From 23ff36a0dd4f5ee56f553d72849a79d320b2a456 Mon Sep 17 00:00:00 2001
From: =?UTF-8?q?S=C3=A9bastien=20Villemot?= <sebastien@dynare.org>
Date: Tue, 3 Dec 2019 14:19:32 +0100
Subject: [PATCH] Systematically compute recursive ordering of auxiliary
equations
Auxiliary equations appearing in set_auxiliary_variables.m and
dynamic_set_auxiliary_series.m need to appear in recursive ordering, since
those files are used for sequential evaluation.
Previously, the recursive ordering was guaranteed by a set of ad hoc rules and
workarounds, but that would not cover certain edge cases.
With this commit, the recursive ordering is systematically computed, using a
topological sort on the directed acyclic graph whose vertices are auxiliary
equations and whose edges are dependency relationships.
Closes: #22
---
src/DynamicModel.cc | 55 +++++++++++++--------------------------------
src/ModFile.cc | 2 ++
src/ModelTree.cc | 44 ++++++++++++++++++++++++++++++++++++
src/ModelTree.hh | 5 ++++-
4 files changed, 66 insertions(+), 40 deletions(-)
diff --git a/src/DynamicModel.cc b/src/DynamicModel.cc
index 2ff943d6..a168e39e 100644
--- a/src/DynamicModel.cc
+++ b/src/DynamicModel.cc
@@ -6430,13 +6430,10 @@ DynamicModel::substituteLeadLagInternal(AuxVarType type, bool deterministic_mode
// Add new equations
for (auto & neweq : neweqs)
- addEquation(neweq, -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));
+ {
+ addEquation(neweq, -1);
+ aux_equations.push_back(neweq);
+ }
if (neweqs.size() > 0)
{
@@ -6563,9 +6560,10 @@ DynamicModel::substituteUnaryOps(const vector<int> &eqnumbers)
// Add new equations
for (auto & neweq : neweqs)
- addEquation(neweq, -1);
-
- copy(neweqs.begin(), neweqs.end(), back_inserter(aux_equations));
+ {
+ addEquation(neweq, -1);
+ aux_equations.push_back(neweq);
+ }
if (subst_table.size() > 0)
cout << "Substitution of Unary Ops: added " << neweqs.size() << " auxiliary variables and equations." << endl;
@@ -6600,28 +6598,6 @@ DynamicModel::substituteDiff(vector<expr_t> &pac_growth)
if (gv != nullptr)
gv->findDiffNodes(diff_nodes);
- /* Ensure that all diff operators appear once with their argument at current
- period (i.e. index 0 in the equivalence class, see comment above
- lag_equivalence_table_t in ExprNode.hh for details on the concepts).
- If it is not the case, generate the corresponding expressions.
- This is necessary to avoid lags of more than one in the auxiliary
- equation, which would then be modified by subsequent transformations
- (removing lags > 1), which in turn would break the recursive ordering
- of auxiliary equations. See issue McModelTeam/McModelProject#95 */
- for (auto &it : diff_nodes)
- {
- auto iterator_max_index = it.second.rbegin();
- int max_index = iterator_max_index->first;
- expr_t max_index_expr = iterator_max_index->second;
-
- while (max_index < 0)
- {
- max_index++;
- max_index_expr = max_index_expr->decreaseLeadsLags(-1);
- it.second[max_index] = max_index_expr;
- }
- }
-
// Substitute in model local variables
vector<BinaryOpNode *> neweqs;
for (auto & it : local_variables_table)
@@ -6642,9 +6618,10 @@ DynamicModel::substituteDiff(vector<expr_t> &pac_growth)
// Add new equations
for (auto & neweq : neweqs)
- addEquation(neweq, -1);
-
- copy(neweqs.begin(), neweqs.end(), back_inserter(aux_equations));
+ {
+ addEquation(neweq, -1);
+ aux_equations.push_back(neweq);
+ }
if (diff_subst_table.size() > 0)
cout << "Substitution of Diff operator: added " << neweqs.size() << " auxiliary variables and equations." << endl;
@@ -6672,10 +6649,10 @@ DynamicModel::substituteExpectation(bool partial_information_model)
// Add new equations
for (auto & neweq : neweqs)
- addEquation(neweq, -1);
-
- // Add the new set of equations at the *beginning* of aux_equations
- copy(neweqs.rbegin(), neweqs.rend(), front_inserter(aux_equations));
+ {
+ addEquation(neweq, -1);
+ aux_equations.push_back(neweq);
+ }
if (subst_table.size() > 0)
{
diff --git a/src/ModFile.cc b/src/ModFile.cc
index e2581efc..11552662 100644
--- a/src/ModFile.cc
+++ b/src/ModFile.cc
@@ -652,6 +652,8 @@ ModFile::transformPass(bool nostrict, bool stochastic, bool compute_xrefs, const
exit(EXIT_FAILURE);
}
+ dynamic_model.reorderAuxiliaryEquations();
+
// Freeze the symbol table
symbol_table.freeze();
diff --git a/src/ModelTree.cc b/src/ModelTree.cc
index 5109166c..611310a0 100644
--- a/src/ModelTree.cc
+++ b/src/ModelTree.cc
@@ -2425,3 +2425,47 @@ ModelTree::compileDll(const string &basename, const string &static_or_dynamic, c
exit(EXIT_FAILURE);
}
}
+
+void
+ModelTree::reorderAuxiliaryEquations()
+{
+ using namespace boost;
+
+ // Create the mapping between auxiliary variables and auxiliary equations
+ int n = static_cast<int>(aux_equations.size());
+ map<int, int> auxEndoToEq;
+ for (int i = 0; i < n; i++)
+ {
+ auto varexpr = dynamic_cast<VariableNode *>(aux_equations[i]->arg1);
+ assert(varexpr && symbol_table.getType(varexpr->symb_id) == SymbolType::endogenous);
+ auxEndoToEq[varexpr->symb_id] = i;
+ }
+ assert(static_cast<int>(auxEndoToEq.size()) == n);
+
+ /* Construct the directed acyclic graph where auxiliary equations are
+ vertices and edges represent dependency relationships. */
+ using Graph = adjacency_list<vecS, vecS, directedS>;
+ Graph g(n);
+ for (int i = 0; i < n; i++)
+ {
+ set<int> endos;
+ aux_equations[i]->collectVariables(SymbolType::endogenous, endos);
+ for (int endo : endos)
+ {
+ auto it = auxEndoToEq.find(endo);
+ if (it != auxEndoToEq.end() && it->second != i)
+ add_edge(i, it->second, g);
+ }
+ }
+
+ // Topological sort of the graph
+ using Vertex = graph_traits<Graph>::vertex_descriptor;
+ vector<Vertex> ordered;
+ topological_sort(g, back_inserter(ordered));
+
+ // Reorder auxiliary equations accordingly
+ auto aux_equations_old = aux_equations;
+ auto index = get(vertex_index, g); // Maps vertex descriptors to their index
+ for (int i = 0; i < n; i++)
+ aux_equations[i] = aux_equations_old[index[ordered[i]]];
+}
diff --git a/src/ModelTree.hh b/src/ModelTree.hh
index 4aa48570..2b5c606d 100644
--- a/src/ModelTree.hh
+++ b/src/ModelTree.hh
@@ -95,7 +95,7 @@ protected:
For example, such a divergence appears when there is an expectation
operator in a ramsey model, see
tests/optimal_policy/nk_ramsey_expectation.mod */
- deque<BinaryOpNode *> aux_equations;
+ vector<BinaryOpNode *> aux_equations;
//! Stores derivatives
/*! Index 0 is not used, index 1 contains first derivatives, ...
@@ -363,6 +363,9 @@ public:
void set_cutoff_to_zero();
//! Simplify model equations: if a variable is equal to a constant, replace that variable elsewhere in the model
void simplifyEquations();
+ /*! Reorder auxiliary variables so that they appear in recursive order in
+ set_auxiliary_variables.m and dynamic_set_auxiliary_series.m */
+ void reorderAuxiliaryEquations();
//! Find equations where variable is equal to a constant
void findConstantEquations(map<VariableNode *, NumConstNode *> &subst_table) const;
//! Helper for writing the Jacobian elements in MATLAB and C
--
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