Commit 5c48733f authored by Houtan Bastani's avatar Houtan Bastani

output mex file for static model (closes #183)

parent 3cd223f5
......@@ -869,7 +869,7 @@ PlannerObjectiveStatement::computingPass()
void
PlannerObjectiveStatement::writeOutput(ostream &output, const string &basename) const
{
model_tree->writeStaticFile(basename + "_objective", false, false);
model_tree->writeStaticFile(basename + "_objective", false, false, false);
}
BVARDensityStatement::BVARDensityStatement(int maxnlags_arg, const OptionsList &options_list_arg) :
......
......@@ -615,6 +615,7 @@ VariableNode::writeOutput(ostream &output, ExprNodeOutputType output_type,
i = datatree.getDynJacobianCol(datatree.getDerivID(symb_id, lag)) + ARRAY_SUBSCRIPT_OFFSET(output_type);
output << "y" << LEFT_ARRAY_SUBSCRIPT(output_type) << i << RIGHT_ARRAY_SUBSCRIPT(output_type);
break;
case oCStaticModel:
case oMatlabStaticModel:
case oMatlabStaticModelSparse:
i = tsid + ARRAY_SUBSCRIPT_OFFSET(output_type);
......@@ -669,6 +670,7 @@ VariableNode::writeOutput(ostream &output, ExprNodeOutputType output_type,
else
output << "x[it_" << lag << "+" << i << "*nb_row_x]";
break;
case oCStaticModel:
case oMatlabStaticModel:
case oMatlabStaticModelSparse:
output << "x" << LEFT_ARRAY_SUBSCRIPT(output_type) << i << RIGHT_ARRAY_SUBSCRIPT(output_type);
......@@ -710,6 +712,7 @@ VariableNode::writeOutput(ostream &output, ExprNodeOutputType output_type,
else
output << "x[it_" << lag << "+" << i << "*nb_row_x]";
break;
case oCStaticModel:
case oMatlabStaticModel:
case oMatlabStaticModelSparse:
output << "x" << LEFT_ARRAY_SUBSCRIPT(output_type) << i << RIGHT_ARRAY_SUBSCRIPT(output_type);
......
......@@ -65,6 +65,7 @@ enum ExprNodeOutputType
oMatlabStaticModelSparse, //!< Matlab code, static block decomposed model
oMatlabDynamicModelSparse, //!< Matlab code, dynamic block decomposed model
oCDynamicModel, //!< C code, dynamic model
oCStaticModel, //!< C code, static model
oMatlabOutsideModel, //!< Matlab code, outside model block (for example in initval)
oLatexStaticModel, //!< LaTeX code, static model
oLatexDynamicModel, //!< LaTeX code, dynamic model
......@@ -84,7 +85,7 @@ enum ExprNodeOutputType
|| (output_type) == oMatlabDynamicSparseSteadyStateOperator \
|| (output_type) == oSteadyStateFile)
#define IS_C(output_type) ((output_type) == oCDynamicModel || (output_type) == oCDynamicSteadyStateOperator)
#define IS_C(output_type) ((output_type) == oCDynamicModel || (output_type) == oCStaticModel || (output_type) == oCDynamicSteadyStateOperator)
#define IS_LATEX(output_type) ((output_type) == oLatexStaticModel \
|| (output_type) == oLatexDynamicModel \
......
......@@ -488,7 +488,10 @@ ModFile::writeOutputFiles(const string &basename, bool clear_all, bool console,
unlink(statfile.c_str());
if (!use_dll)
mOutputFile << "erase_compiled_function('" + basename + "_dynamic');" << endl;
{
mOutputFile << "erase_compiled_function('" + basename + "_static');" << endl;
mOutputFile << "erase_compiled_function('" + basename + "_dynamic');" << endl;
}
#if defined(_WIN32) || defined(__CYGWIN32__)
// If using USE_DLL with MSVC, check that the user didn't use a function not supported by MSVC (because MSVC doesn't comply with C99 standard)
......@@ -524,16 +527,24 @@ ModFile::writeOutputFiles(const string &basename, bool clear_all, bool console,
// Some mex commands are enclosed in an eval(), because otherwise it will make Octave fail
#if defined(_WIN32) || defined(__CYGWIN32__)
if (msvc)
mOutputFile << " eval('mex -O LINKFLAGS=\"$LINKFLAGS /export:Dynamic\" " << basename << "_dynamic.c')" << endl; // MATLAB/Windows + Microsoft Visual C++
// MATLAB/Windows + Microsoft Visual C++
mOutputFile << " eval('mex -O LINKFLAGS=\"$LINKFLAGS /export:Dynamic\" " << basename << "_dynamic.c')" << endl
<< " eval('mex -O LINKFLAGS=\"$LINKFLAGS /export:Dynamic\" " << basename << "_static.c')" << endl;
else if (cygwin)
mOutputFile << " eval('mex -O PRELINK_CMDS1=\"echo EXPORTS > mex.def & echo mexFunction >> mex.def & echo Dynamic >> mex.def\" " << basename << "_dynamic.c')" << endl; // MATLAB/Windows + Cygwin g++
// MATLAB/Windows + Cygwin g++
mOutputFile << " eval('mex -O PRELINK_CMDS1=\"echo EXPORTS > mex.def & echo mexFunction >> mex.def & echo Dynamic >> mex.def\" " << basename << "_dynamic.c')" << endl
<< " eval('mex -O PRELINK_CMDS1=\"echo EXPORTS > mex.def & echo mexFunction >> mex.def & echo Dynamic >> mex.def\" " << basename << "_static.c')" << endl;
else
mOutputFile << " error('When using the USE_DLL option, you must give either ''cygwin'' or ''msvc'' option to the ''dynare'' command')" << endl;
#else
# ifdef __linux__
mOutputFile << " eval('mex -O LDFLAGS=''-pthread -shared -Wl,--no-undefined'' " << basename << "_dynamic.c')" << endl; // MATLAB/Linux
// MATLAB/Linux
mOutputFile << " eval('mex -O LDFLAGS=''-pthread -shared -Wl,--no-undefined'' " << basename << "_dynamic.c')" << endl
<< " eval('mex -O LDFLAGS=''-pthread -shared -Wl,--no-undefined'' " << basename << "_static.c')" << endl;
# else // MacOS
mOutputFile << " eval('mex -O LDFLAGS=''-Wl,-twolevel_namespace -undefined error -arch \\$ARCHS -Wl,-syslibroot,\\$SDKROOT -mmacosx-version-min=\\$MACOSX_DEPLOYMENT_TARGET -bundle'' " << basename << "_dynamic.c')" << endl; // MATLAB/MacOS
// MATLAB/MacOS
mOutputFile << " eval('mex -O LDFLAGS=''-Wl,-twolevel_namespace -undefined error -arch \\$ARCHS -Wl,-syslibroot,\\$SDKROOT -mmacosx-version-min=\\$MACOSX_DEPLOYMENT_TARGET -bundle'' " << basename << "_dynamic.c')" << endl
<< " eval('mex -O LDFLAGS=''-Wl,-twolevel_namespace -undefined error -arch \\$ARCHS -Wl,-syslibroot,\\$SDKROOT -mmacosx-version-min=\\$MACOSX_DEPLOYMENT_TARGET -bundle'' " << basename << "_static.c')" << endl;
# endif
#endif
mOutputFile << "else" << endl // Octave
......@@ -541,6 +552,7 @@ ModFile::writeOutputFiles(const string &basename, bool clear_all, bool console,
<< " sleep(2)" << endl
<< " end" << endl
<< " mex " << basename << "_dynamic.c" << endl
<< " mex " << basename << "_static.c" << endl
<< "end" << endl;
}
......@@ -595,7 +607,7 @@ ModFile::writeOutputFiles(const string &basename, bool clear_all, bool console,
if (dynamic_model.equation_number() > 0)
{
if (!no_static)
static_model.writeStaticFile(basename, block, byte_code);
static_model.writeStaticFile(basename, block, byte_code, use_dll);
dynamic_model.writeDynamicFile(basename, block, byte_code, use_dll, mod_file_struct.order_option);
dynamic_model.writeParamsDerivativesFile(basename);
......
......@@ -1140,32 +1140,27 @@ StaticModel::writeStaticMFile(const string &func_name) const
<< "% Status : Computes static model for Dynare" << endl
<< "%" << endl
<< "% Warning : this file is generated automatically by Dynare" << endl
<< "% from model file (.mod)" << endl
<< endl
<< "residual = zeros( " << equations.size() << ", 1);" << endl
<< endl
<< "%" << endl
<< "% Model equations" << endl
<< "%" << endl
<< endl;
<< "% from model file (.mod)" << endl << endl;
deriv_node_temp_terms_t tef_terms;
writeModelLocalVariables(output, oMatlabStaticModel, tef_terms);
writeStaticModel(output, false);
output << "end" << endl;
output.close();
}
writeTemporaryTerms(temporary_terms, output, oMatlabStaticModel, tef_terms);
void
StaticModel::writeStaticModel(ostream &StaticOutput, 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
ExprNodeOutputType output_type = (use_dll ? oCStaticModel : oMatlabStaticModel);
writeModelEquations(output, oMatlabStaticModel);
deriv_node_temp_terms_t tef_terms;
writeModelLocalVariables(model_output, output_type, tef_terms);
output << "if ~isreal(residual)" << endl
<< " residual = real(residual)+imag(residual).^2;" << endl
<< "end" << endl
<< "if nargout >= 2," << endl
<< " g1 = zeros(" << equations.size() << ", " << symbol_table.endo_nbr() << ");" << endl
<< endl
<< "%" << endl
<< "% Jacobian matrix" << endl
<< "%" << endl
<< endl;
writeTemporaryTerms(temporary_terms, model_output, output_type, tef_terms);
writeModelEquations(model_output, output_type);
// Write Jacobian w.r. to endogenous only
for (first_derivatives_t::const_iterator it = first_derivatives.begin();
......@@ -1175,72 +1170,212 @@ StaticModel::writeStaticMFile(const string &func_name) const
int symb_id = it->first.second;
expr_t d1 = it->second;
output << " g1(" << eq+1 << "," << symbol_table.getTypeSpecificID(symb_id)+1 << ")=";
d1->writeOutput(output, oMatlabStaticModel, temporary_terms, tef_terms);
output << ";" << endl;
jacobian_output << " g1";
jacobianHelper(jacobian_output, eq, symbol_table.getTypeSpecificID(symb_id), output_type);
jacobian_output << "=";
d1->writeOutput(jacobian_output, output_type, temporary_terms, tef_terms);
jacobian_output << ";" << endl;
}
output << " if ~isreal(g1)" << endl
<< " g1 = real(g1)+imag(g1).^2;" << endl
<< " end" << endl
<< "end" << endl
<< "if nargout >= 3," << endl
<< "%" << endl
<< "% Hessian matrix" << endl
<< "%" << endl
<< endl;
int g2ncols = symbol_table.endo_nbr() * symbol_table.endo_nbr();
if (second_derivatives.size())
// Write Hessian w.r. to endogenous only (only if 2nd order derivatives have been computed)
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++)
{
output << " v2 = zeros(" << NNZDerivatives[1] << ",3);" << endl;
int eq = it->first.first;
int symb_id1 = it->first.second.first;
int symb_id2 = it->first.second.second;
expr_t d2 = it->second;
// Write Hessian w.r. to endogenous only (only if 2nd order derivatives have been computed)
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 symb_id1 = it->first.second.first;
int symb_id2 = it->first.second.second;
expr_t d2 = it->second;
int tsid1 = symbol_table.getTypeSpecificID(symb_id1);
int tsid2 = symbol_table.getTypeSpecificID(symb_id2);
int tsid1 = symbol_table.getTypeSpecificID(symb_id1);
int tsid2 = symbol_table.getTypeSpecificID(symb_id2);
int col_nb = tsid1*symbol_table.endo_nbr()+tsid2;
int col_nb_sym = tsid2*symbol_table.endo_nbr()+tsid1;
int col_nb = tsid1*symbol_table.endo_nbr()+tsid2;
int col_nb_sym = tsid2*symbol_table.endo_nbr()+tsid1;
hessianHelper(hessian_output, k, 0, output_type);
hessian_output << "=" << eq + 1 << ";" << endl;
output << "v2(" << k+1 << ",1)=" << eq + 1 << ";" << endl
<< "v2(" << k+1 << ",2)=" << col_nb + 1 << ";" << endl
<< "v2(" << k+1 << ",3)=";
d2->writeOutput(output, oMatlabStaticModel, temporary_terms, tef_terms);
output << ";" << endl;
hessianHelper(hessian_output, k, 1, output_type);
hessian_output << "=" << col_nb + 1 << ";" << endl;
k++;
hessianHelper(hessian_output, k, 2, output_type);
hessian_output << "=";
d2->writeOutput(hessian_output, output_type, temporary_terms, tef_terms);
hessian_output << ";" << endl;
// Treating symetric elements
if (symb_id1 != symb_id2)
{
output << "v2(" << k+1 << ",1)=" << eq + 1 << ";" << endl
<< "v2(" << k+1 << ",2)=" << col_nb_sym + 1 << ";" << endl
<< "v2(" << k+1 << ",3)=v2(" << k << ",3);" << endl;
k++;
}
k++;
// Treating symetric elements
if (symb_id1 != symb_id2)
{
hessianHelper(hessian_output, k, 0, output_type);
hessian_output << "=" << eq + 1 << ";" << endl;
hessianHelper(hessian_output, k, 1, output_type);
hessian_output << "=" << col_nb_sym + 1 << ";" << endl;
hessianHelper(hessian_output, k, 2, output_type);
hessian_output << "=";
hessianHelper(hessian_output, k-1, 2, output_type);
hessian_output << ";" << endl;
k++;
}
}
output << " g2 = sparse(v2(:,1),v2(:,2),v2(:,3)," << equations.size() << "," << g2ncols << ");" << endl;
if (!use_dll)
{
StaticOutput << "residual = zeros( " << equations.size() << ", 1);" << endl << endl
<< "%" << endl
<< "% Model equations" << endl
<< "%" << endl << endl
<< model_output.str()
<< "if ~isreal(residual)" << endl
<< " residual = real(residual)+imag(residual).^2;" << endl
<< "end" << endl
<< "if nargout >= 2," << endl
<< " g1 = zeros(" << equations.size() << ", " << symbol_table.endo_nbr() << ");" << endl << endl
<< " %" << endl
<< " % Jacobian matrix" << endl
<< " %" << endl << endl
<< jacobian_output.str()
<< " if ~isreal(g1)" << endl
<< " g1 = real(g1)+imag(g1).^2;" << endl
<< " end" << endl
<< "end" << endl
<< "if nargout >= 3," << endl
<< " %" << endl
<< " % Hessian matrix" << endl
<< " %" << endl
<< endl;
if (second_derivatives.size())
StaticOutput << " v2 = zeros(" << NNZDerivatives[1] << ",3);" << endl
<< hessian_output.str()
<< " g2 = sparse(v2(:,1),v2(:,2),v2(:,3)," << equations.size() << "," << g2ncols << ");" << endl;
else
StaticOutput << " g2 = sparse([],[],[]," << equations.size() << "," << g2ncols << ");" << endl;
StaticOutput << "end" << endl;
}
else // Either hessian is all zero, or we didn't compute it
output << " g2 = sparse([],[],[]," << equations.size() << "," << g2ncols << ");" << endl;
else
{
StaticOutput << "void Static(double *y, double *x, int nb_row_x, double *params, double *residual, double *g1, double *v2)" << 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())
StaticOutput << " /* Hessian for endogenous and exogenous variables */" << endl
<< " if (v2 == NULL)" << endl
<< " return;" << endl
<< " else" << endl
<< " {" << endl
<< hessian_output.str()
<< " }" << endl;
}
}
output << "end" << endl; // Close the if nargout >= 3 statement
output << "end" << endl; // Close the *_static function
void
StaticModel::writeStaticCFile(const string &func_name) const
{
// Writing comments and function definition command
string filename = func_name + "_static.c";
ofstream output;
output.open(filename.c_str(), ios::out | ios::binary);
if (!output.is_open())
{
cerr << "ERROR: Can't open file " << filename << " for writing" << endl;
exit(EXIT_FAILURE);
}
output << "/*" << endl
<< " * " << filename << " : Computes static model for Dynare" << endl
<< " *" << endl
<< " * Warning : this file is generated automatically by Dynare" << endl
<< " * from model file (.mod)" << endl << endl
<< " */" << endl
<< "#include <math.h>" << endl
<< "#include \"mex.h\"" << endl
<< endl
<< "#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(output);
// Writing the function body
writeStaticModel(output, true);
output << "}" << endl << endl;
// Writing the gateway routine
output << "/* The gateway routine */" << endl
<< "void mexFunction(int nlhs, mxArray *plhs[], int nrhs, const mxArray *prhs[])" << endl
<< "{" << endl
<< " double *y, *x, *params;" << endl
<< " double *residual, *g1, *v2;" << endl
<< " int nb_row_x;" << endl
<< 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
<< " /* 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() << ", " << symbol_table.endo_nbr() << ", 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
<< " /* Call the C subroutines. */" << endl
<< " Static(y, x, nb_row_x, params, residual, g1, v2);" << endl
<< "}" << endl << endl;
writePowerDeriv(output, true);
output.close();
}
void
StaticModel::writeStaticFile(const string &basename, bool block, bool bytecode) const
StaticModel::writeStaticFile(const string &basename, bool block, bool bytecode, bool use_dll) const
{
int r;
......@@ -1267,6 +1402,8 @@ StaticModel::writeStaticFile(const string &basename, bool block, bool bytecode)
chdir("..");
writeStaticBlockMFSFile(basename);
}
else if(use_dll)
writeStaticCFile(basename);
else
writeStaticMFile(basename);
writeAuxVarRecursiveDefinitions(basename);
......@@ -1570,7 +1707,7 @@ StaticModel::jacobianHelper(ostream &output, int eq_nb, int col_nb, ExprNodeOutp
{
output << LEFT_ARRAY_SUBSCRIPT(output_type);
if (IS_MATLAB(output_type))
output << eq_nb + 1 << ", " << col_nb + 1;
output << eq_nb + 1 << "," << col_nb + 1;
else
output << eq_nb + col_nb *equations.size();
output << RIGHT_ARRAY_SUBSCRIPT(output_type);
......@@ -1579,7 +1716,7 @@ StaticModel::jacobianHelper(ostream &output, int eq_nb, int col_nb, ExprNodeOutp
void
StaticModel::hessianHelper(ostream &output, int row_nb, int col_nb, ExprNodeOutputType output_type) const
{
output << LEFT_ARRAY_SUBSCRIPT(output_type);
output << "v2" << LEFT_ARRAY_SUBSCRIPT(output_type);
if (IS_MATLAB(output_type))
output << row_nb + 1 << ", " << col_nb + 1;
else
......
......@@ -53,13 +53,15 @@ private:
//! Writes static model file (standard Matlab version)
void writeStaticMFile(const string &static_basename) const;
//! Writes static model file (C version)
void writeStaticCFile(const string &func_name) const;
//! Writes the static model equations and its derivatives
void writeStaticModel(ostream &StaticOutput, bool use_dll) const;
//! Writes the static function calling the block to solve (Matlab version)
void writeStaticBlockMFSFile(const string &basename) const;
//! Writes static model file (C version)
/*! \todo add third derivatives handling */
void writeStaticCFile(const string &static_basename) const;
//! Writes the Block reordred structure of the model in M output
void writeModelEquationsOrdered_M(const string &dynamic_basename) const;
......@@ -182,7 +184,7 @@ public:
int &u_count_int, bool &file_open) const;
//! Writes static model file
void writeStaticFile(const string &basename, bool block, bool bytecode) const;
void writeStaticFile(const string &basename, bool block, bool bytecode, bool use_dll) const;
//! Writes LaTeX file with the equations of the static model
void writeLatexFile(const string &basename) const;
......
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