModFile::ModFile(WarningConsolidation &warnings_arg)
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),
differentiate_forward_vars(false),
nonstationary_variables(false), orig_eqn_nbr(0), ramsey_eqn_nbr(0),
differentiate_forward_vars(false), nonstationary_variables(false),
param_used_with_lead_lag(false), warnings(warnings_arg)
{
}
......@@ -345,7 +344,7 @@ ModFile::transformPass(bool nostrict)
dynamic_model.removeTrendVariableFromEquations();
}
orig_eqn_nbr = dynamic_model.equation_number();
mod_file_struct.orig_eq_nbr = dynamic_model.equation_number();
if (mod_file_struct.ramsey_model_present)
{
StaticModel *planner_objective = NULL;
......@@ -364,7 +363,7 @@ ModFile::transformPass(bool nostrict)
dynamic_model.cloneDynamic(ramsey_FOC_equations_dynamic_model);
ramsey_FOC_equations_dynamic_model.computeRamseyPolicyFOCs(*planner_objective);
ramsey_FOC_equations_dynamic_model.replaceMyEquations(dynamic_model);
ramsey_eqn_nbr = dynamic_model.equation_number() - orig_eqn_nbr;
mod_file_struct.ramsey_eq_nbr = dynamic_model.equation_number() - mod_file_struct.orig_eq_nbr;
}
if (mod_file_struct.stoch_simul_present
......@@ -446,7 +445,7 @@ ModFile::transformPass(bool nostrict)
cout << "Found " << dynamic_model.equation_number() << " equation(s)." << endl;
else
{
cout << "Found " << orig_eqn_nbr << " equation(s)." << endl;
cout << "Found " << mod_file_struct.orig_eq_nbr << " equation(s)." << endl;
cout << "Found " << dynamic_model.equation_number() << " FOC equation(s) for Ramsey Problem." << endl;
}
......@@ -748,9 +747,9 @@ ModFile::writeOutputFiles(const string &basename, bool clear_all, bool clear_glo
if (block && !byte_code)
mOutputFile << "addpath " << basename << ";" << endl;
mOutputFile << "M_.orig_eq_nbr = " << orig_eqn_nbr << ";" << endl
mOutputFile << "M_.orig_eq_nbr = " << mod_file_struct.orig_eq_nbr << ";" << endl
<< "M_.eq_nbr = " << dynamic_model.equation_number() << ";" << endl
<< "M_.ramsey_eq_nbr = " << ramsey_eqn_nbr << ";" << endl;
<< "M_.ramsey_eq_nbr = " << mod_file_struct.ramsey_eq_nbr << ";" << endl;
if (dynamic_model.equation_number() > 0)
{
......@@ -1133,9 +1132,9 @@ ModFile::writeExternalFilesJulia(const string &basename, FileOutputType output)
<< symbol_table.exo_nbr() << ")" << endl
<< "model.correlation_matrix = ones(Float64, " << symbol_table.exo_nbr() << ", "
<< symbol_table.exo_nbr() << ")" << endl
<< "model.orig_eq_nbr = " << orig_eqn_nbr << endl
<< "model.orig_eq_nbr = " << mod_file_struct.orig_eq_nbr << endl
<< "model.eq_nbr = " << dynamic_model.equation_number() << endl
<< "model.ramsey_eq_nbr = " << ramsey_eqn_nbr << endl;
<< "model.ramsey_eq_nbr = " << mod_file_struct.ramsey_eq_nbr << endl;
if (mod_file_struct.calibrated_measurement_errors)
jlOutputFile << "model.h = zeros(Float64,"
......
......@@ -101,12 +101,6 @@ 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 orig_eqn_nbr;
//! Stores the number of equations added to the Ramsey model
int ramsey_eqn_nbr;
//! Parameter used with lead/lag
bool param_used_with_lead_lag;
......
......@@ -91,7 +91,7 @@ public:
bool bayesian_irf_present;
//! Whether there is a data statement present
bool estimation_data_statement_present;
//! Last chain number for Markov Switching statement
//! Last chain number for Markov Switching statement2
int last_markov_switching_chain;
//! Whether a calib_smoother statement is present
bool calib_smoother_present;
......@@ -118,6 +118,11 @@ public:
bool ms_dsge_present;
//! Whether occbin is present
bool occbin_option;
//! Stores the original number of equations in the model_block
int orig_eq_nbr;
//! Stores the number of equations added to the Ramsey model
int ramsey_eq_nbr;
};
class Statement
......
......@@ -1051,12 +1051,31 @@ StaticModel::computingPass(const eval_context_t &eval_context, bool no_tmp_terms
{
initializeVariablesAndEquations();
vector<BinaryOpNode *> neweqs;
for (unsigned int eq = 0; eq < equations.size() - aux_equations.size(); eq++)
{
expr_t eq_tmp = equations[eq]->substituteStaticAuxiliaryVariable();
neweqs.push_back(dynamic_cast<BinaryOpNode *>(eq_tmp->toStatic(*this)));
}
for (unsigned int eq = 0; eq < aux_equations.size(); eq++)
{
expr_t eq_tmp = aux_equations[eq]->substituteStaticAuxiliaryDefinition();
neweqs.push_back(dynamic_cast<BinaryOpNode *>(eq_tmp->toStatic(*this)));
}
equations.clear();
copy(neweqs.begin(),neweqs.end(),back_inserter(equations));
// Compute derivatives w.r. to all endogenous, and possibly exogenous and exogenous deterministic
set<int> vars;
for (int i = 0; i < symbol_table.endo_nbr(); i++)
vars.insert(getDerivID(symbol_table.getID(eEndogenous, i), 0));
{
int id = symbol_table.getID(eEndogenous, i);
// if (!symbol_table.isAuxiliaryVariableButNotMultiplier(id))
vars.insert(getDerivID(id, 0));
}
// Launch computations
cout << "Computing static model derivatives:" << endl
<< " - order 1" << endl;
......@@ -1076,7 +1095,7 @@ StaticModel::computingPass(const eval_context_t &eval_context, bool no_tmp_terms
computeThirdDerivatives(vars);
}
if (paramsDerivatives)
if (paramsDerivatives)
{
cout << " - derivatives of Jacobian/Hessian w.r. to parameters" << endl;
computeParamsDerivatives();
......@@ -1720,7 +1739,7 @@ StaticModel::writeStaticFile(const string &basename, bool block, bool bytecode,
writeStaticJuliaFile(basename);
else
writeStaticMFile(basename);
writeAuxVarRecursiveDefinitions(basename, julia);
writeSetAuxiliaryVariables(basename, julia);
}
void
......@@ -2080,8 +2099,9 @@ StaticModel::writeAuxVarInitval(ostream &output, ExprNodeOutputType output_type)
}
}
void StaticModel::writeAuxVarRecursiveDefinitions(const string &basename, const bool julia) const
void StaticModel::writeSetAuxiliaryVariables(const string &basename, const bool julia) const
{
string func_name = basename + "_set_auxiliary_variables";
string filename = julia ? func_name + ".jl" : func_name + ".m";
string comment = julia ? "#" : "%";
......@@ -2108,10 +2128,17 @@ void StaticModel::writeAuxVarRecursiveDefinitions(const string &basename, const
if (dynamic_cast<ExprNode *>(aux_equations[i])->containsExternalFunction())
dynamic_cast<ExprNode *>(aux_equations[i])->writeExternalFunctionOutput(output, oMatlabStaticModel,
temporary_terms, tef_terms);
writeAuxVarRecursiveDefinitions(output, oMatlabStaticModel);
}
void
StaticModel::writeAuxVarRecursiveDefinitions(ostream &output, ExprNodeOutputType output_type) const
{
deriv_node_temp_terms_t tef_terms;
temporary_terms_t temporary_terms;
for (int i = 0; i < (int) aux_equations.size(); i++)
{
dynamic_cast<ExprNode *>(aux_equations[i])->writeOutput(output, oMatlabStaticModel, temporary_terms, tef_terms);
dynamic_cast<ExprNode *>(aux_equations[i]->substituteStaticAuxiliaryDefinition())->writeOutput(output, output_type, temporary_terms, tef_terms);
output << ";" << endl;
}
}
......
......@@ -183,7 +183,8 @@ public:
void writeAuxVarInitval(ostream &output, ExprNodeOutputType output_type) const;
//! Writes definition of the auxiliary variables in a .m or .jl file
void writeAuxVarRecursiveDefinitions(const string &basename, const bool julia) const;
void writeSetAuxiliaryVariables(const string &basename, const bool julia) const;
void writeAuxVarRecursiveDefinitions(ostream &output, ExprNodeOutputType output_type) const;
virtual int getDerivID(int symb_id, int lag) const throw (UnknownDerivIDException);
virtual void addAllParamDerivId(set<int> &deriv_id_set);
......
......@@ -161,7 +161,7 @@ SteadyStateModel::writeSteadyStateFile(const string &basename, bool ramsey_model
output << " % Auxiliary equations" << endl;
else
output << " # Auxiliary equations" << endl;
static_model.writeAuxVarInitval(output, output_type);
static_model.writeAuxVarRecursiveDefinitions(output, output_type);
if (!julia)
output << " check_=0;" << endl;
......
......@@ -26,14 +26,14 @@
AuxVarInfo::AuxVarInfo(int symb_id_arg, aux_var_t type_arg, int orig_symb_id_arg, int orig_lead_lag_arg,
int equation_number_for_multiplier_arg, int information_set_arg,
expr_t expectation_expr_node_arg) :
expr_t expr_node_arg) :
symb_id(symb_id_arg),
type(type_arg),
orig_symb_id(orig_symb_id_arg),
orig_lead_lag(orig_lead_lag_arg),
equation_number_for_multiplier(equation_number_for_multiplier_arg),
information_set(information_set_arg),
expectation_expr_node(expectation_expr_node_arg)
expr_node(expr_node_arg)
{
}
......@@ -333,7 +333,7 @@ SymbolTable::writeOutput(ostream &output) const throw (NotYetFrozenException)
output << "M_.aux_vars(" << i+1 << ").orig_expr = '\\mathbb{E}_{t"
<< (aux_vars[i].get_information_set() < 0 ? "" : "+")
<< aux_vars[i].get_information_set() << "}(";
aux_vars[i].get_expectation_expr_node()->writeOutput(output, oLatexDynamicModel);
aux_vars[i].get_expr_node()->writeOutput(output, oLatexDynamicModel);
output << ")';" << endl;
break;
}
......@@ -520,7 +520,7 @@ SymbolTable::writeCCOutput(ostream &output) const throw (NotYetFrozenException)
}
int
SymbolTable::addLeadAuxiliaryVarInternal(bool endo, int index) throw (FrozenException)
SymbolTable::addLeadAuxiliaryVarInternal(bool endo, int index, expr_t expr_arg) throw (FrozenException)
{
ostringstream varname;
if (endo)
......@@ -539,13 +539,13 @@ SymbolTable::addLeadAuxiliaryVarInternal(bool endo, int index) throw (FrozenExce
exit(EXIT_FAILURE);
}
aux_vars.push_back(AuxVarInfo(symb_id, (endo ? avEndoLead : avExoLead), 0, 0, 0, 0, NULL));
aux_vars.push_back(AuxVarInfo(symb_id, (endo ? avEndoLead : avExoLead), 0, 0, 0, 0, expr_arg));
return symb_id;
}
int
SymbolTable::addLagAuxiliaryVarInternal(bool endo, int orig_symb_id, int orig_lead_lag) throw (FrozenException)
SymbolTable::addLagAuxiliaryVarInternal(bool endo, int orig_symb_id, int orig_lead_lag, expr_t expr_arg) throw (FrozenException)
{
ostringstream varname;
if (endo)
......@@ -565,37 +565,37 @@ 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, 0, 0, NULL));
aux_vars.push_back(AuxVarInfo(symb_id, (endo ? avEndoLag : avExoLag), orig_symb_id, orig_lead_lag, 0, 0, expr_arg));
return symb_id;
}
int
SymbolTable::addEndoLeadAuxiliaryVar(int index) throw (FrozenException)
SymbolTable::addEndoLeadAuxiliaryVar(int index, expr_t expr_arg) throw (FrozenException)
{
return addLeadAuxiliaryVarInternal(true, index);
return addLeadAuxiliaryVarInternal(true, index, expr_arg);
}
int
SymbolTable::addEndoLagAuxiliaryVar(int orig_symb_id, int orig_lead_lag) throw (FrozenException)
SymbolTable::addEndoLagAuxiliaryVar(int orig_symb_id, int orig_lead_lag, expr_t expr_arg) throw (FrozenException)
{
return addLagAuxiliaryVarInternal(true, orig_symb_id, orig_lead_lag);
return addLagAuxiliaryVarInternal(true, orig_symb_id, orig_lead_lag, expr_arg);
}
int
SymbolTable::addExoLeadAuxiliaryVar(int index) throw (FrozenException)
SymbolTable::addExoLeadAuxiliaryVar(int index, expr_t expr_arg) throw (FrozenException)
{
return addLeadAuxiliaryVarInternal(false, index);
return addLeadAuxiliaryVarInternal(false, index, expr_arg);
}
int
SymbolTable::addExoLagAuxiliaryVar(int orig_symb_id, int orig_lead_lag) throw (FrozenException)
SymbolTable::addExoLagAuxiliaryVar(int orig_symb_id, int orig_lead_lag, expr_t expr_arg) throw (FrozenException)
{
return addLagAuxiliaryVarInternal(false, orig_symb_id, orig_lead_lag);
return addLagAuxiliaryVarInternal(false, orig_symb_id, orig_lead_lag, expr_arg);
}
int
SymbolTable::addExpectationAuxiliaryVar(int information_set, int index, expr_t exp_arg) throw (FrozenException)
SymbolTable::addExpectationAuxiliaryVar(int information_set, int index, expr_t expr_arg) throw (FrozenException)
{
ostringstream varname;
int symb_id;
......@@ -613,7 +613,7 @@ SymbolTable::addExpectationAuxiliaryVar(int information_set, int index, expr_t e
exit(EXIT_FAILURE);
}
aux_vars.push_back(AuxVarInfo(symb_id, avExpectation, 0, 0, 0, information_set, exp_arg));
aux_vars.push_back(AuxVarInfo(symb_id, avExpectation, 0, 0, 0, information_set, expr_arg));
return symb_id;
}
......@@ -640,7 +640,7 @@ SymbolTable::addMultiplierAuxiliaryVar(int index) throw (FrozenException)
}
int
SymbolTable::addDiffForwardAuxiliaryVar(int orig_symb_id) throw (FrozenException)
SymbolTable::addDiffForwardAuxiliaryVar(int orig_symb_id, expr_t expr_arg) throw (FrozenException)
{
ostringstream varname;
int symb_id;
......@@ -656,7 +656,7 @@ SymbolTable::addDiffForwardAuxiliaryVar(int orig_symb_id) throw (FrozenException
exit(EXIT_FAILURE);
}
aux_vars.push_back(AuxVarInfo(symb_id, avDiffForward, orig_symb_id, 0, 0, 0, NULL));
aux_vars.push_back(AuxVarInfo(symb_id, avDiffForward, orig_symb_id, 0, 0, 0, expr_arg));
return symb_id;
}
......@@ -670,6 +670,22 @@ SymbolTable::searchAuxiliaryVars(int orig_symb_id, int orig_lead_lag) const thro
throw SearchFailedException(orig_symb_id, orig_lead_lag);
}
expr_t
SymbolTable::getAuxiliaryVarsExprNode(int symb_id) const throw (SearchFailedException)
// throw exception if it is a Lagrange multiplier
{
for (size_t i = 0; i < aux_vars.size(); i++)