From c628f2124572d887183fb8d7aa9c83c8aa6ec1ed Mon Sep 17 00:00:00 2001
From: =?UTF-8?q?S=C3=A9bastien=20Villemot?= <sebastien@dynare.org>
Date: Thu, 18 Apr 2019 17:07:55 +0200
Subject: [PATCH] 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
---
src/DynamicModel.cc | 194 ++++++++++++++----------------------------
src/StaticModel.cc | 201 ++++++++++++++------------------------------
2 files changed, 127 insertions(+), 268 deletions(-)
diff --git a/src/DynamicModel.cc b/src/DynamicModel.cc
index e7e62804..9fef7ade 100644
--- a/src/DynamicModel.cc
+++ b/src/DynamicModel.cc
@@ -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
diff --git a/src/StaticModel.cc b/src/StaticModel.cc
index 63a4580d..9d41d45f 100644
--- a/src/StaticModel.cc
+++ b/src/StaticModel.cc
@@ -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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