From ad22e628749560d9c59b5f7002700a505102a234 Mon Sep 17 00:00:00 2001
From: Johannes Pfeifer <jpfeifer@gmx.de>
Date: Mon, 18 Jan 2021 16:42:20 +0100
Subject: [PATCH] filter_initial_state: Port lost preprocessor commits from
https://git.dynare.org/JohannesPfeifer/dynare/-/commits/filter_initial_state
---
src/ComputingTasks.cc | 65 +++++++++++++++++++++++++++++++++++++++++++
src/ComputingTasks.hh | 14 ++++++++++
src/DynareBison.yy | 11 +++++++-
src/DynareFlex.ll | 1 +
src/ParsingDriver.cc | 32 +++++++++++++++++++++
src/ParsingDriver.hh | 6 ++++
6 files changed, 128 insertions(+), 1 deletion(-)
diff --git a/src/ComputingTasks.cc b/src/ComputingTasks.cc
index aebdf321..f0f010d5 100644
--- a/src/ComputingTasks.cc
+++ b/src/ComputingTasks.cc
@@ -1700,6 +1700,71 @@ ObservationTrendsStatement::writeJsonOutput(ostream &output) const
<< "}";
}
+FilterInitialStateStatement::FilterInitialStateStatement(filter_initial_state_elements_t filter_initial_state_elements_arg,
+ const SymbolTable &symbol_table_arg) :
+ filter_initial_state_elements{move(filter_initial_state_elements_arg)},
+ symbol_table{symbol_table_arg}
+{
+}
+
+void
+FilterInitialStateStatement::writeOutput(ostream &output, const string &basename, bool minimal_workspace) const
+{
+ output << "M_.filter_initial_state = cell(M_.endo_nbr, 2);" << endl;
+ for (const auto &[key, val] : filter_initial_state_elements)
+ {
+ auto [symb_id, lag] = key;
+ SymbolType type = symbol_table.getType(symb_id);
+
+ if ((type == SymbolType::endogenous && lag < 0) || type == SymbolType::exogenous)
+ {
+ try
+ {
+ // This function call must remain the 1st statement in this block
+ symb_id = symbol_table.searchAuxiliaryVars(symb_id, lag);
+ }
+ catch (SymbolTable::SearchFailedException &e)
+ {
+ if (type == SymbolType::endogenous)
+ {
+ cerr << "filter_initial_state: internal error, please contact the developers";
+ exit(EXIT_FAILURE);
+ }
+ // We don't fail for exogenous, because they are not replaced by
+ // auxiliary variables in deterministic mode.
+ }
+ }
+
+ output << "M_.filter_initial_state("
+ << symbol_table.getTypeSpecificID(symb_id) + 1
+ << ",:) = {'" << symbol_table.getName(symb_id) << "', '";
+ val->writeOutput(output);
+ output << ";'};" << endl;
+ }
+}
+
+void
+FilterInitialStateStatement::writeJsonOutput(ostream &output) const
+{
+ output << R"({"statementName": "filter_initial_state", )"
+ << R"("states": [)";
+
+ for (auto it = filter_initial_state_elements.begin();
+ it != filter_initial_state_elements.end(); ++it)
+ {
+ if (it != filter_initial_state_elements.begin())
+ output << ", ";
+ auto &[key, val] = *it;
+ auto &[symb_id, lag] = key;
+ output << R"({ "var": ")" << symbol_table.getName(symb_id)
+ << R"(", "lag": )" << lag
+ << R"(, "value": ")";
+ val->writeJsonOutput(output, {}, {});
+ output << R"(" })";
+ }
+ output << "] }";
+}
+
OsrParamsStatement::OsrParamsStatement(SymbolList symbol_list_arg, const SymbolTable &symbol_table_arg) :
symbol_list{move(symbol_list_arg)},
symbol_table{symbol_table_arg}
diff --git a/src/ComputingTasks.hh b/src/ComputingTasks.hh
index aac12ade..69ab9d70 100644
--- a/src/ComputingTasks.hh
+++ b/src/ComputingTasks.hh
@@ -301,6 +301,20 @@ public:
void writeJsonOutput(ostream &output) const override;
};
+class FilterInitialStateStatement : public Statement
+{
+public:
+ using filter_initial_state_elements_t = map<pair<int, int>, expr_t>;
+private:
+ const filter_initial_state_elements_t filter_initial_state_elements;
+ const SymbolTable &symbol_table;
+public:
+ FilterInitialStateStatement(filter_initial_state_elements_t filter_initial_state_elements_arg,
+ const SymbolTable &symbol_table_arg);
+ void writeOutput(ostream &output, const string &basename, bool minimal_workspace) const override;
+ void writeJsonOutput(ostream &output) const override;
+};
+
class OsrParamsStatement : public Statement
{
private:
diff --git a/src/DynareBison.yy b/src/DynareBison.yy
index 44d14904..bbcaa96e 100644
--- a/src/DynareBison.yy
+++ b/src/DynareBison.yy
@@ -100,7 +100,7 @@ class ParsingDriver;
%token MODE_CHECK MODE_CHECK_NEIGHBOURHOOD_SIZE MODE_CHECK_SYMMETRIC_PLOTS MODE_CHECK_NUMBER_OF_POINTS MODE_COMPUTE MODE_FILE MODEL MODEL_COMPARISON MODEL_INFO MSHOCKS ABS SIGN
%token MODEL_DIAGNOSTICS MODIFIEDHARMONICMEAN MOMENTS_VARENDO CONTEMPORANEOUS_CORRELATION DIFFUSE_FILTER SUB_DRAWS TAPER_STEPS GEWEKE_INTERVAL RAFTERY_LEWIS_QRS RAFTERY_LEWIS_DIAGNOSTICS MCMC_JUMPING_COVARIANCE MOMENT_CALIBRATION
%token NUMBER_OF_PARTICLES RESAMPLING SYSTEMATIC GENERIC RESAMPLING_THRESHOLD RESAMPLING_METHOD KITAGAWA STRATIFIED SMOOTH
-%token CPF_WEIGHTS AMISANOTRISTANI MURRAYJONESPARSLOW WRITE_EQUATION_TAGS
+%token CPF_WEIGHTS AMISANOTRISTANI MURRAYJONESPARSLOW WRITE_EQUATION_TAGS FILTER_INITIAL_STATE
%token NONLINEAR_FILTER_INITIALIZATION FILTER_ALGORITHM PROPOSAL_APPROXIMATION CUBATURE UNSCENTED MONTECARLO DISTRIBUTION_APPROXIMATION
%token <string> NAME
%token USE_PENALIZED_OBJECTIVE_FOR_HESSIAN INIT_STATE FAST_REALTIME RESCALE_PREDICTION_ERROR_COVARIANCE GENERATE_IRFS
@@ -244,6 +244,7 @@ statement : parameters
| options_eq
| varobs
| observation_trends
+ | filter_initial_state
| varexobs
| unit_root_vars
| dsample
@@ -2072,6 +2073,14 @@ trend_list : trend_list trend_element
trend_element : symbol '(' expression ')' ';' { driver.set_trend_element($1, $3); };
+filter_initial_state : FILTER_INITIAL_STATE ';' filter_initial_state_list END ';' { driver.set_filter_initial_state(); };
+
+filter_initial_state_list : filter_initial_state_list filter_initial_state_element
+ | filter_initial_state_element
+ ;
+
+filter_initial_state_element : symbol '(' signed_integer ')' EQUAL expression ';' { driver.set_filter_initial_state_element($1, $3, $6); };
+
unit_root_vars : UNIT_ROOT_VARS symbol_list ';' { driver.set_unit_root_vars(); };
optim_weights : OPTIM_WEIGHTS ';' optim_weights_list END ';' { driver.optim_weights(); };
diff --git a/src/DynareFlex.ll b/src/DynareFlex.ll
index 390e87bf..fabfb87b 100644
--- a/src/DynareFlex.ll
+++ b/src/DynareFlex.ll
@@ -200,6 +200,7 @@ DATE -?[0-9]+([ya]|m([1-9]|1[0-2])|q[1-4])
<INITIAL>initval {BEGIN DYNARE_BLOCK; return token::INITVAL;}
<INITIAL>endval {BEGIN DYNARE_BLOCK; return token::ENDVAL;}
<INITIAL>histval {BEGIN DYNARE_BLOCK; return token::HISTVAL;}
+<INITIAL>filter_initial_state {BEGIN DYNARE_BLOCK; return token::FILTER_INITIAL_STATE;}
<INITIAL>shocks {BEGIN DYNARE_BLOCK; return token::SHOCKS;}
<INITIAL>shock_groups {BEGIN DYNARE_BLOCK; return token::SHOCK_GROUPS;}
<INITIAL>init2shocks {BEGIN DYNARE_BLOCK; return token::INIT2SHOCKS;}
diff --git a/src/ParsingDriver.cc b/src/ParsingDriver.cc
index e9518117..9b0695c7 100644
--- a/src/ParsingDriver.cc
+++ b/src/ParsingDriver.cc
@@ -1935,6 +1935,13 @@ ParsingDriver::set_trends()
trend_elements.clear();
}
+void
+ParsingDriver::set_filter_initial_state()
+{
+ mod_file->addStatement(make_unique<FilterInitialStateStatement>(filter_initial_state_elements, mod_file->symbol_table));
+ filter_initial_state_elements.clear();
+}
+
void
ParsingDriver::set_trend_element(string arg1, expr_t arg2)
{
@@ -1944,6 +1951,31 @@ ParsingDriver::set_trend_element(string arg1, expr_t arg2)
trend_elements[move(arg1)] = arg2;
}
+void
+ParsingDriver::set_filter_initial_state_element(const string &name, const string &lag, expr_t rhs)
+{
+ check_symbol_existence(name);
+ int symb_id = mod_file->symbol_table.getID(name);
+ SymbolType type = mod_file->symbol_table.getType(symb_id);
+ int ilag = stoi(lag);
+
+ if (type != SymbolType::endogenous
+ && type != SymbolType::exogenous
+ && type != SymbolType::exogenousDet)
+ error("filter_initial_state: " + name + " should be an endogenous or exogenous variable");
+
+ if ((type == SymbolType::exogenous || type == SymbolType::exogenousDet) && ilag == 0)
+ error("filter_initial_state: exogenous variable " + name + " must be provided with a lag");
+
+ if (filter_initial_state_elements.find({ symb_id, ilag }) != filter_initial_state_elements.end())
+ error("filter_initial_state: (" + name + ", " + lag + ") declared twice");
+
+ if (mod_file->dynamic_model.minLagForSymbol(symb_id) > ilag - 1)
+ error("filter_initial_state: variable " + name + " does not appear in the model with the lag " + to_string(ilag-1) + " (see the reference manual for the timing convention in 'filter_initial_state')");
+
+ filter_initial_state_elements[{ symb_id, ilag }] = rhs;
+}
+
void
ParsingDriver::set_optim_weights(string name, expr_t value)
{
diff --git a/src/ParsingDriver.hh b/src/ParsingDriver.hh
index 04b791b4..ed4ef240 100644
--- a/src/ParsingDriver.hh
+++ b/src/ParsingDriver.hh
@@ -141,6 +141,8 @@ private:
OptionsList options_list;
//! Temporary storage for trend elements
ObservationTrendsStatement::trend_elements_t trend_elements;
+ //! Temporary storage for filter_initial_state elements
+ FilterInitialStateStatement::filter_initial_state_elements_t filter_initial_state_elements;
//! Temporary storage for filename list of ModelComparison (contains weights)
ModelComparisonStatement::filename_list_t filename_list;
//! Temporary storage for list of EstimationParams (from estimated_params* statements)
@@ -610,6 +612,10 @@ public:
void forecast();
void set_trends();
void set_trend_element(string arg1, expr_t arg2);
+ //! filter_initial_state block
+ void set_filter_initial_state();
+ //! element for filter_initial_state block
+ void set_filter_initial_state_element(const string &name, const string &lag, expr_t rhs);
void set_unit_root_vars();
void optim_weights();
void set_optim_weights(string name, expr_t value);
--
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