From 444d0a6b349b64773fe6429368f2e54b49d70681 Mon Sep 17 00:00:00 2001
From: =?UTF-8?q?S=C3=A9bastien=20Villemot?= <sebastien@dynare.org>
Date: Wed, 15 May 2024 18:23:45 +0200
Subject: [PATCH] Preprocessor: refactor output for complementarity conditions
---
matlab/display_static_residuals.m | 14 ++--
matlab/ep/extended_path_initialization.m | 5 +-
matlab/evaluate_steady_state.m | 4 +-
matlab/lmmcp/get_complementarity_conditions.m | 84 -------------------
.../perfect_foresight_solver_core.m | 10 +--
.../private/initialize_stacked_problem.m | 6 +-
.../solve_stacked_problem.m | 6 +-
preprocessor | 2 +-
.../Gali_2015_chapter_3_nonlinear.mod | 8 +-
9 files changed, 25 insertions(+), 114 deletions(-)
delete mode 100644 matlab/lmmcp/get_complementarity_conditions.m
diff --git a/matlab/display_static_residuals.m b/matlab/display_static_residuals.m
index d6b62e81e5..331d4a67a8 100644
--- a/matlab/display_static_residuals.m
+++ b/matlab/display_static_residuals.m
@@ -15,7 +15,7 @@ function z = display_static_residuals(M_, options_, oo_,options_resid_)
% SPECIAL REQUIREMENTS
% none
-% Copyright © 2001-2023 Dynare Team
+% Copyright © 2001-2024 Dynare Team
%
% This file is part of Dynare.
%
@@ -60,15 +60,15 @@ z = evaluate_static_model(oo_.steady_state, [oo_.exo_steady_state; ...
oo_.exo_det_steady_state], ...
M_.params, M_, options_);
+[lb, ub] = feval(sprintf('%s.static_complementarity_conditions', M_.fname), M_.params);
if ismember(options_.solve_algo,[10,11])
- [lb,ub,eq_index] = get_complementarity_conditions(M_,options_.ramsey_policy);
eq_to_check=find(isfinite(lb) | isfinite(ub));
eq_to_ignore=eq_to_check(oo_.steady_state(eq_to_check,:)<=lb(eq_to_check)+eps | oo_.steady_state(eq_to_check,:)>=ub(eq_to_check)-eps);
- z(eq_index(eq_to_ignore))=0;
- disp_string=' (accounting for MCP tags)';
+ z(M_.static_mcp_equations_reordering(eq_to_ignore))=0;
+ disp_string=' (accounting for complementarity conditions)';
else
- if istag && ~isempty(strmatch('mcp',M_.equations_tags(:,2),'exact'))
- disp_string=' (ignoring MCP tags)';
+ if any(isfinite(lb) | isfinite(ub))
+ disp_string=' (ignoring complementarity conditions)';
else
disp_string='';
end
@@ -124,4 +124,4 @@ if nargout == 0
disp('All residuals are zero')
end
skipline(2)
-end
\ No newline at end of file
+end
diff --git a/matlab/ep/extended_path_initialization.m b/matlab/ep/extended_path_initialization.m
index 3b9f02477c..362788dec9 100644
--- a/matlab/ep/extended_path_initialization.m
+++ b/matlab/ep/extended_path_initialization.m
@@ -16,7 +16,7 @@ function [initial_conditions, innovations, pfm, ep, verbosity, options_, oo_] =
%
% SPECIAL REQUIREMENTS
-% Copyright © 2016-2023 Dynare Team
+% Copyright © 2016-2024 Dynare Team
%
% This file is part of Dynare.
%
@@ -126,7 +126,8 @@ else
end
% set boundaries if mcp
-[lb,ub,pfm.eq_index] = get_complementarity_conditions(M_, options_.ramsey_policy);
+[lb, ub] = feval(sprintf('%s.dynamic_complementarity_conditions', M_.fname), M_.params);
+pfm.eq_index = M_.dynamic_mcp_equations_reordering;
if options_.ep.solve_algo == 10
options_.lmmcp.lb = repmat(lb,block_nbr,1);
options_.lmmcp.ub = repmat(ub,block_nbr,1);
diff --git a/matlab/evaluate_steady_state.m b/matlab/evaluate_steady_state.m
index 6e78515fa2..047bdc71de 100644
--- a/matlab/evaluate_steady_state.m
+++ b/matlab/evaluate_steady_state.m
@@ -280,7 +280,7 @@ elseif ~options_.bytecode && ~options_.block
if ~options_.linear
% non linear model
if ismember(options_.solve_algo,[10,11])
- [lb,ub,eq_index] = get_complementarity_conditions(M_,options_.ramsey_policy);
+ [lb, ub] = feval(sprintf('%s.static_complementarity_conditions', M_.fname), M_.params);
if options_.solve_algo == 10
options_.lmmcp.lb = lb;
options_.lmmcp.ub = ub;
@@ -293,7 +293,7 @@ elseif ~options_.bytecode && ~options_.block
options_.steady.maxit, options_.solve_tolf, options_.solve_tolx, ...
options_, exo_ss, params,...
M_.endo_nbr, static_resid, static_g1, ...
- M_.static_g1_sparse_rowval, M_.static_g1_sparse_colval, M_.static_g1_sparse_colptr, eq_index);
+ M_.static_g1_sparse_rowval, M_.static_g1_sparse_colval, M_.static_g1_sparse_colptr, M_.static_mcp_equations_reordering);
else
[ys, check, fvec, fjac, errorcode] = dynare_solve(@static_problem, ys_init, ...
options_.steady.maxit, options_.solve_tolf, options_.solve_tolx, ...
diff --git a/matlab/lmmcp/get_complementarity_conditions.m b/matlab/lmmcp/get_complementarity_conditions.m
deleted file mode 100644
index 9aed55f4d3..0000000000
--- a/matlab/lmmcp/get_complementarity_conditions.m
+++ /dev/null
@@ -1,84 +0,0 @@
-function [lb,ub,eq_index] = get_complementarity_conditions(M_,ramsey_policy)
-% [lb,ub,eq_index] = get_complementarity_conditions(M_,ramsey_policy)
-% INPUTS
-% - M [struct] contains a description of the model.
-% - ramsey_policy [boolean] indicator whether a Ramsey problem is considered
-% OUTPUTS
-% - lb [double] endo_nbr*1 array of lower bounds for
-% endogenous variables
-% - ub [double] endo_nbr*1 array of upper bounds for
-% endogenous variables
-% - eq_index [struct] endo_nbr*1 index vector describing residual mapping resulting
-% from complementarity setup used in
-% perfect_foresight_mcp_problem.m
-
-% Copyright © 2014-2024 Dynare Team
-%
-% This file is part of Dynare.
-%
-% Dynare is free software: you can redistribute it and/or modify
-% it under the terms of the GNU General Public License as published by
-% the Free Software Foundation, either version 3 of the License, or
-% (at your option) any later version.
-%
-% Dynare is distributed in the hope that it will be useful,
-% but WITHOUT ANY WARRANTY; without even the implied warranty of
-% MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the
-% GNU General Public License for more details.
-%
-% You should have received a copy of the GNU General Public License
-% along with Dynare. If not, see <https://www.gnu.org/licenses/>.
-
-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
- end
- end
-end
-
-etags = M_.equations_tags;
-for i=1:size(etags,1)
- if strcmp(etags{i,2},'mcp')
- eq_nbr = etags{i,1};
- str = etags{i,3};
- kop = strfind(etags{i,3},'<');
- if ~isempty(kop)
- k = find(strcmp(strtrim(str(1:kop-1)), M_.endo_names)); %get variable index with restriction
- if isempty(k)
- error('Complementarity condition %s: variable %s is not recognized', etags{i,3}, strtrim(str(1:kop-1)))
- end
- ub(k) = str2num(str(kop+1:end));
- swapped_eq_nbr = find(eq_index == eq_nbr);
- assert(length(swapped_eq_nbr) == 1);
- eq_index(swapped_eq_nbr) = eq_index(k);
- eq_index(k) = eq_nbr;
- else
- kop = strfind(etags{i,3},'>');
- if ~isempty(kop)
- k = find(strcmp(strtrim(str(1:kop-1)), M_.endo_names)); %get variable index with restriction
- if isempty(k)
- error('Complementarity condition %s: variable %s is not recognized', etags{i,3}, strtrim(str(1:kop-1)))
- end
- lb(k) = str2num(str(kop+1:end));
- swapped_eq_nbr = find(eq_index == eq_nbr);
- assert(length(swapped_eq_nbr) == 1);
- eq_index(swapped_eq_nbr) = eq_index(k);
- eq_index(k) = eq_nbr;
- else
- error('Complementarity condition %s can''t be parsed',etags{i,3})
- end
- end
- end
-end
diff --git a/matlab/perfect-foresight-models/perfect_foresight_solver_core.m b/matlab/perfect-foresight-models/perfect_foresight_solver_core.m
index 2c7202f6a1..fdeaa60e4b 100644
--- a/matlab/perfect-foresight-models/perfect_foresight_solver_core.m
+++ b/matlab/perfect-foresight-models/perfect_foresight_solver_core.m
@@ -112,14 +112,8 @@ else
[y, success, maxerror, iter] = sim1_lbj(y, exo_simul, steady_state, M_, options_);
case 7
if options_.linear_approximation
- if isequal(options_.solve_algo, 10)
- if options_.ramsey_policy && isfield(M_,'ramsey_model_constraints') && ~isempty(M_.ramsey_model_constraints)
- warning('Due to ramsey_constraints you should not specify your model as model(linear)!')
- elseif options_.lmmcp.status
- warning('Due to lmmcp option, you should not specify your model as model(linear)!')
- else
- warning('It would be more efficient to set option solve_algo equal to 0!')
- end
+ if options_.solve_algo == 10 || options_.solve_algo == 11
+ warning('Since you are requesting an MCP solver, you should not specify your model as model(linear)!')
end
[y, success] = solve_stacked_linear_problem(y, exo_simul, steady_state, exo_steady_state, M_, options_);
else
diff --git a/matlab/perfect-foresight-models/private/initialize_stacked_problem.m b/matlab/perfect-foresight-models/private/initialize_stacked_problem.m
index 333805e41d..5b6c00b6c3 100644
--- a/matlab/perfect-foresight-models/private/initialize_stacked_problem.m
+++ b/matlab/perfect-foresight-models/private/initialize_stacked_problem.m
@@ -30,7 +30,7 @@ function [options_, y0, yT, z, i_cols, i_cols_J1, i_cols_T, i_cols_j, i_cols_1,
% - i_cols_J0 [double] indices of contemporaneous variables appearing in M_.lead_lag_incidence (relevant in problems with periods=1)
% - dynamicmodel [handle] function handle to _dynamic-file
-% Copyright © 2015-2023 Dynare Team
+% Copyright © 2015-2024 Dynare Team
%
% This file is part of Dynare.
%
@@ -50,7 +50,7 @@ function [options_, y0, yT, z, i_cols, i_cols_J1, i_cols_T, i_cols_j, i_cols_1,
periods = options_.periods;
if (options_.solve_algo == 10)
if ~isfield(options_.lmmcp,'lb')
- [lb,ub,pfm.eq_index] = get_complementarity_conditions(M_,options_.ramsey_policy);
+ [lb, ub] = feval(sprintf('%s.dynamic_complementarity_conditions', M_.fname), M_.params);
if options_.linear_approximation
lb = lb - steadystate_y;
ub = ub - steadystate_y;
@@ -60,7 +60,7 @@ if (options_.solve_algo == 10)
end
elseif (options_.solve_algo == 11)
if ~isfield(options_.mcppath,'lb')
- [lb,ub,pfm.eq_index] = get_complementarity_conditions(M_,options_.ramsey_policy);
+ [lb, ub] = feval(sprintf('%s.dynamic_complementarity_conditions', M_.fname), M_.params);
if options_.linear_approximation
lb = lb - steadystate_y;
ub = ub - steadystate_y;
diff --git a/matlab/perfect-foresight-models/solve_stacked_problem.m b/matlab/perfect-foresight-models/solve_stacked_problem.m
index 2a5d0bbcd4..cd5996343e 100644
--- a/matlab/perfect-foresight-models/solve_stacked_problem.m
+++ b/matlab/perfect-foresight-models/solve_stacked_problem.m
@@ -14,7 +14,7 @@ function [endogenousvariables, success, maxerror] = solve_stacked_problem(endoge
% - success [logical] Whether a solution was found
% - maxerror [double] 1-norm of the residual
-% Copyright © 2015-2023 Dynare Team
+% Copyright © 2015-2024 Dynare Team
%
% This file is part of Dynare.
%
@@ -35,7 +35,7 @@ function [endogenousvariables, success, maxerror] = solve_stacked_problem(endoge
initialize_stacked_problem(endogenousvariables, options_, M_, steadystate);
if (options_.solve_algo == 10 || options_.solve_algo == 11)% mixed complementarity problem
- [lb,ub,eq_index] = get_complementarity_conditions(M_,options_.ramsey_policy);
+ [lb, ub] = feval(sprintf('%s.dynamic_complementarity_conditions', M_.fname), M_.params);
if options_.linear_approximation
lb = lb - steadystate_y;
ub = ub - steadystate_y;
@@ -54,7 +54,7 @@ if (options_.solve_algo == 10 || options_.solve_algo == 11)% mixed complementari
exogenousvariables, M_.params, steadystate, ...
M_.maximum_lag, options_.periods, M_.endo_nbr, i_cols, ...
i_cols_J1, i_cols_1, i_cols_T, i_cols_j, i_cols_0, i_cols_J0, ...
- eq_index);
+ M_.dynamic_mcp_equations_reordering);
eq_to_ignore=find(isfinite(lb) | isfinite(ub));
else
diff --git a/preprocessor b/preprocessor
index 097f706c55..dc1ec15fc6 160000
--- a/preprocessor
+++ b/preprocessor
@@ -1 +1 @@
-Subproject commit 097f706c55b56d63a26781b38d8c90d48d7b2589
+Subproject commit dc1ec15fc6fec59cc4c70fdb719bf731d7a57c9c
diff --git a/tests/discretionary_policy/Gali_2015_chapter_3_nonlinear.mod b/tests/discretionary_policy/Gali_2015_chapter_3_nonlinear.mod
index ed443c95a2..cccd971004 100644
--- a/tests/discretionary_policy/Gali_2015_chapter_3_nonlinear.mod
+++ b/tests/discretionary_policy/Gali_2015_chapter_3_nonlinear.mod
@@ -19,8 +19,8 @@
*/
/*
- * Copyright © 2016-20 Johannes Pfeifer
- * Copyright © 2020 Dynare Team
+ * Copyright © 2016-2020 Johannes Pfeifer
+ * Copyright © 2020-2024 Dynare Team
*
* This is free software: you can redistribute it and/or modify
* it under the terms of the GNU General Public License as published by
@@ -162,7 +162,7 @@ model;
log_A=log(A);
[name='Definition log preference']
log_Z=log(Z);
- [mcp='a']
+
y_hat=log(Y)-STEADY_STATE(log(Y));
pi=log(Pi)-STEADY_STATE(log(Pi));
@@ -228,4 +228,4 @@ end
if max(max(abs([temp.oo_.irfs.y_eps_a; temp.oo_.irfs.w_real_eps_a; temp.oo_.irfs.n_eps_a; temp.oo_.irfs.pi_ann_eps_a]-...
[oo_.irfs.log_y_eps_a; oo_.irfs.log_W_real_eps_a; oo_.irfs.log_N_eps_a; oo_.irfs.pi_ann_eps_a])))>1e-6
error('Policy is different')
-end
\ No newline at end of file
+end
--
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