Verified Commit 6fa115ae authored by Sébastien Villemot's avatar Sébastien Villemot
Browse files

Derivation engine w.r.t. endogenous generalized to any order

parent b7d50560
......@@ -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;
}
......
......@@ -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>
......
......@@ -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;
......
......@@ -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
......
......@@ -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
......
......@@ -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
......
......@@ -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);
}
......
......@@ -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,
......
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