Verified Commit c628f212 authored by Sébastien Villemot's avatar Sébastien Villemot
Browse files

JSON: output derivatives at an arbitrary order

Backward incompatible change: the temporary terms for 3rd order are now stored
in "temporary_terms_third_derivative" (without the final "s"; same for external
functions), for consistency with the name of the slot for the derivatives
themselves ("third_derivative").

Ref dynare#217
parent 43906691
Pipeline #1148 passed with stage
in 1 minute and 25 seconds
......@@ -6779,163 +6779,93 @@ void
DynamicModel::writeJsonComputingPassOutput(ostream &output, bool writeDetails) const
{
ostringstream model_local_vars_output; // Used for storing model local vars
ostringstream model_output; // Used for storing model temp vars and equations
ostringstream jacobian_output; // Used for storing jacobian equations
ostringstream hessian_output; // Used for storing Hessian equations
ostringstream third_derivatives_output; // Used for storing third order derivatives equations
vector<ostringstream> d_output(derivatives.size()); // Derivatives output (at all orders, including 0=residual)
deriv_node_temp_terms_t tef_terms;
temporary_terms_t temp_term_union;
int hessianColsNbr = dynJacobianColsNbr * dynJacobianColsNbr;
writeJsonModelLocalVariables(model_local_vars_output, tef_terms);
writeJsonTemporaryTerms(temporary_terms_derivatives[0], temp_term_union, model_output, tef_terms, "");
model_output << ", ";
writeJsonModelEquations(model_output, true);
writeJsonTemporaryTerms(temporary_terms_derivatives[0], temp_term_union, d_output[0], tef_terms, "");
d_output[0] << ", ";
writeJsonModelEquations(d_output[0], true);
// Writing Jacobian
writeJsonTemporaryTerms(temporary_terms_derivatives[1], temp_term_union, jacobian_output, tef_terms, "jacobian");
jacobian_output << R"(, "jacobian": {)"
int ncols = dynJacobianColsNbr;
for (size_t i = 1; i < derivatives.size(); i++)
{
string matrix_name = i == 1 ? "jacobian" : i == 2 ? "hessian" : i == 3 ? "third_derivative" : to_string(i) + "th_derivative";
writeJsonTemporaryTerms(temporary_terms_derivatives[i], temp_term_union, d_output[i], tef_terms, matrix_name);
temp_term_union.insert(temporary_terms_derivatives[i].begin(), temporary_terms_derivatives[i].end());
d_output[i] << R"(, ")" << matrix_name << R"(": {)"
<< R"( "nrows": )" << equations.size()
<< R"(, "ncols": )" << dynJacobianColsNbr
<< R"(, "ncols": )" << ncols
<< R"(, "entries": [)";
for (auto it = derivatives[1].begin();
it != derivatives[1].end(); it++)
{
if (it != derivatives[1].begin())
jacobian_output << ", ";
int eq, var;
tie(eq, var) = vectorToTuple<2>(it->first);
int col = getDynJacobianCol(var);
expr_t d1 = it->second;
if (writeDetails)
jacobian_output << R"({"eq": )" << eq + 1;
else
jacobian_output << R"({"row": )" << eq + 1;
jacobian_output << R"(, "col": )" << col + 1;
if (writeDetails)
jacobian_output << R"(, "var": ")" << symbol_table.getName(getSymbIDByDerivID(var)) << R"(")"
<< R"(, "shift": )" << getLagByDerivID(var);
jacobian_output << R"(, "val": ")";
d1->writeJsonOutput(jacobian_output, temp_term_union, tef_terms);
jacobian_output << R"("})" << endl;
}
jacobian_output << "]}";
// Writing Hessian
writeJsonTemporaryTerms(temporary_terms_derivatives[2], temp_term_union, hessian_output, tef_terms, "hessian");
hessian_output << R"(, "hessian": {)"
<< R"( "nrows": )" << equations.size()
<< R"(, "ncols": )" << hessianColsNbr
<< R"(, "entries": [)";
for (auto it = derivatives[2].begin();
it != derivatives[2].end(); it++)
{
if (it != derivatives[2].begin())
hessian_output << ", ";
for (auto it = derivatives[i].begin(); it != derivatives[i].end(); ++it)
{
if (it != derivatives[i].begin())
d_output[i] << ", ";
int eq, var1, var2;
tie(eq, var1, var2) = vectorToTuple<3>(it->first);
expr_t d2 = it->second;
int id1 = getDynJacobianCol(var1);
int id2 = getDynJacobianCol(var2);
int col_nb = id1 * dynJacobianColsNbr + id2;
int col_nb_sym = id2 * dynJacobianColsNbr + id1;
const vector<int> &vidx = it->first;
expr_t d = it->second;
int eq = vidx[0];
if (writeDetails)
hessian_output << R"({"eq": )" << eq + 1;
else
hessian_output << R"({"row": )" << eq + 1;
int col_idx = 0;
for (size_t j = 1; j < vidx.size(); j++)
{
col_idx *= dynJacobianColsNbr;
col_idx += getDynJacobianCol(vidx[j]);
}
hessian_output << R"(, "col": [)" << col_nb + 1;
if (id1 != id2)
hessian_output << ", " << col_nb_sym + 1;
hessian_output << "]";
if (writeDetails)
d_output[i] << R"({"eq": )" << eq + 1;
else
d_output[i] << R"({"row": )" << eq + 1;
if (writeDetails)
hessian_output << R"(, "var1": ")" << symbol_table.getName(getSymbIDByDerivID(var1)) << R"(")"
<< R"(, "shift1": )" << getLagByDerivID(var1)
<< R"(, "var2": ")" << symbol_table.getName(getSymbIDByDerivID(var2)) << R"(")"
<< R"(, "shift2": )" << getLagByDerivID(var2);
d_output[i] << R"(, "col": )" << (i > 1 ? "[" : "") << col_idx + 1;
hessian_output << R"(, "val": ")";
d2->writeJsonOutput(hessian_output, temp_term_union, tef_terms);
hessian_output << R"("})" << endl;
}
hessian_output << "]}";
// Writing third derivatives
writeJsonTemporaryTerms(temporary_terms_derivatives[3], temp_term_union, third_derivatives_output, tef_terms, "third_derivatives");
third_derivatives_output << R"(, "third_derivative": {)"
<< R"( "nrows": )" << equations.size()
<< R"(, "ncols": )" << hessianColsNbr * dynJacobianColsNbr
<< R"(, "entries": [)";
for (auto it = derivatives[3].begin();
it != derivatives[3].end(); it++)
{
if (it != derivatives[3].begin())
third_derivatives_output << ", ";
if (i == 2 && vidx[1] != vidx[2]) // Symmetric elements in hessian
{
int col_idx_sym = getDynJacobianCol(vidx[2]) * dynJacobianColsNbr + getDynJacobianCol(vidx[1]);
d_output[i] << ", " << col_idx_sym + 1;
}
if (i == 3) // Symmetric elements in 3rd derivative
{
vector<int> idx3{getDynJacobianCol(vidx[1]), getDynJacobianCol(vidx[2]), getDynJacobianCol(vidx[3])};
sort(idx3.begin(), idx3.end());
do
{
int col_idx_sym = (idx3[0]*dynJacobianColsNbr + idx3[1])*dynJacobianColsNbr + idx3[2];
if (col_idx_sym != col_idx)
d_output[i] << ", " << col_idx_sym+1;
}
while (next_permutation(idx3.begin(), idx3.end()));
}
if (i > 1)
d_output[i] << "]";
int eq, var1, var2, var3;
tie(eq, var1, var2, var3) = vectorToTuple<4>(it->first);
expr_t d3 = it->second;
if (writeDetails)
for (size_t j = 1; j < vidx.size(); j++)
d_output[i] << R"(, "var)" << (i > 1 ? to_string(j) : "") << R"(": ")" << symbol_table.getName(getSymbIDByDerivID(vidx[j])) << R"(")"
<< R"(, "shift)" << (i > 1 ? to_string(j) : "") << R"(": )" << getLagByDerivID(vidx[j]);
if (writeDetails)
third_derivatives_output << R"({"eq": )" << eq + 1;
else
third_derivatives_output << R"({"row": )" << eq + 1;
int id1 = getDynJacobianCol(var1);
int id2 = getDynJacobianCol(var2);
int id3 = getDynJacobianCol(var3);
set<int> cols;
cols.insert(id1 * hessianColsNbr + id2 * dynJacobianColsNbr + id3);
cols.insert(id1 * hessianColsNbr + id3 * dynJacobianColsNbr + id2);
cols.insert(id2 * hessianColsNbr + id1 * dynJacobianColsNbr + id3);
cols.insert(id2 * hessianColsNbr + id3 * dynJacobianColsNbr + id1);
cols.insert(id3 * hessianColsNbr + id1 * dynJacobianColsNbr + id2);
cols.insert(id3 * hessianColsNbr + id2 * dynJacobianColsNbr + id1);
third_derivatives_output << R"(, "col": [)";
for (auto it2 = cols.begin(); it2 != cols.end(); it2++)
{
if (it2 != cols.begin())
third_derivatives_output << ", ";
third_derivatives_output << *it2 + 1;
d_output[i] << R"(, "val": ")";
d->writeJsonOutput(d_output[i], temp_term_union, tef_terms);
d_output[i] << R"("})" << endl;
}
third_derivatives_output << "]";
d_output[i] << "]}";
if (writeDetails)
third_derivatives_output << R"(, "var1": ")" << symbol_table.getName(getSymbIDByDerivID(var1)) << R"(")"
<< R"(, "shift1": )" << getLagByDerivID(var1)
<< R"(, "var2": ")" << symbol_table.getName(getSymbIDByDerivID(var2)) << R"(")"
<< R"(, "shift2": )" << getLagByDerivID(var2)
<< R"(, "var3": ")" << symbol_table.getName(getSymbIDByDerivID(var3)) << R"(")"
<< R"(, "shift3": )" << getLagByDerivID(var3);
third_derivatives_output << R"(, "val": ")";
d3->writeJsonOutput(third_derivatives_output, temp_term_union, tef_terms);
third_derivatives_output << R"("})" << endl;
ncols *= dynJacobianColsNbr;
}
third_derivatives_output << "]}";
if (writeDetails)
output << R"("dynamic_model": {)";
else
output << R"("dynamic_model_simple": {)";
output << model_local_vars_output.str()
<< ", " << model_output.str()
<< ", " << jacobian_output.str()
<< ", " << hessian_output.str()
<< ", " << third_derivatives_output.str()
<< "}";
output << model_local_vars_output.str();
for (const auto &it : d_output)
output << ", " << it.str();
output << "}";
}
void
......
......@@ -1482,7 +1482,7 @@ StaticModel::writeStaticModel(const string &basename,
int JacobianColsNbr = symbol_table.endo_nbr();
int hessianColsNbr = JacobianColsNbr*JacobianColsNbr;
auto getJacobCol = [this](int var) { return symbol_table.getTypeSpecificID(getSymbIDByDerivID(var)); };;
auto getJacobCol = [this](int var) { return symbol_table.getTypeSpecificID(getSymbIDByDerivID(var)); };
// Write Jacobian w.r. to endogenous only
if (!derivatives[1].empty())
......@@ -2808,165 +2808,94 @@ StaticModel::writeJsonOutput(ostream &output) const
void
StaticModel::writeJsonComputingPassOutput(ostream &output, bool writeDetails) const
{
ostringstream model_local_vars_output; // Used for storing model local vars
ostringstream model_output; // Used for storing model
ostringstream jacobian_output; // Used for storing jacobian equations
ostringstream hessian_output; // Used for storing Hessian equations
ostringstream third_derivatives_output; // Used for storing third order derivatives equations
ostringstream model_local_vars_output; // Used for storing model local vars
vector<ostringstream> d_output(derivatives.size()); // Derivatives output (at all orders, including 0=residual)
deriv_node_temp_terms_t tef_terms;
temporary_terms_t temp_term_union;
writeJsonModelLocalVariables(model_local_vars_output, tef_terms);
writeJsonTemporaryTerms(temporary_terms_derivatives[0], temp_term_union, model_output, tef_terms, "");
model_output << ", ";
writeJsonModelEquations(model_output, true);
int nrows = equations.size();
int JacobianColsNbr = symbol_table.endo_nbr();
int hessianColsNbr = JacobianColsNbr*JacobianColsNbr;
// Write Jacobian w.r. to endogenous only
writeJsonTemporaryTerms(temporary_terms_derivatives[1], temp_term_union, jacobian_output, tef_terms, "jacobian");
jacobian_output << R"(, "jacobian": {)"
<< R"( "nrows": )" << nrows
<< R"(, "ncols": )" << JacobianColsNbr
<< R"(, "entries": [)";
for (auto it = derivatives[1].begin();
it != derivatives[1].end(); it++)
{
if (it != derivatives[1].begin())
jacobian_output << ", ";
int eq, var;
tie(eq, var) = vectorToTuple<2>(it->first);
int symb_id = getSymbIDByDerivID(var);
int col = symbol_table.getTypeSpecificID(symb_id);
expr_t d1 = it->second;
if (writeDetails)
jacobian_output << R"({"eq": )" << eq + 1;
else
jacobian_output << R"({"row": )" << eq + 1;
jacobian_output << R"(, "col": )" << col + 1;
writeJsonTemporaryTerms(temporary_terms_derivatives[0], temp_term_union, d_output[0], tef_terms, "");
d_output[0] << ", ";
writeJsonModelEquations(d_output[0], true);
if (writeDetails)
jacobian_output << R"(, "var": ")" << symbol_table.getName(symb_id) << R"(")";
jacobian_output << R"(, "val": ")";
d1->writeJsonOutput(jacobian_output, temp_term_union, tef_terms);
jacobian_output << R"("})" << endl;
}
jacobian_output << "]}";
// Write Hessian w.r. to endogenous only (only if 2nd order derivatives have been computed)
writeJsonTemporaryTerms(temporary_terms_derivatives[2], temp_term_union, hessian_output, tef_terms, "hessian");
hessian_output << R"(, "hessian": {)"
<< R"( "nrows": )" << equations.size()
<< R"(, "ncols": )" << hessianColsNbr
<< R"(, "entries": [)";
for (auto it = derivatives[2].begin();
it != derivatives[2].end(); it++)
auto getJacobCol = [this](int var) { return symbol_table.getTypeSpecificID(getSymbIDByDerivID(var)); };
int ncols = symbol_table.endo_nbr();
for (size_t i = 1; i < derivatives.size(); i++)
{
if (it != derivatives[2].begin())
hessian_output << ", ";
int eq, var1, var2;
tie(eq, var1, var2) = vectorToTuple<3>(it->first);
int symb_id1 = getSymbIDByDerivID(var1);
int symb_id2 = getSymbIDByDerivID(var2);
expr_t d2 = it->second;
int tsid1 = symbol_table.getTypeSpecificID(symb_id1);
int tsid2 = symbol_table.getTypeSpecificID(symb_id2);
string matrix_name = i == 1 ? "jacobian" : i == 2 ? "hessian" : i == 3 ? "third_derivative" : to_string(i) + "th_derivative";
writeJsonTemporaryTerms(temporary_terms_derivatives[i], temp_term_union, d_output[i], tef_terms, matrix_name);
temp_term_union.insert(temporary_terms_derivatives[i].begin(), temporary_terms_derivatives[i].end());
d_output[i] << R"(, ")" << matrix_name << R"(": {)"
<< R"( "nrows": )" << equations.size()
<< R"(, "ncols": )" << ncols
<< R"(, "entries": [)";
int col = tsid1*symbol_table.endo_nbr()+tsid2;
int col_sym = tsid2*symbol_table.endo_nbr()+tsid1;
for (auto it = derivatives[i].begin(); it != derivatives[i].end(); ++it)
{
if (it != derivatives[i].begin())
d_output[i] << ", ";
if (writeDetails)
hessian_output << R"({"eq": )" << eq + 1;
else
hessian_output << R"({"row": )" << eq + 1;
const vector<int> &vidx = it->first;
expr_t d = it->second;
int eq = vidx[0];
hessian_output << R"(, "col": [)" << col + 1;
int col_idx = 0;
for (size_t j = 1; j < vidx.size(); j++)
{
col_idx *= symbol_table.endo_nbr();
col_idx += getJacobCol(vidx[j]);
}
if (writeDetails)
hessian_output << R"(, "var1": ")" << symbol_table.getName(symb_id1) << R"(")"
<< R"(, "var2": ")" << symbol_table.getName(symb_id2) << R"(")";
if (writeDetails)
d_output[i] << R"({"eq": )" << eq + 1;
else
d_output[i] << R"({"row": )" << eq + 1;
if (symb_id1 != symb_id2)
hessian_output << ", " << col_sym + 1;
hessian_output << "]"
<< R"(, "val": ")";
d2->writeJsonOutput(hessian_output, temp_term_union, tef_terms);
hessian_output << R"("})" << endl;
}
hessian_output << "]}";
d_output[i] << R"(, "col": )" << (i > 1 ? "[" : "") << col_idx + 1;
// Writing third derivatives
writeJsonTemporaryTerms(temporary_terms_derivatives[3], temp_term_union, third_derivatives_output, tef_terms, "third_derivatives");
third_derivatives_output << R"(, "third_derivative": {)"
<< R"( "nrows": )" << equations.size()
<< R"(, "ncols": )" << hessianColsNbr * JacobianColsNbr
<< R"(, "entries": [)";
for (auto it = derivatives[3].begin();
it != derivatives[3].end(); it++)
{
if (it != derivatives[3].begin())
third_derivatives_output << ", ";
if (i == 2 && vidx[1] != vidx[2]) // Symmetric elements in hessian
{
int col_idx_sym = getJacobCol(vidx[2]) * symbol_table.endo_nbr() + getJacobCol(vidx[1]);
d_output[i] << ", " << col_idx_sym + 1;
}
if (i == 3) // Symmetric elements in 3rd derivative
{
vector<int> idx3{getJacobCol(vidx[1]), getJacobCol(vidx[2]), getJacobCol(vidx[3])};
sort(idx3.begin(), idx3.end());
do
{
int col_idx_sym = (idx3[0]*symbol_table.endo_nbr() + idx3[1])*symbol_table.endo_nbr() + idx3[2];
if (col_idx_sym != col_idx)
d_output[i] << ", " << col_idx_sym+1;
}
while (next_permutation(idx3.begin(), idx3.end()));
}
if (i > 1)
d_output[i] << "]";
int eq, var1, var2, var3;
tie(eq, var1, var2, var3) = vectorToTuple<4>(it->first);
expr_t d3 = it->second;
if (writeDetails)
for (size_t j = 1; j < vidx.size(); j++)
d_output[i] << R"(, "var)" << (i > 1 ? to_string(j) : "") << R"(": ")" << symbol_table.getName(getSymbIDByDerivID(vidx[j])) << R"(")";
if (writeDetails)
third_derivatives_output << R"({"eq": )" << eq + 1;
else
third_derivatives_output << R"({"row": )" << eq + 1;
int id1 = getSymbIDByDerivID(var1);
int id2 = getSymbIDByDerivID(var2);
int id3 = getSymbIDByDerivID(var3);
set<int> cols;
cols.insert(id1 * hessianColsNbr + id2 * JacobianColsNbr + id3);
cols.insert(id1 * hessianColsNbr + id3 * JacobianColsNbr + id2);
cols.insert(id2 * hessianColsNbr + id1 * JacobianColsNbr + id3);
cols.insert(id2 * hessianColsNbr + id3 * JacobianColsNbr + id1);
cols.insert(id3 * hessianColsNbr + id1 * JacobianColsNbr + id2);
cols.insert(id3 * hessianColsNbr + id2 * JacobianColsNbr + id1);
third_derivatives_output << R"(, "col": [)";
for (auto it2 = cols.begin(); it2 != cols.end(); it2++)
{
if (it2 != cols.begin())
third_derivatives_output << ", ";
third_derivatives_output << *it2 + 1;
d_output[i] << R"(, "val": ")";
d->writeJsonOutput(d_output[i], temp_term_union, tef_terms);
d_output[i] << R"("})" << endl;
}
third_derivatives_output << "]";
if (writeDetails)
third_derivatives_output << R"(, "var1": ")" << symbol_table.getName(getSymbIDByDerivID(var1)) << R"(")"
<< R"(, "var2": ")" << symbol_table.getName(getSymbIDByDerivID(var2)) << R"(")"
<< R"(, "var3": ")" << symbol_table.getName(getSymbIDByDerivID(var3)) << R"(")";
d_output[i] << "]}";
third_derivatives_output << R"(, "val": ")";
d3->writeJsonOutput(third_derivatives_output, temp_term_union, tef_terms);
third_derivatives_output << R"("})" << endl;
ncols *= symbol_table.endo_nbr();
}
third_derivatives_output << "]}";
if (writeDetails)
output << R"("static_model": {)";
else
output << R"("static_model_simple": {)";
output << model_local_vars_output.str()
<< ", " << model_output.str()
<< ", " << jacobian_output.str()
<< ", " << hessian_output.str()
<< ", " << third_derivatives_output.str()
<< "}";
output << model_local_vars_output.str();
for (const auto &it : d_output)
output << ", " << it.str();
output << "}";
}
void
......
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