From c22d31330c7d3978f882003ffb999f65be70c4a5 Mon Sep 17 00:00:00 2001
From: Michel Juillard <michel.juillard@mjui.fr>
Date: Sun, 31 May 2015 12:18:06 +0200
Subject: [PATCH] Adding 'ramsey_constraints' block to declare contraints for
Ramsey problems. Note that LMMCP (solve_algo=10) still doesn't work in all
cases.
---
doc/dynare.texi | 18 +++
matlab/lmmcp/get_complementarity_conditions.m | 22 +++-
.../private/simulation_core.m | 2 +-
preprocessor/ComputingTasks.cc | 103 ++++++++++++++++++
preprocessor/ComputingTasks.hh | 18 +++
preprocessor/DynareBison.yy | 23 +++-
preprocessor/DynareFlex.ll | 1 +
preprocessor/ParsingDriver.cc | 51 +++++++++
preprocessor/ParsingDriver.hh | 14 +++
tests/Makefile.am | 1 +
.../RamseyConstraints/test1.mod | 38 +++++++
11 files changed, 285 insertions(+), 6 deletions(-)
create mode 100644 tests/optimal_policy/RamseyConstraints/test1.mod
diff --git a/doc/dynare.texi b/doc/dynare.texi
index 9ae87f06b..81216e4ae 100644
--- a/doc/dynare.texi
+++ b/doc/dynare.texi
@@ -6807,6 +6807,24 @@ instrument.
@end deffn
+@deffn Block ramsey_constraints
+@anchor{ramsey_constraints}
+
+@descriptionhead
+
+This block lets you define constraints on the variables in the Ramsey
+problem. The constraints take the form of a variable, an inequality
+operator (@code{>} or @code{<}) and a constant.
+
+@examplehead
+
+@example
+ramsey_constraints;
+i > 0;
+end;
+@end example
+@end deffn
+
@deffn Command ramsey_policy [@var{VARIABLE_NAME}@dots{}];
@deffnx Command ramsey_policy (@var{OPTIONS}@dots{}) [@var{VARIABLE_NAME}@dots{}];
@anchor{ramsey_policy}
diff --git a/matlab/lmmcp/get_complementarity_conditions.m b/matlab/lmmcp/get_complementarity_conditions.m
index 95ef094f9..cf5a40866 100644
--- a/matlab/lmmcp/get_complementarity_conditions.m
+++ b/matlab/lmmcp/get_complementarity_conditions.m
@@ -1,4 +1,4 @@
-function [lb,ub,eq_index] = get_complementarity_conditions(M)
+function [lb,ub,eq_index] = get_complementarity_conditions(M,ramsey_policy)
% Copyright (C) 2014 Dynare Team
%
@@ -17,11 +17,27 @@ function [lb,ub,eq_index] = get_complementarity_conditions(M)
% You should have received a copy of the GNU General Public License
% along with Dynare. If not, see <http://www.gnu.org/licenses/>.
-
-etags = M.equations_tags;
ub = inf(M.endo_nbr,1);
lb = -ub;
eq_index = (1:M.endo_nbr)';
+if ramsey_policy
+ if isfield(M,'ramsey_model_constraints')
+ rc = M.ramsey_model_constraints;
+ for i = 1:length(rc)
+ switch rc{i}{2}
+ case {'>','>='}
+ lb(rc{i}{1}) = eval(rc{i}{3});
+ case {'<','<='}
+ ub(rc{i}{1}) = eval(rc{i}{3});
+ otherwise
+ error('Wrong operator in get_complementarity_conditions')
+ end
+ eq_index(i) = 1;
+ end
+ end
+end
+
+etags = M.equations_tags;
for i=1:size(etags,1)
if strcmp(etags{i,2},'mcp')
str = etags{i,3};
diff --git a/matlab/perfect-foresight-models/private/simulation_core.m b/matlab/perfect-foresight-models/private/simulation_core.m
index cb5f6d540..fe22ce612 100644
--- a/matlab/perfect-foresight-models/private/simulation_core.m
+++ b/matlab/perfect-foresight-models/private/simulation_core.m
@@ -66,7 +66,7 @@ else
elseif options_.stack_solve_algo == 7
periods = options_.periods;
if ~isfield(options_.lmmcp,'lb')
- [lb,ub,pfm.eq_index] = get_complementarity_conditions(M_);
+ [lb,ub,pfm.eq_index] = get_complementarity_conditions(M_,options_.ramsey_policy);
options_.lmmcp.lb = repmat(lb,periods,1);
options_.lmmcp.ub = repmat(ub,periods,1);
end
diff --git a/preprocessor/ComputingTasks.cc b/preprocessor/ComputingTasks.cc
index 6057fad53..4e95890d2 100644
--- a/preprocessor/ComputingTasks.cc
+++ b/preprocessor/ComputingTasks.cc
@@ -397,6 +397,109 @@ RamseyModelStatement::writeOutput(ostream &output, const string &basename, bool
options_list.writeOutput(output);
}
+RamseyConstraintsStatement::RamseyConstraintsStatement(const constraints_t &constraints_arg) :
+ constraints(constraints_arg)
+{
+}
+
+void
+RamseyConstraintsStatement::checkPass(ModFileStructure &mod_file_struct, WarningConsolidation &warnings)
+{
+ if ((mod_file_struct.ramsey_model_present != true) || ( mod_file_struct.ramsey_policy_present != true))
+ cerr << "ramsey_constraints: can only be used with ramsey_model or ramsey_policy" << endl;
+}
+
+void
+RamseyConstraintsStatement::writeOutput(ostream &output, const string &basename, bool minimal_workspace) const
+{
+ output << "M_.ramsey_model_constraints = {" << endl;
+ for (RamseyConstraintsStatement::constraints_t::const_iterator it = constraints.begin(); it != constraints.end(); ++it)
+ {
+ if (it != constraints.begin())
+ output << ", ";
+ output << "{" << it->endo + 1 << ", '";
+ switch(it->code)
+ {
+ case oLess:
+ output << '<';
+ break;
+ case oGreater:
+ output << '>';
+ break;
+ case oLessEqual:
+ output << "<=";
+ break;
+ case oGreaterEqual:
+ output << ">=";
+ break;
+ default:
+ cerr << "Ramsey constraints: this shouldn't happen." << endl;
+ exit(1);
+ }
+ output << "', '";
+ it->expression->writeOutput(output);
+ output << "'}" << endl;
+ }
+ output << "};" << endl;
+}
+
+// Statement *
+// RamseyConstraintsStatement::cloneAndReindexSymbIds(DataTree &dynamic_datatree, SymbolTable &orig_symbol_table)
+// {
+// vector<string> errors;
+// SymbolList new_symbol_list, new_options_symbol_list;
+// OptionsList new_options_list = options_list;
+// SymbolTable *new_symbol_table = dynamic_datatree.getSymbolTable();
+// vector<string> symbols = symbol_list.get_symbols();
+
+// for (vector<string>::const_iterator it = symbols.begin(); it != symbols.end(); it++)
+// try
+// {
+// new_symbol_table->getID(*it);
+// new_symbol_list.addSymbol(*it);
+// }
+// catch (SymbolTable::UnknownSymbolIDException &e)
+// {
+// errors.push_back(orig_symbol_table.getName(e.id));
+// }
+// catch (SymbolTable::UnknownSymbolNameException &e)
+// {
+// errors.push_back(e.name);
+// }
+
+// OptionsList::symbol_list_options_t::const_iterator it = options_list.symbol_list_options.find("instruments");
+// if (it != options_list.symbol_list_options.end())
+// {
+// symbols = it->second.get_symbols();
+// for (vector<string>::const_iterator it1 = symbols.begin(); it1 != symbols.end(); it1++)
+// try
+// {
+// new_symbol_table->getID(*it1);
+// new_options_symbol_list.addSymbol(*it1);
+// }
+// catch (SymbolTable::UnknownSymbolIDException &e)
+// {
+// errors.push_back(orig_symbol_table.getName(e.id));
+// }
+// catch (SymbolTable::UnknownSymbolNameException &e)
+// {
+// errors.push_back(e.name);
+// }
+// new_options_list.symbol_list_options["instruments"] = new_options_symbol_list;
+// }
+
+// if (!errors.empty())
+// {
+// cerr << endl
+// << "ERROR: The following vars were used in the ramsey_policy statement(s) but were not declared." << endl
+// << " This likely means that you declared them as varexo and that they're not in the model" << endl;
+// for (vector<string>::const_iterator it = errors.begin(); it != errors.end(); it++)
+// cerr << *it << endl;
+// exit(EXIT_FAILURE);
+// }
+// return new RamseyPolicyStatement(new_symbol_list, options_list);
+// }
+
RamseyPolicyStatement::RamseyPolicyStatement(const SymbolList &symbol_list_arg,
const OptionsList &options_list_arg) :
symbol_list(symbol_list_arg),
diff --git a/preprocessor/ComputingTasks.hh b/preprocessor/ComputingTasks.hh
index 572d8016d..b9b65d465 100644
--- a/preprocessor/ComputingTasks.hh
+++ b/preprocessor/ComputingTasks.hh
@@ -125,6 +125,24 @@ public:
virtual Statement *cloneAndReindexSymbIds(DataTree &dynamic_datatree, SymbolTable &orig_symbol_table);
};
+class RamseyConstraintsStatement : public Statement
+{
+public:
+ struct Constraint {
+ int endo;
+ BinaryOpcode code;
+ expr_t expression;
+ };
+ typedef vector<Constraint> constraints_t;
+private:
+ const constraints_t constraints;
+public:
+ RamseyConstraintsStatement(const constraints_t &constraints_arg);
+ virtual void checkPass(ModFileStructure &mod_file_struct, WarningConsolidation &warnings);
+ virtual void writeOutput(ostream &output, const string &basename, bool minimal_workspace) const;
+ // virtual Statement *cloneAndReindexSymbIds(DataTree &dynamic_datatree, SymbolTable &orig_symbol_table);
+};
+
class RamseyPolicyStatement : public Statement
{
private:
diff --git a/preprocessor/DynareBison.yy b/preprocessor/DynareBison.yy
index 5893b6dc1..d886fb0f6 100644
--- a/preprocessor/DynareBison.yy
+++ b/preprocessor/DynareBison.yy
@@ -122,7 +122,7 @@ class ParsingDriver;
%token SHOCKS SHOCK_DECOMPOSITION SIGMA_E SIMUL SIMUL_ALGO SIMUL_SEED ENDOGENOUS_TERMINAL_PERIOD
%token SMOOTHER SMOOTHER2HISTVAL SQUARE_ROOT_SOLVER STACK_SOLVE_ALGO STEADY_STATE_MODEL SOLVE_ALGO SOLVER_PERIODS
%token STDERR STEADY STOCH_SIMUL SURPRISE SYLVESTER SYLVESTER_FIXED_POINT_TOL REGIMES REGIME
-%token TEX RAMSEY_MODEL RAMSEY_POLICY PLANNER_DISCOUNT DISCRETIONARY_POLICY DISCRETIONARY_TOL
+%token TEX RAMSEY_MODEL RAMSEY_POLICY RAMSEY_CONSTRAINTS PLANNER_DISCOUNT DISCRETIONARY_POLICY DISCRETIONARY_TOL
%token <string_val> TEX_NAME
%token UNIFORM_PDF UNIT_ROOT_VARS USE_DLL USEAUTOCORR GSA_SAMPLE_FILE USE_UNIVARIATE_FILTERS_IF_SINGULARITY_IS_DETECTED
%token VALUES VAR VAREXO VAREXO_DET VAROBS PREDETERMINED_VARIABLES
@@ -239,7 +239,8 @@ statement : parameters
| planner_objective
| ramsey_model
| ramsey_policy
- | discretionary_policy
+ | ramsey_constraints
+ | discretionary_policy
| bvar_density
| bvar_forecast
| sbvar
@@ -1903,6 +1904,24 @@ ramsey_policy : RAMSEY_POLICY ';'
{ driver.ramsey_policy(); }
;
+ramsey_constraints : RAMSEY_CONSTRAINTS ';' ramsey_constraints_list END ';'
+ { driver.add_ramsey_constraints_statement(); }
+ ;
+
+ramsey_constraints_list : ramsey_constraints_list ramsey_constraint
+ | ramsey_constraint
+ ;
+
+ramsey_constraint : NAME LESS expression ';'
+ { driver.ramsey_constraint_add_less($1,$3); }
+ | NAME GREATER expression ';'
+ { driver.ramsey_constraint_add_greater($1,$3); }
+ | NAME LESS_EQUAL expression ';'
+ { driver.ramsey_constraint_add_less_equal($1,$3); }
+ | NAME GREATER expression ';'
+ { driver.ramsey_constraint_add_greater_equal($1,$3); }
+ ;
+
discretionary_policy : DISCRETIONARY_POLICY ';'
{ driver.discretionary_policy(); }
| DISCRETIONARY_POLICY '(' discretionary_policy_options_list ')' ';'
diff --git a/preprocessor/DynareFlex.ll b/preprocessor/DynareFlex.ll
index 92d52ecfe..5dcd575d2 100644
--- a/preprocessor/DynareFlex.ll
+++ b/preprocessor/DynareFlex.ll
@@ -199,6 +199,7 @@ DATE -?[0-9]+([YyAa]|[Mm]([1-9]|1[0-2])|[Qq][1-4]|[Ww]([1-9]{1}|[1-4][0-9]|5[0-2
<INITIAL>svar_identification {BEGIN DYNARE_BLOCK; return token::SVAR_IDENTIFICATION;}
<INITIAL>moment_calibration {BEGIN DYNARE_BLOCK; return token::MOMENT_CALIBRATION;}
<INITIAL>irf_calibration {BEGIN DYNARE_BLOCK; return token::IRF_CALIBRATION;}
+<INITIAL>ramsey_constraints {BEGIN DYNARE_BLOCK; return token::RAMSEY_CONSTRAINTS;}
/* For the semicolon after an "end" keyword */
<INITIAL>; {return Dynare::parser::token_type (yytext[0]);}
diff --git a/preprocessor/ParsingDriver.cc b/preprocessor/ParsingDriver.cc
index ba541ec81..94679f0aa 100644
--- a/preprocessor/ParsingDriver.cc
+++ b/preprocessor/ParsingDriver.cc
@@ -2772,3 +2772,54 @@ ParsingDriver::perfect_foresight_solver()
mod_file->addStatement(new PerfectForesightSolverStatement(options_list));
options_list.clear();
}
+
+void
+ParsingDriver::add_ramsey_constraints_statement()
+{
+ mod_file->addStatement(new RamseyConstraintsStatement(ramsey_constraints));
+ ramsey_constraints.clear();
+}
+
+void
+ParsingDriver::ramsey_constraint_add_less(const string *name, const expr_t rhs)
+{
+ add_ramsey_constraint(name,oLess,rhs);
+}
+
+void
+ParsingDriver::ramsey_constraint_add_greater(const string *name, const expr_t rhs)
+{
+ add_ramsey_constraint(name,oGreater,rhs);
+}
+
+void
+ParsingDriver::ramsey_constraint_add_less_equal(const string *name, const expr_t rhs)
+{
+ add_ramsey_constraint(name,oLessEqual,rhs);
+}
+
+void
+ParsingDriver::ramsey_constraint_add_greater_equal(const string *name, const expr_t rhs)
+{
+ add_ramsey_constraint(name,oGreaterEqual,rhs);
+}
+
+void
+ParsingDriver::add_ramsey_constraint(const string *name, BinaryOpcode op_code, const 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);
+
+ if (type != eEndogenous)
+ error("ramsey_constraints: " + *name + " should be an endogenous variable");
+
+ RamseyConstraintsStatement::Constraint C;
+ C.endo = symb_id;
+ C.code = op_code;
+ C.expression = rhs;
+ ramsey_constraints.push_back(C);
+
+ delete name;
+}
+
diff --git a/preprocessor/ParsingDriver.hh b/preprocessor/ParsingDriver.hh
index dd93276c0..d7da536cd 100644
--- a/preprocessor/ParsingDriver.hh
+++ b/preprocessor/ParsingDriver.hh
@@ -157,6 +157,8 @@ private:
MomentCalibration::constraints_t moment_calibration_constraints;
//! Temporary storage for irf_calibration
IrfCalibration::constraints_t irf_calibration_constraints;
+ //! Temporary storage for ramsey_constraints
+ RamseyConstraintsStatement::constraints_t ramsey_constraints;
//! Temporary storage for svar_identification blocks
SvarIdentificationStatement::svar_identification_restrictions_t svar_ident_restrictions;
//! Temporary storage for mapping the equation number to the restrictions within an svar_identification block
@@ -506,6 +508,18 @@ public:
void end_planner_objective(expr_t expr);
//! Ramsey model statement
void ramsey_model();
+ //! Ramsey constraints statement
+ void add_ramsey_constraints_statement();
+ //! Ramsey less constraint
+ void ramsey_constraint_add_less(const string *name, const expr_t rhs);
+ //! Ramsey greater constraint
+ void ramsey_constraint_add_greater(const string *name, const expr_t rhs);
+ //! Ramsey less or equal constraint
+ void ramsey_constraint_add_less_equal(const string *name, const expr_t rhs);
+ //! Ramsey greater or equal constraint
+ void ramsey_constraint_add_greater_equal(const string *name, const expr_t rhs);
+ //! Ramsey constraint helper function
+ void add_ramsey_constraint(const string *name, BinaryOpcode op_code, const expr_t rhs);
//! Ramsey policy statement
void ramsey_policy();
//! Discretionary policy statement
diff --git a/tests/Makefile.am b/tests/Makefile.am
index c45755cd8..02f476feb 100644
--- a/tests/Makefile.am
+++ b/tests/Makefile.am
@@ -41,6 +41,7 @@ MODFILES = \
optimal_policy/Ramsey/ramsey_ex.mod \
optimal_policy/Ramsey/ramsey_ex_initval_AR2.mod \
optimal_policy/Ramsey/ramsey_ex_aux.mod \
+ optimal_policy/RamseyConstraints/test1.mod \
discretionary_policy/dennis_1.mod \
initval_file/ramst_initval_file.mod \
ramst_normcdf_and_friends.mod \
diff --git a/tests/optimal_policy/RamseyConstraints/test1.mod b/tests/optimal_policy/RamseyConstraints/test1.mod
new file mode 100644
index 000000000..2bb83b6d3
--- /dev/null
+++ b/tests/optimal_policy/RamseyConstraints/test1.mod
@@ -0,0 +1,38 @@
+var i y pi;
+varexo e_y e_pi;
+
+parameters beta1 beta2 beta3 lambda1 lambda2 pi_bar;
+beta1 = 0.6;
+beta2 = 0.25;
+beta3 = -0.2;
+lambda1 = 0.7;
+lambda2 = 0.1;
+pi_bar = 2.0;
+
+model;
+y = beta1*y(-1) + beta2*y(+1) + beta3*(i-pi(+1)) + e_y;
+pi = lambda1*pi(+1) + (1-lambda1)*pi(-1) + lambda2*y + e_pi;
+end;
+
+planner_objective (pi-pi_bar)^2 + y^2;
+
+ramsey_model(planner_discount=1.0);
+
+histval;
+y(0) = -2.0;
+pi(0) = 1.0;
+end;
+
+steady;
+
+ramsey_constraints;
+i > 0;
+end;
+
+perfect_foresight_setup(periods=50);
+options_.stack_solve_algo = 7;
+options_.solve_algo = 10;
+perfect_foresight_solver;
+
+rplot i;
+
\ No newline at end of file
--
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