From 0b922739a627381737f82bb259390495282f6d19 Mon Sep 17 00:00:00 2001
From: Houtan Bastani <houtan@dynare.org>
Date: Thu, 12 May 2016 12:02:34 +0200
Subject: [PATCH] preprocessor: only compute first order derivatives w.r.t.
parameters with identification. closes #1187
---
ComputingTasks.cc | 2 +-
DynamicModel.cc | 6 ++--
DynamicModel.hh | 2 +-
ModFile.cc | 17 +++++++---
ModelTree.cc | 83 +++++++++++++++++++++++++----------------------
ModelTree.hh | 5 +--
StaticModel.cc | 6 ++--
StaticModel.hh | 2 +-
8 files changed, 68 insertions(+), 55 deletions(-)
diff --git a/ComputingTasks.cc b/ComputingTasks.cc
index a9427bbb..a47e8497 100644
--- a/ComputingTasks.cc
+++ b/ComputingTasks.cc
@@ -1253,7 +1253,7 @@ PlannerObjectiveStatement::getPlannerObjective() const
void
PlannerObjectiveStatement::computingPass()
{
- model_tree->computingPass(eval_context_t(), false, true, true, false, false, false);
+ model_tree->computingPass(eval_context_t(), false, true, true, none, false, false);
}
void
diff --git a/DynamicModel.cc b/DynamicModel.cc
index bf165209..56dcc070 100644
--- a/DynamicModel.cc
+++ b/DynamicModel.cc
@@ -3113,7 +3113,7 @@ DynamicModel::runTrendTest(const eval_context_t &eval_context)
}
void
-DynamicModel::computingPass(bool jacobianExo, bool hessian, bool thirdDerivatives, bool paramsDerivatives,
+DynamicModel::computingPass(bool jacobianExo, bool hessian, bool thirdDerivatives, FileOutputType paramsDerivatives,
const eval_context_t &eval_context, bool no_tmp_terms, bool block, bool use_dll,
bool bytecode, bool compute_xrefs)
{
@@ -3148,10 +3148,10 @@ DynamicModel::computingPass(bool jacobianExo, bool hessian, bool thirdDerivative
computeHessian(vars);
}
- if (paramsDerivatives)
+ if (paramsDerivatives != none)
{
cout << " - derivatives of Jacobian/Hessian w.r. to parameters" << endl;
- computeParamsDerivatives();
+ computeParamsDerivatives(paramsDerivatives);
if (!no_tmp_terms)
computeParamsDerivativesTemporaryTerms();
diff --git a/DynamicModel.hh b/DynamicModel.hh
index 13f18192..88f883cb 100644
--- a/DynamicModel.hh
+++ b/DynamicModel.hh
@@ -212,7 +212,7 @@ public:
\param eval_context evaluation context for normalization
\param no_tmp_terms if true, no temporary terms will be computed in the dynamic files
*/
- void computingPass(bool jacobianExo, bool hessian, bool thirdDerivatives, bool paramsDerivatives,
+ void computingPass(bool jacobianExo, bool hessian, bool thirdDerivatives, FileOutputType paramsDerivatives,
const eval_context_t &eval_context, bool no_tmp_terms, bool block, bool use_dll, bool bytecode, bool compute_xrefs);
//! Writes model initialization and lead/lag incidence matrix to output
void writeOutput(ostream &output, const string &basename, bool block, bool byte_code, bool use_dll, int order, bool estimation_present, bool compute_xrefs, bool julia) const;
diff --git a/ModFile.cc b/ModFile.cc
index 1776fd9b..972a5985 100644
--- a/ModFile.cc
+++ b/ModFile.cc
@@ -489,8 +489,11 @@ ModFile::computingPass(bool no_tmp_terms, FileOutputType output, bool compute_xr
const bool static_hessian = mod_file_struct.identification_present
|| mod_file_struct.estimation_analytic_derivation;
- const bool paramsDerivatives = mod_file_struct.identification_present
- || mod_file_struct.estimation_analytic_derivation;
+ FileOutputType paramsDerivatives = none;
+ if (mod_file_struct.identification_present)
+ paramsDerivatives = first;
+ if (mod_file_struct.estimation_analytic_derivation)
+ paramsDerivatives = third;
static_model.computingPass(global_eval_context, no_tmp_terms, static_hessian,
false, paramsDerivatives, block, byte_code);
}
@@ -502,7 +505,7 @@ ModFile::computingPass(bool no_tmp_terms, FileOutputType output, bool compute_xr
|| mod_file_struct.calib_smoother_present)
{
if (mod_file_struct.perfect_foresight_solver_present)
- dynamic_model.computingPass(true, false, false, false, global_eval_context, no_tmp_terms, block, use_dll, byte_code, compute_xrefs);
+ dynamic_model.computingPass(true, false, false, none, global_eval_context, no_tmp_terms, block, use_dll, byte_code, compute_xrefs);
else
{
if (mod_file_struct.stoch_simul_present
@@ -523,12 +526,16 @@ ModFile::computingPass(bool no_tmp_terms, FileOutputType output, bool compute_xr
bool thirdDerivatives = mod_file_struct.order_option == 3
|| mod_file_struct.estimation_analytic_derivation
|| output == third;
- bool paramsDerivatives = mod_file_struct.identification_present || mod_file_struct.estimation_analytic_derivation;
+ FileOutputType paramsDerivatives = none;
+ if (mod_file_struct.identification_present)
+ paramsDerivatives = first;
+ if (mod_file_struct.estimation_analytic_derivation)
+ paramsDerivatives = third;
dynamic_model.computingPass(true, hessian, thirdDerivatives, paramsDerivatives, global_eval_context, no_tmp_terms, block, use_dll, byte_code, compute_xrefs);
}
}
else // No computing task requested, compute derivatives up to 2nd order by default
- dynamic_model.computingPass(true, true, false, false, global_eval_context, no_tmp_terms, block, use_dll, byte_code, compute_xrefs);
+ dynamic_model.computingPass(true, true, false, none, global_eval_context, no_tmp_terms, block, use_dll, byte_code, compute_xrefs);
}
for (vector<Statement *>::iterator it = statements.begin();
diff --git a/ModelTree.cc b/ModelTree.cc
index 703654fd..518bd3fd 100644
--- a/ModelTree.cc
+++ b/ModelTree.cc
@@ -1657,8 +1657,10 @@ ModelTree::sparseHelper(int order, ostream &output, int row_nb, int col_nb, Expr
}
void
-ModelTree::computeParamsDerivatives()
+ModelTree::computeParamsDerivatives(FileOutputType paramsDerivatives)
{
+ if (!(paramsDerivatives == first || paramsDerivatives == second || paramsDerivatives == third))
+ return;
set<int> deriv_id_set;
addAllParamDerivId(deriv_id_set);
@@ -1675,18 +1677,19 @@ ModelTree::computeParamsDerivatives()
residuals_params_derivatives[make_pair(eq, param)] = d1;
}
- for (first_derivatives_t::const_iterator it2 = residuals_params_derivatives.begin();
- it2 != residuals_params_derivatives.end(); it2++)
- {
- int eq = it2->first.first;
- int param1 = it2->first.second;
- expr_t d1 = it2->second;
+ if (paramsDerivatives == second || paramsDerivatives == third)
+ for (first_derivatives_t::const_iterator it2 = residuals_params_derivatives.begin();
+ it2 != residuals_params_derivatives.end(); it2++)
+ {
+ int eq = it2->first.first;
+ int param1 = it2->first.second;
+ expr_t d1 = it2->second;
- expr_t d2 = d1->getDerivative(param);
- if (d2 == Zero)
- continue;
- residuals_params_second_derivatives[make_pair(eq, make_pair(param1, param))] = d2;
- }
+ expr_t d2 = d1->getDerivative(param);
+ if (d2 == Zero)
+ continue;
+ residuals_params_second_derivatives[make_pair(eq, make_pair(param1, param))] = d2;
+ }
for (first_derivatives_t::const_iterator it2 = first_derivatives.begin();
it2 != first_derivatives.end(); it2++)
@@ -1701,33 +1704,35 @@ ModelTree::computeParamsDerivatives()
jacobian_params_derivatives[make_pair(eq, make_pair(var, param))] = d2;
}
- for (second_derivatives_t::const_iterator it2 = jacobian_params_derivatives.begin();
- it2 != jacobian_params_derivatives.end(); it2++)
- {
- int eq = it2->first.first;
- int var = it2->first.second.first;
- int param1 = it2->first.second.second;
- expr_t d1 = it2->second;
-
- expr_t d2 = d1->getDerivative(param);
- if (d2 == Zero)
- continue;
- jacobian_params_second_derivatives[make_pair(eq, make_pair(var, make_pair(param1, param)))] = d2;
- }
-
- for (second_derivatives_t::const_iterator it2 = second_derivatives.begin();
- it2 != second_derivatives.end(); it2++)
- {
- int eq = it2->first.first;
- int var1 = it2->first.second.first;
- int var2 = it2->first.second.second;
- expr_t d1 = it2->second;
-
- expr_t d2 = d1->getDerivative(param);
- if (d2 == Zero)
- continue;
- hessian_params_derivatives[make_pair(eq, make_pair(var1, make_pair(var2, param)))] = d2;
- }
+ if (paramsDerivatives == second || paramsDerivatives == third)
+ for (second_derivatives_t::const_iterator it2 = jacobian_params_derivatives.begin();
+ it2 != jacobian_params_derivatives.end(); it2++)
+ {
+ int eq = it2->first.first;
+ int var = it2->first.second.first;
+ int param1 = it2->first.second.second;
+ expr_t d1 = it2->second;
+
+ expr_t d2 = d1->getDerivative(param);
+ if (d2 == Zero)
+ continue;
+ jacobian_params_second_derivatives[make_pair(eq, make_pair(var, make_pair(param1, param)))] = d2;
+ }
+
+ if (paramsDerivatives == third)
+ for (second_derivatives_t::const_iterator it2 = second_derivatives.begin();
+ it2 != second_derivatives.end(); it2++)
+ {
+ int eq = it2->first.first;
+ int var1 = it2->first.second.first;
+ int var2 = it2->first.second.second;
+ expr_t d1 = it2->second;
+
+ expr_t d2 = d1->getDerivative(param);
+ if (d2 == Zero)
+ continue;
+ hessian_params_derivatives[make_pair(eq, make_pair(var1, make_pair(var2, param)))] = d2;
+ }
}
}
diff --git a/ModelTree.hh b/ModelTree.hh
index 259c3962..41f30d3b 100644
--- a/ModelTree.hh
+++ b/ModelTree.hh
@@ -1,5 +1,5 @@
/*
- * Copyright (C) 2003-2015 Dynare Team
+ * Copyright (C) 2003-2016 Dynare Team
*
* This file is part of Dynare.
*
@@ -29,6 +29,7 @@ using namespace std;
#include <ostream>
#include "DataTree.hh"
+#include "ExtendedPreprocessorTypes.hh"
//! Vector describing equations: BlockSimulationType, if BlockSimulationType == EVALUATE_s then a expr_t on the new normalized equation
typedef vector<pair<EquationType, expr_t > > equation_type_and_normalized_equation_t;
@@ -176,7 +177,7 @@ protected:
/*! \param vars the derivation IDs w.r. to which derive the 2nd derivatives */
void computeThirdDerivatives(const set<int> &vars);
//! Computes derivatives of the Jacobian and Hessian w.r. to parameters
- void computeParamsDerivatives();
+ void computeParamsDerivatives(FileOutputType paramsDerivatives);
//! Write derivative of an equation w.r. to a variable
void writeDerivative(ostream &output, int eq, int symb_id, int lag, ExprNodeOutputType output_type, const temporary_terms_t &temporary_terms) const;
//! Computes temporary terms (for all equations and derivatives)
diff --git a/StaticModel.cc b/StaticModel.cc
index 8890cf1b..a3b42f56 100644
--- a/StaticModel.cc
+++ b/StaticModel.cc
@@ -1047,7 +1047,7 @@ StaticModel::collect_first_order_derivatives_endogenous()
}
void
-StaticModel::computingPass(const eval_context_t &eval_context, bool no_tmp_terms, bool hessian, bool thirdDerivatives, bool paramsDerivatives, bool block, bool bytecode)
+StaticModel::computingPass(const eval_context_t &eval_context, bool no_tmp_terms, bool hessian, bool thirdDerivatives, FileOutputType paramsDerivatives, bool block, bool bytecode)
{
initializeVariablesAndEquations();
@@ -1095,10 +1095,10 @@ StaticModel::computingPass(const eval_context_t &eval_context, bool no_tmp_terms
computeThirdDerivatives(vars);
}
- if (paramsDerivatives)
+ if (paramsDerivatives != none)
{
cout << " - derivatives of Jacobian/Hessian w.r. to parameters" << endl;
- computeParamsDerivatives();
+ computeParamsDerivatives(paramsDerivatives);
if (!no_tmp_terms)
computeParamsDerivativesTemporaryTerms();
diff --git a/StaticModel.hh b/StaticModel.hh
index 69b35d64..d8ec9790 100644
--- a/StaticModel.hh
+++ b/StaticModel.hh
@@ -164,7 +164,7 @@ public:
\param hessian whether 2nd derivatives w.r. to exo, exo_det and endo should be computed
\param paramsDerivatives whether 2nd derivatives w.r. to a pair (endo/exo/exo_det, parameter) should be computed
*/
- void computingPass(const eval_context_t &eval_context, bool no_tmp_terms, bool hessian, bool thirdDerivatices, bool paramsDerivatives, bool block, bool bytecode);
+ void computingPass(const eval_context_t &eval_context, bool no_tmp_terms, bool hessian, bool thirdDerivatices, FileOutputType paramsDerivatives, bool block, bool bytecode);
//! Adds informations for simulation in a binary file for a block decomposed model
void Write_Inf_To_Bin_File_Block(const string &static_basename, const string &bin_basename, const int &num,
--
GitLab