diff --git a/src/ComputingTasks.cc b/src/ComputingTasks.cc
index 3368a963d536ae92f8d78d448d2265b183c5ee25..05f02867a868076cb08a774daff6988fda81fe32 100644
--- a/src/ComputingTasks.cc
+++ b/src/ComputingTasks.cc
@@ -2167,7 +2167,7 @@ PlannerObjectiveStatement::getPlannerObjective() const
void
PlannerObjectiveStatement::computingPass()
{
- model_tree.computingPass({}, false, true, true, 0, false, false, false);
+ model_tree.computingPass(3, 0, {}, false, false, false, false);
computing_pass_called = true;
}
diff --git a/src/DynamicModel.cc b/src/DynamicModel.cc
index 2f76f047ea1af4edd38ba35331baff588e40025e..074e9af2484ea1443fae02ee925d768c34f36dcf 100644
--- a/src/DynamicModel.cc
+++ b/src/DynamicModel.cc
@@ -4367,11 +4367,11 @@ DynamicModel::substitutePacExpectation()
}
void
-DynamicModel::computingPass(bool jacobianExo, bool hessian, bool thirdDerivatives, int paramsDerivsOrder,
+DynamicModel::computingPass(bool jacobianExo, int derivsOrder, int paramsDerivsOrder,
const eval_context_t &eval_context, bool no_tmp_terms, bool block, bool use_dll,
- bool bytecode, const bool nopreprocessoroutput, bool linear_decomposition)
+ bool bytecode, bool nopreprocessoroutput, bool linear_decomposition)
{
- assert(jacobianExo || !(hessian || thirdDerivatives || paramsDerivsOrder));
+ assert(jacobianExo || (derivsOrder < 2 && paramsDerivsOrder == 0));
initializeVariablesAndEquations();
@@ -4393,38 +4393,18 @@ DynamicModel::computingPass(bool jacobianExo, bool hessian, bool thirdDerivative
// Launch computations
if (!nopreprocessoroutput)
- {
- if (linear_decomposition)
- cout << "Computing nonlinear dynamic model derivatives:" << endl
- << " - order 1" << endl;
- else
- cout << "Computing dynamic model derivatives:" << endl
- << " - order 1" << endl;
- }
-
- computeJacobian(vars);
+ cout << "Computing " << (linear_decomposition ? "nonlinear " : "")
+ << "dynamic model derivatives (order " << derivsOrder << ")." << endl;
- if (hessian)
- {
- if (!nopreprocessoroutput)
- cout << " - order 2" << endl;
- computeHessian(vars);
- }
+ computeDerivatives(derivsOrder, vars);
if (paramsDerivsOrder > 0)
{
if (!nopreprocessoroutput)
- cout << " - derivatives of Jacobian/Hessian w.r. to parameters" << endl;
+ cout << "Computing dynamic model derivatives w.r.t. parameters (order " << paramsDerivsOrder << ")." << endl;
computeParamsDerivatives(paramsDerivsOrder);
}
- if (thirdDerivatives)
- {
- if (!nopreprocessoroutput)
- cout << " - order 3" << endl;
- computeThirdDerivatives(vars);
- }
-
jacob_map_t contemporaneous_jacobian, static_jacobian;
map<pair<int, pair<int, int> >, expr_t> first_order_endo_derivatives;
// for each block contains pair<Size, Feddback_variable>
diff --git a/src/DynamicModel.hh b/src/DynamicModel.hh
index 341221c711f14ad869a67619a3dbb2252d4ecb6a..d84914b51527b53ff6f0e408f1390efaf0e7dc9b 100644
--- a/src/DynamicModel.hh
+++ b/src/DynamicModel.hh
@@ -281,14 +281,13 @@ public:
//! Execute computations (variable sorting + derivation)
/*!
\param jacobianExo whether derivatives w.r. to exo and exo_det should be in the Jacobian (derivatives w.r. to endo are always computed)
- \param hessian whether 2nd derivatives w.r. to exo, exo_det and endo should be computed (implies jacobianExo = true)
- \param thirdDerivatives whether 3rd derivatives w.r. to endo/exo/exo_det should be computed (implies jacobianExo = true)
+ \param derivsOrder order of derivatives w.r. to exo, exo_det and endo should be computed (implies jacobianExo = true when order >= 2)
\param paramsDerivsOrder order of derivatives w.r. to a pair (endo/exo/exo_det, parameter) to be computed (>0 implies jacobianExo = true)
\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, int paramsDerivsOrder,
- const eval_context_t &eval_context, bool no_tmp_terms, bool block, bool use_dll, bool bytecode, const bool nopreprocessoroutput, bool linear_decomposition);
+ void computingPass(bool jacobianExo, int derivsOrder, int paramsDerivsOrder,
+ const eval_context_t &eval_context, bool no_tmp_terms, bool block, bool use_dll, bool bytecode, bool nopreprocessoroutput, bool linear_decomposition);
//! Writes model initialization and lead/lag incidence matrix to output
void writeOutput(ostream &output, const string &basename, bool block, bool linear_decomposition, bool byte_code, bool use_dll, int order, bool estimation_present, bool compute_xrefs, bool julia) const;
diff --git a/src/ModFile.cc b/src/ModFile.cc
index ac14a8ee391ecc01ce266f3d5b2e4928de434084..018eca9d42514e11ae53039e66c70ae00d16b927 100644
--- a/src/ModFile.cc
+++ b/src/ModFile.cc
@@ -701,7 +701,7 @@ ModFile::computingPass(bool no_tmp_terms, FileOutputType output, int params_deri
{
non_linear_equations_dynamic_model = dynamic_model;
non_linear_equations_dynamic_model.set_cutoff_to_zero();
- non_linear_equations_dynamic_model.computingPass(true, false, false, 0, global_eval_context, no_tmp_terms, block, use_dll, byte_code, nopreprocessoroutput, linear_decomposition);
+ non_linear_equations_dynamic_model.computingPass(true, 1, 0, global_eval_context, no_tmp_terms, block, use_dll, byte_code, nopreprocessoroutput, linear_decomposition);
}
if (!no_static)
{
@@ -711,13 +711,14 @@ ModFile::computingPass(bool no_tmp_terms, FileOutputType output, int params_deri
|| mod_file_struct.calib_smoother_present)
static_model.set_cutoff_to_zero();
- const bool static_hessian = mod_file_struct.identification_present
- || mod_file_struct.estimation_analytic_derivation;
+ int derivsOrder = 1;
int paramsDerivsOrder = 0;
if (mod_file_struct.identification_present || mod_file_struct.estimation_analytic_derivation)
- paramsDerivsOrder = params_derivs_order;
- static_model.computingPass(global_eval_context, no_tmp_terms, static_hessian,
- false, paramsDerivsOrder, block, byte_code, nopreprocessoroutput);
+ {
+ derivsOrder = 2;
+ paramsDerivsOrder = params_derivs_order;
+ }
+ static_model.computingPass(derivsOrder, paramsDerivsOrder, global_eval_context, no_tmp_terms, block, byte_code, nopreprocessoroutput);
}
// Set things to compute for dynamic model
if (mod_file_struct.perfect_foresight_solver_present || mod_file_struct.check_present
@@ -727,7 +728,7 @@ ModFile::computingPass(bool no_tmp_terms, FileOutputType output, int params_deri
|| mod_file_struct.calib_smoother_present)
{
if (mod_file_struct.perfect_foresight_solver_present)
- dynamic_model.computingPass(true, false, false, 0, global_eval_context, no_tmp_terms, block, use_dll, byte_code, nopreprocessoroutput, linear_decomposition);
+ dynamic_model.computingPass(true, 1, 0, global_eval_context, no_tmp_terms, block, use_dll, byte_code, nopreprocessoroutput, linear_decomposition);
else
{
if (mod_file_struct.stoch_simul_present
@@ -740,25 +741,21 @@ ModFile::computingPass(bool no_tmp_terms, FileOutputType output, int params_deri
cerr << "ERROR: Incorrect order option..." << endl;
exit(EXIT_FAILURE);
}
- bool hessian = mod_file_struct.order_option >= 2
- || mod_file_struct.identification_present
- || mod_file_struct.estimation_analytic_derivation
- || linear
- || output == FileOutputType::second
- || output == FileOutputType::third;
- bool thirdDerivatives = mod_file_struct.order_option == 3
- || mod_file_struct.estimation_analytic_derivation
- || output == FileOutputType::third;
+ int derivsOrder = mod_file_struct.order_option;
+ if (mod_file_struct.identification_present || linear || output == FileOutputType::second)
+ derivsOrder = max(derivsOrder, 2);
+ if (mod_file_struct.estimation_analytic_derivation || output == FileOutputType::third)
+ derivsOrder = max(derivsOrder, 3);
int paramsDerivsOrder = 0;
if (mod_file_struct.identification_present || mod_file_struct.estimation_analytic_derivation)
paramsDerivsOrder = params_derivs_order;
- dynamic_model.computingPass(true, hessian, thirdDerivatives, paramsDerivsOrder, global_eval_context, no_tmp_terms, block, use_dll, byte_code, nopreprocessoroutput, linear_decomposition);
+ dynamic_model.computingPass(true, derivsOrder, paramsDerivsOrder, global_eval_context, no_tmp_terms, block, use_dll, byte_code, nopreprocessoroutput, linear_decomposition);
if (linear && mod_file_struct.ramsey_model_present)
- orig_ramsey_dynamic_model.computingPass(true, true, false, paramsDerivsOrder, global_eval_context, no_tmp_terms, block, use_dll, byte_code, nopreprocessoroutput, linear_decomposition);
+ orig_ramsey_dynamic_model.computingPass(true, 2, paramsDerivsOrder, global_eval_context, no_tmp_terms, block, use_dll, byte_code, nopreprocessoroutput, linear_decomposition);
}
}
else // No computing task requested, compute derivatives up to 2nd order by default
- dynamic_model.computingPass(true, true, false, 0, global_eval_context, no_tmp_terms, block, use_dll, byte_code, nopreprocessoroutput, linear_decomposition);
+ dynamic_model.computingPass(true, 2, 0, global_eval_context, no_tmp_terms, block, use_dll, byte_code, nopreprocessoroutput, linear_decomposition);
map<int, string> eqs;
if (mod_file_struct.ramsey_model_present)
@@ -784,7 +781,7 @@ ModFile::computingPass(bool no_tmp_terms, FileOutputType output, int params_deri
for (auto & statement : statements)
statement->computingPass();
- epilogue.computingPass(true, true, false, 0, global_eval_context, true, false, false, false, true, false);
+ epilogue.computingPass(true, 2, 0, global_eval_context, true, false, false, false, true, false);
}
void
diff --git a/src/ModelTree.cc b/src/ModelTree.cc
index bcf4ddf8982d39dd47a6a7269feb2e242e574480..db780b534d05962fba634703a762d42bf61abb20 100644
--- a/src/ModelTree.cc
+++ b/src/ModelTree.cc
@@ -1276,77 +1276,45 @@ ModelTree::writeDerivative(ostream &output, int eq, int symb_id, int lag,
}
void
-ModelTree::computeJacobian(const set<int> &vars)
+ModelTree::computeDerivatives(int order, const set<int> &vars)
{
- for (int var : vars)
- {
- for (int eq = 0; eq < (int) equations.size(); eq++)
- {
- expr_t d1 = equations[eq]->getDerivative(var);
- if (d1 == Zero)
- continue;
- derivatives[1][{ eq, var }] = d1;
- ++NNZDerivatives[1];
- }
- }
-}
-
-void
-ModelTree::computeHessian(const set<int> &vars)
-{
- for (const auto &it : derivatives[1])
- {
- int eq, var1;
- tie(eq, var1) = vectorToTuple<2>(it.first);
- expr_t d1 = it.second;
-
- // Store only second derivatives with var2 <= var1
- for (int var2 : vars)
- {
- if (var2 > var1)
- continue;
+ assert (order >= 1);
- expr_t d2 = d1->getDerivative(var2);
- if (d2 == Zero)
- continue;
- derivatives[2][{ eq, var1, var2 }] = d2;
- if (var2 == var1)
- ++NNZDerivatives[2];
- else
- NNZDerivatives[2] += 2;
- }
- }
-}
-
-void
-ModelTree::computeThirdDerivatives(const set<int> &vars)
-{
- for (const auto &it : derivatives[2])
- {
- int eq, var1, var2;
- tie(eq, var1, var2) = vectorToTuple<3>(it.first);
- // By construction, var2 <= var1
+ // Do not shrink the vectors, since they have a minimal size of 4 (see constructor)
+ derivatives.resize(max(static_cast<size_t>(order), derivatives.size()));
+ NNZDerivatives.resize(max(static_cast<size_t>(order), NNZDerivatives.size()), 0);
- expr_t d2 = it.second;
+ // First-order derivatives
+ for (int var : vars)
+ for (int eq = 0; eq < (int) equations.size(); eq++)
+ {
+ expr_t d1 = equations[eq]->getDerivative(var);
+ if (d1 == Zero)
+ continue;
+ derivatives[1][{ eq, var }] = d1;
+ ++NNZDerivatives[1];
+ }
- // Store only third derivatives such that var3 <= var2 <= var1
- for (int var3 : vars)
+ // Higher-order derivatives
+ for (int o = 2; o <= order; o++)
+ for (const auto &it : derivatives[o-1])
+ for (int var : vars)
{
- if (var3 > var2)
+ if (it.first.back() > var)
continue;
- expr_t d3 = d2->getDerivative(var3);
- if (d3 == Zero)
+ expr_t d = it.second->getDerivative(var);
+ if (d == Zero)
continue;
- derivatives[3][{ eq, var1, var2, var3 }] = d3;
- if (var3 == var2 && var2 == var1)
- ++NNZDerivatives[3];
- else if (var3 == var2 || var2 == var1)
- NNZDerivatives[3] += 3;
- else
- NNZDerivatives[3] += 6;
+
+ vector<int> indices{it.first};
+ indices.push_back(var);
+ // At this point, indices of endogenous variables are sorted in non-decreasing order
+ derivatives[o][indices] = d;
+ do
+ NNZDerivatives[o]++;
+ while (next_permutation(next(indices.begin()), indices.end()));
}
- }
}
void
diff --git a/src/ModelTree.hh b/src/ModelTree.hh
index 2b2c076a4ea62ebaebb0008492f98634561bd9fb..8612ded88ec9210055df2cfe06c41de44724248c 100644
--- a/src/ModelTree.hh
+++ b/src/ModelTree.hh
@@ -91,7 +91,8 @@ protected:
/*! Index 0 is not used, index 1 contains first derivatives, ...
For each derivation order, stores a map whose key is a vector of integer: the
first integer is the equation index, the remaining ones are the derivation
- IDs of variables */
+ IDs of variables (in non-decreasing order, to avoid storing symmetric
+ elements several times) */
vector<map<vector<int>, expr_t>> derivatives;
//! Number of non-zero derivatives
@@ -104,7 +105,7 @@ protected:
derivation order w.r.t. parameters). For e.g., { 1, 2 } corresponds to the jacobian
differentiated twice w.r.t. to parameters.
In inner maps, the vector of integers consists of: the equation index, then
- the derivation IDs of endogenous, then the IDs of parameters */
+ the derivation IDs of endogenous (in non-decreasing order), then the IDs of parameters */
map<pair<int,int>, map<vector<int>, expr_t>> params_derivatives;
//! Storage for temporary terms in block/bytecode mode
@@ -144,15 +145,10 @@ protected:
//! Vector indicating if the equation is linear in endogenous variable (true) or not (false)
vector<bool> is_equation_linear;
- //! Computes 1st derivatives
- /*! \param vars the derivation IDs w.r. to which compute the derivatives */
- void computeJacobian(const set<int> &vars);
- //! Computes 2nd derivatives
- /*! \param vars the derivation IDs w.r. to which derive the 1st derivatives */
- void computeHessian(const set<int> &vars);
- //! Computes 3rd derivatives
- /*! \param vars the derivation IDs w.r. to which derive the 2nd derivatives */
- void computeThirdDerivatives(const set<int> &vars);
+ //! Computes derivatives
+ /*! \param order the derivation order
+ \param vars the derivation IDs w.r.t. which compute the derivatives */
+ void computeDerivatives(int order, const set<int> &vars);
//! Computes derivatives of the Jacobian and Hessian w.r. to parameters
void computeParamsDerivatives(int paramsDerivsOrder);
//! Write derivative of an equation w.r. to a variable
diff --git a/src/StaticModel.cc b/src/StaticModel.cc
index e61a5b689848ba7c5bc8193a0d8518e174c43246..64229a76961243ebac09f4eca9b8acfa4df5d404 100644
--- a/src/StaticModel.cc
+++ b/src/StaticModel.cc
@@ -1214,7 +1214,7 @@ StaticModel::collect_first_order_derivatives_endogenous()
}
void
-StaticModel::computingPass(const eval_context_t &eval_context, bool no_tmp_terms, bool hessian, bool thirdDerivatives, int paramsDerivsOrder, bool block, bool bytecode, const bool nopreprocessoroutput)
+StaticModel::computingPass(int derivsOrder, int paramsDerivsOrder, const eval_context_t &eval_context, bool no_tmp_terms, bool block, bool bytecode, bool nopreprocessoroutput)
{
initializeVariablesAndEquations();
@@ -1233,9 +1233,9 @@ StaticModel::computingPass(const eval_context_t &eval_context, bool no_tmp_terms
equations.clear();
copy(neweqs.begin(), neweqs.end(), back_inserter(equations));
- // Compute derivatives w.r. to all endogenous, and possibly exogenous and exogenous deterministic
- set<int> vars;
+ // Compute derivatives w.r. to all endogenous
+ set<int> vars;
for (int i = 0; i < symbol_table.endo_nbr(); i++)
{
int id = symbol_table.getID(SymbolType::endogenous, i);
@@ -1245,29 +1245,14 @@ StaticModel::computingPass(const eval_context_t &eval_context, bool no_tmp_terms
// Launch computations
if (!nopreprocessoroutput)
- cout << "Computing static model derivatives:" << endl
- << " - order 1" << endl;
-
- computeJacobian(vars);
-
- if (hessian)
- {
- if (!nopreprocessoroutput)
- cout << " - order 2" << endl;
- computeHessian(vars);
- }
+ cout << "Computing static model derivatives (order " << derivsOrder << ")." << endl;
- if (thirdDerivatives)
- {
- if (!nopreprocessoroutput)
- cout << " - order 3" << endl;
- computeThirdDerivatives(vars);
- }
+ computeDerivatives(derivsOrder, vars);
if (paramsDerivsOrder > 0)
{
if (!nopreprocessoroutput)
- cout << " - derivatives of Jacobian/Hessian w.r. to parameters" << endl;
+ cout << "Computing static model derivatives w.r.t. parameters (order " << paramsDerivsOrder << ")." << endl;
computeParamsDerivatives(paramsDerivsOrder);
}
diff --git a/src/StaticModel.hh b/src/StaticModel.hh
index 28d4ad87c9d0691bcc31225e1a59864a3e7285f0..de40a312c6de5b062f32405d85291ea31225c78e 100644
--- a/src/StaticModel.hh
+++ b/src/StaticModel.hh
@@ -193,10 +193,10 @@ public:
/*!
\param eval_context evaluation context for normalization
\param no_tmp_terms if true, no temporary terms will be computed in the static files
- \param hessian whether 2nd derivatives w.r. to exo, exo_det and endo should be computed
- \param paramsDerivsOrder order of derivatives w.r. to a pair (endo/exo/exo_det, parameter) to be computed
+ \param derivsOrder order of derivation with respect to endogenous
+ \param paramsDerivsOrder order of derivatives w.r. to a pair (endogenous, parameter) to be computed
*/
- void computingPass(const eval_context_t &eval_context, bool no_tmp_terms, bool hessian, bool thirdDerivatices, int paramsDerivsOrder, bool block, bool bytecode, const bool nopreprocessoroutput);
+ void computingPass(int derivsOrder, int paramsDerivsOrder, const eval_context_t &eval_context, bool no_tmp_terms, bool block, bool bytecode, bool nopreprocessoroutput);
//! Adds informations for simulation in a binary file for a block decomposed model
void Write_Inf_To_Bin_File_Block(const string &basename, const int &num,