From f1d1c1e1c1512466ab2bbdfbb651ed8c14250970 Mon Sep 17 00:00:00 2001
From: Houtan Bastani <houtan@dynare.org>
Date: Fri, 15 Mar 2019 12:27:32 +0100
Subject: [PATCH] trend_component_model: simplify AR
---
src/DynamicModel.cc | 28 ++++-------
src/DynamicModel.hh | 5 +-
src/ExprNode.cc | 110 --------------------------------------------
src/ExprNode.hh | 15 +-----
4 files changed, 11 insertions(+), 147 deletions(-)
diff --git a/src/DynamicModel.cc b/src/DynamicModel.cc
index 219a4ae1..b336ca5f 100644
--- a/src/DynamicModel.cc
+++ b/src/DynamicModel.cc
@@ -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);
diff --git a/src/DynamicModel.hh b/src/DynamicModel.hh
index ea45eb57..79fd8fa9 100644
--- a/src/DynamicModel.hh
+++ b/src/DynamicModel.hh
@@ -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;
diff --git a/src/ExprNode.cc b/src/ExprNode.cc
index 29306cac..73f68761 100644
--- a/src/ExprNode.cc
+++ b/src/ExprNode.cc
@@ -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
{
diff --git a/src/ExprNode.hh b/src/ExprNode.hh
index 2d55f0e7..083f2f5a 100644
--- a/src/ExprNode.hh
+++ b/src/ExprNode.hh
@@ -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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