Commit 3f6ddd1c authored by Ferhat Mihoubi's avatar Ferhat Mihoubi Committed by Sébastien Villemot
Browse files

- Adds the derivatives with respect to deterministic exogenous variables

and corrects the computation of the number of column in the jacobian matrices in a block decomposed model without bytecode
- Identical corrections for models using bytecode without block decomposition
parent 5702815f
......@@ -228,7 +228,7 @@ DynamicModel::writeModelEquationsOrdered_M(const string &dynamic_basename) const
map<expr_t, int> reference_count;
temporary_terms_t local_temporary_terms;
ofstream output;
int nze, nze_exo, nze_other_endo;
int nze, nze_exo, nze_exo_det, nze_other_endo;
vector<int> feedback_variables;
ExprNodeOutputType local_output_type;
......@@ -247,6 +247,7 @@ DynamicModel::writeModelEquationsOrdered_M(const string &dynamic_basename) const
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);
......@@ -385,6 +386,7 @@ DynamicModel::writeModelEquationsOrdered_M(const string &dynamic_basename) const
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";
}
......@@ -393,6 +395,7 @@ DynamicModel::writeModelEquationsOrdered_M(const string &dynamic_basename) const
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)
......@@ -405,10 +408,6 @@ DynamicModel::writeModelEquationsOrdered_M(const string &dynamic_basename) const
{
output << " g1 = spalloc(" << block_mfs
<< ", " << block_mfs << ", " << nze << ");\n";
output << " g1_tmp_r = spalloc(" << block_recursive
<< ", " << block_size << ", " << nze << ");\n";
output << " g1_tmp_b = spalloc(" << block_mfs
<< ", " << block_size << ", " << nze << ");\n";
}
output << " end;\n";
}
......@@ -568,88 +567,115 @@ DynamicModel::writeModelEquationsOrdered_M(const string &dynamic_basename) const
}
// 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;
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;
switch (simulation_type)
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++)
{
case EVALUATE_BACKWARD:
case EVALUATE_FORWARD:
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;
if (var != prev_var || lag != prev_lag)
{
int lag = it->first.first;
unsigned int var = it->first.second.first;
unsigned int eq = it->first.second.second;
//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++;
}
prev_var = var;
prev_lag = lag;
count_col++;
}
expr_t id = it->second;
expr_t id = it->second;
output << " g1(" << eq+1 << ", " << count_col/*var+1+(lag+block_max_lag)*block_size*/ << ") = ";
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;
}
for (derivative_t::const_iterator it = derivative_exo[block].begin(); it != derivative_exo[block].end(); it++)
output << " g1(" << eq+1 << ", " << 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;
}
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)
{
int lag = it->first.first;
int eq = it->first.second.first;
int var = it->first.second.second;
int eqr = getBlockInitialEquationID(block, eq);
expr_t id = it->second;
output << " g1_x(" << eqr+1 << ", " << var+1+(lag+block_max_lag)*block_size << ") = ";
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 = var;
prev_lag = lag;
count_col++;
}
for (derivative_t::const_iterator it = derivative_exo_det[block].begin(); it != derivative_exo_det[block].end(); it++)
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)
{
int lag = it->first.first;
int eq = it->first.second.first;
int var = it->first.second.second;
int eqr = getBlockInitialEquationID(block, eq);
expr_t id = it->second;
output << " g1_x(" << eqr+1 << ", " << var+1+(lag+block_max_lag)*block_size << ") = ";
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 = var;
prev_lag = lag;
count_col++;
}
for (derivative_t::const_iterator it = derivative_other_endo[block].begin(); it != derivative_other_endo[block].end(); it++)
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)
{
int lag = it->first.first;
int eq = it->first.second.first;
int var = it->first.second.second;
int eqr = getBlockInitialEquationID(block, eq);
expr_t id = it->second;
output << " g1_o(" << eqr+1 << ", " << var+1+(lag+block_max_lag)*block_size << ") = ";
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;
prev_var = var;
prev_lag = lag;
count_col++;
}
output << " varargout{1}=g1_x;\n";
output << " varargout{2}=g1_o;\n";
expr_t id = it->second;
output << " g1_o(" << eqr+1 << ", " << var+1+(lag+block_max_lag)*block_size << ") = ";
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;
......@@ -657,75 +683,6 @@ DynamicModel::writeModelEquationsOrdered_M(const string &dynamic_basename) const
case SOLVE_FORWARD_SIMPLE:
case SOLVE_BACKWARD_COMPLETE:
case SOLVE_FORWARD_COMPLETE:
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;
if (var != prev_var || lag != prev_lag)
{
prev_var = var;
prev_lag = lag;
count_col++;
}
expr_t id = it->second;
output << " g1(" << eq+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;
}
for (derivative_t::const_iterator it = derivative_exo[block].begin(); it != derivative_exo[block].end(); it++)
{
int lag = it->first.first;
int eq = it->first.second.first;
int var = it->first.second.second;
int eqr = getBlockInitialEquationID(block, eq);
expr_t id = it->second;
output << " g1_x(" << eqr+1 << ", " << var+1+(lag+block_max_lag)*block_size << ") = ";
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;
}
for (derivative_t::const_iterator it = derivative_exo_det[block].begin(); it != derivative_exo_det[block].end(); it++)
{
int lag = it->first.first;
int eq = it->first.second.first;
int var = it->first.second.second;
int eqr = getBlockInitialEquationID(block, eq);
expr_t id = it->second;
output << " g1_x(" << eqr+1 << ", " << var+1+(lag+block_max_lag)*block_size << ") = ";
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;
}
for (derivative_t::const_iterator it = derivative_other_endo[block].begin(); it != derivative_other_endo[block].end(); it++)
{
int lag = it->first.first;
unsigned int eq = it->first.second.first;
unsigned int var = it->first.second.second;
expr_t id = it->second;
output << " g1_o(" << eq+1 << ", " << var+1+(lag+block_max_lag)*block_size << ") = ";
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_o;\n";
output << " else" << endl;
for (block_derivatives_equation_variable_laglead_nodeid_t::const_iterator it = blocks_derivatives[block].begin(); it != (blocks_derivatives[block]).end(); it++)
{
......@@ -750,7 +707,7 @@ DynamicModel::writeModelEquationsOrdered_M(const string &dynamic_basename) const
break;
case SOLVE_TWO_BOUNDARIES_SIMPLE:
case SOLVE_TWO_BOUNDARIES_COMPLETE:
output << " if ~jacobian_eval" << endl;
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;
......@@ -828,80 +785,8 @@ DynamicModel::writeModelEquationsOrdered_M(const string &dynamic_basename) const
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 << " else" << 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 = getBlockInitialEquationID(block, eq);
//int varr = getBlockInitialVariableID(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 << ", " << /*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;
}
for (derivative_t::const_iterator it = derivative_exo[block].begin(); it != derivative_exo[block].end(); it++)
{
int lag = it->first.first;
int eq = it->first.second.first;
int var = it->first.second.second;
int eqr = getBlockInitialEquationID(block, eq);
expr_t id = it->second;
output << " g1_x(" << eqr+1 << ", " << var+1+(lag+block_max_lag)*block_size << ") = ";
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;
}
for (derivative_t::const_iterator it = derivative_exo_det[block].begin(); it != derivative_exo_det[block].end(); it++)
{
int lag = it->first.first;
int eq = it->first.second.first;
int var = it->first.second.second;
int eqr = getBlockInitialEquationID(block, eq);
expr_t id = it->second;
output << " g1_x(" << eqr+1 << ", " << var+1+(lag+block_max_lag)*block_size << ") = ";
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;
}
for (derivative_t::const_iterator it = derivative_other_endo[block].begin(); it != derivative_other_endo[block].end(); it++)
{
int lag = it->first.first;
unsigned int eq = it->first.second.first;
unsigned int var = it->first.second.second;
expr_t id = it->second;
output << " g1_o(" << eq+1 << ", " << var+1+(lag+block_max_lag)*block_size << ") = ";
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_o;\n";
output << " end;\n";
output << " end;\n";
output << " end;" << endl;
output << " end;" << endl;
break;
default:
break;
......@@ -913,6 +798,7 @@ DynamicModel::writeModelEquationsOrdered_M(const string &dynamic_basename) const
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;
......@@ -981,6 +867,23 @@ DynamicModel::writeModelEquationsCode(string &file_name, const string &bin_basen
count_col_endo++;
}
}
prev_var = -1;
prev_lag = -999999999;
int count_col_exo = 0;
for (map<pair< 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;
if(prev_var != var || prev_lag != lag)
{
prev_var = var;
prev_lag = lag;
count_col_exo++;
}
}
FBEGINBLOCK_ fbeginblock(symbol_table.endo_nbr(),
simulation_type,
0,
......@@ -994,7 +897,7 @@ DynamicModel::writeModelEquationsCode(string &file_name, const string &bin_basen
u_count_int,
count_col_endo,
symbol_table.exo_det_nbr(),
symbol_table.exo_nbr(),
count_col_exo,
other_endo_size,
0,
exo_det,
......@@ -1046,23 +949,26 @@ DynamicModel::writeModelEquationsCode(string &file_name, const string &bin_basen
{
FLDR_ fldr(i);
fldr.write(code_file, instruction_number);
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())
if (derivatives[i].size())
{
for(vector<pair<pair<int, int>, int> >::const_iterator it = derivatives[i].begin();
it != derivatives[i].end(); it++)
{
FBINARY_ fbinary(oPlus);
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);
}
FBINARY_ fbinary(oMinus);
fbinary.write(code_file, instruction_number);
FSTPU_ fstpu(i);
fstpu.write(code_file, instruction_number);
}
......@@ -1104,7 +1010,7 @@ DynamicModel::writeModelEquationsCode(string &file_name, const string &bin_basen
}
prev_var = -1;
prev_lag = -999999999;
int count_col_exo = 0;
count_col_exo = 0;
for (map<pair< int, pair<int, int> >, expr_t>::const_iterator it = first_derivatives_reordered_exo.begin();
it != first_derivatives_reordered_exo.end(); it++)
{
......@@ -2457,7 +2363,7 @@ DynamicModel::writeOutput(ostream &output, const string &basename, bool block_de
i++;
}
output << "];\n";
output << "block_structure.block(" << block+1 << ").exo_det_nbr = " << i << ";\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++)
......@@ -2467,8 +2373,8 @@ DynamicModel::writeOutput(ostream &output, const string &basename, bool block_de
i++;
}
output << "];\n";
output << "block_structure.block(" << block+1 << ").exo_det_nbr = " << i << ";\n";
output << "block_structure.block(" << block+1 << ").other_endo_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++)
......@@ -2478,6 +2384,7 @@ DynamicModel::writeOutput(ostream &output, const string &basename, bool block_de
i++;
}
output << "];\n";
output << "block_structure.block(" << block+1 << ").other_endo_nbr = " << i << ";\n";
tmp_s.str("");
count_lead_lag_incidence = 0;
......
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