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NumericalConstants.cc
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Sébastien Villemot authoredSébastien Villemot authored
DynamicModel.cc 186.85 KiB
/*
* Copyright (C) 2003-2014 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 <iterator>
#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,
ExternalFunctionsTable &external_functions_table_arg) :
ModelTree(symbol_table_arg, num_constants_arg, external_functions_table_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)
{
}
VariableNode *
DynamicModel::AddVariable(int symb_id, int lag)
{
return AddVariableInternal(symb_id, lag);
}
void
DynamicModel::compileDerivative(ofstream &code_file, unsigned int &instruction_number, int eq, int symb_id, int lag, const map_idx_t &map_idx) const
{
first_derivatives_t::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, instruction_number, false, temporary_terms, map_idx, true, false);
else
{
FLDZ_ fldz;
fldz.write(code_file, instruction_number);
}
}
void
DynamicModel::compileChainRuleDerivative(ofstream &code_file, unsigned int &instruction_number, int eqr, int varr, int lag, const map_idx_t &map_idx) const
{
map<pair<int, pair<int, int> >, expr_t>::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, instruction_number, false, temporary_terms, map_idx, true, false);
else
{
FLDZ_ fldz;
fldz.write(code_file, instruction_number);
}
}
void
DynamicModel::computeTemporaryTermsOrdered()
{
map<expr_t, pair<int, int> > first_occurence;
map<expr_t, int> reference_count;
BinaryOpNode *eq_node;
first_derivatives_t::const_iterator it;
first_chain_rule_derivatives_t::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_t> >(nb_blocks);
v_temporary_terms_inuse = vector<temporary_terms_inuse_t>(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_t>(block_size);
for (unsigned int i = 0; i < block_size; i++)
{
if (i < block_nb_recursives && isBlockEquationRenormalized(block, i))
getBlockEquationRenormalizedExpr(block, i)->computeTemporaryTerms(reference_count, temporary_terms, first_occurence, block, v_temporary_terms, i);
else
{
eq_node = (BinaryOpNode *) getBlockEquationExpr(block, i);
eq_node->computeTemporaryTerms(reference_count, temporary_terms, first_occurence, block, v_temporary_terms, i);
}
}
for (block_derivatives_equation_variable_laglead_nodeid_t::const_iterator it = blocks_derivatives[block].begin(); it != (blocks_derivatives[block]).end(); it++)
{
expr_t id = it->second.second;
id->computeTemporaryTerms(reference_count, temporary_terms, first_occurence, block, v_temporary_terms, block_size-1);
}
for (derivative_t::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 (derivative_t::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_t>(block_size);
for (unsigned int i = 0; i < block_size; i++)
{
if (i < block_nb_recursives && isBlockEquationRenormalized(block, i))
getBlockEquationRenormalizedExpr(block, i)->computeTemporaryTerms(reference_count, temporary_terms, first_occurence, block, v_temporary_terms, i);
else
{
eq_node = (BinaryOpNode *) getBlockEquationExpr(block, i);
eq_node->computeTemporaryTerms(reference_count, temporary_terms, first_occurence, block, v_temporary_terms, i);
}
}
for (block_derivatives_equation_variable_laglead_nodeid_t::const_iterator it = blocks_derivatives[block].begin(); it != (blocks_derivatives[block]).end(); it++)
{
expr_t id = it->second.second;
id->computeTemporaryTerms(reference_count, temporary_terms, first_occurence, block, v_temporary_terms, block_size-1);
}
for (derivative_t::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 (derivative_t::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))
getBlockEquationRenormalizedExpr(block, i)->collectTemporary_terms(temporary_terms, temporary_terms_in_use, block);
else
{
eq_node = (BinaryOpNode *) getBlockEquationExpr(block, i);
eq_node->collectTemporary_terms(temporary_terms, temporary_terms_in_use, block);
}
}
for (block_derivatives_equation_variable_laglead_nodeid_t::const_iterator it = blocks_derivatives[block].begin(); it != (blocks_derivatives[block]).end(); it++)
{
expr_t id = it->second.second;
id->collectTemporary_terms(temporary_terms, temporary_terms_in_use, block);
}
for (derivative_t::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 (derivative_t::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;
}
computeTemporaryTermsMapping();
}
}
void
DynamicModel::computeTemporaryTermsMapping()
{
// Add a mapping form node ID to temporary terms order
int j = 0;
for (temporary_terms_t::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; expr_t lhs = NULL, rhs = NULL;
BinaryOpNode *eq_node;
ostringstream Ufoss;
vector<string> Uf(symbol_table.endo_nbr(), "");
map<expr_t, int> reference_count;
temporary_terms_t local_temporary_terms;
ofstream output;
int nze, nze_exo, nze_exo_det, nze_other_endo;
vector<int> feedback_variables;
ExprNodeOutputType local_output_type;
Ufoss.str("");
local_output_type = oMatlabDynamicModelSparse;
if (global_temporary_terms)
local_temporary_terms = temporary_terms;
//----------------------------------------------------------------------
//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();
nze_exo_det = derivative_exo_det[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;
deriv_node_temp_terms_t tef_terms;
local_output_type = oMatlabDynamicModelSparse;
if (global_temporary_terms)
local_temporary_terms = temporary_terms;
int prev_lag;
unsigned int prev_var, count_col, count_col_endo, count_col_exo, count_col_exo_det, count_col_other_endo;
map<pair<int, pair<int, int> >, expr_t> tmp_block_endo_derivative;
for (block_derivatives_equation_variable_laglead_nodeid_t::const_iterator it = blocks_derivatives[block].begin(); it != (blocks_derivatives[block]).end(); it++)
tmp_block_endo_derivative[make_pair(it->second.first, make_pair(it->first.second, it->first.first))] = it->second.second;
prev_var = 999999999;
prev_lag = -9999999;
count_col_endo = 0;
for (map<pair<int, pair<int, int> >, expr_t>::const_iterator it = tmp_block_endo_derivative.begin(); it != tmp_block_endo_derivative.end(); it++)
{
int lag = it->first.first;
unsigned int var = it->first.second.first;
//int eqr = getBlockInitialEquationID(block, eq);
//int varr = getBlockInitialVariableID(block, var);
if (var != prev_var || lag != prev_lag)
{
prev_var = var;
prev_lag = lag;
count_col_endo++;
}
}
map<pair<int, pair<int, int> >, expr_t> tmp_block_exo_derivative;
for (derivative_t::const_iterator it = derivative_exo[block].begin(); it != (derivative_exo[block]).end(); it++)
tmp_block_exo_derivative[make_pair(it->first.first, make_pair(it->first.second.second, it->first.second.first))] = it->second;
prev_var = 999999999;
prev_lag = -9999999;
count_col_exo = 0;
for (map<pair<int, pair<int, int> >, expr_t>::const_iterator it = tmp_block_exo_derivative.begin(); it != tmp_block_exo_derivative.end(); it++)
{
int lag = it->first.first;
unsigned int var = it->first.second.first;
//int eqr = getBlockInitialEquationID(block, eq);
//int varr = getBlockInitialVariableID(block, var); if (var != prev_var || lag != prev_lag)
{
prev_var = var;
prev_lag = lag;
count_col_exo++;
}
}
map<pair<int, pair<int, int> >, expr_t> tmp_block_exo_det_derivative;
for (derivative_t::const_iterator it = derivative_exo_det[block].begin(); it != (derivative_exo_det[block]).end(); it++)
tmp_block_exo_det_derivative[make_pair(it->first.first, make_pair(it->first.second.second, it->first.second.first))] = it->second;
prev_var = 999999999;
prev_lag = -9999999;
count_col_exo_det = 0;
for (map<pair<int, pair<int, int> >, expr_t>::const_iterator it = tmp_block_exo_derivative.begin(); it != tmp_block_exo_derivative.end(); it++)
{
int lag = it->first.first;
unsigned int var = it->first.second.first;
//int eqr = getBlockInitialEquationID(block, eq);
//int varr = getBlockInitialVariableID(block, var);
if (var != prev_var || lag != prev_lag)
{
prev_var = var;
prev_lag = lag;
count_col_exo_det++;
}
}
map<pair<int, pair<int, int> >, expr_t> tmp_block_other_endo_derivative;
for (derivative_t::const_iterator it = derivative_other_endo[block].begin(); it != (derivative_other_endo[block]).end(); it++)
tmp_block_other_endo_derivative[make_pair(it->first.first, make_pair(it->first.second.second, it->first.second.first))] = it->second;
prev_var = 999999999;
prev_lag = -9999999;
count_col_other_endo = 0;
for (map<pair<int, pair<int, int> >, expr_t>::const_iterator it = tmp_block_other_endo_derivative.begin(); it != tmp_block_other_endo_derivative.end(); it++)
{
int lag = it->first.first;
unsigned int var = it->first.second.first;
//int eqr = getBlockInitialEquationID(block, eq);
//int varr = getBlockInitialVariableID(block, var);
if (var != prev_var || lag != prev_lag)
{
prev_var = var;
prev_lag = lag;
count_col_other_endo++;
}
}
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, steady_state, 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, steady_state, 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, steady_state, it_, jacobian_eval)\n";
else
output << "function [residual, y, g1, g2, g3, b, varargout] = " << dynamic_basename << "_" << block+1 << "(y, x, params, steady_state, 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_ oo_;" << endl;
//The Temporary terms
if (simulation_type == EVALUATE_BACKWARD || simulation_type == EVALUATE_FORWARD)
{
output << " if(jacobian_eval)\n";
output << " g1 = spalloc(" << block_mfs << ", " << count_col_endo << ", " << nze << ");\n";
output << " g1_x=spalloc(" << block_size << ", " << count_col_exo << ", " << nze_exo << ");\n";
output << " g1_xd=spalloc(" << block_size << ", " << count_col_exo_det << ", " << nze_exo_det << ");\n";
output << " g1_o=spalloc(" << block_size << ", " << count_col_other_endo << ", " << nze_other_endo << ");\n";
output << " end;\n";
}
else
{
output << " if(jacobian_eval)\n";
output << " g1 = spalloc(" << block_size << ", " << count_col_endo << ", " << nze << ");\n";
output << " g1_x=spalloc(" << block_size << ", " << count_col_exo << ", " << nze_exo << ");\n";
output << " g1_xd=spalloc(" << block_size << ", " << count_col_exo_det << ", " << nze_exo_det << ");\n";
output << " g1_o=spalloc(" << block_size << ", " << count_col_other_endo << ", " << 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 << " end;\n";
}
output << " g2=0;g3=0;\n";
if (v_temporary_terms_inuse[block].size())
{
tmp_output.str("");
for (temporary_terms_inuse_t::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_t 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_t::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_t tt2;
tt2.clear();
if (v_temporary_terms[block].size())
{
output << " " << "% //Temporary variables" << endl;
for (temporary_terms_t::const_iterator it = v_temporary_terms[block][i].begin();
it != v_temporary_terms[block][i].end(); it++)
{
if (dynamic_cast<AbstractExternalFunctionNode *>(*it) != NULL)
(*it)->writeExternalFunctionOutput(output, local_output_type, tt2, tef_terms);
output << " " << sps;
(*it)->writeOutput(output, local_output_type, local_temporary_terms, tef_terms);
output << " = ";
(*it)->writeOutput(output, local_output_type, tt2, tef_terms);
// 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 *) getBlockEquationExpr(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 *) getBlockEquationRenormalizedExpr(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) << " symb_id=" << symbol_table.getID(eEndogenous, variable_ID) << 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) << " symb_id=" << symbol_table.getID(eEndogenous, variable_ID) << endl;
Ufoss << " b(" << i+1-block_recursive << "+Per_J_) = -residual(" << i+1-block_recursive << ", it_)";
Uf[equation_ID] += Ufoss.str();
Ufoss.str("");
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 << " if jacobian_eval" << 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;
prev_var = 999999999;
prev_lag = -9999999;
count_col = 0;
for (map<pair<int, pair<int, int> >, expr_t>::const_iterator it = tmp_block_endo_derivative.begin(); it != tmp_block_endo_derivative.end(); it++)
{
int lag = it->first.first;
unsigned int var = it->first.second.first;
unsigned int eq = it->first.second.second;
int eqr = getBlockEquationID(block, eq);
int varr = getBlockVariableID(block, var);
if (var != prev_var || lag != prev_lag)
{
prev_var = var;
prev_lag = lag;
count_col++;
}
expr_t id = it->second;
output << " g1(" << eq+1 << ", " << count_col << ") = ";
id->writeOutput(output, local_output_type, local_temporary_terms);
output << "; % variable=" << symbol_table.getName(symbol_table.getID(eEndogenous, varr))
<< "(" << lag
<< ") " << varr+1 << ", " << var+1
<< ", equation=" << eqr+1 << ", " << eq+1 << endl;
}
prev_var = 999999999;
prev_lag = -9999999;
count_col = 0;
for (map<pair<int, pair<int, int> >, expr_t>::const_iterator it = tmp_block_exo_derivative.begin(); it != tmp_block_exo_derivative.end(); it++)
{
int lag = it->first.first;
unsigned int var = it->first.second.first;
unsigned int eq = it->first.second.second;
int eqr = getBlockInitialEquationID(block, eq);
if (var != prev_var || lag != prev_lag)
{
prev_var = var;
prev_lag = lag;
count_col++;
}
expr_t id = it->second;
output << " g1_x(" << eqr+1 << ", " << count_col << ") = ";
id->writeOutput(output, local_output_type, local_temporary_terms);
output << "; % variable=" << symbol_table.getName(symbol_table.getID(eExogenous, var))
<< "(" << lag
<< ") " << var+1
<< ", equation=" << eq+1 << endl;
}
prev_var = 999999999;
prev_lag = -9999999;
count_col = 0;
for (map<pair<int, pair<int, int> >, expr_t>::const_iterator it = tmp_block_exo_det_derivative.begin(); it != tmp_block_exo_det_derivative.end(); it++)
{
int lag = it->first.first;
unsigned int var = it->first.second.first;
unsigned int eq = it->first.second.second;
int eqr = getBlockInitialEquationID(block, eq);
if (var != prev_var || lag != prev_lag)
{
prev_var = var;
prev_lag = lag;
count_col++;
} expr_t id = it->second;
output << " g1_xd(" << eqr+1 << ", " << count_col << ") = ";
id->writeOutput(output, local_output_type, local_temporary_terms);
output << "; % variable=" << symbol_table.getName(symbol_table.getID(eExogenous, var))
<< "(" << lag
<< ") " << var+1
<< ", equation=" << eq+1 << endl;
}
prev_var = 999999999;
prev_lag = -9999999;
count_col = 0;
for (map<pair<int, pair<int, int> >, expr_t>::const_iterator it = tmp_block_other_endo_derivative.begin(); it != tmp_block_other_endo_derivative.end(); it++)
{
int lag = it->first.first;
unsigned int var = it->first.second.first;
unsigned int eq = it->first.second.second;
int eqr = getBlockInitialEquationID(block, eq);
if (var != prev_var || lag != prev_lag)
{
prev_var = var;
prev_lag = lag;
count_col++;
}
expr_t id = it->second;
output << " g1_o(" << eqr+1 << ", " << /*var+1+(lag+block_max_lag)*block_size*/ count_col << ") = ";
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_xd;\n";
output << " varargout{3}=g1_o;\n";
switch (simulation_type)
{
case EVALUATE_FORWARD:
case EVALUATE_BACKWARD:
output << " end;" << endl;
output << " end;" << endl;
break;
case SOLVE_BACKWARD_SIMPLE:
case SOLVE_FORWARD_SIMPLE:
case SOLVE_BACKWARD_COMPLETE:
case SOLVE_FORWARD_COMPLETE:
output << " else" << endl;
for (block_derivatives_equation_variable_laglead_nodeid_t::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);
expr_t id = it->second.second;
int lag = it->second.first;
if (lag == 0)
{
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 << " else" << endl;
for (block_derivatives_equation_variable_laglead_nodeid_t::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;
expr_t id = it->second.second;
int lag = it->second.first;
if (eq >= block_recursive && var >= block_recursive)
{
if (lag == 0)
Ufoss << "+g1(" << eq+1-block_recursive
<< "+Per_J_, " << var+1-block_recursive
<< "+Per_K_)*y(it_, " << varr+1 << ")";
else if (lag == 1)
Ufoss << "+g1(" << eq+1-block_recursive
<< "+Per_J_, " << var+1-block_recursive
<< "+Per_y_)*y(it_+1, " << varr+1 << ")";
else if (lag > 0)
Ufoss << "+g1(" << eq+1-block_recursive
<< "+Per_J_, " << var+1-block_recursive
<< "+y_size*(it_+" << lag-1 << "))*y(it_+" << lag << ", " << varr+1 << ")";
else
Ufoss << "+g1(" << eq+1-block_recursive
<< "+Per_J_, " << var+1-block_recursive
<< "+y_size*(it_" << lag-1 << "))*y(it_" << lag << ", " << varr+1 << ")";
Uf[eqr] += Ufoss.str();
Ufoss.str("");
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)] << ";\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 << " end;" << endl;
output << " end;" << endl;
break;
default:
break;
}
output << "end" << endl;
output.close();
}
}
void
DynamicModel::writeModelEquationsCode(string &file_name, const string &bin_basename, const map_idx_t &map_idx) const
{
ostringstream tmp_output;
ofstream code_file;
unsigned int instruction_number = 0;
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);
}
int count_u;
int u_count_int = 0;
BlockSimulationType simulation_type;
if ((max_endo_lag > 0) && (max_endo_lead > 0))
simulation_type = SOLVE_TWO_BOUNDARIES_COMPLETE;
else if ((max_endo_lag >= 0) && (max_endo_lead == 0))
simulation_type = SOLVE_FORWARD_COMPLETE;
else
simulation_type = SOLVE_BACKWARD_COMPLETE;
Write_Inf_To_Bin_File(file_name, u_count_int, file_open, simulation_type == SOLVE_TWO_BOUNDARIES_COMPLETE, symbol_table.endo_nbr());
file_open = true;
//Temporary variables declaration
FDIMT_ fdimt(temporary_terms.size());
fdimt.write(code_file, instruction_number);
int other_endo_size = 0;
vector<unsigned int> exo, exo_det, other_endo;
for (int i = 0; i < symbol_table.exo_det_nbr(); i++)
exo_det.push_back(i);
for (int i = 0; i < symbol_table.exo_nbr(); i++)
exo.push_back(i);
map<pair< int, pair<int, int> >, expr_t> first_derivatives_reordered_endo;
map<pair< pair<int, int>, pair<int, int> >, expr_t> first_derivatives_reordered_exo;
for (first_derivatives_t::const_iterator it = first_derivatives.begin();
it != first_derivatives.end(); it++) {
int deriv_id = it->first.second;
unsigned int eq = it->first.first;
int symb = getSymbIDByDerivID(deriv_id);
unsigned int var = symbol_table.getTypeSpecificID(symb);
int lag = getLagByDerivID(deriv_id);
if (getTypeByDerivID(deriv_id) == eEndogenous)
first_derivatives_reordered_endo[make_pair(lag, make_pair(var, eq))] = it->second;
else if (getTypeByDerivID(deriv_id) == eExogenous || getTypeByDerivID(deriv_id) == eExogenousDet)
first_derivatives_reordered_exo[make_pair(make_pair(lag, getTypeByDerivID(deriv_id)), make_pair(var, eq))] = it->second;
}
int prev_var = -1;
int prev_lag = -999999999;
int count_col_endo = 0;
for (map<pair< int, pair<int, int> >, expr_t>::const_iterator it = first_derivatives_reordered_endo.begin();
it != first_derivatives_reordered_endo.end(); it++)
{
int var = it->first.second.first;
int lag = it->first.first;
if (prev_var != var || prev_lag != lag)
{
prev_var = var;
prev_lag = lag;
count_col_endo++;
}
}
prev_var = -1;
prev_lag = -999999999;
int prev_type = -1;
int count_col_exo = 0;
for (map<pair< pair<int, int>, pair<int, int> >, expr_t>::const_iterator it = first_derivatives_reordered_exo.begin();
it != first_derivatives_reordered_exo.end(); it++)
{
int var = it->first.second.first;
int lag = it->first.first.first;
int type = it->first.first.second;
if (prev_var != var || prev_lag != lag || prev_type != type)
{
prev_var = var;
prev_lag = lag;
prev_type = type;
count_col_exo++;
}
}
FBEGINBLOCK_ fbeginblock(symbol_table.endo_nbr(),
simulation_type,
0,
symbol_table.endo_nbr(),
variable_reordered,
equation_reordered,
false,
symbol_table.endo_nbr(),
0,
0,
u_count_int,
count_col_endo,
symbol_table.exo_det_nbr(),
count_col_exo,
other_endo_size,
0,
exo_det,
exo,
other_endo
);
fbeginblock.write(code_file, instruction_number);
compileTemporaryTerms(code_file, instruction_number, temporary_terms, map_idx, true, false);
compileModelEquations(code_file, instruction_number, temporary_terms, map_idx, true, false);
FENDEQU_ fendequ;
fendequ.write(code_file, instruction_number);
// Get the current code_file position and jump if eval = true
streampos pos1 = code_file.tellp();
FJMPIFEVAL_ fjmp_if_eval(0);
fjmp_if_eval.write(code_file, instruction_number);
int prev_instruction_number = instruction_number;
vector<vector<pair<pair<int, int>, int > > > derivatives;
derivatives.resize(symbol_table.endo_nbr());
count_u = symbol_table.endo_nbr();
for (first_derivatives_t::const_iterator it = first_derivatives.begin();
it != first_derivatives.end(); it++)
{
int deriv_id = it->first.second;
if (getTypeByDerivID(deriv_id) == eEndogenous)
{
expr_t d1 = it->second;
unsigned int eq = it->first.first;
int symb = getSymbIDByDerivID(deriv_id);
unsigned int var = symbol_table.getTypeSpecificID(symb);
int lag = getLagByDerivID(deriv_id);
FNUMEXPR_ fnumexpr(FirstEndoDerivative, eq, var, lag);
fnumexpr.write(code_file, instruction_number);
if (!derivatives[eq].size())
derivatives[eq].clear();
derivatives[eq].push_back(make_pair(make_pair(var, lag), count_u));
d1->compile(code_file, instruction_number, false, temporary_terms, map_idx, true, false);
FSTPU_ fstpu(count_u);
fstpu.write(code_file, instruction_number);
count_u++;
}
}
for (int i = 0; i < symbol_table.endo_nbr(); i++)
{
FLDR_ fldr(i);
fldr.write(code_file, instruction_number);
if (derivatives[i].size())
{
for (vector<pair<pair<int, int>, int> >::const_iterator it = derivatives[i].begin();
it != derivatives[i].end(); it++)
{
FLDU_ fldu(it->second);
fldu.write(code_file, instruction_number);
FLDV_ fldv(eEndogenous, it->first.first, it->first.second);
fldv.write(code_file, instruction_number);
FBINARY_ fbinary(oTimes);
fbinary.write(code_file, instruction_number);
if (it != derivatives[i].begin())
{
FBINARY_ fbinary(oPlus);
fbinary.write(code_file, instruction_number);
}
}
FBINARY_ fbinary(oMinus);
fbinary.write(code_file, instruction_number);
}
FSTPU_ fstpu(i);
fstpu.write(code_file, instruction_number);
}
// Get the current code_file position and jump = true
streampos pos2 = code_file.tellp();
FJMP_ fjmp(0);
fjmp.write(code_file, instruction_number);
// Set code_file position to previous JMPIFEVAL_ and set the number of instructions to jump streampos pos3 = code_file.tellp();
code_file.seekp(pos1);
FJMPIFEVAL_ fjmp_if_eval1(instruction_number - prev_instruction_number);
fjmp_if_eval1.write(code_file, instruction_number);
code_file.seekp(pos3);
prev_instruction_number = instruction_number;
// The Jacobian
prev_var = -1;
prev_lag = -999999999;
count_col_endo = 0;
for (map<pair< int, pair<int, int> >, expr_t>::const_iterator it = first_derivatives_reordered_endo.begin();
it != first_derivatives_reordered_endo.end(); it++)
{
unsigned int eq = it->first.second.second;
int var = it->first.second.first;
int lag = it->first.first;
expr_t d1 = it->second;
FNUMEXPR_ fnumexpr(FirstEndoDerivative, eq, var, lag);
fnumexpr.write(code_file, instruction_number);
if (prev_var != var || prev_lag != lag)
{
prev_var = var;
prev_lag = lag;
count_col_endo++;
}
d1->compile(code_file, instruction_number, false, temporary_terms, map_idx, true, false);
FSTPG3_ fstpg3(eq, var, lag, count_col_endo-1);
fstpg3.write(code_file, instruction_number);
}
prev_var = -1;
prev_lag = -999999999;
count_col_exo = 0;
for (map<pair< pair<int, int>, pair<int, int> >, expr_t>::const_iterator it = first_derivatives_reordered_exo.begin();
it != first_derivatives_reordered_exo.end(); it++)
{
unsigned int eq = it->first.second.second;
int var = it->first.second.first;
int lag = it->first.first.first;
expr_t d1 = it->second;
FNUMEXPR_ fnumexpr(FirstExoDerivative, eq, var, lag);
fnumexpr.write(code_file, instruction_number);
if (prev_var != var || prev_lag != lag)
{
prev_var = var;
prev_lag = lag;
count_col_exo++;
}
d1->compile(code_file, instruction_number, false, temporary_terms, map_idx, true, false);
FSTPG3_ fstpg3(eq, var, lag, count_col_exo-1);
fstpg3.write(code_file, instruction_number);
}
// Set codefile position to previous JMP_ and set the number of instructions to jump
pos1 = code_file.tellp();
code_file.seekp(pos2);
FJMP_ fjmp1(instruction_number - prev_instruction_number);
fjmp1.write(code_file, instruction_number);
code_file.seekp(pos1);
FENDBLOCK_ fendblock;
fendblock.write(code_file, instruction_number);
FEND_ fend;
fend.write(code_file, instruction_number);
code_file.close();
}
void
DynamicModel::writeModelEquationsCode_Block(string &file_name, const string &bin_basename, const map_idx_t &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;
unsigned int instruction_number = 0;
expr_t lhs = NULL, rhs = NULL;
BinaryOpNode *eq_node;
Uff Uf[symbol_table.endo_nbr()];
map<expr_t, int> reference_count;
deriv_node_temp_terms_t tef_terms;
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, instruction_number);
for (unsigned int block = 0; block < getNbBlocks(); block++)
{
feedback_variables.clear();
if (block > 0)
{
FENDBLOCK_ fendblock;
fendblock.write(code_file, instruction_number);
}
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;
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 (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_Block(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;
}
map<pair<int, pair<int, int> >, expr_t> tmp_block_endo_derivative;
for (block_derivatives_equation_variable_laglead_nodeid_t::const_iterator it = blocks_derivatives[block].begin(); it != (blocks_derivatives[block]).end(); it++)
tmp_block_endo_derivative[make_pair(it->second.first, make_pair(it->first.second, it->first.first))] = it->second.second;
map<pair<int, pair<int, int> >, expr_t> tmp_exo_derivative;
for (derivative_t::const_iterator it = derivative_exo[block].begin(); it != (derivative_exo[block]).end(); it++)
tmp_exo_derivative[make_pair(it->first.first, make_pair(it->first.second.second, it->first.second.first))] = it->second;
map<pair<int, pair<int, int> >, expr_t> tmp_exo_det_derivative;
for (derivative_t::const_iterator it = derivative_exo_det[block].begin(); it != (derivative_exo_det[block]).end(); it++)
tmp_exo_det_derivative[make_pair(it->first.first, make_pair(it->first.second.second, it->first.second.first))] = it->second; map<pair<int, pair<int, int> >, expr_t> tmp_other_endo_derivative;
for (derivative_t::const_iterator it = derivative_other_endo[block].begin(); it != (derivative_other_endo[block]).end(); it++)
tmp_other_endo_derivative[make_pair(it->first.first, make_pair(it->first.second.second, it->first.second.first))] = it->second;
int prev_var = -1;
int prev_lag = -999999999;
int count_col_endo = 0;
for (map<pair<int, pair<int, int> >, expr_t>::const_iterator it = tmp_block_endo_derivative.begin(); it != tmp_block_endo_derivative.end(); it++)
{
int lag = it->first.first;
int var = it->first.second.first;
if (prev_var != var || prev_lag != lag)
{
prev_var = var;
prev_lag = lag;
count_col_endo++;
}
}
vector<unsigned int> exo_det;
for (lag_var_t::const_iterator it = exo_det_block[block].begin(); it != exo_det_block[block].end(); it++)
exo_det.push_back(it->first);
vector<unsigned int> exo;
for (lag_var_t::const_iterator it = exo_block[block].begin(); it != exo_block[block].end(); it++)
exo.push_back(it->first);
vector<unsigned int> other_endo;
unsigned int count_col_other_endo = 0;
for (lag_var_t::const_iterator it = other_endo_block[block].begin(); it != other_endo_block[block].end(); it++)
{
other_endo.push_back(it->first);
count_col_other_endo += it->second.size();
}
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,
count_col_endo,
block_exo_det_size,
getBlockExoColSize(block),
block_other_endo_size,
count_col_other_endo,
exo_det,
exo,
other_endo
);
fbeginblock.write(code_file, instruction_number);
// The equations
for (i = 0; i < (int) block_size; i++)
{
//The Temporary terms
temporary_terms_t tt2;
tt2.clear();
if (v_temporary_terms[block][i].size())
{
for (temporary_terms_t::const_iterator it = v_temporary_terms[block][i].begin();
it != v_temporary_terms[block][i].end(); it++)
{
if (dynamic_cast<AbstractExternalFunctionNode *>(*it) != NULL)
(*it)->compileExternalFunctionOutput(code_file, instruction_number, false, tt2, map_idx, true, false, tef_terms);
FNUMEXPR_ fnumexpr(TemporaryTerm, (int) (map_idx.find((*it)->idx)->second));
fnumexpr.write(code_file, instruction_number);
(*it)->compile(code_file, instruction_number, false, tt2, map_idx, true, false, tef_terms);
FSTPT_ fstpt((int) (map_idx.find((*it)->idx)->second)); fstpt.write(code_file, instruction_number);
// Insert current node into tt2
tt2.insert(*it);
#ifdef DEBUGC
cout << "FSTPT " << v << "\n";
instruction_number++;
code_file.write(&FOK, sizeof(FOK));
code_file.write(reinterpret_cast<char *>(&k), sizeof(k));
ki++;
#endif
}
}
#ifdef DEBUGC
for (temporary_terms_t::const_iterator it = v_temporary_terms[block][i].begin();
it != v_temporary_terms[block][i].end(); it++)
{
map_idx_t::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);
{
FNUMEXPR_ fnumexpr(ModelEquation, getBlockEquationID(block, i));
fnumexpr.write(code_file, instruction_number);
}
if (equ_type == E_EVALUATE)
{
eq_node = (BinaryOpNode *) getBlockEquationExpr(block, i);
lhs = eq_node->get_arg1();
rhs = eq_node->get_arg2();
rhs->compile(code_file, instruction_number, false, temporary_terms, map_idx, true, false);
lhs->compile(code_file, instruction_number, true, temporary_terms, map_idx, true, false);
}
else if (equ_type == E_EVALUATE_S)
{
eq_node = (BinaryOpNode *) getBlockEquationRenormalizedExpr(block, i);
lhs = eq_node->get_arg1();
rhs = eq_node->get_arg2();
rhs->compile(code_file, instruction_number, false, temporary_terms, map_idx, true, false);
lhs->compile(code_file, instruction_number, 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:
FNUMEXPR_ fnumexpr(ModelEquation, getBlockEquationID(block, i));
fnumexpr.write(code_file, instruction_number);
eq_node = (BinaryOpNode *) getBlockEquationExpr(block, i);
lhs = eq_node->get_arg1();
rhs = eq_node->get_arg2(); lhs->compile(code_file, instruction_number, false, temporary_terms, map_idx, true, false);
rhs->compile(code_file, instruction_number, false, temporary_terms, map_idx, true, false);
FBINARY_ fbinary(oMinus);
fbinary.write(code_file, instruction_number);
FSTPR_ fstpr(i - block_recursive);
fstpr.write(code_file, instruction_number);
}
}
FENDEQU_ fendequ;
fendequ.write(code_file, instruction_number);
// Get the current code_file position and jump if eval = true
streampos pos1 = code_file.tellp();
FJMPIFEVAL_ fjmp_if_eval(0);
fjmp_if_eval.write(code_file, instruction_number);
int prev_instruction_number = instruction_number;
// The Jacobian if we have to solve the block determinsitic block
if (simulation_type != EVALUATE_BACKWARD
&& simulation_type != EVALUATE_FORWARD)
{
switch (simulation_type)
{
case SOLVE_BACKWARD_SIMPLE:
case SOLVE_FORWARD_SIMPLE:
{
FNUMEXPR_ fnumexpr(FirstEndoDerivative, getBlockEquationID(block, 0), getBlockVariableID(block, 0), 0);
fnumexpr.write(code_file, instruction_number);
}
compileDerivative(code_file, instruction_number, getBlockEquationID(block, 0), getBlockVariableID(block, 0), 0, map_idx);
{
FSTPG_ fstpg(0);
fstpg.write(code_file, instruction_number);
}
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 (block_derivatives_equation_variable_laglead_nodeid_t::const_iterator it = blocks_derivatives[block].begin(); it != (blocks_derivatives[block]).end(); it++)
{
int lag = it->second.first;
unsigned int eq = it->first.first;
unsigned int var = it->first.second;
unsigned int eqr = getBlockEquationID(block, eq);
unsigned int varr = getBlockVariableID(block, var);
if (eq >= block_recursive and var >= block_recursive)
{
if (lag != 0 && (simulation_type == SOLVE_FORWARD_COMPLETE || simulation_type == SOLVE_BACKWARD_COMPLETE))
continue;
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;
FNUMEXPR_ fnumexpr(FirstEndoDerivative, eqr, varr, lag);
fnumexpr.write(code_file, instruction_number);
compileChainRuleDerivative(code_file, instruction_number, eqr, varr, lag, map_idx);
FSTPU_ fstpu(count_u); fstpu.write(code_file, instruction_number);
count_u++;
}
}
for (i = 0; i < (int) block_size; i++)
{
if (i >= (int) block_recursive)
{
FLDR_ fldr(i-block_recursive);
fldr.write(code_file, instruction_number);
FLDZ_ fldz;
fldz.write(code_file, instruction_number);
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, instruction_number);
FLDV_ fldv(eEndogenous, Uf[v].Ufl->var, Uf[v].Ufl->lag);
fldv.write(code_file, instruction_number);
FBINARY_ fbinary(oTimes);
fbinary.write(code_file, instruction_number);
FCUML_ fcuml;
fcuml.write(code_file, instruction_number);
}
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, instruction_number);
FSTPU_ fstpu(i - block_recursive);
fstpu.write(code_file, instruction_number);
}
}
break;
default:
break;
}
}
// Get the current code_file position and jump = true
streampos pos2 = code_file.tellp();
FJMP_ fjmp(0);
fjmp.write(code_file, instruction_number);
// Set code_file position to previous JMPIFEVAL_ and set the number of instructions to jump
streampos pos3 = code_file.tellp();
code_file.seekp(pos1);
FJMPIFEVAL_ fjmp_if_eval1(instruction_number - prev_instruction_number);
fjmp_if_eval1.write(code_file, instruction_number);
code_file.seekp(pos3);
prev_instruction_number = instruction_number;
// The Jacobian if we have to solve the block determinsitic block
prev_var = -1;
prev_lag = -999999999;
count_col_endo = 0;
for (map<pair<int, pair<int, int> >, expr_t>::const_iterator it = tmp_block_endo_derivative.begin(); it != tmp_block_endo_derivative.end(); it++)
{
int lag = it->first.first;
unsigned int eq = it->first.second.second;
int var = it->first.second.first;
unsigned int eqr = getBlockEquationID(block, eq);
unsigned int varr = getBlockVariableID(block, var); if (prev_var != var || prev_lag != lag)
{
prev_var = var;
prev_lag = lag;
count_col_endo++;
}
FNUMEXPR_ fnumexpr(FirstEndoDerivative, eqr, varr, lag);
fnumexpr.write(code_file, instruction_number);
compileDerivative(code_file, instruction_number, eqr, varr, lag, map_idx);
FSTPG3_ fstpg3(eq, var, lag, count_col_endo-1);
fstpg3.write(code_file, instruction_number);
}
prev_var = -1;
prev_lag = -999999999;
int count_col_exo = 0;
for (map<pair<int, pair<int, int> >, expr_t>::const_iterator it = tmp_exo_derivative.begin(); it != tmp_exo_derivative.end(); it++)
{
int lag = it->first.first;
int eq = it->first.second.second;
int var = it->first.second.first;
int eqr = getBlockInitialEquationID(block, eq);
int varr = getBlockInitialExogenousID(block, var);
if (prev_var != var || prev_lag != lag)
{
prev_var = var;
prev_lag = lag;
count_col_exo++;
}
expr_t id = it->second;
FNUMEXPR_ fnumexpr(FirstExoDerivative, eqr, varr, lag);
fnumexpr.write(code_file, instruction_number);
id->compile(code_file, instruction_number, false, temporary_terms, map_idx, true, false);
FSTPG3_ fstpg3(eq, var, lag, /*var*/ count_col_exo-1);
fstpg3.write(code_file, instruction_number);
}
prev_var = -1;
prev_lag = -999999999;
int count_col_exo_det = 0;
for (map<pair<int, pair<int, int> >, expr_t>::const_iterator it = tmp_exo_det_derivative.begin(); it != tmp_exo_det_derivative.end(); it++)
{
int lag = it->first.first;
int eq = it->first.second.second;
int var = it->first.second.first;
int eqr = getBlockInitialEquationID(block, eq);
int varr = getBlockInitialDetExogenousID(block, var);
if (prev_var != var || prev_lag != lag)
{
prev_var = var;
prev_lag = lag;
count_col_exo_det++;
}
expr_t id = it->second;
FNUMEXPR_ fnumexpr(FirstExodetDerivative, eqr, varr, lag);
fnumexpr.write(code_file, instruction_number);
id->compile(code_file, instruction_number, false, temporary_terms, map_idx, true, false);
FSTPG3_ fstpg3(eq, var, lag, count_col_exo_det-1);
fstpg3.write(code_file, instruction_number);
}
prev_var = -1;
prev_lag = -999999999;
count_col_other_endo = 0;
for (map<pair<int, pair<int, int> >, expr_t>::const_iterator it = tmp_other_endo_derivative.begin(); it != tmp_other_endo_derivative.end(); it++)
{
int lag = it->first.first;
int eq = it->first.second.second;
int var = it->first.second.first;
int eqr = getBlockInitialEquationID(block, eq);
int varr = getBlockInitialOtherEndogenousID(block, var);; if (prev_var != var || prev_lag != lag)
{
prev_var = var;
prev_lag = lag;
count_col_other_endo++;
}
expr_t id = it->second;
FNUMEXPR_ fnumexpr(FirstOtherEndoDerivative, eqr, varr, lag);
fnumexpr.write(code_file, instruction_number);
id->compile(code_file, instruction_number, false, temporary_terms, map_idx, true, false);
FSTPG3_ fstpg3(eq, var, lag, count_col_other_endo-1);
fstpg3.write(code_file, instruction_number);
}
// Set codefile position to previous JMP_ and set the number of instructions to jump
pos1 = code_file.tellp();
code_file.seekp(pos2);
FJMP_ fjmp1(instruction_number - prev_instruction_number);
fjmp1.write(code_file, instruction_number);
code_file.seekp(pos1);
}
FENDBLOCK_ fendblock;
fendblock.write(code_file, instruction_number);
FEND_ fend;
fend.write(code_file, instruction_number);
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, steady_state, it_)" << endl
<< "%" << endl
<< "% Status : Computes dynamic model for Dynare" << endl
<< "%" << endl
<< "% Inputs :" << endl
<< "% y [#dynamic variables by 1] double vector of endogenous variables in the order stored" << endl
<< "% in M_.lead_lag_incidence; see the Manual" << endl
<< "% x [nperiods by M_.exo_nbr] double matrix of exogenous variables (in declaration order)" << endl
<< "% for all simulation periods" << endl
<< "% params [M_.param_nbr by 1] double vector of parameter values in declaration order" << endl
<< "% it_ scalar double time period for exogenous variables for which to evaluate the model" << endl
<< "%" << endl
<< "% Outputs:" << endl
<< "% residual [M_.endo_nbr by 1] double vector of residuals of the dynamic model equations in order of " << endl
<< "% declaration of the equations." << endl
<< "% Dynare may prepend auxiliary equations, see M_.aux_vars" << endl
<< "% g1 [M_.endo_nbr by #dynamic variables] double Jacobian matrix of the dynamic model equations;" << endl
<< "% rows: equations in order of declaration" << endl
<< "% columns: variables in order stored in M_.lead_lag_incidence" << endl
<< "% g2 [M_.endo_nbr by (#dynamic variables)^2] double Hessian matrix of the dynamic model equations;" << endl
<< "% rows: equations in order of declaration" << endl
<< "% columns: variables in order stored in M_.lead_lag_incidence" << endl
<< "% g3 [M_.endo_nbr by (#dynamic variables)^3] double Third order derivative matrix of the dynamic model equations;" << endl
<< "% rows: equations in order of declaration" << endl
<< "% columns: variables in order stored in M_.lead_lag_incidence" << endl
<< "%" << endl
<< "%" << endl
<< "% Warning : this file is generated automatically by Dynare" << endl
<< "% from model file (.mod)" << endl << endl;
writeDynamicModel(mDynamicModelFile, false);
mDynamicModelFile << "end" << endl; // Close *_dynamic function
mDynamicModelFile.close();
}
void
DynamicModel::writeDynamicCFile(const string &dynamic_basename, const int order) const
{
string filename = dynamic_basename + ".c";
string filename_mex = dynamic_basename + "_mex.c";
ofstream mDynamicModelFile, mDynamicMexFile;
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
<< "#include <math.h>" << endl;
if (external_functions_table.get_total_number_of_unique_model_block_external_functions())
// External Matlab function, implies Dynamic function will call mex
mDynamicModelFile << "#include \"mex.h\"" << endl;
else
mDynamicModelFile << "#include <stdlib.h>" << endl;
mDynamicModelFile << "#define max(a, b) (((a) > (b)) ? (a) : (b))" << endl
<< "#define min(a, b) (((a) > (b)) ? (b) : (a))" << endl;
// Write function definition if oPowerDeriv is used
writePowerDerivCHeader(mDynamicModelFile);
// Writing the function body
writeDynamicModel(mDynamicModelFile, true);
writePowerDeriv(mDynamicModelFile, true);
mDynamicModelFile.close();
mDynamicMexFile.open(filename_mex.c_str(), ios::out | ios::binary);
if (!mDynamicMexFile.is_open())
{
cerr << "Error: Can't open file " << filename_mex << " for writing" << endl;
exit(EXIT_FAILURE);
}
// Writing the gateway routine
mDynamicMexFile << "/*" << endl
<< " * " << filename_mex << " : The gateway routine used to call the Dynamic function "
<< "located in " << filename << endl
<< " *" << endl
<< " * Warning : this file is generated automatically by Dynare" << endl
<< " * from model file (.mod)" << endl
<< endl
<< " */" << endl << endl
<< "#include \"mex.h\"" << endl << endl
<< "void Dynamic(double *y, double *x, int nb_row_x, double *params, double *steady_state, int it_, double *residual, double *g1, double *v2, double *v3);" << endl
<< "void mexFunction(int nlhs, mxArray *plhs[], int nrhs, const mxArray *prhs[])" << endl
<< "{" << endl
<< " double *y, *x, *params, *steady_state;" << endl
<< " double *residual, *g1, *v2, *v3;" << endl
<< " int nb_row_x, it_;" << endl
<< endl
<< " /* Check that no derivatives of higher order than computed are being requested */" << endl << " if (nlhs > " << order + 1 << ")" << endl
<< " mexErrMsgTxt(\"Derivatives of higher order than computed have been requested\");" << 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
<< " /* Create a pointer to the input matrix steady_state. */" << endl
<< " steady_state = mxGetPr(prhs[3]);" << endl
<< endl
<< " /* Fetch time index */" << endl
<< " it_ = (int) mxGetScalar(prhs[4]) - 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
<< " v3 = NULL;" << 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, steady_state, it_, residual, g1, v2, v3);" << endl
<< "}" << endl;
mDynamicMexFile.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_Block(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 (block_derivatives_equation_variable_laglead_nodeid_t::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 (lag != 0 && !is_two_boundaries)
continue;
if (eq >= block_recursive && 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_t::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_t::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
<< " y=varargin{1};" << endl
<< " x=varargin{2};" << endl
<< " params=varargin{3};" << endl
<< " steady_state=varargin{4};" << endl
<< " it_=varargin{5};" << endl
<< " dr=varargin{6};" << endl
<< " Per_u_=0;" << endl
<< " Per_y_=it_*y_size;" << endl
<< " ys=y(it_,:);" << 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_xd, dr(" << count_call << ").g1_o]=" << dynamic_basename << "_" << block + 1 << "(y, x, params, steady_state, 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, y, dr(" << count_call << ").g1, dr(" << count_call << ").g2, dr(" << count_call << ").g3, dr(" << count_call << ").g1_x, dr(" << count_call << ").g1_xd, dr(" << count_call << ").g1_o]=" << dynamic_basename << "_" << block + 1 << "(y, x, params, steady_state, it_, 1);\n";
mDynamicModelFile << " residual(y_index_eq)=r;\n";
break;
case SOLVE_FORWARD_COMPLETE:
case SOLVE_BACKWARD_COMPLETE:
mDynamicModelFile << " [r, y, dr(" << count_call << ").g1, dr(" << count_call << ").g2, dr(" << count_call << ").g3, dr(" << count_call << ").g1_x, dr(" << count_call << ").g1_xd, dr(" << count_call << ").g1_o]=" << dynamic_basename << "_" << block + 1 << "(y, x, params, steady_state, it_, 1);\n";
mDynamicModelFile << " residual(y_index_eq)=r;\n";
break;
case SOLVE_TWO_BOUNDARIES_COMPLETE:
case SOLVE_TWO_BOUNDARIES_SIMPLE:
mDynamicModelFile << " [r, y, dr(" << count_call << ").g1, dr(" << count_call << ").g2, dr(" << count_call << ").g3, b, dr(" << count_call << ").g1_x, dr(" << count_call << ").g1_xd, dr(" << count_call << ").g1_o]=" << dynamic_basename << "_" << block + 1 << "(y, x, params, steady_state, 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==0)" << endl
<< " mthd='Sparse LU';" << endl
<< " elseif(options_.stack_solve_algo==1)" << endl
<< " mthd='Relaxation';" << 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_.simul.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 << " steady_state=oo_.steady_state;\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, steady_state, 0, y_kmin, periods);\n";
mDynamicModelFile << " tmp = y(:,M_.block_structure.block(" << block + 1 << ").variable);\n";
mDynamicModelFile << " if any(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, steady_state, 0, y_kmin, periods);\n";
mDynamicModelFile << " tmp = y(:,M_.block_structure.block(" << block + 1 << ").variable);\n";
mDynamicModelFile << " if any(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, steady_state, y_index, " << nze
<<", options_.periods, " << blocks_linear[block]
<<", blck_num, y_kmin, options_.simul.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 any(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, steady_state, y_index, " << nze
<<", options_.periods, " << blocks_linear[block]
<<", blck_num, y_kmin, options.simul.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 any(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 oo_] = solve_two_boundaries('" << dynamic_basename << "_" << block + 1 << "'"
<<", y, x, params, steady_state, y_index, " << nze
<<", options_.periods, " << max_leadlag_block[block].first
<<", " << max_leadlag_block[block].second
<<", " << blocks_linear[block]
<<", blck_num, y_kmin, options_.simul.maxit, options_.solve_tolf, options_.slowc, " << cutoff << ", options_.stack_solve_algo, M_, oo_);\n";
mDynamicModelFile << " tmp = y(:,M_.block_structure.block(" << block + 1 << ").variable);\n";
mDynamicModelFile << " if any(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 << "end" << endl;
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);
deriv_node_temp_terms_t tef_terms;
writeModelLocalVariables(model_output, output_type, tef_terms);
writeTemporaryTerms(temporary_terms, model_output, output_type, tef_terms);
writeModelEquations(model_output, output_type);
int nrows = equations.size();
int hessianColsNbr = dynJacobianColsNbr * dynJacobianColsNbr;
// Writing Jacobian
for (first_derivatives_t::const_iterator it = first_derivatives.begin();
it != first_derivatives.end(); it++)
{
int eq = it->first.first;
int var = it->first.second;
expr_t d1 = it->second;
jacobianHelper(jacobian_output, eq, getDynJacobianCol(var), output_type);
jacobian_output << "=";
d1->writeOutput(jacobian_output, output_type, temporary_terms, tef_terms);
jacobian_output << ";" << endl;
}
// Writing Hessian
int k = 0; // Keep the line of a 2nd derivative in v2
for (second_derivatives_t::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;
expr_t 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, tef_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_t::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;
expr_t 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, tef_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 * 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 = 1; // 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, double *steady_state, 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, int order, bool estimation_present) 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
int nstatic = 0,
nfwrd = 0,
npred = 0,
nboth = 0;
for (int endoID = 0; endoID < symbol_table.endo_nbr(); endoID++)
{
output << endl;
int sstatic = 1,
sfwrd = 0,
spred = 0,
sboth = 0;
// 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;
if (lag == -1)
{
sstatic = 0;
spred = 1;
}
else if (lag == 1)
{
if (spred == 1)
{
sboth = 1;
spred = 0;
}
else
{
sstatic = 0;
sfwrd = 1;
}
}
}
catch (UnknownDerivIDException &e)
{
output << " 0";
}
}
nstatic += sstatic;
nfwrd += sfwrd;
npred += spred;
nboth += sboth;
output << ";";
}
output << "]';" << endl;
output << "M_.nstatic = " << nstatic << ";" << endl
<< "M_.nfwrd = " << nfwrd << ";" << endl
<< "M_.npred = " << npred << ";" << endl
<< "M_.nboth = " << nboth << ";" << endl
<< "M_.nsfwrd = " << nfwrd+nboth << ";" << endl
<< "M_.nspred = " << npred+nboth << ";" << endl
<< "M_.ndynamic = " << npred+nboth+nfwrd << ";" << endl;
// Write equation tags
output << "M_.equations_tags = {" << endl; for (size_t 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;
/* Say if static and dynamic models differ (because of [static] and [dynamic]
equation tags) */
output << "M_.static_and_dynamic_models_differ = "
<< (static_only_equations.size() > 0 ? "1" : "0")
<< ";" << endl;
//In case of sparse model, writes the block_decomposition structure of the model
if (block_decomposition)
{
vector<int> state_var, state_equ;
for (int endoID = 0; endoID < symbol_table.endo_nbr(); endoID++)
// Loop on periods
for (int lag = -max_endo_lag; lag < 0; lag++)
try
{
getDerivID(symbol_table.getID(eEndogenous, variable_reordered[endoID]), lag);
if (lag < 0 && find(state_var.begin(), state_var.end(), variable_reordered[endoID]+1) == state_var.end())
state_var.push_back(variable_reordered[endoID]+1);
}
catch (UnknownDerivIDException &e)
{
}
int count_lead_lag_incidence = 0;
int max_lead, max_lag, max_lag_endo, max_lead_endo, max_lag_exo, max_lead_exo, max_lag_exo_det, max_lead_exo_det;
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 = exo_max_leadlag_block[block].first;
max_lead_exo = exo_max_leadlag_block[block].second;
max_lag_exo_det = exo_det_max_leadlag_block[block].first;
max_lead_exo_det = exo_det_max_leadlag_block[block].second;
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;
}
set<int> exogenous;
exogenous.clear();
for (lag_var_t::const_iterator it = exo_block[block].begin(); it != exo_block[block].end(); it++)
for (var_t::const_iterator it1 = it->second.begin(); it1 != it->second.end(); it1++)
exogenous.insert(*it1);
set<int> exogenous_det;
exogenous_det.clear();
for (lag_var_t::const_iterator it = exo_det_block[block].begin(); it != exo_det_block[block].end(); it++)
for (var_t::const_iterator it1 = it->second.begin(); it1 != it->second.end(); it1++)
exogenous_det.insert(*it1);
set<int> other_endogenous;
other_endogenous.clear();
for (lag_var_t::const_iterator it = other_endo_block[block].begin(); it != other_endo_block[block].end(); it++)
for (var_t::const_iterator it1 = it->second.begin(); it1 != it->second.end(); it1++)
other_endogenous.insert(*it1);
output << "block_structure.block(" << block+1 << ").Simulation_Type = " << simulation_type << ";\n"; output << "block_structure.block(" << block+1 << ").maximum_lag = " << max_lag << ";\n";
output << "block_structure.block(" << block+1 << ").maximum_lead = " << max_lead << ";\n";
output << "block_structure.block(" << block+1 << ").maximum_endo_lag = " << max_lag_endo << ";\n";
output << "block_structure.block(" << block+1 << ").maximum_endo_lead = " << max_lead_endo << ";\n";
output << "block_structure.block(" << block+1 << ").maximum_exo_lag = " << max_lag_exo << ";\n";
output << "block_structure.block(" << block+1 << ").maximum_exo_lead = " << max_lead_exo << ";\n";
output << "block_structure.block(" << block+1 << ").maximum_exo_det_lag = " << max_lag_exo_det << ";\n";
output << "block_structure.block(" << block+1 << ").maximum_exo_det_lead = " << max_lead_exo_det << ";\n";
output << "block_structure.block(" << block+1 << ").endo_nbr = " << block_size << ";\n";
output << "block_structure.block(" << block+1 << ").mfs = " << getBlockMfs(block) << ";\n";
output << "block_structure.block(" << block+1 << ").equation = [" << tmp_s_eq.str() << "];\n";
output << "block_structure.block(" << block+1 << ").variable = [" << tmp_s.str() << "];\n";
output << "block_structure.block(" << block+1 << ").exo_nbr = " << getBlockExoSize(block) << ";\n";
output << "block_structure.block(" << block+1 << ").exogenous = [";
int i = 0;
for (set<int>::iterator it_exogenous = exogenous.begin(); it_exogenous != exogenous.end(); it_exogenous++)
if (*it_exogenous >= 0)
{
output << " " << *it_exogenous+1;
i++;
}
output << "];\n";
output << "block_structure.block(" << block+1 << ").exogenous_det = [";
i = 0;
for (set<int>::iterator it_exogenous_det = exogenous_det.begin(); it_exogenous_det != exogenous_det.end(); it_exogenous_det++)
if (*it_exogenous_det >= 0)
{
output << " " << *it_exogenous_det+1;
i++;
}
output << "];\n";
output << "block_structure.block(" << block+1 << ").exo_det_nbr = " << i << ";\n";
output << "block_structure.block(" << block+1 << ").other_endogenous = [";
i = 0;
for (set<int>::iterator it_other_endogenous = other_endogenous.begin(); it_other_endogenous != other_endogenous.end(); it_other_endogenous++)
if (*it_other_endogenous >= 0)
{
output << " " << *it_other_endogenous+1;
i++;
}
output << "];\n";
output << "block_structure.block(" << block+1 << ").other_endogenous_block = [";
i = 0;
for (set<int>::iterator it_other_endogenous = other_endogenous.begin(); it_other_endogenous != other_endogenous.end(); it_other_endogenous++)
if (*it_other_endogenous >= 0)
{
bool OK = true;
unsigned int j;
for (j = 0; j < block && OK; j++)
for (unsigned int k = 0; k < getBlockSize(j) && OK; k++)
{
//printf("*it_other_endogenous=%d, getBlockVariableID(%d, %d)=%d\n",*it_other_endogenous, j, k, getBlockVariableID(j, k));
OK = *it_other_endogenous != getBlockVariableID(j, k);
}
if (!OK)
output << " " << j;
i++;
}
output << "];\n";
//vector<int> inter_state_var;
output << "block_structure.block(" << block+1 << ").tm1 = zeros(" << i << ", " << state_var.size() << ");\n";
int count_other_endogenous = 1;
for (set<int>::const_iterator it_other_endogenous = other_endogenous.begin(); it_other_endogenous != other_endogenous.end(); it_other_endogenous++)
{
for (vector<int>::const_iterator it=state_var.begin(); it != state_var.end(); it++)
{
//cout << "block = " << block+1 << " state_var = " << *it << " it_other_endogenous=" << *it_other_endogenous + 1 << "\n"; if (*it == *it_other_endogenous + 1)
{
output << "block_structure.block(" << block+1 << ").tm1("
<< count_other_endogenous << ", "
<< it - state_var.begin()+1 << ") = 1;\n";
/*output << "block_structure.block(" << block+1 << ").tm1("
<< it - state_var.begin()+1 << ", "
<< count_other_endogenous << ") = 1;\n";*/
//cout << "=>\n";
}
}
count_other_endogenous++;
}
output << "block_structure.block(" << block+1 << ").other_endo_nbr = " << i << ";\n";
tmp_s.str("");
count_lead_lag_incidence = 0;
dynamic_jacob_map_t reordered_dynamic_jacobian;
for (block_derivatives_equation_variable_laglead_nodeid_t::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 << "block_structure.block(" << block+1 << ").lead_lag_incidence = [];\n";
int last_var = -1;
vector<int> local_state_var;
vector<int> local_stat_var;
int n_static = 0, n_backward = 0, n_forward = 0, n_mixed = 0;
for (int lag = -1; lag < 1+1; lag++)
{
last_var = -1;
for (dynamic_jacob_map_t::const_iterator it = reordered_dynamic_jacobian.begin(); it != reordered_dynamic_jacobian.end(); it++)
{
if (lag == it->first.first && last_var != it->first.second.first)
{
if (lag == -1)
{
local_state_var.push_back(getBlockVariableID(block, it->first.second.first)+1);
n_backward++;
}
else if (lag == 0)
{
if (find( local_state_var.begin(), local_state_var.end(), getBlockVariableID(block, it->first.second.first)+1) == local_state_var.end())
{
local_stat_var.push_back(getBlockVariableID(block, it->first.second.first)+1);
n_static++;
}
}
else
{
if (find(local_state_var.begin(), local_state_var.end(), getBlockVariableID(block, it->first.second.first)+1) != local_state_var.end())
{
n_backward--;
n_mixed++;
}
else
{
if (find(local_stat_var.begin(), local_stat_var.end(),getBlockVariableID(block, it->first.second.first)+1) != local_stat_var.end())
n_static--;
n_forward++;
}
}
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 << "block_structure.block(" << block+1 << ").lead_lag_incidence = [ block_structure.block(" << block+1 << ").lead_lag_incidence; " << tmp_s.str() << "]; %lag = " << lag << "\n";
tmp_s.str("");
}
vector<int> inter_state_var;
for (vector<int>::const_iterator it_l=local_state_var.begin(); it_l != local_state_var.end(); it_l++)
for (vector<int>::const_iterator it=state_var.begin(); it != state_var.end(); it++)
if (*it == *it_l)
inter_state_var.push_back(it - state_var.begin()+1);
output << "block_structure.block(" << block+1 << ").sorted_col_dr_ghx = [";
for (vector<int>::const_iterator it=inter_state_var.begin(); it != inter_state_var.end(); it++)
output << *it << " ";
output << "];\n";
count_lead_lag_incidence = 0;
output << "block_structure.block(" << block+1 << ").lead_lag_incidence_other = [];\n";
for (int lag = -1; lag <= 1; lag++)
{
tmp_s.str("");
for (set<int>::iterator it_other_endogenous = other_endogenous.begin(); it_other_endogenous != other_endogenous.end(); it_other_endogenous++)
{
bool done = false;
for (int i = 0; i < block_size; i++)
{
unsigned int eq = getBlockEquationID(block, i);
derivative_t::const_iterator it = derivative_other_endo[block].find(make_pair(lag, make_pair(eq, *it_other_endogenous)));
if (it != derivative_other_endo[block].end())
{
count_lead_lag_incidence++;
tmp_s << " " << count_lead_lag_incidence;
done = true;
break;
}
}
if (!done)
tmp_s << " 0";
}
output << "block_structure.block(" << block+1 << ").lead_lag_incidence_other = [ block_structure.block(" << block+1 << ").lead_lag_incidence_other; " << tmp_s.str() << "]; %lag = " << lag << "\n";
}
output << "block_structure.block(" << block+1 << ").n_static = " << n_static << ";\n";
output << "block_structure.block(" << block+1 << ").n_forward = " << n_forward << ";\n";
output << "block_structure.block(" << block+1 << ").n_backward = " << n_backward << ";\n";
output << "block_structure.block(" << block+1 << ").n_mixed = " << n_mixed << ";\n";
}
output << "M_.block_structure.block = block_structure.block;\n";
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";
vector<int> variable_inv_reordered(nb_endo);
for (int i = 0; i< nb_endo; i++)
variable_inv_reordered[variable_reordered[i]] = i;
for (vector<int>::const_iterator it=state_var.begin(); it != state_var.end(); it++)
state_equ.push_back(equation_reordered[variable_inv_reordered[*it - 1]]+1);
map<pair< int, pair<int, int> >, int> lag_row_incidence;
for (first_derivatives_t::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);
lag_row_incidence[make_pair(lag, make_pair(eq, var))] = 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+1 << " " << it->first.second.second+1 << ";\n";
}
output << "];\n";
if (estimation_present)
{
ofstream KF_index_file;
string main_name = basename;
main_name += ".kfi";
KF_index_file.open(main_name.c_str(), ios::out | ios::binary | ios::ate);
int n_obs = symbol_table.observedVariablesNbr();
int n_state = state_var.size();
for (vector<int>::const_iterator it = state_var.begin(); it != state_var.end(); it++)
if (symbol_table.isObservedVariable(symbol_table.getID(eEndogenous, *it-1)))
n_obs--;
int n = n_obs + n_state;
output << "M_.nobs_non_statevar = " << n_obs << ";" << endl;
int nb_diag = 0;
//map<pair<int,int>, int>::const_iterator row_state_var_incidence_it = row_state_var_incidence.begin();
vector<int> i_nz_state_var(n);
for (int i = 0; i < n_obs; i++)
i_nz_state_var[i] = n;
unsigned int lp = n_obs;
for (unsigned int block = 0; block < nb_blocks; block++)
{
int block_size = getBlockSize(block);
int nze = 0;
for (int i = 0; i < block_size; i++)
{
int var = getBlockVariableID(block, i);
vector<int>::const_iterator it_state_var = find(state_var.begin(), state_var.end(), var+1);
if (it_state_var != state_var.end())
nze++;
}
if (block == 0)
{
set<pair<int, int> > row_state_var_incidence;
for (block_derivatives_equation_variable_laglead_nodeid_t::const_iterator it = blocks_derivatives[block].begin(); it != (blocks_derivatives[block]).end(); it++)
{
vector<int>::const_iterator it_state_var = find(state_var.begin(), state_var.end(), getBlockVariableID(block, it->first.second)+1);
if (it_state_var != state_var.end())
{
vector<int>::const_iterator it_state_equ = find(state_equ.begin(), state_equ.end(), getBlockEquationID(block, it->first.first)+1);
if (it_state_equ != state_equ.end())
row_state_var_incidence.insert(make_pair(it_state_equ - state_equ.begin(), it_state_var - state_var.begin()));
}
}
/*tmp_block_endo_derivative[make_pair(it->second.first, make_pair(it->first.second, it->first.first))] = it->second.second; if (block == 0)
{
vector<int>::const_iterator it_state_equ = find(state_equ.begin(), state_equ.end(), getBlockEquationID(block, i)+1);
if (it_state_equ != state_equ.end())
{
cout << "row_state_var_incidence[make_pair([" << *it_state_equ << "] " << it_state_equ - state_equ.begin() << ", [" << *it_state_var << "] " << it_state_var - state_var.begin() << ")] = 1;\n";
row_state_var_incidence.insert(make_pair(it_state_equ - state_equ.begin(), it_state_var - state_var.begin()));
}
}*/
set<pair<int,int> >::const_iterator row_state_var_incidence_it = row_state_var_incidence.begin();
bool diag = true;
int nb_diag_r = 0;
while (row_state_var_incidence_it != row_state_var_incidence.end() && diag)
{
diag = (row_state_var_incidence_it->first == row_state_var_incidence_it->second);
if (diag)
{
int equ = row_state_var_incidence_it->first;
row_state_var_incidence_it++;
if (equ != row_state_var_incidence_it->first)
nb_diag_r++;
}
}
set<pair<int,int> > col_state_var_incidence;
for(set<pair<int,int> >::const_iterator row_state_var_incidence_it = row_state_var_incidence.begin();row_state_var_incidence_it != row_state_var_incidence.end(); row_state_var_incidence_it++)
col_state_var_incidence.insert(make_pair(row_state_var_incidence_it->second, row_state_var_incidence_it->first));
set<pair<int,int> >::const_iterator col_state_var_incidence_it = col_state_var_incidence.begin();
diag = true;
int nb_diag_c = 0;
while (col_state_var_incidence_it != col_state_var_incidence.end() && diag)
{
diag = (col_state_var_incidence_it->first == col_state_var_incidence_it->second);
if (diag)
{
int var = col_state_var_incidence_it->first;
col_state_var_incidence_it++;
if (var != col_state_var_incidence_it->first)
nb_diag_c++;
}
}
nb_diag = min( nb_diag_r, nb_diag_c);
row_state_var_incidence.clear();
col_state_var_incidence.clear();
}
for (int i = 0; i < nze; i++)
i_nz_state_var[lp + i] = lp + nze;
lp += nze;
}
output << "M_.nz_state_var = [";
for (unsigned int i = 0; i < lp; i++)
output << i_nz_state_var[i] << " ";
output << "];" << endl;
output << "M_.n_diag = " << nb_diag << ";" << endl;
KF_index_file.write(reinterpret_cast<char *>(&nb_diag), sizeof(nb_diag));
typedef pair<int, pair<int, int > > index_KF;
vector<index_KF> v_index_KF;
/* DO 170, J = 1, N
TEMP1 = ALPHA*A( J, J )
DO 110, I = 1, M
C( I, J ) = TEMP1*B( I, J )
11 110 CONTINUE
DO 140, K = 1, J - 1
TEMP1 = ALPHA*A( K, J )
DO 130, I = 1, M
C( I, J ) = C( I, J ) + TEMP1*B( I, K ) 13 130 CONTINUE
14 140 CONTINUE
DO 160, K = J + 1, N
TEMP1 = ALPHA*A( J, K )
DO 150, I = 1, M
C( I, J ) = C( I, J ) + TEMP1*B( I, K )
15 150 CONTINUE
16 160 CONTINUE
17 170 CONTINUE
for(int j = 0; j < n; j++)
{
double temp1 = P_t_t1[j + j * n];
for (int i = 0; i < n; i++)
tmp[i + j * n] = tmp1 * T[i + j * n];
for (int k = 0; k < j - 1; k++)
{
temp1 = P_t_t1[k + j * n];
for (int i = 0; i < n; i++)
tmp[i + j * n] += temp1 * T[i + k * n];
}
for (int k = j + 1; k < n; k++)
{
temp1 = P_t_t1[j + k * n];
for (int i = 0; i < n; i++)
tmp[i + j * n] += temp1 * T[i + k * n];
}
}
for(int j = n_obs; j < n; j++)
{
int j1 = j - n_obs;
double temp1 = P_t_t1[j1 + j1 * n_state];
for (int i = 0; i < n; i++)
tmp[i + j1 * n] = tmp1 * T[i + j * n];
for (int k = n_obs; k < j - 1; k++)
{
int k1 = k - n_obs;
temp1 = P_t_t1[k1 + j1 * n_state];
for (int i = 0; i < n; i++)
tmp[i + j1 * n] += temp1 * T[i + k * n];
}
for (int k = max(j + 1, n_obs); k < n; k++)
{
int k1 = k - n_obs;
temp1 = P_t_t1[j1 + k1 * n_state];
for (int i = 0; i < n; i++)
tmp[i + j1 * n] += temp1 * T[i + k * n];
}
}
for(int j = n_obs; j < n; j++)
{
int j1 = j - n_obs;
double temp1 = P_t_t1[j1 + j1 * n_state];
for (int i = 0; i < n; i++)
tmp[i + j1 * n] = tmp1 * T[i + j * n];
for (int k = n_obs; k < j - 1; k++)
{
int k1 = k - n_obs;
temp1 = P_t_t1[k1 + j1 * n_state];
for (int i = 0; i < n; i++)
if ((i < n_obs) || (i >= nb_diag + n_obs) || (j1 >= nb_diag))
tmp[i + j1 * n] += temp1 * T[i + k * n];
}
for (int k = max(j + 1, n_obs); k < n; k++)
{
int k1 = k - n_obs;
temp1 = P_t_t1[j1 + k1 * n_state];
for (int i = 0; i < n; i++)
if ((i < n_obs) || (i >= nb_diag + n_obs) || (j1 >= nb_diag)) tmp[i + j1 * n] += temp1 * T[i + k * n];
}
}*/
for (int i = 0; i < n; i++)
//int i = 0;
for (int j = n_obs; j < n; j++)
{
int j1 = j - n_obs;
int j1_n_state = j1 * n_state - n_obs ;
if ((i < n_obs) || (i >= nb_diag + n_obs) || (j1 >= nb_diag))
for (int k = n_obs; k < i_nz_state_var[i]; k++)
{
v_index_KF.push_back(make_pair(i + j1 * n, make_pair(i + k * n, k + j1_n_state)));
}
}
int size_v_index_KF = v_index_KF.size();
KF_index_file.write(reinterpret_cast<char *>(&size_v_index_KF), sizeof(size_v_index_KF));
for (vector<index_KF>::iterator it = v_index_KF.begin(); it != v_index_KF.end(); it++)
KF_index_file.write(reinterpret_cast<char *>(&(*it)), sizeof(index_KF));
//typedef pair<pair<int, int>, pair<int, int > > index_KF_2;
vector<index_KF> v_index_KF_2;
int n_n_obs = n * n_obs;
for (int i = 0; i < n; i++)
//i = 0;
for (int j = i; j < n; j++)
{
if ((i < n_obs) || (i >= nb_diag + n_obs) || (j < n_obs) || (j >= nb_diag + n_obs))
for (int k = n_obs; k < i_nz_state_var[j]; k++)
{
int k_n = k * n;
v_index_KF_2.push_back(make_pair(i * n + j, make_pair(i + k_n - n_n_obs, j + k_n)));
}
}
int size_v_index_KF_2 = v_index_KF_2.size();
KF_index_file.write(reinterpret_cast<char *>(&size_v_index_KF_2), sizeof(size_v_index_KF_2));
for (vector<index_KF>::iterator it = v_index_KF_2.begin(); it != v_index_KF_2.end(); it++)
KF_index_file.write(reinterpret_cast<char *>(&(*it)), sizeof(index_KF));
KF_index_file.close();
}
output << "M_.state_var = [";
for (vector<int>::const_iterator it=state_var.begin(); it != state_var.end(); it++)
output << *it << " ";
output << "];" << endl;
}
// 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;
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;
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;
}
output << "M_.params = NaN(" << symbol_table.param_nbr() << ", 1);" << endl;
// Write number of non-zero derivatives
// Use -1 if the derivatives have not been computed
output << "M_.NNZDerivatives = zeros(3, 1);" << endl
<< "M_.NNZDerivatives(1) = " << NNZDerivatives[0] << ";" << endl;
if (order > 1)
{
output << "M_.NNZDerivatives(2) = " << NNZDerivatives[1] << ";" << endl;
if (order > 2)
output << "M_.NNZDerivatives(3) = " << NNZDerivatives[2] << ";" << endl;
else
output << "M_.NNZDerivatives(3) = -1;" << endl;
}
else
output << "M_.NNZDerivatives(2) = -1;" << endl
<< "M_.NNZDerivatives(3) = -1;" << endl;
}
map<pair<int, pair<int, int > >, expr_t>
DynamicModel::collect_first_order_derivatives_endogenous()
{
map<pair<int, pair<int, int > >, expr_t> endo_derivatives;
for (first_derivatives_t::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::runTrendTest(const eval_context_t &eval_context)
{
computeDerivIDs();
testTrendDerivativesEqualToZero(eval_context);
}
void
DynamicModel::computingPass(bool jacobianExo, bool hessian, bool thirdDerivatives, bool paramsDerivatives,
const eval_context_t &eval_context, bool no_tmp_terms, bool block, bool use_dll, bool bytecode)
{
assert(jacobianExo || !(hessian || thirdDerivatives || paramsDerivatives));
initializeVariablesAndEquations();
// 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 << " - derivatives of Jacobian/Hessian w.r. to parameters" << endl;
computeParamsDerivatives();
if (!no_tmp_terms)
computeParamsDerivativesTemporaryTerms();
}
if (thirdDerivatives)
{
cout << " - order 3" << endl;
computeThirdDerivatives(vars);
}
if (block)
{
vector<unsigned int> n_static, n_forward, n_backward, n_mixed;
jacob_map_t 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);
map<pair<int, pair<int, int> >, expr_t> first_order_endo_derivatives = collect_first_order_derivatives_endogenous();
equation_type_and_normalized_equation = equationTypeDetermination(first_order_endo_derivatives, variable_reordered, equation_reordered, mfs);
cout << "Finding the optimal block decomposition of the model ...\n";
lag_lead_vector_t equation_lag_lead, variable_lag_lead;
computeBlockDecompositionAndFeedbackVariablesForEachBlock(static_jacobian, dynamic_jacobian, equation_reordered, variable_reordered, blocks, equation_type_and_normalized_equation, false, true, mfs, inv_equation_reordered, inv_variable_reordered, equation_lag_lead, variable_lag_lead, n_static, n_forward, n_backward, n_mixed);
block_type_firstequation_size_mfs = reduceBlocksAndTypeDetermination(dynamic_jacobian, blocks, equation_type_and_normalized_equation, variable_reordered, equation_reordered, n_static, n_forward, n_backward, n_mixed, block_col_type);
printBlockDecomposition(blocks);
computeChainRuleJacobian(blocks_derivatives);
blocks_linear = BlockLinear(blocks_derivatives, variable_reordered);
collect_block_first_order_derivatives();
collectBlockVariables();
global_temporary_terms = true;
if (!no_tmp_terms)
computeTemporaryTermsOrdered();
int k = 0;
equation_block = vector<int>(equation_number());
variable_block_lead_lag = vector< pair< int, pair< int, int> > >(equation_number());
for (unsigned int i = 0; i < getNbBlocks(); i++)
{
for (unsigned int j = 0; j < getBlockSize(i); j++)
{ equation_block[equation_reordered[k]] = i;
int l = variable_reordered[k];
variable_block_lead_lag[l] = make_pair(i, make_pair(variable_lag_lead[l].first, variable_lag_lead[l].second));
k++;
}
}
}
else
if (!no_tmp_terms)
{
computeTemporaryTerms(!use_dll);
if (bytecode)
computeTemporaryTermsMapping();
}
}
map<pair<pair<int, pair<int, int> >, pair<int, int> >, int>
DynamicModel::get_Derivatives(int block)
{
int max_lag, max_lead;
map<pair<pair<int, pair<int, int> >, pair<int, int> >, int> Derivatives;
Derivatives.clear();
BlockSimulationType simulation_type = getBlockSimulationType(block);
if (simulation_type == EVALUATE_BACKWARD || simulation_type == EVALUATE_FORWARD)
{
max_lag = 1;
max_lead = 1;
setBlockLeadLag(block, max_lag, max_lead);
}
else
{
max_lag = getBlockMaxLag(block);
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 && 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(blocks_derivatives_t &blocks_endo_derivatives)
{
map<int, expr_t> recursive_variables;
unsigned int nb_blocks = getNbBlocks();
blocks_endo_derivatives = blocks_derivatives_t(nb_blocks);
for (unsigned int block = 0; block < nb_blocks; block++)
{
block_derivatives_equation_variable_laglead_nodeid_t tmp_derivatives;
recursive_variables.clear();
int block_size = getBlockSize(block);
int block_nb_mfs = getBlockMfs(block);
int block_nb_recursives = block_size - block_nb_mfs;
blocks_endo_derivatives.push_back(block_derivatives_equation_variable_laglead_nodeid_t(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)] = getBlockEquationRenormalizedExpr(block, i);
else
recursive_variables[getDerivID(symbol_table.getID(eEndogenous, getBlockVariableID(block, i)), 0)] = getBlockEquationExpr(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))])));
}
blocks_endo_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<lag_var_t>(nb_blocks);
exo_block = vector<lag_var_t>(nb_blocks);
exo_det_block = vector<lag_var_t>(nb_blocks);
derivative_endo = vector<derivative_t>(nb_blocks);
derivative_other_endo = vector<derivative_t>(nb_blocks);
derivative_exo = vector<derivative_t>(nb_blocks);
derivative_exo_det = vector<derivative_t>(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_t::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];
derivative_t tmp_derivative;
lag_var_t 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];
{
map< int, map<int, int> >::const_iterator it = block_other_endo_index.find(block_eq);
if (it == block_other_endo_index.end())
block_other_endo_index[block_eq][var] = 0;
else
{
map<int, int>::const_iterator it1 = it->second.find(var);
if (it1 == it->second.end())
{
int size = block_other_endo_index[block_eq].size();
block_other_endo_index[block_eq][var] = size;
}
}
}
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];
{
map< int, map<int, int> >::const_iterator it = block_exo_index.find(block_eq);
if (it == block_exo_index.end())
block_exo_index[block_eq][var] = 0;
else
{
map<int, int>::const_iterator it1 = it->second.find(var);
if (it1 == it->second.end())
{
int size = block_exo_index[block_eq].size();
block_exo_index[block_eq][var] = size;
}
}
}
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];
{
map< int, map<int, int> >::const_iterator it = block_det_exo_index.find(block_eq);
if (it == block_det_exo_index.end())
block_det_exo_index[block_eq][var] = 0;
else
{
map<int, int>::const_iterator it1 = it->second.find(var);
if (it1 == it->second.end())
{
int size = block_det_exo_index[block_eq].size();
block_det_exo_index[block_eq][var] = size;
}
}
}
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::collectBlockVariables()
{
for (unsigned int block = 0; block < getNbBlocks(); block++)
{
int prev_var = -1;
int prev_lag = -999999999;
int count_col_exo = 0;
var_t tmp_var_exo;
for (lag_var_t::const_iterator it = exo_block[block].begin(); it != exo_block[block].end(); it++)
{
int lag = it->first;
for (var_t::const_iterator it2 = it->second.begin(); it2 != it->second.end(); it2++)
{
int var = *it2;
tmp_var_exo.insert(var);
if (prev_var != var || prev_lag != lag)
{
prev_var = var;
prev_lag = lag;
count_col_exo++;
}
}
}
block_var_exo.push_back(make_pair(tmp_var_exo, count_col_exo));
}
}
void
DynamicModel::writeDynamicFile(const string &basename, bool block, bool bytecode, bool use_dll, int order) const
{
int r;
string t_basename = basename + "_dynamic";
if (block && bytecode)
writeModelEquationsCode_Block(t_basename, basename, map_idx);
else if (!block && bytecode)
writeModelEquationsCode(t_basename, 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(t_basename, basename);
}
else if (use_dll)
writeDynamicCFile(t_basename, order);
else
writeDynamicMFile(t_basename);
}
void
DynamicModel::cloneDynamic(DynamicModel &dynamic_model) const
{
/* Ensure that we are using the same symbol table, because at many places we manipulate
symbol IDs rather than strings */
assert(&symbol_table == &dynamic_model.symbol_table);
// Convert model local variables (need to be done first)
for (map<int, expr_t>::const_iterator it = local_variables_table.begin();
it != local_variables_table.end(); it++)
dynamic_model.AddLocalVariable(it->first, it->second->cloneDynamic(dynamic_model));
// Convert equations for (size_t i = 0; i < equations.size(); i++)
dynamic_model.addEquation(equations[i]->cloneDynamic(dynamic_model), equations_lineno[i]);
// Convert auxiliary equations
for (deque<BinaryOpNode *>::const_iterator it = aux_equations.begin();
it != aux_equations.end(); it++)
dynamic_model.addAuxEquation((*it)->cloneDynamic(dynamic_model));
// Convert static_only equations
for (size_t i = 0; i < static_only_equations.size(); i++)
dynamic_model.addStaticOnlyEquation(static_only_equations[i]->cloneDynamic(dynamic_model),
static_only_equations_lineno[i]);
}
void
DynamicModel::replaceMyEquations(DynamicModel &dynamic_model) const
{
dynamic_model.equations.clear();
for (size_t i = 0; i < equations.size(); i++)
dynamic_model.addEquation(equations[i]->cloneDynamic(dynamic_model),
equations_lineno[i]);
}
void
DynamicModel::computeRamseyPolicyFOCs(const StaticModel &static_model)
{
// Add aux LM to constraints in equations
// equation[i]->lhs = rhs becomes equation[i]->MULT_(i+1)*(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), static_model.equations_lineno[0]);
// 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]->collectDynamicVariables(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;
}
// Get Discount Factor
assert(symbol_table.exists("optimal_policy_discount_factor"));
int symb_id = symbol_table.getID("optimal_policy_discount_factor");
assert(symbol_table.getType(symb_id) == eParameter);
expr_t discount_factor_node = AddVariable(symb_id, 0);
// Create (modified) Lagrangian (so that we can take the derivative once at time t)
expr_t lagrangian = Zero;
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), -1);
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], -1);
}
void
DynamicModel::toStatic(StaticModel &static_model) const
{
/* Ensure that we are using the same symbol table, because at many places we manipulate
symbol IDs rather than strings */
assert(&symbol_table == &static_model.symbol_table);
// Convert model local variables (need to be done first)
for (map<int, expr_t>::const_iterator it = local_variables_table.begin();
it != local_variables_table.end(); it++)
static_model.AddLocalVariable(it->first, it->second->toStatic(static_model));
// Convert equations
int static_only_index = 0;
for (int i = 0; i < (int) equations.size(); i++)
{
// Detect if equation is marked [dynamic]
bool is_dynamic_only = false;
for (vector<pair<int, pair<string, string> > >::const_iterator it = equation_tags.begin();
it != equation_tags.end(); ++it)
if (it->first == i && it->second.first == "dynamic")
{
is_dynamic_only = true;
break;
}
// If yes, replace it by an equation marked [static]
if (is_dynamic_only)
{
static_model.addEquation(static_only_equations[static_only_index]->toStatic(static_model), static_only_equations_lineno[static_only_index]);
static_only_index++;
}
else
static_model.addEquation(equations[i]->toStatic(static_model), equations_lineno[i]);
}
// Convert auxiliary equations
for (deque<BinaryOpNode *>::const_iterator it = aux_equations.begin(); it != aux_equations.end(); it++)
static_model.addAuxEquation((*it)->toStatic(static_model));
}
set<int>
DynamicModel::findUnusedEndogenous()
{
set<int> usedEndo, unusedEndo;
for (int i = 0; i < (int) equations.size(); i++)
equations[i]->collectVariables(eEndogenous, usedEndo);
set<int> allEndo = symbol_table.getEndogenous();
set_difference(allEndo.begin(), allEndo.end(),
usedEndo.begin(), usedEndo.end(),
inserter(unusedEndo, unusedEndo.begin()));
return unusedEndo;
}
set<int>
DynamicModel::findUnusedExogenous()
{
set<int> usedExo, unusedExo;
for (int i = 0; i < (int) equations.size(); i++)
equations[i]->collectVariables(eExogenous, usedExo);
set<int> allExo = symbol_table.getExogenous();
set_difference(allExo.begin(), allExo.end(),
usedExo.begin(), usedExo.end(),
inserter(unusedExo, unusedExo.begin()));
return unusedExo;
}
void
DynamicModel::computeDerivIDs()
{
set<pair<int, int> > dynvars;
for (int i = 0; i < (int) equations.size(); i++)
equations[i]->collectDynamicVariables(eEndogenous, dynvars);
dynJacobianColsNbr = dynvars.size();
for (int i = 0; i < (int) equations.size(); i++)
{
equations[i]->collectDynamicVariables(eExogenous, dynvars);
equations[i]->collectDynamicVariables(eExogenousDet, dynvars);
equations[i]->collectDynamicVariables(eParameter, dynvars);
equations[i]->collectDynamicVariables(eTrend, dynvars);
equations[i]->collectDynamicVariables(eLogTrend, 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.
We don't want these to be affected by lead/lags on parameters: they
are accepted for facilitating variable flipping, but are simply
ignored. */
if (max_lead < lag && type != eParameter)
max_lead = lag;
else if (-max_lag > lag && type != eParameter)
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::addAllParamDerivId(set<int> &deriv_id_set)
{
for (size_t i = 0; i < inv_deriv_id_table.size(); i++)
if (symbol_table.getType(inv_deriv_id_table[i].first) == eParameter)
deriv_id_set.insert(i);
}
voidDynamicModel::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:
case eTrend:
case eLogTrend:
// We don't assign a dynamic jacobian column to parameters or trend variables
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::testTrendDerivativesEqualToZero(const eval_context_t &eval_context)
{
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) == eTrend
|| symbol_table.getType(it->first.first) == eLogTrend) for (int eq = 0; eq < (int) equations.size(); eq++)
{
expr_t homogeneq = AddMinus(equations[eq]->get_arg1(),
equations[eq]->get_arg2());
// Do not run the test if the term inside the log is zero
if (fabs(homogeneq->eval(eval_context)) > ZERO_BAND)
{
expr_t testeq = AddLog(homogeneq); // F = log(lhs-rhs)
testeq = testeq->getDerivative(it->second); // d F / d Trend
for (deriv_id_table_t::const_iterator endogit = deriv_id_table.begin();
endogit != deriv_id_table.end(); endogit++)
if (symbol_table.getType(endogit->first.first) == eEndogenous)
{
double nearZero = testeq->getDerivative(endogit->second)->eval(eval_context); // eval d F / d Trend d Endog
if (fabs(nearZero) > ZERO_BAND)
{
cerr << "ERROR: trends not compatible with balanced growth path; the second-order cross partial of equation " << eq + 1 << " (line "
<< equations_lineno[eq] << ") w.r.t. trend variable "
<< symbol_table.getName(it->first.first) << " and endogenous variable "
<< symbol_table.getName(endogit->first.first) << " is not null. " << endl;
exit(EXIT_FAILURE);
}
}
}
}
}
void
DynamicModel::writeParamsDerivativesFile(const string &basename) const
{
if (!residuals_params_derivatives.size()
&& !residuals_params_second_derivatives.size()
&& !jacobian_params_derivatives.size()
&& !jacobian_params_second_derivatives.size()
&& !hessian_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, rpp, gpp, hp] = " << basename << "_params_derivs(y, x, params, steady_state, it_, ss_param_deriv, ss_param_2nd_deriv)" << endl
<< "%" << endl
<< "% Warning : this file is generated automatically by Dynare" << endl
<< "% from model file (.mod)" << endl << endl;
deriv_node_temp_terms_t tef_terms;
writeModelLocalVariables(paramsDerivsFile, oMatlabDynamicModel, tef_terms);
writeTemporaryTerms(params_derivs_temporary_terms, paramsDerivsFile, oMatlabDynamicModel, tef_terms);
// Write parameter derivative
paramsDerivsFile << "rp = zeros(" << equation_number() << ", "
<< symbol_table.param_nbr() << ");" << endl;
for (first_derivatives_t::const_iterator it = residuals_params_derivatives.begin();
it != residuals_params_derivatives.end(); it++)
{
int eq = it->first.first;
int param = it->first.second;
expr_t 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, tef_terms);
paramsDerivsFile << ";" << endl;
}
// Write jacobian derivatives
paramsDerivsFile << "gp = zeros(" << equation_number() << ", " << dynJacobianColsNbr << ", "
<< symbol_table.param_nbr() << ");" << endl;
for (second_derivatives_t::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;
expr_t 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, tef_terms);
paramsDerivsFile << ";" << endl;
}
// If nargout >= 3...
paramsDerivsFile << "if nargout >= 3" << endl;
// Write parameter second derivatives (only if nargout >= 3)
paramsDerivsFile << "rpp = zeros(" << residuals_params_second_derivatives.size()
<< ",4);" << endl;
int i = 1;
for (second_derivatives_t::const_iterator it = residuals_params_second_derivatives.begin();
it != residuals_params_second_derivatives.end(); ++it, i++)
{
int eq = it->first.first;
int param1 = it->first.second.first;
int param2 = it->first.second.second;
expr_t d2 = it->second;
int param1_col = symbol_table.getTypeSpecificID(getSymbIDByDerivID(param1)) + 1;
int param2_col = symbol_table.getTypeSpecificID(getSymbIDByDerivID(param2)) + 1;
paramsDerivsFile << "rpp(" << i << ",1)=" << eq+1 << ";" << endl
<< "rpp(" << i << ",2)=" << param1_col << ";" << endl
<< "rpp(" << i << ",3)=" << param2_col << ";" << endl
<< "rpp(" << i << ",4)=";
d2->writeOutput(paramsDerivsFile, oMatlabDynamicModel, params_derivs_temporary_terms, tef_terms);
paramsDerivsFile << ";" << endl;
}
// Write jacobian second derivatives (only if nargout >= 3)
paramsDerivsFile << "gpp = zeros(" << jacobian_params_second_derivatives.size()
<< ",5);" << endl;
i = 1;
for (third_derivatives_t::const_iterator it = jacobian_params_second_derivatives.begin();
it != jacobian_params_second_derivatives.end(); ++it, i++)
{
int eq = it->first.first;
int var = it->first.second.first;
int param1 = it->first.second.second.first;
int param2 = it->first.second.second.second;
expr_t d2 = it->second;
int var_col = getDynJacobianCol(var) + 1;
int param1_col = symbol_table.getTypeSpecificID(getSymbIDByDerivID(param1)) + 1;
int param2_col = symbol_table.getTypeSpecificID(getSymbIDByDerivID(param2)) + 1;
paramsDerivsFile << "gpp(" << i << ",1)=" << eq+1 << ";" << endl
<< "gpp(" << i << ",2)=" << var_col << ";" << endl
<< "gpp(" << i << ",3)=" << param1_col << ";" << endl
<< "gpp(" << i << ",4)=" << param2_col << ";" << endl
<< "gpp(" << i << ",5)=";
d2->writeOutput(paramsDerivsFile, oMatlabDynamicModel, params_derivs_temporary_terms, tef_terms);
paramsDerivsFile << ";" << endl;
}
// If nargout >= 5...
paramsDerivsFile << "end" << endl
<< "if nargout >= 5" << endl;
// Write hessian derivatives (only if nargout >= 5)
paramsDerivsFile << "hp = zeros(" << hessian_params_derivatives.size() << ",5);" << endl;
i = 1;
for (third_derivatives_t::const_iterator it = hessian_params_derivatives.begin();
it != hessian_params_derivatives.end(); ++it, i++)
{
int eq = it->first.first;
int var1 = it->first.second.first;
int var2 = it->first.second.second.first;
int param = it->first.second.second.second;
expr_t d2 = it->second;
int var1_col = getDynJacobianCol(var1) + 1;
int var2_col = getDynJacobianCol(var2) + 1;
int param_col = symbol_table.getTypeSpecificID(getSymbIDByDerivID(param)) + 1;
paramsDerivsFile << "hp(" << i << ",1)=" << eq+1 << ";" << endl
<< "hp(" << i << ",2)=" << var1_col << ";" << endl
<< "hp(" << i << ",3)=" << var2_col << ";" << endl
<< "hp(" << i << ",4)=" << param_col << ";" << endl
<< "hp(" << i << ",5)=";
d2->writeOutput(paramsDerivsFile, oMatlabDynamicModel, params_derivs_temporary_terms, tef_terms);
paramsDerivsFile << ";" << endl;
}
paramsDerivsFile << "end" << endl
<< "end" << endl;
paramsDerivsFile.close();
}
void
DynamicModel::writeChainRuleDerivative(ostream &output, int eqr, int varr, int lag,
ExprNodeOutputType output_type,
const temporary_terms_t &temporary_terms) const
{
map<pair<int, pair<int, int> >, expr_t>::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::substituteEndoLeadGreaterThanTwo(bool deterministic_model)
{
substituteLeadLagInternal(avEndoLead, deterministic_model, vector<string>());
}
void
DynamicModel::substituteEndoLagGreaterThanTwo(bool deterministic_model){
substituteLeadLagInternal(avEndoLag, deterministic_model, vector<string>());
}
void
DynamicModel::substituteExoLead(bool deterministic_model)
{
substituteLeadLagInternal(avExoLead, deterministic_model, vector<string>());
}
void
DynamicModel::substituteExoLag(bool deterministic_model)
{
substituteLeadLagInternal(avExoLag, deterministic_model, vector<string>());
}
void
DynamicModel::substituteLeadLagInternal(aux_var_t type, bool deterministic_model, const vector<string> &subset)
{
ExprNode::subst_table_t subst_table;
vector<BinaryOpNode *> neweqs;
// Substitute in used model local variables
set<int> used_local_vars;
for (size_t i = 0; i < equations.size(); i++)
equations[i]->collectVariables(eModelLocalVariable, used_local_vars);
for (set<int>::const_iterator it = used_local_vars.begin();
it != used_local_vars.end(); ++it)
{
const expr_t value = local_variables_table.find(*it)->second;
expr_t subst;
switch (type)
{
case avEndoLead:
subst = value->substituteEndoLeadGreaterThanTwo(subst_table, neweqs, deterministic_model);
break;
case avEndoLag:
subst = value->substituteEndoLagGreaterThanTwo(subst_table, neweqs);
break;
case avExoLead:
subst = value->substituteExoLead(subst_table, neweqs, deterministic_model);
break;
case avExoLag:
subst = value->substituteExoLag(subst_table, neweqs);
break;
case avDiffForward:
subst = value->differentiateForwardVars(subset, subst_table, neweqs);
break;
default:
cerr << "DynamicModel::substituteLeadLagInternal: impossible case" << endl;
exit(EXIT_FAILURE);
}
local_variables_table[*it] = subst;
}
// Substitute in equations
for (int i = 0; i < (int) equations.size(); i++)
{
expr_t subst;
switch (type)
{
case avEndoLead:
subst = equations[i]->substituteEndoLeadGreaterThanTwo(subst_table, neweqs, deterministic_model);
break;
case avEndoLag:
subst = equations[i]->substituteEndoLagGreaterThanTwo(subst_table, neweqs);
break;
case avExoLead:
subst = equations[i]->substituteExoLead(subst_table, neweqs, deterministic_model); break;
case avExoLag:
subst = equations[i]->substituteExoLag(subst_table, neweqs);
break;
case avDiffForward:
subst = equations[i]->differentiateForwardVars(subset, 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], -1);
// Order of auxiliary variable definition equations:
// - expectation (entered before this function is called)
// - lead variables from lower lead to higher lead
// - lag variables from lower lag to higher lag
copy(neweqs.begin(), neweqs.end(), back_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 avDiffForward:
cout << "forward vars";
break;
case avMultiplier:
cerr << "avMultiplier encountered: impossible case" << endl;
exit(EXIT_FAILURE);
}
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, expr_t>::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], -1);
// 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::detrendEquations()
{
// We go backwards in the list of trend_vars, to deal correctly with I(2) processes
for (nonstationary_symbols_map_t::const_reverse_iterator it = nonstationary_symbols_map.rbegin();
it != nonstationary_symbols_map.rend(); ++it)
for (int i = 0; i < (int) equations.size(); i++)
{
BinaryOpNode *substeq = dynamic_cast<BinaryOpNode *>(equations[i]->detrend(it->first, it->second.first, it->second.second));
assert(substeq != NULL);
equations[i] = dynamic_cast<BinaryOpNode *>(substeq);
}
for (int i = 0; i < (int) equations.size(); i++)
{
BinaryOpNode *substeq = dynamic_cast<BinaryOpNode *>(equations[i]->removeTrendLeadLag(trend_symbols_map));
assert(substeq != NULL);
equations[i] = dynamic_cast<BinaryOpNode *>(substeq);
}
}
void
DynamicModel::removeTrendVariableFromEquations()
{
for (int i = 0; i < (int) equations.size(); i++)
{
BinaryOpNode *substeq = dynamic_cast<BinaryOpNode *>(equations[i]->replaceTrendVar());
assert(substeq != NULL);
equations[i] = dynamic_cast<BinaryOpNode *>(substeq);
}
}
void
DynamicModel::differentiateForwardVars(const vector<string> &subset)
{
substituteLeadLagInternal(avDiffForward, true, subset);
}
void
DynamicModel::fillEvalContext(eval_context_t &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, expr_t>::const_iterator it = local_variables_table.begin();
it != local_variables_table.end(); it++)
{
try
{
const expr_t expression = it->second;
double val = expression->eval(eval_context);
eval_context[it->first] = val;
}
catch (ExprNode::EvalException &e)
{
// Do nothing
}
}
//Third, trend variables
vector <int> trendVars = symbol_table.getTrendVarIds();
for (vector <int>::const_iterator it = trendVars.begin();
it != trendVars.end(); it++)
eval_context[*it] = 2; //not <= 0 bc of log, not 1 bc of powers
}
bool
DynamicModel::isModelLocalVariableUsed() const
{
set<int> used_local_vars;
size_t i = 0;
while (i < equations.size() && used_local_vars.size() == 0)
{
equations[i]->collectVariables(eModelLocalVariable, used_local_vars);
i++;
}
return used_local_vars.size() > 0;
}
void
DynamicModel::addStaticOnlyEquation(expr_t eq, int lineno)
{
BinaryOpNode *beq = dynamic_cast<BinaryOpNode *>(eq);
assert(beq != NULL && beq->get_op_code() == oEqual);
static_only_equations.push_back(beq);
static_only_equations_lineno.push_back(lineno);
}
size_t
DynamicModel::staticOnlyEquationsNbr() const{
return static_only_equations.size();
}
size_t
DynamicModel::dynamicOnlyEquationsNbr() const
{
set<int> eqs;
for (vector<pair<int, pair<string, string> > >::const_iterator it = equation_tags.begin();
it != equation_tags.end(); ++it)
if (it->second.first == "dynamic")
eqs.insert(it->first);
return eqs.size();
}