trend_component_model: simplify AR

parent a3c08f93
Pipeline #981 passed with stage
in 1 minute and 23 seconds
......@@ -4043,7 +4043,7 @@ DynamicModel::fillVarModelTable() const
var_model_table.setLhsExprT(lhs_expr_tr);
// Fill AR Matrix
var_model_table.setAR(fillAutoregressiveMatrixForVAR());
var_model_table.setAR(fillAutoregressiveMatrix(true));
}
void
......@@ -4114,37 +4114,27 @@ DynamicModel::fillVarModelTableFromOrigModel(StaticModel &static_model) const
}
map<string, map<tuple<int, int, int>, expr_t>>
DynamicModel::fillAutoregressiveMatrixForVAR() const
DynamicModel::fillAutoregressiveMatrix(bool is_var) const
{
map<string, map<tuple<int, int, int>, expr_t>> ARr;
for (const auto & it : var_model_table.getEqNums())
auto eqnums = is_var ?
var_model_table.getEqNums() : trend_component_model_table.getNonTargetEqNums();
for (const auto & it : eqnums)
{
int i = 0;
map<tuple<int, int, int>, expr_t> AR;
vector<int> lhs = is_var ?
var_model_table.getLhsOrigIds(it.first) : trend_component_model_table.getNonTargetLhs(it.first);
for (auto eqn : it.second)
{
auto *bopn = dynamic_cast<BinaryOpNode *>(equations[eqn]->arg2);
bopn->fillAutoregressiveRowForVAR(i++, var_model_table.getLhsOrigIds(it.first), AR);
bopn->fillAutoregressiveRow(i++, lhs, AR);
}
ARr[it.first] = AR;
}
return ARr;
}
void
DynamicModel::fillAutoregressiveMatrix(map<string, map<tuple<int, int, int>, expr_t>> &ARr) const
{
for (const auto & it : trend_component_model_table.getNonTargetEqNums())
{
int i = 0;
map<tuple<int, int, int>, expr_t> AR;
vector<int> lhs = trend_component_model_table.getNonTargetLhs(it.first);
for (auto eqn : it.second)
equations[eqn]->arg2->fillAutoregressiveRow(i++, lhs, AR);
ARr[it.first] = AR;
}
}
void
DynamicModel::fillTrendComponentModelTable() const
{
......@@ -4348,7 +4338,7 @@ void
DynamicModel::fillTrendComponentmodelTableAREC(ExprNode::subst_table_t &diff_subst_table) const
{
map<string, map<tuple<int, int, int>, expr_t>> ARr, A0r, A0starr;
fillAutoregressiveMatrix(ARr);
ARr = fillAutoregressiveMatrix(false);
trend_component_model_table.setAR(ARr);
fillErrorComponentMatrix(A0r, A0starr, diff_subst_table);
trend_component_model_table.setA0(A0r, A0starr);
......
......@@ -316,11 +316,8 @@ public:
//! Set the equations that have non-zero second derivatives
void setNonZeroHessianEquations(map<int, string> &eqs);
//! Fill Autoregressive Matrix for trend_component_model
void fillAutoregressiveMatrix(map<string, map<tuple<int, int, int>, expr_t>> &ARr) const;
//! Fill Autoregressive Matrix for var_model
map<string, map<tuple<int, int, int>, expr_t>> fillAutoregressiveMatrixForVAR() const;
map<string, map<tuple<int, int, int>, expr_t>> fillAutoregressiveMatrix(bool is_var) const;
//! Fill Error Component Matrix for trend_component_model
void fillErrorComponentMatrix(map<string, map<tuple<int, int, int>, expr_t>> &A0r, map<string, map<tuple<int, int, int>, expr_t>> &A0starr, ExprNode::subst_table_t &diff_subst_table) const;
......
......@@ -686,11 +686,6 @@ NumConstNode::substituteStaticAuxiliaryVariable() const
return const_cast<NumConstNode *>(this);
}
void
NumConstNode::fillAutoregressiveRow(int eqn, const vector<int> &lhs, map<tuple<int, int, int>, expr_t> &AR) const
{
}
void
NumConstNode::fillErrorCorrectionRow(int eqn, const vector<int> &nontrend_lhs, const vector<int> &trend_lhs, map<tuple<int, int, int>, expr_t> &A0, map<tuple<int, int, int>, expr_t> &A0star) const
{
......@@ -1979,11 +1974,6 @@ VariableNode::getEndosAndMaxLags(map<string, int> &model_endos_and_lags) const
model_endos_and_lags[varname] = lag;
}
void
VariableNode::fillAutoregressiveRow(int eqn, const vector<int> &lhs, map<tuple<int, int, int>, expr_t> &AR) const
{
}
void
VariableNode::fillErrorCorrectionRow(int eqn, const vector<int> &nontrend_lhs, const vector<int> &trend_lhs, map<tuple<int, int, int>, expr_t> &A0, map<tuple<int, int, int>, expr_t> &A0star) const
{
......@@ -3794,12 +3784,6 @@ UnaryOpNode::substituteStaticAuxiliaryVariable() const
return buildSimilarUnaryOpNode(argsubst, datatree);
}
void
UnaryOpNode::fillAutoregressiveRow(int eqn, const vector<int> &lhs, map<tuple<int, int, int>, expr_t> &AR) const
{
arg->fillAutoregressiveRow(eqn, lhs, AR);
}
void
UnaryOpNode::fillErrorCorrectionRow(int eqn, const vector<int> &nontrend_lhs, const vector<int> &trend_lhs, map<tuple<int, int, int>, expr_t> &A0, map<tuple<int, int, int>, expr_t> &A0star) const
{
......@@ -5853,73 +5837,8 @@ BinaryOpNode::getPacOptimizingShareAndExprNodes(int lhs_symb_id, int lhs_orig_sy
return {optim_share, optim_part, non_optim_part, additive_part};
}
void
BinaryOpNode::fillAutoregressiveRowHelper(expr_t arg1, expr_t arg2,
int eqn,
const vector<int> &lhs,
map<tuple<int, int, int>, expr_t> &AR) const
{
if (op_code != BinaryOpcode::times)
return;
set<pair<int, int>> endogs, tmp;
arg1->collectDynamicVariables(SymbolType::endogenous, tmp);
arg1->collectDynamicVariables(SymbolType::exogenous, tmp);
if (tmp.size() != 0)
return;
arg1->collectDynamicVariables(SymbolType::parameter, tmp);
if (tmp.size() != 1)
return;
auto *vn = dynamic_cast<VariableNode *>(arg2);
if (vn == nullptr)
return;
arg2->collectDynamicVariables(SymbolType::exogenous, endogs);
if (endogs.size() != 0)
{
cerr << "BinaryOpNode::fillAutoregressiveRowHelper: do not currently support param*exog;" << endl;
exit(EXIT_FAILURE);
}
arg2->collectDynamicVariables(SymbolType::endogenous, endogs);
if (endogs.size() != 1)
return;
int lhs_symb_id = endogs.begin()->first;
int lag = endogs.begin()->second;
if (datatree.symbol_table.isAuxiliaryVariable(lhs_symb_id))
{
int orig_lhs_symb_id = datatree.symbol_table.getOrigSymbIdForDiffAuxVar(lhs_symb_id);
if (find(lhs.begin(), lhs.end(), orig_lhs_symb_id) == lhs.end())
return;
lag = -1 * datatree.symbol_table.getOrigLeadLagForDiffAuxVar(lhs_symb_id);
lhs_symb_id = orig_lhs_symb_id;
}
else
if (find(lhs.begin(), lhs.end(), lhs_symb_id) == lhs.end())
return;
if (AR.find({eqn, -lag, lhs_symb_id}) != AR.end())
{
cerr << "BinaryOpNode::fillAutoregressiveRowHelper: Error filling AR matrix: lag/symb_id encountered more than once in equtaion" << endl;
exit(EXIT_FAILURE);
}
AR[{eqn, -lag, lhs_symb_id}] = arg1;
}
void
BinaryOpNode::fillAutoregressiveRow(int eqn, const vector<int> &lhs, map<tuple<int, int, int>, expr_t> &AR) const
{
fillAutoregressiveRowHelper(arg1, arg2, eqn, lhs, AR);
fillAutoregressiveRowHelper(arg2, arg1, eqn, lhs, AR);
arg1->fillAutoregressiveRow(eqn, lhs, AR);
arg2->fillAutoregressiveRow(eqn, lhs, AR);
}
void
BinaryOpNode::fillAutoregressiveRowForVAR(int eqn, const vector<int> &lhs, map<tuple<int, int, int>, expr_t> &AR) const
{
vector<pair<expr_t, int>> terms;
decomposeAdditiveTerms(terms, 1);
......@@ -7100,14 +7019,6 @@ TrinaryOpNode::substituteStaticAuxiliaryVariable() const
return buildSimilarTrinaryOpNode(arg1subst, arg2subst, arg3subst, datatree);
}
void
TrinaryOpNode::fillAutoregressiveRow(int eqn, const vector<int> &lhs, map<tuple<int, int, int>, expr_t> &AR) const
{
arg1->fillAutoregressiveRow(eqn, lhs, AR);
arg2->fillAutoregressiveRow(eqn, lhs, AR);
arg3->fillAutoregressiveRow(eqn, lhs, AR);
}
void
TrinaryOpNode::fillErrorCorrectionRow(int eqn, const vector<int> &nontrend_lhs, const vector<int> &trend_lhs, map<tuple<int, int, int>, expr_t> &A0, map<tuple<int, int, int>, expr_t> &A0star) const
{
......@@ -7736,13 +7647,6 @@ AbstractExternalFunctionNode::substituteStaticAuxiliaryVariable() const
return buildSimilarExternalFunctionNode(arguments_subst, datatree);
}
void
AbstractExternalFunctionNode::fillAutoregressiveRow(int eqn, const vector<int> &lhs, map<tuple<int, int, int>, expr_t> &AR) const
{
cerr << "External functions not supported in VARs or Trend Component Models" << endl;
exit(EXIT_FAILURE);
}
void
AbstractExternalFunctionNode::fillErrorCorrectionRow(int eqn, const vector<int> &nontrend_lhs, const vector<int> &trend_lhs, map<tuple<int, int, int>, expr_t> &A0, map<tuple<int, int, int>, expr_t> &A0star) const
{
......@@ -9254,13 +9158,6 @@ VarExpectationNode::substituteStaticAuxiliaryVariable() const
return const_cast<VarExpectationNode *>(this);
}
void
VarExpectationNode::fillAutoregressiveRow(int eqn, const vector<int> &lhs, map<tuple<int, int, int>, expr_t> &AR) const
{
cerr << "Var Expectation not supported in VARs or Trend Component Models" << endl;
exit(EXIT_FAILURE);
}
void
VarExpectationNode::fillErrorCorrectionRow(int eqn, const vector<int> &nontrend_lhs, const vector<int> &trend_lhs, map<tuple<int, int, int>, expr_t> &A0, map<tuple<int, int, int>, expr_t> &A0star) const
{
......@@ -9670,13 +9567,6 @@ PacExpectationNode::substituteStaticAuxiliaryVariable() const
return const_cast<PacExpectationNode *>(this);
}
void
PacExpectationNode::fillAutoregressiveRow(int eqn, const vector<int> &lhs, map<tuple<int, int, int>, expr_t> &AR) const
{
cerr << "Pac Expectation not supported in VARs" << endl;
exit(EXIT_FAILURE);
}
void
PacExpectationNode::fillErrorCorrectionRow(int eqn, const vector<int> &nontrend_lhs, const vector<int> &trend_lhs, map<tuple<int, int, int>, expr_t> &A0, map<tuple<int, int, int>, expr_t> &A0star) const
{
......
......@@ -593,9 +593,6 @@ class ExprNode
//! param * (endog op endog op ...) + param * (endog op endog op ...) + ...
virtual bool isParamTimesEndogExpr() const = 0;
//! Fills the AR matrix structure
virtual void fillAutoregressiveRow(int eqn, const vector<int> &lhs, map<tuple<int, int, int>, expr_t> &AR) const = 0;
//! Fills the EC matrix structure
virtual void fillErrorCorrectionRow(int eqn, const vector<int> &nontrend_lhs, const vector<int> &trend_lhs,
map<tuple<int, int, int>, expr_t> &A0,
......@@ -718,7 +715,6 @@ public:
expr_t clone(DataTree &datatree) const override;
expr_t removeTrendLeadLag(map<int, expr_t> trend_symbols_map) const override;
bool isInStaticForm() const override;
void fillAutoregressiveRow(int eqn, const vector<int> &lhs, map<tuple<int, int, int>, expr_t> &AR) const override;
void fillErrorCorrectionRow(int eqn, const vector<int> &nontrend_lhs, const vector<int> &trend_lhs, map<tuple<int, int, int>, expr_t> &A0, map<tuple<int, int, int>, expr_t> &A0star) const override;
void findConstantEquations(map<VariableNode *, NumConstNode *> &table) const override;
expr_t replaceVarsInEquation(map<VariableNode *, NumConstNode *> &table) const override;
......@@ -803,7 +799,6 @@ public:
expr_t clone(DataTree &datatree) const override;
expr_t removeTrendLeadLag(map<int, expr_t> trend_symbols_map) const override;
bool isInStaticForm() const override;
void fillAutoregressiveRow(int eqn, const vector<int> &lhs, map<tuple<int, int, int>, expr_t> &AR) const override;
void fillErrorCorrectionRow(int eqn, const vector<int> &nontrend_lhs, const vector<int> &trend_lhs, map<tuple<int, int, int>, expr_t> &A0, map<tuple<int, int, int>, expr_t> &A0star) const override;
void findConstantEquations(map<VariableNode *, NumConstNode *> &table) const override;
expr_t replaceVarsInEquation(map<VariableNode *, NumConstNode *> &table) const override;
......@@ -916,7 +911,6 @@ public:
expr_t clone(DataTree &datatree) const override;
expr_t removeTrendLeadLag(map<int, expr_t> trend_symbols_map) const override;
bool isInStaticForm() const override;
void fillAutoregressiveRow(int eqn, const vector<int> &lhs, map<tuple<int, int, int>, expr_t> &AR) const override;
void fillErrorCorrectionRow(int eqn, const vector<int> &nontrend_lhs, const vector<int> &trend_lhs, map<tuple<int, int, int>, expr_t> &A0, map<tuple<int, int, int>, expr_t> &A0star) const override;
void findConstantEquations(map<VariableNode *, NumConstNode *> &table) const override;
expr_t replaceVarsInEquation(map<VariableNode *, NumConstNode *> &table) const override;
......@@ -1038,10 +1032,7 @@ public:
//! Returns the non-zero hand-side of an equation (that must have a hand side equal to zero)
expr_t getNonZeroPartofEquation() const;
bool isInStaticForm() const override;
void fillAutoregressiveRowHelper(expr_t arg1, expr_t arg2,
int eqn, const vector<int> &lhs, map<tuple<int, int, int>, expr_t> &AR) const;
void fillAutoregressiveRow(int eqn, const vector<int> &lhs, map<tuple<int, int, int>, expr_t> &AR) const override;
void fillAutoregressiveRowForVAR(int eqn, const vector<int> &lhs, map<tuple<int, int, int>, expr_t> &AR) const;
void fillAutoregressiveRow(int eqn, const vector<int> &lhs, map<tuple<int, int, int>, expr_t> &AR) const;
void fillErrorCorrectionRowHelper(expr_t arg1, expr_t arg2,
int eqn, const vector<int> &nontrend_lhs, const vector<int> &trend_lhs,
map<tuple<int, int, int>, expr_t> &A0, map<tuple<int, int, int>, expr_t> &A0star) const;
......@@ -1167,7 +1158,6 @@ public:
expr_t clone(DataTree &datatree) const override;
expr_t removeTrendLeadLag(map<int, expr_t> trend_symbols_map) const override;
bool isInStaticForm() const override;
void fillAutoregressiveRow(int eqn, const vector<int> &lhs, map<tuple<int, int, int>, expr_t> &AR) const override;
void fillErrorCorrectionRow(int eqn, const vector<int> &nontrend_lhs, const vector<int> &trend_lhs, map<tuple<int, int, int>, expr_t> &A0, map<tuple<int, int, int>, expr_t> &A0star) const override;
void findConstantEquations(map<VariableNode *, NumConstNode *> &table) const override;
expr_t replaceVarsInEquation(map<VariableNode *, NumConstNode *> &table) const override;
......@@ -1289,7 +1279,6 @@ public:
expr_t clone(DataTree &datatree) const override = 0;
expr_t removeTrendLeadLag(map<int, expr_t> trend_symbols_map) const override;
bool isInStaticForm() const override;
void fillAutoregressiveRow(int eqn, const vector<int> &lhs, map<tuple<int, int, int>, expr_t> &AR) const override;
void fillErrorCorrectionRow(int eqn, const vector<int> &nontrend_lhs, const vector<int> &trend_lhs, map<tuple<int, int, int>, expr_t> &A0, map<tuple<int, int, int>, expr_t> &A0star) const override;
void findConstantEquations(map<VariableNode *, NumConstNode *> &table) const override;
expr_t replaceVarsInEquation(map<VariableNode *, NumConstNode *> &table) const override;
......@@ -1499,7 +1488,6 @@ public:
expr_t detrend(int symb_id, bool log_trend, expr_t trend) const override;
expr_t removeTrendLeadLag(map<int, expr_t> trend_symbols_map) const override;
bool isInStaticForm() const override;
void fillAutoregressiveRow(int eqn, const vector<int> &lhs, map<tuple<int, int, int>, expr_t> &AR) const override;
void fillErrorCorrectionRow(int eqn, const vector<int> &nontrend_lhs, const vector<int> &trend_lhs, map<tuple<int, int, int>, expr_t> &A0, map<tuple<int, int, int>, expr_t> &A0star) const override;
void findConstantEquations(map<VariableNode *, NumConstNode *> &table) const override;
expr_t replaceVarsInEquation(map<VariableNode *, NumConstNode *> &table) const override;
......@@ -1582,7 +1570,6 @@ public:
expr_t detrend(int symb_id, bool log_trend, expr_t trend) const override;
expr_t removeTrendLeadLag(map<int, expr_t> trend_symbols_map) const override;
bool isInStaticForm() const override;
void fillAutoregressiveRow(int eqn, const vector<int> &lhs, map<tuple<int, int, int>, expr_t> &AR) const override;
void fillErrorCorrectionRow(int eqn, const vector<int> &nontrend_lhs, const vector<int> &trend_lhs, map<tuple<int, int, int>, expr_t> &A0, map<tuple<int, int, int>, expr_t> &A0star) const override;
void findConstantEquations(map<VariableNode *, NumConstNode *> &table) const override;
expr_t replaceVarsInEquation(map<VariableNode *, NumConstNode *> &table) const override;
......
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