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StaticModel.cc
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Dynare / preprocessor
835 commits behind the upstream repository.
MichelJuillard authored and
Sébastien Villemot
committed
StaticModel.cc 123.69 KiB
/*
* Copyright © 2003-2021 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 <http://www.gnu.org/licenses/>.
*/
#include <iostream>
#include <cmath>
#include <cstdlib>
#include <cassert>
#include <algorithm>
#include <sstream>
#include "StaticModel.hh"
#include "DynamicModel.hh"
void
StaticModel::copyHelper(const StaticModel &m)
{
}
StaticModel::StaticModel(SymbolTable &symbol_table_arg,
NumericalConstants &num_constants_arg,
ExternalFunctionsTable &external_functions_table_arg) :
ModelTree{symbol_table_arg, num_constants_arg, external_functions_table_arg}
{
}
StaticModel::StaticModel(const StaticModel &m) :
ModelTree{m}
{
copyHelper(m);
}
StaticModel &
StaticModel::operator=(const StaticModel &m)
{
ModelTree::operator=(m);
copyHelper(m);
return *this;
}
StaticModel::StaticModel(const DynamicModel &m) :
ModelTree{m.symbol_table, m.num_constants, m.external_functions_table}
{
// Convert model local variables (need to be done first)
for (int it : m.local_variables_vector)
AddLocalVariable(it, m.local_variables_table.find(it)->second->toStatic(*this));
// Convert equations
int static_only_index = 0;
set<int> dynamic_equations = m.equation_tags.getDynamicEqns();
for (int i = 0; i < static_cast<int>(m.equations.size()); i++)
try
{ // If equation is dynamic, replace it by an equation marked [static]
if (dynamic_equations.find(i) != dynamic_equations.end())
{
auto [static_only_equations,
static_only_equations_lineno,
static_only_equations_equation_tags] = m.getStaticOnlyEquationsInfo();
addEquation(static_only_equations[static_only_index]->toStatic(*this),
static_only_equations_lineno[static_only_index],
static_only_equations_equation_tags.getTagsByEqn(static_only_index));
static_only_index++;
}
else
addEquation(m.equations[i]->toStatic(*this),
m.equations_lineno[i],
m.equation_tags.getTagsByEqn(i));
}
catch (DataTree::DivisionByZeroException)
{
cerr << "...division by zero error encountred when converting equation " << i << " to static" << endl;
exit(EXIT_FAILURE);
}
// Convert auxiliary equations
for (auto aux_eq : m.aux_equations)
addAuxEquation(aux_eq->toStatic(*this));
user_set_add_flags = m.user_set_add_flags;
user_set_subst_flags = m.user_set_subst_flags;
user_set_add_libs = m.user_set_add_libs;
user_set_subst_libs = m.user_set_subst_libs;
user_set_compiler = m.user_set_compiler;
}
void
StaticModel::compileDerivative(ofstream &code_file, unsigned int &instruction_number, int eq, int symb_id, const temporary_terms_t &temporary_terms, const temporary_terms_idxs_t &temporary_terms_idxs) const
{
if (auto it = derivatives[1].find({ eq, getDerivID(symbol_table.getID(SymbolType::endogenous, symb_id), 0) });
it != derivatives[1].end())
it->second->compile(code_file, instruction_number, false, temporary_terms, temporary_terms_idxs, false, false);
else
{
FLDZ_ fldz;
fldz.write(code_file, instruction_number);
}
}
void
StaticModel::compileChainRuleDerivative(ofstream &code_file, unsigned int &instruction_number, int blk, int eq, int var, int lag, const temporary_terms_t &temporary_terms, const temporary_terms_idxs_t &temporary_terms_idxs) const
{
if (auto it = blocks_derivatives[blk].find({ eq, var, lag });
it != blocks_derivatives[blk].end())
it->second->compile(code_file, instruction_number, false, temporary_terms, temporary_terms_idxs, false, false);
else
{
FLDZ_ fldz;
fldz.write(code_file, instruction_number);
}
}
void
StaticModel::writeStaticPerBlockHelper(int blk, ostream &output, ExprNodeOutputType output_type, temporary_terms_t &temporary_terms) const
{
BlockSimulationType simulation_type = blocks[blk].simulation_type;
int block_recursive_size = blocks[blk].getRecursiveSize();
// The equations
deriv_node_temp_terms_t tef_terms;
auto write_eq_tt = [&](int eq) {
for (auto it : blocks_temporary_terms[blk][eq])
{
if (dynamic_cast<AbstractExternalFunctionNode *>(it))
it->writeExternalFunctionOutput(output, output_type, temporary_terms, blocks_temporary_terms_idxs, tef_terms);
output << " ";
it->writeOutput(output, output_type, blocks_temporary_terms[blk][eq], blocks_temporary_terms_idxs, tef_terms);
output << '=';
it->writeOutput(output, output_type, temporary_terms, blocks_temporary_terms_idxs, tef_terms);
temporary_terms.insert(it);
output << ';' << endl;
}
};
for (int eq = 0; eq < blocks[blk].size; eq++)
{
write_eq_tt(eq);
EquationType equ_type = getBlockEquationType(blk, eq);
BinaryOpNode *e = getBlockEquationExpr(blk, eq);
expr_t lhs = e->arg1, rhs = e->arg2;
switch (simulation_type)
{
case BlockSimulationType::evaluateBackward:
case BlockSimulationType::evaluateForward:
evaluation:
if (equ_type == EquationType::evaluateRenormalized)
{
e = getBlockEquationRenormalizedExpr(blk, eq);
lhs = e->arg1;
rhs = e->arg2;
}
else if (equ_type != EquationType::evaluate)
{
cerr << "Type mismatch for equation " << getBlockEquationID(blk, eq)+1 << endl;
exit(EXIT_FAILURE);
}
output << " ";
lhs->writeOutput(output, output_type, temporary_terms, blocks_temporary_terms_idxs);
output << '=';
rhs->writeOutput(output, output_type, temporary_terms, blocks_temporary_terms_idxs);
output << ';' << endl;
break;
case BlockSimulationType::solveBackwardSimple:
case BlockSimulationType::solveForwardSimple:
case BlockSimulationType::solveBackwardComplete:
case BlockSimulationType::solveForwardComplete:
if (eq < block_recursive_size)
goto evaluation;
output << " residual" << LEFT_ARRAY_SUBSCRIPT(output_type)
<< eq-block_recursive_size+ARRAY_SUBSCRIPT_OFFSET(output_type)
<< RIGHT_ARRAY_SUBSCRIPT(output_type) << "=(";
lhs->writeOutput(output, output_type, temporary_terms, blocks_temporary_terms_idxs);
output << ")-(";
rhs->writeOutput(output, output_type, temporary_terms, blocks_temporary_terms_idxs);
output << ");" << endl;
break;
default:
cerr << "Incorrect type for block " << blk+1 << endl;
exit(EXIT_FAILURE);
}
}
// The Jacobian if we have to solve the block
if (simulation_type != BlockSimulationType::evaluateBackward
&& simulation_type != BlockSimulationType::evaluateForward)
{
// Write temporary terms for derivatives
write_eq_tt(blocks[blk].size);
ostringstream i_output, j_output, v_output;
int line_counter = ARRAY_SUBSCRIPT_OFFSET(output_type);
for (const auto &[indices, d] : blocks_derivatives[blk])
{
auto [eq, var, ignore] = indices;
i_output << " g1_i" << LEFT_ARRAY_SUBSCRIPT(output_type) << line_counter
<< RIGHT_ARRAY_SUBSCRIPT(output_type) << '=' << eq+1-block_recursive_size
<< ';' << endl;
j_output << " g1_j" << LEFT_ARRAY_SUBSCRIPT(output_type) << line_counter
<< RIGHT_ARRAY_SUBSCRIPT(output_type) << '=' << var+1-block_recursive_size
<< ';' << endl;
v_output << " g1_v" << LEFT_ARRAY_SUBSCRIPT(output_type) << line_counter
<< RIGHT_ARRAY_SUBSCRIPT(output_type) << '=';
d->writeOutput(v_output, output_type, temporary_terms, blocks_temporary_terms_idxs);
v_output << ';' << endl;
line_counter++;
}
output << i_output.str() << j_output.str() << v_output.str();
}
}
void
StaticModel::writeStaticPerBlockMFiles(const string &basename) const
{
temporary_terms_t temporary_terms; // Temp terms written so far
for (int blk = 0; blk < static_cast<int>(blocks.size()); blk++)
{
BlockSimulationType simulation_type = blocks[blk].simulation_type;
string filename = packageDir(basename + ".block") + "/static_" + to_string(blk+1) + ".m";
ofstream output;
output.open(filename, ios::out | ios::binary);
if (!output.is_open())
{
cerr << "ERROR: Can't open file " << filename << " for writing" << endl;
exit(EXIT_FAILURE);
}
output << "%" << endl
<< "% " << filename << " : Computes static version of one block" << endl
<< "%" << endl
<< "% Warning : this file is generated automatically by Dynare" << endl
<< "% from model file (.mod)" << endl << endl
<< "%" << endl;
if (simulation_type == BlockSimulationType::evaluateBackward
|| simulation_type == BlockSimulationType::evaluateForward)
output << "function [y, T] = static_" << blk+1 << "(y, x, params, T)" << endl;
else
output << "function [residual, y, T, g1] = static_" << blk+1 << "(y, x, params, T)" << endl;
output << " % ////////////////////////////////////////////////////////////////////////" << endl
<< " % //" << string(" Block ").substr(static_cast<int>(log10(blk + 1))) << blk+1
<< " //" << endl
<< " % // Simulation type "
<< BlockSim(simulation_type) << " //" << endl
<< " % ////////////////////////////////////////////////////////////////////////" << endl;
if (simulation_type != BlockSimulationType::evaluateBackward
&& simulation_type != BlockSimulationType::evaluateForward)
output << " residual=zeros(" << blocks[blk].mfs_size << ",1);" << endl
<< " g1_i=zeros(" << blocks_derivatives[blk].size() << ",1);" << endl
<< " g1_j=zeros(" << blocks_derivatives[blk].size() << ",1);" << endl
<< " g1_v=zeros(" << blocks_derivatives[blk].size() << ",1);" << endl
<< endl;
writeStaticPerBlockHelper(blk, output, ExprNodeOutputType::matlabStaticModel, temporary_terms);
if (simulation_type != BlockSimulationType::evaluateBackward
&& simulation_type != BlockSimulationType::evaluateForward)
output << endl << " g1=sparse(g1_i, g1_j, g1_v, " << blocks[blk].mfs_size << "," << blocks[blk].mfs_size << ");" << endl;
output << "end" << endl;
output.close();
}
}
void
StaticModel::writeStaticPerBlockCFiles(const string &basename) const
{
temporary_terms_t temporary_terms; // Temp terms written so far
for (int blk = 0; blk < static_cast<int>(blocks.size()); blk++)
{
BlockSimulationType simulation_type = blocks[blk].simulation_type;
string filename = basename + "/model/src/static_" + to_string(blk+1) + ".c";
ofstream output;
output.open(filename, ios::out | ios::binary);
if (!output.is_open())
{
cerr << "ERROR: Can't open file " << filename << " for writing" << endl;
exit(EXIT_FAILURE);
}
output << "/* Block " << blk+1 << endl
<< " " << BlockSim(simulation_type) << " */" << endl
<< endl
<< "#include <math.h>" << endl
<< "#include <stdlib.h>" << endl
<< R"(#include "mex.h")" << endl
<< endl;
// Write function definition if BinaryOpcode::powerDeriv is used
writePowerDerivHeader(output);
output << endl;
if (simulation_type == BlockSimulationType::evaluateBackward
|| simulation_type == BlockSimulationType::evaluateForward)
output << "void static_" << blk+1 << "(double *restrict y, const double *restrict x, const double *restrict params, double *restrict T)" << endl;
else
output << "void static_" << blk+1 << "(double *restrict y, const double *restrict x, const double *restrict params, double *restrict T, double *restrict residual, double *restrict g1_i, double *restrict g1_j, double *restrict g1_v)" << endl;
output << '{' << endl;
writeStaticPerBlockHelper(blk, output, ExprNodeOutputType::CStaticModel, temporary_terms);
output << '}' << endl
<< endl;
ostringstream header;
if (simulation_type == BlockSimulationType::evaluateBackward
|| simulation_type == BlockSimulationType::evaluateForward)
{
header << "void static_" << blk+1 << "_mx(mxArray *y, const mxArray *x, const mxArray *params, mxArray *T)";
output << header.str() << endl
<< '{' << endl
<< " static_" << blk+1 << "(mxGetPr(y), mxGetPr(x), mxGetPr(params), mxGetPr(T));" << endl
<< '}' << endl;
}
else
{
header << "void static_" << blk+1 << "_mx(mxArray *y, const mxArray *x, const mxArray *params, mxArray *T, mxArray **residual, mxArray **g1)";
output << header.str() << endl
<< '{' << endl
<< " *residual = mxCreateDoubleMatrix(" << blocks[blk].mfs_size << ",1,mxREAL);" << endl
<< " mxArray *g1_i = mxCreateDoubleMatrix(" << blocks_derivatives[blk].size() << ",1,mxREAL);" << endl
<< " mxArray *g1_j = mxCreateDoubleMatrix(" << blocks_derivatives[blk].size() << ",1,mxREAL);" << endl
<< " mxArray *g1_v = mxCreateDoubleMatrix(" << blocks_derivatives[blk].size() << ",1,mxREAL);" << endl
<< " static_" << blk+1 << "(mxGetPr(y), mxGetPr(x), mxGetPr(params), mxGetPr(T), mxGetPr(*residual), mxGetPr(g1_i), mxGetPr(g1_j), mxGetPr(g1_v));" << endl
<< " mxArray *plhs[1];" << endl << " mxArray *m = mxCreateDoubleScalar(" << blocks[blk].mfs_size << ");" << endl
<< " mxArray *n = mxCreateDoubleScalar(" << blocks[blk].mfs_size << ");" << endl
<< " mxArray *prhs[5] = { g1_i, g1_j, g1_v, m, n };" << endl
<< R"( mexCallMATLAB(1, plhs, 5, prhs, "sparse");)" << endl
<< " *g1 = plhs[0];" << endl
<< " mxDestroyArray(g1_i);" << endl
<< " mxDestroyArray(g1_j);" << endl
<< " mxDestroyArray(g1_v);" << endl
<< " mxDestroyArray(m);" << endl
<< " mxDestroyArray(n);" << endl
<< '}' << endl;
}
output.close();
filename = basename + "/model/src/static_" + to_string(blk+1) + ".h";
ofstream header_output;
header_output.open(filename, ios::out | ios::binary);
if (!header_output.is_open())
{
cerr << "ERROR: Can't open file " << filename << " for writing" << endl;
exit(EXIT_FAILURE);
}
header_output << header.str() << ';' << endl;
header_output.close();
}
}
void
StaticModel::writeStaticBytecode(const string &basename) const
{
ostringstream tmp_output;
ofstream code_file;
unsigned int instruction_number = 0;
bool file_open = false;
string main_name = basename + "/model/bytecode/static.cod";
code_file.open(main_name, ios::out | ios::binary | ios::ate);
if (!code_file.is_open())
{
cerr << R"(Error : Can't open file ")" << main_name << R"(" for writing)" << endl;
exit(EXIT_FAILURE);
}
int count_u;
int u_count_int = 0;
writeBytecodeBinFile(basename + "/model/bytecode/static.bin", u_count_int, file_open, false);
file_open = true;
// Compute the union of temporary terms from residuals and 1st derivatives
temporary_terms_t temporary_terms = temporary_terms_derivatives[0];
copy(temporary_terms_derivatives[1].begin(), temporary_terms_derivatives[1].end(),
inserter(temporary_terms, temporary_terms.end()));
//Temporary variables declaration
FDIMST_ fdimst(temporary_terms.size());
fdimst.write(code_file, instruction_number);
FBEGINBLOCK_ fbeginblock(symbol_table.endo_nbr(),
BlockSimulationType::solveForwardComplete,
0,
symbol_table.endo_nbr(),
endo_idx_block2orig,
eq_idx_block2orig,
false,
symbol_table.endo_nbr(),
0,
0,
u_count_int,
symbol_table.endo_nbr());
fbeginblock.write(code_file, instruction_number);
temporary_terms_t temporary_terms_union;
compileTemporaryTerms(code_file, instruction_number, false, false, temporary_terms_union, temporary_terms_idxs);
compileModelEquations(code_file, instruction_number, false, false, temporary_terms_union, temporary_terms_idxs);
FENDEQU_ fendequ;
fendequ.write(code_file, instruction_number);
// Get the current code_file position and jump if eval = true
streampos pos1 = code_file.tellp();
FJMPIFEVAL_ fjmp_if_eval(0);
fjmp_if_eval.write(code_file, instruction_number);
int prev_instruction_number = instruction_number;
vector<vector<pair<int, int>>> my_derivatives(symbol_table.endo_nbr());
count_u = symbol_table.endo_nbr();
for (const auto & [indices, d1] : derivatives[1])
{
int deriv_id = indices[1];
if (getTypeByDerivID(deriv_id) == SymbolType::endogenous)
{
int eq = indices[0];
int symb = getSymbIDByDerivID(deriv_id);
int var = symbol_table.getTypeSpecificID(symb);
FNUMEXPR_ fnumexpr(ExpressionType::FirstEndoDerivative, eq, var);
fnumexpr.write(code_file, instruction_number);
if (!my_derivatives[eq].size())
my_derivatives[eq].clear();
my_derivatives[eq].emplace_back(var, count_u);
d1->compile(code_file, instruction_number, false, temporary_terms_union, temporary_terms_idxs, false, false);
FSTPSU_ fstpsu(count_u);
fstpsu.write(code_file, instruction_number);
count_u++;
}
}
for (int i = 0; i < symbol_table.endo_nbr(); i++)
{
FLDR_ fldr(i);
fldr.write(code_file, instruction_number);
if (my_derivatives[i].size())
{
for (auto it = my_derivatives[i].begin(); it != my_derivatives[i].end(); ++it)
{
FLDSU_ fldsu(it->second);
fldsu.write(code_file, instruction_number);
FLDSV_ fldsv{static_cast<int>(SymbolType::endogenous), static_cast<unsigned int>(it->first)};
fldsv.write(code_file, instruction_number);
FBINARY_ fbinary{static_cast<int>(BinaryOpcode::times)};
fbinary.write(code_file, instruction_number);
if (it != my_derivatives[i].begin())
{
FBINARY_ fbinary{static_cast<int>(BinaryOpcode::plus)};
fbinary.write(code_file, instruction_number);
}
}
FBINARY_ fbinary{static_cast<int>(BinaryOpcode::minus)};
fbinary.write(code_file, instruction_number);
}
FSTPSU_ fstpsu(i);
fstpsu.write(code_file, instruction_number);
}
// Get the current code_file position and jump = true
streampos pos2 = code_file.tellp();
FJMP_ fjmp(0);
fjmp.write(code_file, instruction_number);
// Set code_file position to previous JMPIFEVAL_ and set the number of instructions to jump
streampos pos3 = code_file.tellp(); code_file.seekp(pos1);
FJMPIFEVAL_ fjmp_if_eval1(instruction_number - prev_instruction_number);
fjmp_if_eval1.write(code_file, instruction_number);
code_file.seekp(pos3);
prev_instruction_number = instruction_number;
temporary_terms_t tt2, tt3;
// The Jacobian if we have to solve the block determinsitic bloc
for (const auto & [indices, d1] : derivatives[1])
{
int deriv_id = indices[1];
if (getTypeByDerivID(deriv_id) == SymbolType::endogenous)
{
int eq = indices[0];
int symb = getSymbIDByDerivID(deriv_id);
int var = symbol_table.getTypeSpecificID(symb);
FNUMEXPR_ fnumexpr(ExpressionType::FirstEndoDerivative, eq, var);
fnumexpr.write(code_file, instruction_number);
if (!my_derivatives[eq].size())
my_derivatives[eq].clear();
my_derivatives[eq].emplace_back(var, count_u);
d1->compile(code_file, instruction_number, false, temporary_terms_union, temporary_terms_idxs, false, false);
FSTPG2_ fstpg2(eq, var);
fstpg2.write(code_file, instruction_number);
}
}
// Set codefile position to previous JMP_ and set the number of instructions to jump
pos1 = code_file.tellp();
code_file.seekp(pos2);
FJMP_ fjmp1(instruction_number - prev_instruction_number);
fjmp1.write(code_file, instruction_number);
code_file.seekp(pos1);
FENDBLOCK_ fendblock;
fendblock.write(code_file, instruction_number);
FEND_ fend;
fend.write(code_file, instruction_number);
code_file.close();
}
void
StaticModel::writeStaticBlockBytecode(const string &basename) const
{
struct Uff_l
{
int u, var, lag;
Uff_l *pNext;
};
struct Uff
{
Uff_l *Ufl, *Ufl_First;
};
int i, v;
string tmp_s;
ostringstream tmp_output;
ofstream code_file;
unsigned int instruction_number = 0;
expr_t lhs = nullptr, rhs = nullptr;
BinaryOpNode *eq_node;
Uff Uf[symbol_table.endo_nbr()];
map<expr_t, int> reference_count;
vector<int> feedback_variables;
bool file_open = false;
string main_name = basename + "/model/bytecode/static.cod"; code_file.open(main_name, ios::out | ios::binary | ios::ate);
if (!code_file.is_open())
{
cerr << R"(Error : Can't open file ")" << main_name << R"(" for writing)" << endl;
exit(EXIT_FAILURE);
}
//Temporary variables declaration
FDIMST_ fdimst(blocks_temporary_terms_idxs.size());
fdimst.write(code_file, instruction_number);
temporary_terms_t temporary_terms_union;
for (int block = 0; block < static_cast<int>(blocks.size()); block++)
{
feedback_variables.clear();
if (block > 0)
{
FENDBLOCK_ fendblock;
fendblock.write(code_file, instruction_number);
}
int count_u;
int u_count_int = 0;
BlockSimulationType simulation_type = blocks[block].simulation_type;
int block_size = blocks[block].size;
int block_mfs = blocks[block].mfs_size;
int block_recursive = blocks[block].getRecursiveSize();
if (simulation_type == BlockSimulationType::solveTwoBoundariesSimple
|| simulation_type == BlockSimulationType::solveTwoBoundariesComplete
|| simulation_type == BlockSimulationType::solveBackwardComplete
|| simulation_type == BlockSimulationType::solveForwardComplete)
{
writeBlockBytecodeBinFile(basename, block, u_count_int, file_open);
file_open = true;
}
FBEGINBLOCK_ fbeginblock(block_mfs,
simulation_type,
blocks[block].first_equation,
block_size,
endo_idx_block2orig,
eq_idx_block2orig,
blocks[block].linear,
symbol_table.endo_nbr(),
0,
0,
u_count_int,
block_size);
fbeginblock.write(code_file, instruction_number);
// Get the current code_file position and jump if eval = true
streampos pos1 = code_file.tellp();
FJMPIFEVAL_ fjmp_if_eval(0);
fjmp_if_eval.write(code_file, instruction_number);
int prev_instruction_number = instruction_number;
//The Temporary terms
deriv_node_temp_terms_t tef_terms;
/* Keep a backup of temporary_terms_union here, since temp. terms are
written a second time below. This is probably unwanted… */
temporary_terms_t ttu_old = temporary_terms_union;
auto write_eq_tt = [&](int eq)
{
for (auto it : blocks_temporary_terms[block][eq])
{
if (dynamic_cast<AbstractExternalFunctionNode *>(it))
it->compileExternalFunctionOutput(code_file, instruction_number, false, temporary_terms_union, blocks_temporary_terms_idxs, false, false, tef_terms);
FNUMEXPR_ fnumexpr(ExpressionType::TemporaryTerm, static_cast<int>(blocks_temporary_terms_idxs.at(it)));
fnumexpr.write(code_file, instruction_number);
it->compile(code_file, instruction_number, false, temporary_terms_union, blocks_temporary_terms_idxs, false, false, tef_terms);
FSTPST_ fstpst(static_cast<int>(blocks_temporary_terms_idxs.at(it)));
fstpst.write(code_file, instruction_number);
temporary_terms_union.insert(it);
}
};
for (i = 0; i < block_size; i++)
{
write_eq_tt(i);
// The equations
int variable_ID, equation_ID;
EquationType equ_type;
switch (simulation_type)
{
evaluation:
case BlockSimulationType::evaluateBackward:
case BlockSimulationType::evaluateForward:
equ_type = getBlockEquationType(block, i);
{
FNUMEXPR_ fnumexpr(ExpressionType::ModelEquation, getBlockEquationID(block, i));
fnumexpr.write(code_file, instruction_number);
}
if (equ_type == EquationType::evaluate)
{
eq_node = getBlockEquationExpr(block, i);
lhs = eq_node->arg1;
rhs = eq_node->arg2;
rhs->compile(code_file, instruction_number, false, temporary_terms_union, blocks_temporary_terms_idxs, false, false);
lhs->compile(code_file, instruction_number, true, temporary_terms_union, blocks_temporary_terms_idxs, false, false);
}
else if (equ_type == EquationType::evaluateRenormalized)
{
eq_node = getBlockEquationRenormalizedExpr(block, i);
lhs = eq_node->arg1;
rhs = eq_node->arg2;
rhs->compile(code_file, instruction_number, false, temporary_terms_union, blocks_temporary_terms_idxs, false, false);
lhs->compile(code_file, instruction_number, true, temporary_terms_union, blocks_temporary_terms_idxs, false, false);
}
break;
case BlockSimulationType::solveBackwardComplete:
case BlockSimulationType::solveForwardComplete:
if (i < block_recursive)
goto evaluation;
variable_ID = getBlockVariableID(block, i);
equation_ID = getBlockEquationID(block, i);
feedback_variables.push_back(variable_ID);
Uf[equation_ID].Ufl = nullptr;
goto end;
default:
end:
FNUMEXPR_ fnumexpr(ExpressionType::ModelEquation, getBlockEquationID(block, i));
fnumexpr.write(code_file, instruction_number);
eq_node = getBlockEquationExpr(block, i);
lhs = eq_node->arg1;
rhs = eq_node->arg2;
lhs->compile(code_file, instruction_number, false, temporary_terms_union, blocks_temporary_terms_idxs, false, false);
rhs->compile(code_file, instruction_number, false, temporary_terms_union, blocks_temporary_terms_idxs, false, false);
FBINARY_ fbinary{static_cast<int>(BinaryOpcode::minus)};
fbinary.write(code_file, instruction_number);
FSTPR_ fstpr(i - block_recursive);
fstpr.write(code_file, instruction_number);
}
} FENDEQU_ fendequ;
fendequ.write(code_file, instruction_number);
// The Jacobian if we have to solve the block
if (simulation_type != BlockSimulationType::evaluateBackward
&& simulation_type != BlockSimulationType::evaluateForward)
{
// Write temporary terms for derivatives
write_eq_tt(blocks[block].size);
switch (simulation_type)
{
case BlockSimulationType::solveBackwardSimple:
case BlockSimulationType::solveForwardSimple:
{
FNUMEXPR_ fnumexpr(ExpressionType::FirstEndoDerivative, 0, 0);
fnumexpr.write(code_file, instruction_number);
}
compileDerivative(code_file, instruction_number, getBlockEquationID(block, 0), getBlockVariableID(block, 0), temporary_terms_union, blocks_temporary_terms_idxs);
{
FSTPG_ fstpg(0);
fstpg.write(code_file, instruction_number);
}
break;
case BlockSimulationType::solveBackwardComplete:
case BlockSimulationType::solveForwardComplete:
count_u = feedback_variables.size();
for (const auto &[indices, ignore2] : blocks_derivatives[block])
{
auto [eq, var, ignore] = indices;
int eqr = getBlockEquationID(block, eq);
int varr = getBlockVariableID(block, var);
if (eq >= block_recursive && var >= block_recursive)
{
if (!Uf[eqr].Ufl)
{
Uf[eqr].Ufl = static_cast<Uff_l *>(malloc(sizeof(Uff_l)));
Uf[eqr].Ufl_First = Uf[eqr].Ufl;
}
else
{
Uf[eqr].Ufl->pNext = static_cast<Uff_l *>(malloc(sizeof(Uff_l)));
Uf[eqr].Ufl = Uf[eqr].Ufl->pNext;
}
Uf[eqr].Ufl->pNext = nullptr;
Uf[eqr].Ufl->u = count_u;
Uf[eqr].Ufl->var = varr;
FNUMEXPR_ fnumexpr(ExpressionType::FirstEndoDerivative, eqr, varr);
fnumexpr.write(code_file, instruction_number);
compileChainRuleDerivative(code_file, instruction_number, block, eq, var, 0, temporary_terms_union, blocks_temporary_terms_idxs);
FSTPSU_ fstpsu(count_u);
fstpsu.write(code_file, instruction_number);
count_u++;
}
}
for (i = 0; i < block_size; i++)
{
if (i >= block_recursive)
{
FLDR_ fldr(i-block_recursive);
fldr.write(code_file, instruction_number);
FLDZ_ fldz;
fldz.write(code_file, instruction_number);
v = getBlockEquationID(block, i);
for (Uf[v].Ufl = Uf[v].Ufl_First; Uf[v].Ufl; Uf[v].Ufl = Uf[v].Ufl->pNext)
{
FLDSU_ fldsu(Uf[v].Ufl->u); fldsu.write(code_file, instruction_number);
FLDSV_ fldsv{static_cast<int>(SymbolType::endogenous), static_cast<unsigned int>(Uf[v].Ufl->var)};
fldsv.write(code_file, instruction_number);
FBINARY_ fbinary{static_cast<int>(BinaryOpcode::times)};
fbinary.write(code_file, instruction_number);
FCUML_ fcuml;
fcuml.write(code_file, instruction_number);
}
Uf[v].Ufl = Uf[v].Ufl_First;
while (Uf[v].Ufl)
{
Uf[v].Ufl_First = Uf[v].Ufl->pNext;
free(Uf[v].Ufl);
Uf[v].Ufl = Uf[v].Ufl_First;
}
FBINARY_ fbinary{static_cast<int>(BinaryOpcode::minus)};
fbinary.write(code_file, instruction_number);
FSTPSU_ fstpsu(i - block_recursive);
fstpsu.write(code_file, instruction_number);
}
}
break;
default:
break;
}
}
// Get the current code_file position and jump = true
streampos pos2 = code_file.tellp();
FJMP_ fjmp(0);
fjmp.write(code_file, instruction_number);
// Set code_file position to previous JMPIFEVAL_ and set the number of instructions to jump
streampos pos3 = code_file.tellp();
code_file.seekp(pos1);
FJMPIFEVAL_ fjmp_if_eval1(instruction_number - prev_instruction_number);
fjmp_if_eval1.write(code_file, instruction_number);
code_file.seekp(pos3);
prev_instruction_number = instruction_number;
tef_terms.clear();
temporary_terms_union = ttu_old;
for (i = 0; i < block_size; i++)
{
write_eq_tt(i);
// The equations
int variable_ID, equation_ID;
EquationType equ_type;
switch (simulation_type)
{
evaluation_l:
case BlockSimulationType::evaluateBackward:
case BlockSimulationType::evaluateForward:
equ_type = getBlockEquationType(block, i);
{
FNUMEXPR_ fnumexpr(ExpressionType::ModelEquation, getBlockEquationID(block, i));
fnumexpr.write(code_file, instruction_number);
}
if (equ_type == EquationType::evaluate)
{
eq_node = getBlockEquationExpr(block, i);
lhs = eq_node->arg1;
rhs = eq_node->arg2;
rhs->compile(code_file, instruction_number, false, temporary_terms_union, blocks_temporary_terms_idxs, false, false);
lhs->compile(code_file, instruction_number, true, temporary_terms_union, blocks_temporary_terms_idxs, false, false); }
else if (equ_type == EquationType::evaluateRenormalized)
{
eq_node = getBlockEquationRenormalizedExpr(block, i);
lhs = eq_node->arg1;
rhs = eq_node->arg2;
rhs->compile(code_file, instruction_number, false, temporary_terms_union, blocks_temporary_terms_idxs, false, false);
lhs->compile(code_file, instruction_number, true, temporary_terms_union, blocks_temporary_terms_idxs, false, false);
}
break;
case BlockSimulationType::solveBackwardComplete:
case BlockSimulationType::solveForwardComplete:
if (i < block_recursive)
goto evaluation_l;
variable_ID = getBlockVariableID(block, i);
equation_ID = getBlockEquationID(block, i);
feedback_variables.push_back(variable_ID);
Uf[equation_ID].Ufl = nullptr;
goto end_l;
default:
end_l:
FNUMEXPR_ fnumexpr(ExpressionType::ModelEquation, getBlockEquationID(block, i));
fnumexpr.write(code_file, instruction_number);
eq_node = getBlockEquationExpr(block, i);
lhs = eq_node->arg1;
rhs = eq_node->arg2;
lhs->compile(code_file, instruction_number, false, temporary_terms_union, blocks_temporary_terms_idxs, false, false);
rhs->compile(code_file, instruction_number, false, temporary_terms_union, blocks_temporary_terms_idxs, false, false);
FBINARY_ fbinary{static_cast<int>(BinaryOpcode::minus)};
fbinary.write(code_file, instruction_number);
FSTPR_ fstpr(i - block_recursive);
fstpr.write(code_file, instruction_number);
}
}
FENDEQU_ fendequ_l;
fendequ_l.write(code_file, instruction_number);
// The Jacobian if we have to solve the block determinsitic bloc
// Write temporary terms for derivatives
write_eq_tt(blocks[block].size);
switch (simulation_type)
{
case BlockSimulationType::solveBackwardSimple:
case BlockSimulationType::solveForwardSimple:
{
FNUMEXPR_ fnumexpr(ExpressionType::FirstEndoDerivative, 0, 0);
fnumexpr.write(code_file, instruction_number);
}
compileDerivative(code_file, instruction_number, getBlockEquationID(block, 0), getBlockVariableID(block, 0), temporary_terms_union, blocks_temporary_terms_idxs);
{
FSTPG2_ fstpg2(0, 0);
fstpg2.write(code_file, instruction_number);
}
break;
case BlockSimulationType::evaluateBackward:
case BlockSimulationType::evaluateForward:
case BlockSimulationType::solveBackwardComplete:
case BlockSimulationType::solveForwardComplete:
count_u = feedback_variables.size();
for (const auto &[indices, ignore2] : blocks_derivatives[block])
{
auto &[eq, var, ignore] = indices;
int eqr = getBlockEquationID(block, eq);
int varr = getBlockVariableID(block, var);
FNUMEXPR_ fnumexpr(ExpressionType::FirstEndoDerivative, eqr, varr, 0);
fnumexpr.write(code_file, instruction_number);
compileChainRuleDerivative(code_file, instruction_number, block, eq, var, 0, temporary_terms_union, blocks_temporary_terms_idxs);
FSTPG2_ fstpg2(eq, var);
fstpg2.write(code_file, instruction_number);
}
break;
default:
break;
}
// Set codefile position to previous JMP_ and set the number of instructions to jump
pos1 = code_file.tellp();
code_file.seekp(pos2);
FJMP_ fjmp1(instruction_number - prev_instruction_number);
fjmp1.write(code_file, instruction_number);
code_file.seekp(pos1);
}
FENDBLOCK_ fendblock;
fendblock.write(code_file, instruction_number);
FEND_ fend;
fend.write(code_file, instruction_number);
code_file.close();
}
void
StaticModel::writeBlockBytecodeBinFile(const string &basename, int num,
int &u_count_int, bool &file_open) const
{
int j;
std::ofstream SaveCode;
string filename = basename + "/model/bytecode/static.bin";
if (file_open)
SaveCode.open(filename, ios::out | ios::in | ios::binary | ios::ate);
else
SaveCode.open(filename, ios::out | ios::binary);
if (!SaveCode.is_open())
{
cerr << "Error : Can't open file " << filename << " for writing" << endl;
exit(EXIT_FAILURE);
}
u_count_int = 0;
int block_size = blocks[num].size;
int block_mfs = blocks[num].mfs_size;
int block_recursive = blocks[num].getRecursiveSize();
for (const auto &[indices, ignore2] : blocks_derivatives[num])
{
auto [eq, var, ignore] = indices;
int lag = 0;
if (eq >= block_recursive && var >= block_recursive)
{
int v = eq - block_recursive;
SaveCode.write(reinterpret_cast<char *>(&v), sizeof(v));
int varr = var - block_recursive;
SaveCode.write(reinterpret_cast<char *>(&varr), sizeof(varr));
SaveCode.write(reinterpret_cast<char *>(&lag), sizeof(lag));
int u = u_count_int + block_mfs;
SaveCode.write(reinterpret_cast<char *>(&u), sizeof(u));
u_count_int++;
}
}
for (j = block_recursive; j < block_size; j++)
{
int varr = getBlockVariableID(num, j);
SaveCode.write(reinterpret_cast<char *>(&varr), sizeof(varr));
}
for (j = block_recursive; j < block_size; j++)
{
int eqr = getBlockEquationID(num, j);
SaveCode.write(reinterpret_cast<char *>(&eqr), sizeof(eqr)); }
SaveCode.close();
}
void
StaticModel::computingPass(int derivsOrder, int paramsDerivsOrder, const eval_context_t &eval_context, bool no_tmp_terms, bool block, bool bytecode)
{
initializeVariablesAndEquations();
vector<BinaryOpNode *> neweqs;
for (int eq = 0; eq < static_cast<int>(equations.size() - aux_equations.size()); eq++)
{
expr_t eq_tmp = equations[eq]->substituteStaticAuxiliaryVariable();
neweqs.push_back(dynamic_cast<BinaryOpNode *>(eq_tmp->toStatic(*this)));
}
for (auto &aux_equation : aux_equations)
{
expr_t eq_tmp = aux_equation->substituteStaticAuxiliaryDefinition();
neweqs.push_back(dynamic_cast<BinaryOpNode *>(eq_tmp->toStatic(*this)));
}
equations.clear();
copy(neweqs.begin(), neweqs.end(), back_inserter(equations));
// Compute derivatives w.r. to all endogenous
set<int> vars;
for (int i = 0; i < symbol_table.endo_nbr(); i++)
{
int id = symbol_table.getID(SymbolType::endogenous, i);
// if (!symbol_table.isAuxiliaryVariableButNotMultiplier(id))
vars.insert(getDerivID(id, 0));
}
// Launch computations
cout << "Computing static model derivatives (order " << derivsOrder << ")." << endl;
computeDerivatives(derivsOrder, vars);
if (paramsDerivsOrder > 0)
{
cout << "Computing static model derivatives w.r.t. parameters (order " << paramsDerivsOrder << ")." << endl;
computeParamsDerivatives(paramsDerivsOrder);
}
if (block)
{
auto contemporaneous_jacobian = evaluateAndReduceJacobian(eval_context);
computeNonSingularNormalization(contemporaneous_jacobian);
auto [prologue, epilogue] = computePrologueAndEpilogue();
auto first_order_endo_derivatives = collectFirstOrderDerivativesEndogenous();
equationTypeDetermination(first_order_endo_derivatives, mfs);
cout << "Finding the optimal block decomposition of the model ..." << endl;
computeBlockDecomposition(prologue, epilogue);
reduceBlockDecomposition();
printBlockDecomposition();
computeChainRuleJacobian();
determineLinearBlocks();
if (!no_tmp_terms) computeBlockTemporaryTerms();
}
else
{
computeTemporaryTerms(true, no_tmp_terms);
/* Must be called after computeTemporaryTerms(), because it depends on
temporary_terms_mlv to be filled */
if (paramsDerivsOrder > 0 && !no_tmp_terms)
computeParamsDerivativesTemporaryTerms();
}
}
void
StaticModel::writeStaticMFile(const string &basename) const
{
writeStaticModel(basename, false, false);
}
void
StaticModel::writeWrapperFunctions(const string &basename, const string &ending) const
{
string name;
if (ending == "g1")
name = "static_resid_g1";
else if (ending == "g2")
name = "static_resid_g1_g2";
else if (ending == "g3")
name = "static_resid_g1_g2_g3";
string filename = packageDir(basename) + "/" + name + ".m";
ofstream output;
output.open(filename, ios::out | ios::binary);
if (!output.is_open())
{
cerr << "Error: Can't open file " << filename << " for writing" << endl;
exit(EXIT_FAILURE);
}
if (ending == "g1")
output << "function [residual, g1] = " << name << "(T, y, x, params, T_flag)" << endl
<< "% function [residual, g1] = " << name << "(T, y, x, params, T_flag)" << endl;
else if (ending == "g2")
output << "function [residual, g1, g2] = " << name << "(T, y, x, params, T_flag)" << endl
<< "% function [residual, g1, g2] = " << name << "(T, y, x, params, T_flag)" << endl;
else if (ending == "g3")
output << "function [residual, g1, g2, g3] = " << name << "(T, y, x, params, T_flag)" << endl
<< "% function [residual, g1, g2, g3] = " << name << "(T, y, x, params, T_flag)" << endl;
output << "%" << endl
<< "% Wrapper function automatically created by Dynare" << endl
<< "%" << endl
<< endl
<< " if T_flag" << endl
<< " T = " << basename << ".static_" << ending << "_tt(T, y, x, params);" << endl
<< " end" << endl;
if (ending == "g1")
output << " residual = " << basename << ".static_resid(T, y, x, params, false);" << endl
<< " g1 = " << basename << ".static_g1(T, y, x, params, false);" << endl;
else if (ending == "g2")
output << " [residual, g1] = " << basename << ".static_resid_g1(T, y, x, params, false);" << endl
<< " g2 = " << basename << ".static_g2(T, y, x, params, false);" << endl;
else if (ending == "g3")
output << " [residual, g1, g2] = " << basename << ".static_resid_g1_g2(T, y, x, params, false);" << endl
<< " g3 = " << basename << ".static_g3(T, y, x, params, false);" << endl;
output << endl << "end" << endl;
output.close();
}
void
StaticModel::writeStaticModelHelper(const string &basename,
const string &name, const string &retvalname,
const string &name_tt, size_t ttlen,
const string &previous_tt_name,
const ostringstream &init_s, const ostringstream &end_s,
const ostringstream &s, const ostringstream &s_tt) const
{
string filename = packageDir(basename) + "/" + name_tt + ".m";
ofstream output;
output.open(filename, ios::out | ios::binary);
if (!output.is_open())
{
cerr << "Error: Can't open file " << filename << " for writing" << endl;
exit(EXIT_FAILURE);
}
output << "function T = " << name_tt << "(T, y, x, params)" << endl
<< "% function T = " << name_tt << "(T, y, x, params)" << endl
<< "%" << endl
<< "% File created by Dynare Preprocessor from .mod file" << endl
<< "%" << endl
<< "% Inputs:" << endl
<< "% T [#temp variables by 1] double vector of temporary terms to be filled by function" << endl
<< "% y [M_.endo_nbr by 1] double vector of endogenous variables in declaration order" << endl
<< "% x [M_.exo_nbr by 1] double vector of exogenous variables in declaration order" << endl
<< "% params [M_.param_nbr by 1] double vector of parameter values in declaration order" << endl
<< "%" << endl
<< "% Output:" << endl
<< "% T [#temp variables by 1] double vector of temporary terms" << endl
<< "%" << endl << endl
<< "assert(length(T) >= " << ttlen << ");" << endl
<< endl;
if (!previous_tt_name.empty())
output << "T = " << basename << "." << previous_tt_name << "(T, y, x, params);" << endl << endl;
output << s_tt.str() << endl
<< "end" << endl;
output.close();
filename = packageDir(basename) + "/" + name + ".m";
output.open(filename, ios::out | ios::binary);
if (!output.is_open())
{
cerr << "Error: Can't open file " << filename << " for writing" << endl;
exit(EXIT_FAILURE);
}
output << "function " << retvalname << " = " << name << "(T, y, x, params, T_flag)" << endl
<< "% function " << retvalname << " = " << name << "(T, y, x, params, T_flag)" << endl
<< "%" << endl
<< "% File created by Dynare Preprocessor from .mod file" << endl
<< "%" << endl
<< "% Inputs:" << endl
<< "% T [#temp variables by 1] double vector of temporary terms to be filled by function" << endl
<< "% y [M_.endo_nbr by 1] double vector of endogenous variables in declaration order" << endl
<< "% x [M_.exo_nbr by 1] double vector of exogenous variables in declaration order" << endl
<< "% params [M_.param_nbr by 1] double vector of parameter values in declaration order" << endl
<< "% to evaluate the model" << endl
<< "% T_flag boolean boolean flag saying whether or not to calculate temporary terms" << endl
<< "%" << endl
<< "% Output:" << endl
<< "% " << retvalname << endl
<< "%" << endl << endl;
if (!name_tt.empty())
output << "if T_flag" << endl
<< " T = " << basename << "." << name_tt << "(T, y, x, params);" << endl << "end" << endl;
output << init_s.str() << endl
<< s.str()
<< end_s.str() << endl
<< "end" << endl;
output.close();
}
void
StaticModel::writeStaticMatlabCompatLayer(const string &basename) const
{
string filename = packageDir(basename) + "/static.m";
ofstream output;
output.open(filename, ios::out | ios::binary);
if (!output.is_open())
{
cerr << "Error: Can't open file " << filename << " for writing" << endl;
exit(EXIT_FAILURE);
}
int ntt = temporary_terms_mlv.size() + temporary_terms_derivatives[0].size() + temporary_terms_derivatives[1].size() + temporary_terms_derivatives[2].size() + temporary_terms_derivatives[3].size();
output << "function [residual, g1, g2, g3] = static(y, x, params)" << endl
<< " T = NaN(" << ntt << ", 1);" << endl
<< " if nargout <= 1" << endl
<< " residual = " << basename << ".static_resid(T, y, x, params, true);" << endl
<< " elseif nargout == 2" << endl
<< " [residual, g1] = " << basename << ".static_resid_g1(T, y, x, params, true);" << endl
<< " elseif nargout == 3" << endl
<< " [residual, g1, g2] = " << basename << ".static_resid_g1_g2(T, y, x, params, true);" << endl
<< " else" << endl
<< " [residual, g1, g2, g3] = " << basename << ".static_resid_g1_g2_g3(T, y, x, params, true);" << endl
<< " end" << endl
<< "end" << endl;
output.close();
}
void
StaticModel::writeStaticModel(ostream &StaticOutput, bool use_dll, bool julia) const
{
writeStaticModel("", StaticOutput, use_dll, julia);
}
void
StaticModel::writeStaticModel(const string &basename, bool use_dll, bool julia) const
{
ofstream StaticOutput;
writeStaticModel(basename, StaticOutput, use_dll, julia);
}
void
StaticModel::writeStaticModel(const string &basename,
ostream &StaticOutput, bool use_dll, bool julia) const
{
vector<ostringstream> d_output(derivatives.size()); // Derivatives output (at all orders, including 0=residual)
vector<ostringstream> tt_output(derivatives.size()); // Temp terms output (at all orders)
ExprNodeOutputType output_type = (use_dll ? ExprNodeOutputType::CStaticModel :
julia ? ExprNodeOutputType::juliaStaticModel : ExprNodeOutputType::matlabStaticModel);
deriv_node_temp_terms_t tef_terms;
temporary_terms_t temp_term_union;
writeModelLocalVariableTemporaryTerms(temp_term_union, temporary_terms_idxs,
tt_output[0], output_type, tef_terms);
writeTemporaryTerms(temporary_terms_derivatives[0],
temp_term_union,
temporary_terms_idxs, tt_output[0], output_type, tef_terms);
writeModelEquations(d_output[0], output_type, temp_term_union);
int nrows = equations.size();
int JacobianColsNbr = symbol_table.endo_nbr();
int hessianColsNbr = JacobianColsNbr*JacobianColsNbr;
auto getJacobCol = [this](int var) { return symbol_table.getTypeSpecificID(getSymbIDByDerivID(var)); };
// Write Jacobian w.r. to endogenous only
if (!derivatives[1].empty())
{
writeTemporaryTerms(temporary_terms_derivatives[1],
temp_term_union,
temporary_terms_idxs,
tt_output[1], output_type, tef_terms);
for (const auto & [indices, d1] : derivatives[1])
{
auto [eq, var] = vectorToTuple<2>(indices);
jacobianHelper(d_output[1], eq, getJacobCol(var), output_type);
d_output[1] << "=";
d1->writeOutput(d_output[1], output_type,
temp_term_union, temporary_terms_idxs, tef_terms);
d_output[1] << ";" << endl;
}
}
// Write derivatives for order ≥ 2
for (size_t i = 2; i < derivatives.size(); i++)
if (!derivatives[i].empty())
{
writeTemporaryTerms(temporary_terms_derivatives[i],
temp_term_union,
temporary_terms_idxs,
tt_output[i], output_type, tef_terms);
/* When creating the sparse matrix (in MATLAB or C mode), since storage
is in column-major order, output the first column, then the second,
then the third. This gives a significant performance boost in use_dll
mode (at both compilation and runtime), because it facilitates memory
accesses and expression reusage. */
ostringstream i_output, j_output, v_output;
int k = 0; // Current line index in the 3-column matrix
for (const auto &[vidx, d] : derivatives[i])
{
int eq = vidx[0];
int col_idx = 0;
for (size_t j = 1; j < vidx.size(); j++)
{
col_idx *= JacobianColsNbr;
col_idx += getJacobCol(vidx[j]);
}
if (output_type == ExprNodeOutputType::juliaStaticModel)
{
d_output[i] << " @inbounds " << "g" << i << "[" << eq + 1 << "," << col_idx + 1 << "] = ";
d->writeOutput(d_output[i], output_type, temp_term_union, temporary_terms_idxs, tef_terms);
d_output[i] << endl;
}
else
{
i_output << "g" << i << "_i" << LEFT_ARRAY_SUBSCRIPT(output_type)
<< k + ARRAY_SUBSCRIPT_OFFSET(output_type)
<< RIGHT_ARRAY_SUBSCRIPT(output_type)
<< "=" << eq + 1 << ";" << endl; j_output << "g" << i << "_j" << LEFT_ARRAY_SUBSCRIPT(output_type)
<< k + ARRAY_SUBSCRIPT_OFFSET(output_type)
<< RIGHT_ARRAY_SUBSCRIPT(output_type)
<< "=" << col_idx + 1 << ";" << endl;
v_output << "g" << i << "_v" << LEFT_ARRAY_SUBSCRIPT(output_type)
<< k + ARRAY_SUBSCRIPT_OFFSET(output_type)
<< RIGHT_ARRAY_SUBSCRIPT(output_type) << "=";
d->writeOutput(v_output, output_type, temp_term_union, temporary_terms_idxs, tef_terms);
v_output << ";" << endl;
k++;
}
// Output symetric elements at order 2
if (i == 2 && vidx[1] != vidx[2])
{
int col_idx_sym = getJacobCol(vidx[2]) * JacobianColsNbr + getJacobCol(vidx[1]);
if (output_type == ExprNodeOutputType::juliaStaticModel)
d_output[2] << " @inbounds g2[" << eq + 1 << "," << col_idx_sym + 1 << "] = "
<< "g2[" << eq + 1 << "," << col_idx + 1 << "]" << endl;
else
{
i_output << "g" << i << "_i" << LEFT_ARRAY_SUBSCRIPT(output_type)
<< k + ARRAY_SUBSCRIPT_OFFSET(output_type)
<< RIGHT_ARRAY_SUBSCRIPT(output_type)
<< "=" << eq + 1 << ";" << endl;
j_output << "g" << i << "_j" << LEFT_ARRAY_SUBSCRIPT(output_type)
<< k + ARRAY_SUBSCRIPT_OFFSET(output_type)
<< RIGHT_ARRAY_SUBSCRIPT(output_type)
<< "=" << col_idx_sym + 1 << ";" << endl;
v_output << "g" << i << "_v" << LEFT_ARRAY_SUBSCRIPT(output_type)
<< k + ARRAY_SUBSCRIPT_OFFSET(output_type)
<< RIGHT_ARRAY_SUBSCRIPT(output_type) << "="
<< "g" << i << "_v" << LEFT_ARRAY_SUBSCRIPT(output_type)
<< k-1 + ARRAY_SUBSCRIPT_OFFSET(output_type)
<< RIGHT_ARRAY_SUBSCRIPT(output_type) << ";" << endl;
k++;
}
}
}
if (output_type != ExprNodeOutputType::juliaStaticModel)
d_output[i] << i_output.str() << j_output.str() << v_output.str();
}
if (output_type == ExprNodeOutputType::matlabStaticModel)
{
// Check that we don't have more than 32 nested parenthesis because Matlab does not suppor this. See Issue #1201
map<string, string> tmp_paren_vars;
bool message_printed = false;
for (auto &it : tt_output)
fixNestedParenthesis(it, tmp_paren_vars, message_printed);
for (auto &it : d_output)
fixNestedParenthesis(it, tmp_paren_vars, message_printed);
ostringstream init_output, end_output;
init_output << "residual = zeros(" << equations.size() << ", 1);";
end_output << "if ~isreal(residual)" << endl
<< " residual = real(residual)+imag(residual).^2;" << endl
<< "end";
writeStaticModelHelper(basename, "static_resid", "residual", "static_resid_tt",
temporary_terms_mlv.size() + temporary_terms_derivatives[0].size(),
"", init_output, end_output,
d_output[0], tt_output[0]);
init_output.str("");
end_output.str("");
init_output << "g1 = zeros(" << equations.size() << ", " << symbol_table.endo_nbr() << ");";
end_output << "if ~isreal(g1)" << endl << " g1 = real(g1)+2*imag(g1);" << endl
<< "end";
writeStaticModelHelper(basename, "static_g1", "g1", "static_g1_tt",
temporary_terms_mlv.size() + temporary_terms_derivatives[0].size() + temporary_terms_derivatives[1].size(),
"static_resid_tt",
init_output, end_output,
d_output[1], tt_output[1]);
writeWrapperFunctions(basename, "g1");
// For order ≥ 2
int ncols = JacobianColsNbr;
int ntt = temporary_terms_mlv.size() + temporary_terms_derivatives[0].size() + temporary_terms_derivatives[1].size();
for (size_t i = 2; i < derivatives.size(); i++)
{
ncols *= JacobianColsNbr;
ntt += temporary_terms_derivatives[i].size();
string gname = "g" + to_string(i);
string gprevname = "g" + to_string(i-1);
init_output.str("");
end_output.str("");
if (derivatives[i].size())
{
init_output << gname << "_i = zeros(" << NNZDerivatives[i] << ",1);" << endl
<< gname << "_j = zeros(" << NNZDerivatives[i] << ",1);" << endl
<< gname << "_v = zeros(" << NNZDerivatives[i] << ",1);" << endl;
end_output << gname << " = sparse("
<< gname << "_i," << gname << "_j," << gname << "_v,"
<< nrows << "," << ncols << ");";
}
else
init_output << gname << " = sparse([],[],[]," << nrows << "," << ncols << ");";
writeStaticModelHelper(basename, "static_" + gname, gname,
"static_" + gname + "_tt",
ntt,
"static_" + gprevname + "_tt",
init_output, end_output,
d_output[i], tt_output[i]);
if (i <= 3)
writeWrapperFunctions(basename, gname);
}
writeStaticMatlabCompatLayer(basename);
}
else if (output_type == ExprNodeOutputType::CStaticModel)
{
for (size_t i = 0; i < d_output.size(); i++)
{
string funcname = i == 0 ? "resid" : "g" + to_string(i);
StaticOutput << "void static_" << funcname << "_tt(const double *restrict y, const double *restrict x, const double *restrict params, double *restrict T)" << endl
<< "{" << endl
<< tt_output[i].str()
<< "}" << endl
<< endl
<< "void static_" << funcname << "(const double *restrict y, const double *restrict x, const double *restrict params, const double *restrict T, ";
if (i == 0)
StaticOutput << "double *restrict residual";
else if (i == 1)
StaticOutput << "double *restrict g1";
else
StaticOutput << "double *restrict " << funcname << "_i, double *restrict " << funcname << "_j, double *restrict " << funcname << "_v";
StaticOutput << ")" << endl
<< "{" << endl;
if (i == 0)
StaticOutput << " double lhs, rhs;" << endl;
StaticOutput << d_output[i].str()
<< "}" << endl
<< endl;
}
} else
{
stringstream output;
output << "module " << basename << "Static" << endl
<< "#" << endl
<< "# NB: this file was automatically generated by Dynare" << endl
<< "# from " << basename << ".mod" << endl
<< "#" << endl
<< "using StatsFuns" << endl << endl
<< "export tmp_nbr, static!, staticResid!, staticG1!, staticG2!, staticG3!" << endl << endl
<< "#=" << endl
<< "# The comments below apply to all functions contained in this module #" << endl
<< " NB: The arguments contained on the first line of the function" << endl
<< " definition are those that are modified in place" << endl << endl
<< "## Exported Functions ##" << endl
<< " static! : Wrapper function; computes residuals, Jacobian, Hessian," << endl
<< " and third order derivatives matroces depending on the arguments provided" << endl
<< " staticResid! : Computes the static model residuals" << endl
<< " staticG1! : Computes the static model Jacobian" << endl
<< " staticG2! : Computes the static model Hessian" << endl
<< " staticG3! : Computes the static model third derivatives" << endl << endl
<< "## Exported Variables ##" << endl
<< " tmp_nbr : Vector{Int}(4) respectively the number of temporary variables" << endl
<< " for the residuals, g1, g2 and g3." << endl << endl
<< "## Local Functions ##" << endl
<< " staticResidTT! : Computes the static model temporary terms for the residuals" << endl
<< " staticG1TT! : Computes the static model temporary terms for the Jacobian" << endl
<< " staticG2TT! : Computes the static model temporary terms for the Hessian" << endl
<< " staticG3TT! : Computes the static model temporary terms for the third derivatives" << endl << endl
<< "## Function Arguments ##" << endl
<< " T : Vector{Float64}(num_temp_terms) temporary terms" << endl
<< " y : Vector{Float64}(model_.endo_nbr) endogenous variables in declaration order" << endl
<< " x : Vector{Float64}(model_.exo_nbr) exogenous variables in declaration order" << endl
<< " params : Vector{Float64}(model_.param) parameter values in declaration order" << endl
<< " residual : Vector{Float64}(model_.eq_nbr) residuals of the static model equations" << endl
<< " in order of declaration of the equations. Dynare may prepend auxiliary equations," << endl
<< " see model.aux_vars" << endl
<< " g1 : Matrix{Float64}(model.eq_nbr,model_.endo_nbr) Jacobian matrix of the static model equations" << endl
<< " The columns and rows respectively correspond to the variables in declaration order and the" << endl
<< " equations in order of declaration" << endl
<< " g2 : spzeros(model.eq_nbr, model_.endo^2) Hessian matrix of the static model equations" << endl
<< " The columns and rows respectively correspond to the variables in declaration order and the" << endl
<< " equations in order of declaration" << endl
<< " g3 : spzeros(model.eq_nbr, model_.endo^3) Third order derivatives matrix of the static model equations" << endl
<< " The columns and rows respectively correspond to the variables in declaration order and the" << endl
<< " equations in order of declaration" << endl << endl
<< "## Remarks ##" << endl
<< " [1] The size of `T`, ie the value of `num_temp_terms`, depends on the version of the static model called. The number of temporary variables" << endl
<< " used for the different returned objects (residuals, jacobian, hessian or third order derivatives) is given by the elements in `tmp_nbr`" << endl
<< " exported vector. The first element is the number of temporaries used for the computation of the residuals, the second element is the" << endl
<< " number of temporaries used for the evaluation of the jacobian matrix, etc. If one calls the version of the static model computing the" << endl
<< " residuals, and the jacobian and hessian matrices, then `T` must have at least `sum(tmp_nbr[1:3])` elements." << endl
<< "=#" << endl << endl;
// Write the number of temporary terms
output << "tmp_nbr = zeros(Int,4)" << endl
<< "tmp_nbr[1] = " << temporary_terms_mlv.size() + temporary_terms_derivatives[0].size() << "# Number of temporary terms for the residuals" << endl
<< "tmp_nbr[2] = " << temporary_terms_derivatives[1].size() << "# Number of temporary terms for g1 (jacobian)" << endl
<< "tmp_nbr[3] = " << temporary_terms_derivatives[2].size() << "# Number of temporary terms for g2 (hessian)" << endl
<< "tmp_nbr[4] = " << temporary_terms_derivatives[3].size() << "# Number of temporary terms for g3 (third order derivates)" << endl << endl;
// staticResidTT!
output << "function staticResidTT!(T::Vector{Float64}," << endl
<< " y::Vector{Float64}, x::Vector{Float64}, params::Vector{Float64})" << endl
<< " @assert length(T) >= " << temporary_terms_mlv.size() + temporary_terms_derivatives[0].size() << endl
<< tt_output[0].str()
<< " return nothing" << endl
<< "end" << endl << endl;
// static! output << "function staticResid!(T::Vector{Float64}, residual::Vector{Float64}," << endl
<< " y::Vector{Float64}, x::Vector{Float64}, params::Vector{Float64}, T0_flag::Bool)" << endl
<< " @assert length(y) == " << symbol_table.endo_nbr() << endl
<< " @assert length(x) == " << symbol_table.exo_nbr() << endl
<< " @assert length(params) == " << symbol_table.param_nbr() << endl
<< " @assert length(residual) == " << equations.size() << endl
<< " if T0_flag" << endl
<< " staticResidTT!(T, y, x, params)" << endl
<< " end" << endl
<< d_output[0].str()
<< " if ~isreal(residual)" << endl
<< " residual = real(residual)+imag(residual).^2;" << endl
<< " end" << endl
<< " return nothing" << endl
<< "end" << endl << endl;
// staticG1TT!
output << "function staticG1TT!(T::Vector{Float64}," << endl
<< " y::Vector{Float64}, x::Vector{Float64}, params::Vector{Float64}, T0_flag::Bool)" << endl
<< " if T0_flag" << endl
<< " staticResidTT!(T, y, x, params)" << endl
<< " end" << endl
<< tt_output[1].str()
<< " return nothing" << endl
<< "end" << endl << endl;
// staticG1!
output << "function staticG1!(T::Vector{Float64}, g1::Matrix{Float64}," << endl
<< " y::Vector{Float64}, x::Vector{Float64}, params::Vector{Float64}, T1_flag::Bool, T0_flag::Bool)" << endl
<< " @assert length(T) >= "
<< temporary_terms_mlv.size() + temporary_terms_derivatives[0].size() + temporary_terms_derivatives[1].size() << endl
<< " @assert size(g1) == (" << equations.size() << ", " << symbol_table.endo_nbr() << ")" << endl
<< " @assert length(y) == " << symbol_table.endo_nbr() << endl
<< " @assert length(x) == " << symbol_table.exo_nbr() << endl
<< " @assert length(params) == " << symbol_table.param_nbr() << endl
<< " if T1_flag" << endl
<< " staticG1TT!(T, y, x, params, T0_flag)" << endl
<< " end" << endl
<< " fill!(g1, 0.0)" << endl
<< d_output[1].str()
<< " if ~isreal(g1)" << endl
<< " g1 = real(g1)+2*imag(g1);" << endl
<< " end" << endl
<< " return nothing" << endl
<< "end" << endl << endl;
// staticG2TT!
output << "function staticG2TT!(T::Vector{Float64}," << endl
<< " y::Vector{Float64}, x::Vector{Float64}, params::Vector{Float64}, T1_flag::Bool, T0_flag::Bool)" << endl
<< " if T1_flag" << endl
<< " staticG1TT!(T, y, x, params, TO_flag)" << endl
<< " end" << endl
<< tt_output[2].str()
<< " return nothing" << endl
<< "end" << endl << endl;
// staticG2!
output << "function staticG2!(T::Vector{Float64}, g2::Matrix{Float64}," << endl
<< " y::Vector{Float64}, x::Vector{Float64}, params::Vector{Float64}, T2_flag::Bool, T1_flag::Bool, T0_flag::Bool)" << endl
<< " @assert length(T) >= "
<< temporary_terms_mlv.size() + temporary_terms_derivatives[0].size() + temporary_terms_derivatives[1].size() + temporary_terms_derivatives[2].size() << endl
<< " @assert size(g2) == (" << equations.size() << ", " << hessianColsNbr << ")" << endl
<< " @assert length(y) == " << symbol_table.endo_nbr() << endl
<< " @assert length(x) == " << symbol_table.exo_nbr() << endl
<< " @assert length(params) == " << symbol_table.param_nbr() << endl
<< " if T2_flag" << endl
<< " staticG2TT!(T, y, x, params, T1_flag, T0_flag)" << endl
<< " end" << endl
<< " fill!(g2, 0.0)" << endl
<< d_output[2].str() << " return nothing" << endl
<< "end" << endl << endl;
// staticG3TT!
output << "function staticG3TT!(T::Vector{Float64}," << endl
<< " y::Vector{Float64}, x::Vector{Float64}, params::Vector{Float64}, T2_flag::Bool, T1_flag::Bool, T0_flag::Bool)" << endl
<< " if T2_flag" << endl
<< " staticG2TT!(T, y, x, params, T1_flag, T0_flag)" << endl
<< " end" << endl
<< tt_output[3].str()
<< " return nothing" << endl
<< "end" << endl << endl;
// staticG3!
int ncols = hessianColsNbr * JacobianColsNbr;
output << "function staticG3!(T::Vector{Float64}, g3::Matrix{Float64}," << endl
<< " y::Vector{Float64}, x::Vector{Float64}, params::Vector{Float64}, T3_flag::Bool, T2_flag::Bool, T1_flag::Bool, T0_flag::Bool)" << endl
<< " @assert length(T) >= "
<< temporary_terms_mlv.size() + temporary_terms_derivatives[0].size() + temporary_terms_derivatives[1].size() + temporary_terms_derivatives[2].size() + temporary_terms_derivatives[3].size() << endl
<< " @assert size(g3) == (" << nrows << ", " << ncols << ")" << endl
<< " @assert length(y) == " << symbol_table.endo_nbr() << endl
<< " @assert length(x) == " << symbol_table.exo_nbr() << endl
<< " @assert length(params) == " << symbol_table.param_nbr() << endl
<< " if T3_flag" << endl
<< " staticG3TT!(T, y, x, params, T2_flag, T1_flag, T0_flag)" << endl
<< " end" << endl
<< " fill!(g3, 0.0)" << endl
<< d_output[3].str()
<< " return nothing" << endl
<< "end" << endl << endl;
// static!
output << "function static!(T::Vector{Float64}, residual::Vector{Float64}," << endl
<< " y::Vector{Float64}, x::Vector{Float64}, params::Vector{Float64})" << endl
<< " staticResid!(T, residual, y, x, params, true)" << endl
<< " return nothing" << endl
<< "end" << endl
<< endl
<< "function static!(T::Vector{Float64}, residual::Vector{Float64}, g1::Matrix{Float64}," << endl
<< " y::Vector{Float64}, x::Vector{Float64}, params::Vector{Float64})" << endl
<< " staticG1!(T, g1, y, x, params, true, true)" << endl
<< " staticResid!(T, residual, y, x, params, false)" << endl
<< " return nothing" << endl
<< "end" << endl
<< endl
<< "function static!(T::Vector{Float64}, g1::Matrix{Float64}," << endl
<< " y::Vector{Float64}, x::Vector{Float64}, params::Vector{Float64})" << endl
<< " staticG1!(T, g1, y, x, params, true, false)" << endl
<< " return nothing" << endl
<< "end" << endl
<< endl
<< "function static!(T::Vector{Float64}, residual::Vector{Float64}, g1::Matrix{Float64}, g2::Matrix{Float64}," << endl
<< " y::Vector{Float64}, x::Vector{Float64}, params::Vector{Float64})" << endl
<< " staticG2!(T, g2, y, x, params, true, true, true)" << endl
<< " staticG1!(T, g1, y, x, params, false, false)" << endl
<< " staticResid!(T, residual, y, x, params, false)" << endl
<< " return nothing" << endl
<< "end" << endl
<< endl;
// Write function definition if BinaryOpcode::powerDeriv is used
writePowerDerivJulia(output);
output << "end" << endl;
writeToFileIfModified(output, basename + "Static.jl");
}
}
voidStaticModel::writeStaticCFile(const string &basename) const
{
// Writing comments and function definition command
string filename = basename + "/model/src/static.c";
int ntt = temporary_terms_mlv.size() + temporary_terms_derivatives[0].size() + temporary_terms_derivatives[1].size() + temporary_terms_derivatives[2].size() + temporary_terms_derivatives[3].size();
ofstream output;
output.open(filename, ios::out | ios::binary);
if (!output.is_open())
{
cerr << "ERROR: Can't open file " << filename << " for writing" << endl;
exit(EXIT_FAILURE);
}
output << "/*" << endl
<< " * " << filename << " : Computes static model for Dynare" << endl
<< " *" << endl
<< " * Warning : this file is generated automatically by Dynare" << endl
<< " * from model file (.mod)" << endl << endl
<< " */" << endl
<< endl
<< "#include <math.h>" << endl
<< "#include <stdlib.h>" << endl
<< R"(#include "mex.h")" << endl
<< endl;
// Write function definition if BinaryOpcode::powerDeriv is used
writePowerDeriv(output);
output << endl;
writeStaticModel(output, true, false);
output << "void mexFunction(int nlhs, mxArray *plhs[], int nrhs, const mxArray *prhs[])" << endl
<< "{" << endl
<< " if (nrhs > 3)" << endl
<< R"( mexErrMsgTxt("Accepts at most 3 output arguments");)" << endl
<< " if (nrhs != 3)" << endl
<< R"( mexErrMsgTxt("Requires exactly 3 input arguments");)" << endl
<< " double *y = mxGetPr(prhs[0]);" << endl
<< " double *x = mxGetPr(prhs[1]);" << endl
<< " double *params = mxGetPr(prhs[2]);" << endl
<< endl
<< " double *T = (double *) malloc(sizeof(double)*" << ntt << ");" << endl
<< endl
<< " if (nlhs >= 1)" << endl
<< " {" << endl
<< " plhs[0] = mxCreateDoubleMatrix(" << equations.size() << ",1, mxREAL);" << endl
<< " double *residual = mxGetPr(plhs[0]);" << endl
<< " static_resid_tt(y, x, params, T);" << endl
<< " static_resid(y, x, params, T, residual);" << endl
<< " }" << endl
<< endl
<< " if (nlhs >= 2)" << endl
<< " {" << endl
<< " plhs[1] = mxCreateDoubleMatrix(" << equations.size() << ", " << symbol_table.endo_nbr() << ", mxREAL);" << endl
<< " double *g1 = mxGetPr(plhs[1]);" << endl
<< " static_g1_tt(y, x, params, T);" << endl
<< " static_g1(y, x, params, T, g1);" << endl
<< " }" << endl
<< endl
<< " if (nlhs >= 3)" << endl
<< " {" << endl
<< " mxArray *g2_i = mxCreateDoubleMatrix(" << NNZDerivatives[2] << ", " << 1 << ", mxREAL);" << endl
<< " mxArray *g2_j = mxCreateDoubleMatrix(" << NNZDerivatives[2] << ", " << 1 << ", mxREAL);" << endl
<< " mxArray *g2_v = mxCreateDoubleMatrix(" << NNZDerivatives[2] << ", " << 1 << ", mxREAL);" << endl
<< " static_g2_tt(y, x, params, T);" << endl
<< " static_g2(y, x, params, T, mxGetPr(g2_i), mxGetPr(g2_j), mxGetPr(g2_v));" << endl
<< " mxArray *m = mxCreateDoubleScalar(" << equations.size() << ");" << endl << " mxArray *n = mxCreateDoubleScalar(" << symbol_table.endo_nbr()*symbol_table.endo_nbr() << ");" << endl
<< " mxArray *plhs_sparse[1], *prhs_sparse[5] = { g2_i, g2_j, g2_v, m, n };" << endl
<< R"( mexCallMATLAB(1, plhs_sparse, 5, prhs_sparse, "sparse");)" << endl
<< " plhs[2] = plhs_sparse[0];" << endl
<< " mxDestroyArray(g2_i);" << endl
<< " mxDestroyArray(g2_j);" << endl
<< " mxDestroyArray(g2_v);" << endl
<< " mxDestroyArray(m);" << endl
<< " mxDestroyArray(n);" << endl
<< " }" << endl
<< endl
<< " free(T);" << endl
<< "}" << endl;
output.close();
}
void
StaticModel::writeStaticJuliaFile(const string &basename) const
{
writeStaticModel(basename, false, true);
}
void
StaticModel::writeStaticFile(const string &basename, bool block, bool bytecode, bool use_dll, const string &mexext, const filesystem::path &matlabroot, const filesystem::path &dynareroot, bool julia) const
{
filesystem::path model_dir{basename};
model_dir /= "model";
if (use_dll)
filesystem::create_directories(model_dir / "src");
if (bytecode)
filesystem::create_directories(model_dir / "bytecode");
if (block)
{
if (bytecode)
writeStaticBlockBytecode(basename);
else if (use_dll)
{
writeStaticPerBlockCFiles(basename);
writeStaticBlockCFile(basename);
vector<filesystem::path> src_files{blocks.size() + 1};
for (int blk = 0; blk < static_cast<int>(blocks.size()); blk++)
src_files[blk] = model_dir / "src" / ("static_" + to_string(blk+1) + ".c");
src_files[blocks.size()] = model_dir / "src" / "static.c";
compileMEX(basename, "static", mexext, src_files, matlabroot, dynareroot);
}
else if (julia)
{
cerr << "'block' option is not available with Julia" << endl;
exit(EXIT_FAILURE);
}
else // M-files
{
writeStaticPerBlockMFiles(basename);
writeStaticBlockMFile(basename);
}
}
else
{
if (bytecode)
writeStaticBytecode(basename);
else if (use_dll)
{
writeStaticCFile(basename);
compileMEX(basename, "static", mexext, { model_dir / "src" / "static.c" },
matlabroot, dynareroot);
}
else if (julia)
writeStaticJuliaFile(basename); else // M-files
writeStaticMFile(basename);
}
writeSetAuxiliaryVariables(basename, julia);
}
bool
StaticModel::exoPresentInEqs() const
{
for (auto equation : equations)
{
set<int> result;
equation->collectVariables(SymbolType::exogenous, result);
equation->collectVariables(SymbolType::exogenousDet, result);
if (!result.empty())
return true;
}
return false;
}
void
StaticModel::writeStaticBlockMFile(const string &basename) const
{
string filename = packageDir(basename) + "/static.m";
ofstream output;
output.open(filename, ios::out | ios::binary);
if (!output.is_open())
{
cerr << "ERROR: Can't open file " << filename << " for writing" << endl;
exit(EXIT_FAILURE);
}
output << "function [residual, y, T, g1] = static(nblock, y, x, params, T)" << endl
<< " switch nblock" << endl;
for (int blk = 0; blk < static_cast<int>(blocks.size()); blk++)
{
output << " case " << blk+1 << endl;
BlockSimulationType simulation_type = blocks[blk].simulation_type;
if (simulation_type == BlockSimulationType::evaluateBackward
|| simulation_type == BlockSimulationType::evaluateForward)
output << " [y, T] = " << basename << ".block.static_" << blk+1 << "(y, x, params, T);" << endl
<< " residual = [];" << endl
<< " g1 = [];" << endl;
else
output << " [residual, y, T, g1] = " << basename << ".block.static_" << blk+1 << "(y, x, params, T);" << endl;
}
output << " end" << endl
<< "end" << endl;
output.close();
}
void
StaticModel::writeStaticBlockCFile(const string &basename) const
{
string filename = basename + "/model/src/static.c";
ofstream output;
output.open(filename, ios::out | ios::binary);
if (!output.is_open())
{
cerr << "ERROR: Can't open file " << filename << " for writing" << endl;
exit(EXIT_FAILURE);
}
output << "#include <math.h>" << endl
<< R"(#include "mex.h")" << endl;
for (int blk = 0; blk < static_cast<int>(blocks.size()); blk++)
output << R"(#include "static_)" << blk+1 << R"(.h")" << endl;
output << endl;
writePowerDeriv(output);
output << endl
<< "void mexFunction(int nlhs, mxArray *plhs[], int nrhs, const mxArray *prhs[])" << endl
<< "{" << endl
<< " if (nrhs != 5)" << endl
<< R"( mexErrMsgTxt("Requires exactly 5 input arguments");)" << endl
<< " if (nlhs > 4)" << endl
<< R"( mexErrMsgTxt("Accepts at most 4 output arguments");)" << endl
<< " int nblock = (int) mxGetScalar(prhs[0]);" << endl
<< " const mxArray *y = prhs[1], *x = prhs[2], *params = prhs[3], *T = prhs[4];" << endl
<< " mxArray *T_new = mxDuplicateArray(T);" << endl
<< " mxArray *y_new = mxDuplicateArray(y);" << endl
<< " mxArray *residual, *g1;" << endl
<< " switch (nblock)" << endl
<< " {" << endl;
for (int blk = 0; blk < static_cast<int>(blocks.size()); blk++)
{
output << " case " << blk+1 << ':' << endl;
BlockSimulationType simulation_type = blocks[blk].simulation_type;
if (simulation_type == BlockSimulationType::evaluateBackward
|| simulation_type == BlockSimulationType::evaluateForward)
output << " static_" << blk+1 << "_mx(y_new, x, params, T_new);" << endl
<< " residual = mxCreateDoubleMatrix(0,0,mxREAL);" << endl
<< " g1 = mxCreateDoubleMatrix(0,0,mxREAL);" << endl;
else
output << " static_" << blk+1 << "_mx(y_new, x, params, T_new, &residual, &g1);" << endl;
output << " break;" << endl;
}
output << " }" << endl
<< endl
<< " if (nlhs >= 1)" << endl
<< " plhs[0] = residual;" << endl
<< " else" << endl
<< " mxDestroyArray(residual);" << endl
<< " if (nlhs >= 2)" << endl
<< " plhs[1] = y_new;" << endl
<< " else" << endl
<< " mxDestroyArray(y_new);" << endl
<< " if (nlhs >= 3)" << endl
<< " plhs[2] = T_new;" << endl
<< " else" << endl
<< " mxDestroyArray(T_new);" << endl
<< " if (nlhs >= 4)" << endl
<< " plhs[3] = g1;" << endl
<< " else" << endl
<< " mxDestroyArray(g1);" << endl
<< "}" << endl;
output.close();
}
void
StaticModel::writeDriverOutput(ostream &output, bool block) const
{
output << "M_.static_tmp_nbr = [";
for (const auto &temporary_terms_derivative : temporary_terms_derivatives)
output << temporary_terms_derivative.size() << "; ";
output << "];" << endl;
/* Write mapping between model local variables and indices in the temporary terms vector (dynare#1722) */
output << "M_.model_local_variables_static_tt_idxs = {" << endl;
for (auto [mlv, value] : temporary_terms_mlv)
output << " '" << symbol_table.getName(mlv->symb_id) << "', "
<< temporary_terms_idxs.at(mlv)+1 << ';' << endl;
output << "};" << endl;
if (!block)
return;
for (int blk = 0; blk < static_cast<int>(blocks.size()); blk++)
{
output << "block_structure_stat.block(" << blk+1 << ").Simulation_Type = " << static_cast<int>(blocks[blk].simulation_type) << ";" << endl
<< "block_structure_stat.block(" << blk+1 << ").endo_nbr = " << blocks[blk].size << ";" << endl
<< "block_structure_stat.block(" << blk+1 << ").mfs = " << blocks[blk].mfs_size << ";" << endl
<< "block_structure_stat.block(" << blk+1 << ").equation = [";
for (int eq = 0; eq < blocks[blk].size; eq++)
output << " " << getBlockEquationID(blk, eq)+1;
output << "];" << endl
<< "block_structure_stat.block(" << blk+1 << ").variable = [";
for (int var = 0; var < blocks[blk].size; var++)
output << " " << getBlockVariableID(blk, var)+1;
output << "];" << endl;
}
output << "M_.block_structure_stat.block = block_structure_stat.block;" << endl
<< "M_.block_structure_stat.variable_reordered = [";
for (int i = 0; i < symbol_table.endo_nbr(); i++)
output << " " << endo_idx_block2orig[i]+1;
output << "];" << endl
<< "M_.block_structure_stat.equation_reordered = [";
for (int i = 0; i < symbol_table.endo_nbr(); i++)
output << " " << eq_idx_block2orig[i]+1;
output << "];" << endl;
set<pair<int, int>> row_incidence;
for (const auto &[indices, d1] : derivatives[1])
if (int deriv_id = indices[1];
getTypeByDerivID(deriv_id) == SymbolType::endogenous)
{
int eq = indices[0];
int var = symbol_table.getTypeSpecificID(getSymbIDByDerivID(deriv_id));
row_incidence.emplace(eq, var);
}
output << "M_.block_structure_stat.incidence.sparse_IM = [" << endl;
for (auto [eq, var] : row_incidence)
output << " " << eq+1 << " " << var+1 << ";" << endl;
output << "];" << endl
<< "M_.block_structure_stat.tmp_nbr = " << blocks_temporary_terms_idxs.size()
<< ";" << endl;
}
SymbolType
StaticModel::getTypeByDerivID(int deriv_id) const noexcept(false)
{
if (deriv_id < symbol_table.endo_nbr())
return SymbolType::endogenous;
else if (deriv_id < symbol_table.endo_nbr() + symbol_table.param_nbr())
return SymbolType::parameter;
else
throw UnknownDerivIDException();
}
int
StaticModel::getLagByDerivID(int deriv_id) const noexcept(false)
{
return 0;
}
int
StaticModel::getSymbIDByDerivID(int deriv_id) const noexcept(false){
if (deriv_id < symbol_table.endo_nbr())
return symbol_table.getID(SymbolType::endogenous, deriv_id);
else if (deriv_id < symbol_table.endo_nbr() + symbol_table.param_nbr())
return symbol_table.getID(SymbolType::parameter, deriv_id - symbol_table.endo_nbr());
else
throw UnknownDerivIDException();
}
int
StaticModel::getDerivID(int symb_id, int lag) const noexcept(false)
{
if (symbol_table.getType(symb_id) == SymbolType::endogenous)
return symbol_table.getTypeSpecificID(symb_id);
else if (symbol_table.getType(symb_id) == SymbolType::parameter)
return symbol_table.getTypeSpecificID(symb_id) + symbol_table.endo_nbr();
else
return -1;
}
void
StaticModel::addAllParamDerivId(set<int> &deriv_id_set)
{
for (int i = 0; i < symbol_table.param_nbr(); i++)
deriv_id_set.insert(i + symbol_table.endo_nbr());
}
void
StaticModel::computeChainRuleJacobian()
{
int nb_blocks = blocks.size();
blocks_derivatives.resize(nb_blocks);
for (int blk = 0; blk < nb_blocks; blk++)
{
int nb_recursives = blocks[blk].getRecursiveSize();
map<int, BinaryOpNode *> recursive_vars;
for (int i = 0; i < nb_recursives; i++)
{
int deriv_id = getDerivID(symbol_table.getID(SymbolType::endogenous, getBlockVariableID(blk, i)), 0);
if (getBlockEquationType(blk, i) == EquationType::evaluateRenormalized)
recursive_vars[deriv_id] = getBlockEquationRenormalizedExpr(blk, i);
else
recursive_vars[deriv_id] = getBlockEquationExpr(blk, i);
}
assert(blocks[blk].simulation_type != BlockSimulationType::solveTwoBoundariesSimple
&& blocks[blk].simulation_type != BlockSimulationType::solveTwoBoundariesComplete);
int size = blocks[blk].size;
for (int eq = nb_recursives; eq < size; eq++)
{
int eq_orig = getBlockEquationID(blk, eq);
for (int var = nb_recursives; var < size; var++)
{
int var_orig = getBlockVariableID(blk, var);
expr_t d1 = equations[eq_orig]->getChainRuleDerivative(getDerivID(symbol_table.getID(SymbolType::endogenous, var_orig), 0), recursive_vars);
if (d1 != Zero)
blocks_derivatives[blk][{ eq, var, 0 }] = d1;
}
}
}
}
void
StaticModel::writeLatexFile(const string &basename, bool write_equation_tags) const
{
writeLatexModelFile(basename, "static", ExprNodeOutputType::latexStaticModel, write_equation_tags);
}
void
StaticModel::writeAuxVarInitval(ostream &output, ExprNodeOutputType output_type) const
{
for (auto aux_equation : aux_equations)
{
dynamic_cast<ExprNode *>(aux_equation)->writeOutput(output, output_type);
output << ";" << endl;
}
}
void
StaticModel::writeSetAuxiliaryVariables(const string &basename, bool julia) const
{
ostringstream output_func_body;
ExprNodeOutputType output_type = julia ? ExprNodeOutputType::juliaStaticModel : ExprNodeOutputType::matlabStaticModel;
writeAuxVarRecursiveDefinitions(output_func_body, output_type);
if (output_func_body.str().empty())
return;
string func_name = julia ? basename + "_set_auxiliary_variables!" : "set_auxiliary_variables";
string comment = julia ? "#" : "%";
stringstream output;
if (julia)
output << "module " << basename << "SetAuxiliaryVariables" << endl
<< "export " << func_name << endl;
output << "function ";
if (!julia)
output << "y = ";
output << func_name << "(y, x, params)" << endl
<< comment << endl
<< comment << " Status : Computes static model for Dynare" << endl
<< comment << endl
<< comment << " Warning : this file is generated automatically by Dynare" << endl
<< comment << " from model file (.mod)" << endl << endl
<< output_func_body.str()
<< "end" << endl;
if (julia)
output << "end" << endl;
writeToFileIfModified(output, julia ? basename + "SetAuxiliaryVariables.jl" : packageDir(basename) + "/" + func_name + ".m");
}
void
StaticModel::writeAuxVarRecursiveDefinitions(ostream &output, ExprNodeOutputType output_type) const
{
deriv_node_temp_terms_t tef_terms;
for (auto aux_equation : aux_equations)
if (dynamic_cast<ExprNode *>(aux_equation)->containsExternalFunction())
dynamic_cast<ExprNode *>(aux_equation)->writeExternalFunctionOutput(output, ExprNodeOutputType::matlabStaticModel, {}, {}, tef_terms);
for (auto aux_equation : aux_equations)
{
dynamic_cast<ExprNode *>(aux_equation->substituteStaticAuxiliaryDefinition())->writeOutput(output, output_type);
output << ";" << endl;
}
}
void
StaticModel::writeLatexAuxVarRecursiveDefinitions(ostream &output) const
{
deriv_node_temp_terms_t tef_terms;
temporary_terms_t temporary_terms;
temporary_terms_idxs_t temporary_terms_idxs;
for (auto aux_equation : aux_equations)
if (dynamic_cast<ExprNode *>(aux_equation)->containsExternalFunction())
dynamic_cast<ExprNode *>(aux_equation)->writeExternalFunctionOutput(output, ExprNodeOutputType::latexStaticModel,
temporary_terms, temporary_terms_idxs, tef_terms);
for (auto aux_equation : aux_equations) {
output << R"(\begin{dmath})" << endl;
dynamic_cast<ExprNode *>(aux_equation->substituteStaticAuxiliaryDefinition())->writeOutput(output, ExprNodeOutputType::latexStaticModel);
output << endl << R"(\end{dmath})" << endl;
}
}
void
StaticModel::writeJsonAuxVarRecursiveDefinitions(ostream &output) const
{
deriv_node_temp_terms_t tef_terms;
temporary_terms_t temporary_terms;
for (auto aux_equation : aux_equations)
if (dynamic_cast<ExprNode *>(aux_equation)->containsExternalFunction())
{
vector<string> efout;
dynamic_cast<ExprNode *>(aux_equation)->writeJsonExternalFunctionOutput(efout,
temporary_terms,
tef_terms,
false);
for (auto it = efout.begin(); it != efout.end(); ++it)
{
if (it != efout.begin())
output << ", ";
output << *it;
}
}
for (auto aux_equation : aux_equations)
{
output << R"(, {"lhs": ")";
aux_equation->arg1->writeJsonOutput(output, temporary_terms, tef_terms, false);
output << R"(", "rhs": ")";
dynamic_cast<BinaryOpNode *>(aux_equation->substituteStaticAuxiliaryDefinition())->arg2->writeJsonOutput(output, temporary_terms, tef_terms, false);
output << R"("})";
}
}
void
StaticModel::writeParamsDerivativesFile(const string &basename, bool julia) const
{
if (!params_derivatives.size())
return;
ExprNodeOutputType output_type = (julia ? ExprNodeOutputType::juliaStaticModel : ExprNodeOutputType::matlabStaticModel);
ostringstream tt_output; // Used for storing temporary terms
ostringstream jacobian_output; // Used for storing jacobian equations
ostringstream hessian_output; // Used for storing Hessian equations
ostringstream hessian1_output; // Used for storing Hessian equations
ostringstream third_derivs_output; // Used for storing third order derivatives equations
ostringstream third_derivs1_output; // Used for storing third order derivatives equations
temporary_terms_t temp_term_union;
deriv_node_temp_terms_t tef_terms;
writeModelLocalVariableTemporaryTerms(temp_term_union, params_derivs_temporary_terms_idxs, tt_output, output_type, tef_terms);
for (const auto &it : params_derivs_temporary_terms)
writeTemporaryTerms(it.second, temp_term_union, params_derivs_temporary_terms_idxs, tt_output, output_type, tef_terms);
for (const auto & [indices, d1] : params_derivatives.find({ 0, 1 })->second)
{
auto [eq, param] = vectorToTuple<2>(indices);
int param_col = symbol_table.getTypeSpecificID(getSymbIDByDerivID(param)) + 1;
jacobian_output << "rp" << LEFT_ARRAY_SUBSCRIPT(output_type)
<< eq+1 << ", " << param_col
<< RIGHT_ARRAY_SUBSCRIPT(output_type) << " = "; d1->writeOutput(jacobian_output, output_type, temp_term_union, params_derivs_temporary_terms_idxs, tef_terms);
jacobian_output << ";" << endl;
}
for (const auto & [indices, d2] : params_derivatives.find({ 1, 1 })->second)
{
auto [eq, var, param] = vectorToTuple<3>(indices);
int var_col = symbol_table.getTypeSpecificID(getSymbIDByDerivID(var)) + 1;
int param_col = symbol_table.getTypeSpecificID(getSymbIDByDerivID(param)) + 1;
hessian_output << "gp" << LEFT_ARRAY_SUBSCRIPT(output_type)
<< eq+1 << ", " << var_col << ", " << param_col
<< RIGHT_ARRAY_SUBSCRIPT(output_type) << " = ";
d2->writeOutput(hessian_output, output_type, temp_term_union, params_derivs_temporary_terms_idxs, tef_terms);
hessian_output << ";" << endl;
}
int i = 1;
for (const auto &[indices, d2] : params_derivatives.find({ 0, 2 })->second)
{
auto [eq, param1, param2] = vectorToTuple<3>(indices);
int param1_col = symbol_table.getTypeSpecificID(getSymbIDByDerivID(param1)) + 1;
int param2_col = symbol_table.getTypeSpecificID(getSymbIDByDerivID(param2)) + 1;
hessian1_output << "rpp" << LEFT_ARRAY_SUBSCRIPT(output_type) << i << ",1"
<< RIGHT_ARRAY_SUBSCRIPT(output_type) << "=" << eq+1 << ";" << endl
<< "rpp" << LEFT_ARRAY_SUBSCRIPT(output_type) << i << ",2"
<< RIGHT_ARRAY_SUBSCRIPT(output_type) << "=" << param1_col << ";" << endl
<< "rpp" << LEFT_ARRAY_SUBSCRIPT(output_type) << i << ",3"
<< RIGHT_ARRAY_SUBSCRIPT(output_type) << "=" << param2_col << ";" << endl
<< "rpp" << LEFT_ARRAY_SUBSCRIPT(output_type) << i << ",4"
<< RIGHT_ARRAY_SUBSCRIPT(output_type) << "=";
d2->writeOutput(hessian1_output, output_type, temp_term_union, params_derivs_temporary_terms_idxs, tef_terms);
hessian1_output << ";" << endl;
i++;
if (param1 != param2)
{
// Treat symmetric elements
hessian1_output << "rpp" << LEFT_ARRAY_SUBSCRIPT(output_type) << i << ",1"
<< RIGHT_ARRAY_SUBSCRIPT(output_type) << "=" << eq+1 << ";" << endl
<< "rpp" << LEFT_ARRAY_SUBSCRIPT(output_type) << i << ",2"
<< RIGHT_ARRAY_SUBSCRIPT(output_type) << "=" << param2_col << ";" << endl
<< "rpp" << LEFT_ARRAY_SUBSCRIPT(output_type) << i << ",3"
<< RIGHT_ARRAY_SUBSCRIPT(output_type) << "=" << param1_col << ";" << endl
<< "rpp" << LEFT_ARRAY_SUBSCRIPT(output_type) << i << ",4"
<< RIGHT_ARRAY_SUBSCRIPT(output_type)
<< "=rpp" << LEFT_ARRAY_SUBSCRIPT(output_type) << i-1 << ",4"
<< RIGHT_ARRAY_SUBSCRIPT(output_type) << ";" << endl;
i++;
}
}
i = 1;
for (const auto &[indices, d2] : params_derivatives.find({ 1, 2 })->second)
{
auto [eq, var, param1, param2] = vectorToTuple<4>(indices);
int var_col = symbol_table.getTypeSpecificID(getSymbIDByDerivID(var)) + 1;
int param1_col = symbol_table.getTypeSpecificID(getSymbIDByDerivID(param1)) + 1;
int param2_col = symbol_table.getTypeSpecificID(getSymbIDByDerivID(param2)) + 1;
third_derivs_output << "gpp" << LEFT_ARRAY_SUBSCRIPT(output_type) << i << ",1"
<< RIGHT_ARRAY_SUBSCRIPT(output_type) << "=" << eq+1 << ";" << endl
<< "gpp" << LEFT_ARRAY_SUBSCRIPT(output_type) << i << ",2"
<< RIGHT_ARRAY_SUBSCRIPT(output_type) << "=" << var_col << ";" << endl
<< "gpp" << LEFT_ARRAY_SUBSCRIPT(output_type) << i << ",3" << RIGHT_ARRAY_SUBSCRIPT(output_type) << "=" << param1_col << ";" << endl
<< "gpp" << LEFT_ARRAY_SUBSCRIPT(output_type) << i << ",4"
<< RIGHT_ARRAY_SUBSCRIPT(output_type) << "=" << param2_col << ";" << endl
<< "gpp" << LEFT_ARRAY_SUBSCRIPT(output_type) << i << ",5"
<< RIGHT_ARRAY_SUBSCRIPT(output_type) << "=";
d2->writeOutput(third_derivs_output, output_type, temp_term_union, params_derivs_temporary_terms_idxs, tef_terms);
third_derivs_output << ";" << endl;
i++;
if (param1 != param2)
{
// Treat symmetric elements
third_derivs_output << "gpp" << LEFT_ARRAY_SUBSCRIPT(output_type) << i << ",1"
<< RIGHT_ARRAY_SUBSCRIPT(output_type) << "=" << eq+1 << ";" << endl
<< "gpp" << LEFT_ARRAY_SUBSCRIPT(output_type) << i << ",2"
<< RIGHT_ARRAY_SUBSCRIPT(output_type) << "=" << var_col << ";" << endl
<< "gpp" << LEFT_ARRAY_SUBSCRIPT(output_type) << i << ",3"
<< RIGHT_ARRAY_SUBSCRIPT(output_type) << "=" << param2_col << ";" << endl
<< "gpp" << LEFT_ARRAY_SUBSCRIPT(output_type) << i << ",4"
<< RIGHT_ARRAY_SUBSCRIPT(output_type) << "=" << param1_col << ";" << endl
<< "gpp" << LEFT_ARRAY_SUBSCRIPT(output_type) << i << ",5"
<< RIGHT_ARRAY_SUBSCRIPT(output_type)
<< "=gpp" << LEFT_ARRAY_SUBSCRIPT(output_type) << i-1 << ",5"
<< RIGHT_ARRAY_SUBSCRIPT(output_type) << ";" << endl;
i++;
}
}
i = 1;
for (const auto &[indices, d2] : params_derivatives.find({ 2, 1 })->second)
{
auto [eq, var1, var2, param] = vectorToTuple<4>(indices);
int var1_col = symbol_table.getTypeSpecificID(getSymbIDByDerivID(var1)) + 1;
int var2_col = symbol_table.getTypeSpecificID(getSymbIDByDerivID(var2)) + 1;
int param_col = symbol_table.getTypeSpecificID(getSymbIDByDerivID(param)) + 1;
third_derivs1_output << "hp" << LEFT_ARRAY_SUBSCRIPT(output_type) << i << ",1"
<< RIGHT_ARRAY_SUBSCRIPT(output_type) << "=" << eq+1 << ";" << endl
<< "hp" << LEFT_ARRAY_SUBSCRIPT(output_type) << i << ",2"
<< RIGHT_ARRAY_SUBSCRIPT(output_type) << "=" << var1_col << ";" << endl
<< "hp" << LEFT_ARRAY_SUBSCRIPT(output_type) << i << ",3"
<< RIGHT_ARRAY_SUBSCRIPT(output_type) << "=" << var2_col << ";" << endl
<< "hp" << LEFT_ARRAY_SUBSCRIPT(output_type) << i << ",4"
<< RIGHT_ARRAY_SUBSCRIPT(output_type) << "=" << param_col << ";" << endl
<< "hp" << LEFT_ARRAY_SUBSCRIPT(output_type) << i << ",5"
<< RIGHT_ARRAY_SUBSCRIPT(output_type) << "=";
d2->writeOutput(third_derivs1_output, output_type, temp_term_union, params_derivs_temporary_terms_idxs, tef_terms);
third_derivs1_output << ";" << endl;
i++;
if (var1 != var2)
{
// Treat symmetric elements
third_derivs1_output << "hp" << LEFT_ARRAY_SUBSCRIPT(output_type) << i << ",1"
<< RIGHT_ARRAY_SUBSCRIPT(output_type) << "=" << eq+1 << ";" << endl
<< "hp" << LEFT_ARRAY_SUBSCRIPT(output_type) << i << ",2"
<< RIGHT_ARRAY_SUBSCRIPT(output_type) << "=" << var2_col << ";" << endl
<< "hp" << LEFT_ARRAY_SUBSCRIPT(output_type) << i << ",3"
<< RIGHT_ARRAY_SUBSCRIPT(output_type) << "=" << var1_col << ";" << endl
<< "hp" << LEFT_ARRAY_SUBSCRIPT(output_type) << i << ",4"
<< RIGHT_ARRAY_SUBSCRIPT(output_type) << "=" << param_col << ";" << endl
<< "hp" << LEFT_ARRAY_SUBSCRIPT(output_type) << i << ",5"
<< RIGHT_ARRAY_SUBSCRIPT(output_type)
<< "=hp" << LEFT_ARRAY_SUBSCRIPT(output_type) << i-1 << ",5"
<< RIGHT_ARRAY_SUBSCRIPT(output_type) << ";" << endl;
i++;
} }
ofstream paramsDerivsFile;
string filename = julia ? basename + "StaticParamsDerivs.jl" : packageDir(basename) + "/static_params_derivs.m";
paramsDerivsFile.open(filename, ios::out | ios::binary);
if (!paramsDerivsFile.is_open())
{
cerr << "ERROR: Can't open file " << filename << " for writing" << endl;
exit(EXIT_FAILURE);
}
if (!julia)
{
// Check that we don't have more than 32 nested parenthesis because Matlab does not suppor this. See Issue #1201
map<string, string> tmp_paren_vars;
bool message_printed = false;
fixNestedParenthesis(tt_output, tmp_paren_vars, message_printed);
fixNestedParenthesis(jacobian_output, tmp_paren_vars, message_printed);
fixNestedParenthesis(hessian_output, tmp_paren_vars, message_printed);
fixNestedParenthesis(hessian1_output, tmp_paren_vars, message_printed);
fixNestedParenthesis(third_derivs_output, tmp_paren_vars, message_printed);
fixNestedParenthesis(third_derivs1_output, tmp_paren_vars, message_printed);
paramsDerivsFile << "function [rp, gp, rpp, gpp, hp] = static_params_derivs(y, x, params)" << endl
<< "%" << endl
<< "% Status : Computes derivatives of the static model with respect to the parameters" << endl
<< "%" << endl
<< "% Inputs : " << endl
<< "% y [M_.endo_nbr by 1] double vector of endogenous variables in declaration order" << endl
<< "% x [M_.exo_nbr by 1] double vector of exogenous variables in declaration order" << endl
<< "% params [M_.param_nbr by 1] double vector of parameter values in declaration order" << endl
<< "%" << endl
<< "% Outputs:" << endl
<< "% rp [M_.eq_nbr by #params] double Jacobian matrix of static model equations with respect to parameters " << endl
<< "% Dynare may prepend or append auxiliary equations, see M_.aux_vars" << endl
<< "% gp [M_.endo_nbr by M_.endo_nbr by #params] double Derivative of the Jacobian matrix of the static model equations with respect to the parameters" << endl
<< "% rows: variables in declaration order" << endl
<< "% rows: equations in order of declaration" << endl
<< "% rpp [#second_order_residual_terms by 4] double Hessian matrix of second derivatives of residuals with respect to parameters;" << endl
<< "% rows: respective derivative term" << endl
<< "% 1st column: equation number of the term appearing" << endl
<< "% 2nd column: number of the first parameter in derivative" << endl
<< "% 3rd column: number of the second parameter in derivative" << endl
<< "% 4th column: value of the Hessian term" << endl
<< "% gpp [#second_order_Jacobian_terms by 5] double Hessian matrix of second derivatives of the Jacobian with respect to the parameters;" << endl
<< "% rows: respective derivative term" << endl
<< "% 1st column: equation number of the term appearing" << endl
<< "% 2nd column: column number of variable in Jacobian of the static model" << endl
<< "% 3rd column: number of the first parameter in derivative" << endl
<< "% 4th column: number of the second parameter in derivative" << endl
<< "% 5th column: value of the Hessian term" << endl
<< "%" << endl
<< "%" << endl
<< "% Warning : this file is generated automatically by Dynare" << endl
<< "% from model file (.mod)" << endl << endl
<< "T = NaN(" << params_derivs_temporary_terms_idxs.size() << ",1);" << endl
<< tt_output.str()
<< "rp = zeros(" << equations.size() << ", "
<< symbol_table.param_nbr() << ");" << endl
<< jacobian_output.str()
<< "gp = zeros(" << equations.size() << ", " << symbol_table.endo_nbr() << ", "
<< symbol_table.param_nbr() << ");" << endl
<< hessian_output.str()
<< "if nargout >= 3" << endl
<< "rpp = zeros(" << params_derivatives.find({ 0, 2 })->second.size() << ",4);" << endl
<< hessian1_output.str()
<< "gpp = zeros(" << params_derivatives.find({ 1, 2 })->second.size() << ",5);" << endl
<< third_derivs_output.str()
<< "end" << endl
<< "if nargout >= 5" << endl << "hp = zeros(" << params_derivatives.find({ 2, 1 })->second.size() << ",5);" << endl
<< third_derivs1_output.str()
<< "end" << endl
<< "end" << endl;
}
else
paramsDerivsFile << "module " << basename << "StaticParamsDerivs" << endl
<< "#" << endl
<< "# NB: this file was automatically generated by Dynare" << endl
<< "# from " << basename << ".mod" << endl
<< "#" << endl
<< "export params_derivs" << endl << endl
<< "function params_derivs(y, x, params)" << endl
<< tt_output.str()
<< "rp = zeros(" << equations.size() << ", "
<< symbol_table.param_nbr() << ");" << endl
<< jacobian_output.str()
<< "gp = zeros(" << equations.size() << ", " << symbol_table.endo_nbr() << ", "
<< symbol_table.param_nbr() << ");" << endl
<< hessian_output.str()
<< "rpp = zeros(" << params_derivatives.find({ 0, 2 })->second.size() << ",4);" << endl
<< hessian1_output.str()
<< "gpp = zeros(" << params_derivatives.find({ 1, 2 })->second.size() << ",5);" << endl
<< third_derivs_output.str()
<< "hp = zeros(" << params_derivatives.find({ 2, 1 })->second.size() << ",5);" << endl
<< third_derivs1_output.str()
<< "(rp, gp, rpp, gpp, hp)" << endl
<< "end" << endl
<< "end" << endl;
paramsDerivsFile.close();
}
void
StaticModel::writeJsonOutput(ostream &output) const
{
deriv_node_temp_terms_t tef_terms;
writeJsonModelLocalVariables(output, false, tef_terms);
output << ", ";
writeJsonModelEquations(output, false);
}
void
StaticModel::writeJsonComputingPassOutput(ostream &output, bool writeDetails) const
{
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, true, tef_terms);
writeJsonTemporaryTerms(temporary_terms_derivatives[0], temp_term_union, d_output[0], tef_terms, "");
d_output[0] << ", ";
writeJsonModelEquations(d_output[0], true);
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++)
{
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": [)";
for (auto it = derivatives[i].begin(); it != derivatives[i].end(); ++it) {
if (it != derivatives[i].begin())
d_output[i] << ", ";
const vector<int> &vidx = it->first;
expr_t d = it->second;
int eq = vidx[0];
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)
d_output[i] << R"({"eq": )" << eq + 1;
else
d_output[i] << R"({"row": )" << eq + 1;
d_output[i] << R"(, "col": )" << (i > 1 ? "[" : "") << col_idx + 1;
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 > 1)
d_output[i] << "]";
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"(")";
d_output[i] << R"(, "val": ")";
d->writeJsonOutput(d_output[i], temp_term_union, tef_terms);
d_output[i] << R"("})" << endl;
}
d_output[i] << "]}";
ncols *= symbol_table.endo_nbr();
}
if (writeDetails)
output << R"("static_model": {)";
else
output << R"("static_model_simple": {)";
output << model_local_vars_output.str();
for (const auto &it : d_output)
output << ", " << it.str();
output << "}";
}
void
StaticModel::writeJsonParamsDerivativesFile(ostream &output, bool writeDetails) const
{
if (!params_derivatives.size())
return;
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 hessian1_output; // Used for storing Hessian equations
ostringstream third_derivs_output; // Used for storing third order derivatives equations
ostringstream third_derivs1_output; // Used for storing third order derivatives equations
deriv_node_temp_terms_t tef_terms;
writeJsonModelLocalVariables(model_local_vars_output, true, tef_terms);
temporary_terms_t temp_term_union;
for (const auto &it : params_derivs_temporary_terms)
writeJsonTemporaryTerms(it.second, temp_term_union, model_output, tef_terms, "all");
jacobian_output << R"("deriv_wrt_params": {)"
<< R"( "neqs": )" << equations.size()
<< R"(, "nparamcols": )" << symbol_table.param_nbr()
<< R"(, "entries": [)";
auto &rp = params_derivatives.find({ 0, 1 })->second;
for (auto it = rp.begin(); it != rp.end(); ++it)
{
if (it != rp.begin())
jacobian_output << ", ";
auto [eq, param] = vectorToTuple<2>(it->first);
expr_t d1 = it->second;
int param_col = symbol_table.getTypeSpecificID(getSymbIDByDerivID(param)) + 1;
if (writeDetails)
jacobian_output << R"({"eq": )" << eq + 1;
else
jacobian_output << R"({"row": )" << eq + 1;
if (writeDetails)
jacobian_output << R"(, "param_col": )" << param_col;
jacobian_output << R"(, "param": ")" << symbol_table.getName(getSymbIDByDerivID(param)) << R"(")";
jacobian_output << R"(, "val": ")";
d1->writeJsonOutput(jacobian_output, temp_term_union, tef_terms);
jacobian_output << R"("})" << endl;
}
jacobian_output << "]}";
hessian_output << R"("deriv_jacobian_wrt_params": {)"
<< R"( "neqs": )" << equations.size()
<< R"(, "nvarcols": )" << symbol_table.endo_nbr()
<< R"(, "nparamcols": )" << symbol_table.param_nbr()
<< R"(, "entries": [)";
auto &gp = params_derivatives.find({ 1, 1 })->second;
for (auto it = gp.begin(); it != gp.end(); ++it)
{
if (it != gp.begin())
hessian_output << ", ";
auto [eq, var, param] = vectorToTuple<3>(it->first);
expr_t d2 = it->second;
int var_col = symbol_table.getTypeSpecificID(getSymbIDByDerivID(var)) + 1;
int param_col = symbol_table.getTypeSpecificID(getSymbIDByDerivID(param)) + 1;
if (writeDetails)
hessian_output << R"({"eq": )" << eq + 1;
else
hessian_output << R"({"row": )" << eq + 1;
if (writeDetails)
hessian_output << R"(, "var": ")" << symbol_table.getName(getSymbIDByDerivID(var)) << R"(")"
<< R"(, "param": ")" << symbol_table.getName(getSymbIDByDerivID(param)) << R"(")";
hessian_output << R"(, "var_col": )" << var_col
<< R"(, "param_col": )" << param_col
<< R"(, "val": ")";
d2->writeJsonOutput(hessian_output, temp_term_union, tef_terms);
hessian_output << R"("})" << endl;
}
hessian_output << "]}";
hessian1_output << R"("second_deriv_residuals_wrt_params": {)" << R"( "nrows": )" << equations.size()
<< R"(, "nparam1cols": )" << symbol_table.param_nbr()
<< R"(, "nparam2cols": )" << symbol_table.param_nbr()
<< R"(, "entries": [)";
auto &rpp = params_derivatives.find({ 0, 2 })->second;
for (auto it = rpp.begin(); it != rpp.end(); ++it)
{
if (it != rpp.begin())
hessian1_output << ", ";
auto [eq, param1, param2] = vectorToTuple<3>(it->first);
expr_t d2 = it->second;
int param1_col = symbol_table.getTypeSpecificID(getSymbIDByDerivID(param1)) + 1;
int param2_col = symbol_table.getTypeSpecificID(getSymbIDByDerivID(param2)) + 1;
if (writeDetails)
hessian1_output << R"({"eq": )" << eq + 1;
else
hessian1_output << R"({"row": )" << eq + 1;
hessian1_output << R"(, "param1_col": )" << param1_col
<< R"(, "param2_col": )" << param2_col;
if (writeDetails)
hessian1_output << R"(, "param1": ")" << symbol_table.getName(getSymbIDByDerivID(param1)) << R"(")"
<< R"(, "param2": ")" << symbol_table.getName(getSymbIDByDerivID(param2)) << R"(")";
hessian1_output << R"(, "val": ")";
d2->writeJsonOutput(hessian1_output, temp_term_union, tef_terms);
hessian1_output << R"("})" << endl;
}
hessian1_output << "]}";
third_derivs_output << R"("second_deriv_jacobian_wrt_params": {)"
<< R"( "neqs": )" << equations.size()
<< R"(, "nvarcols": )" << symbol_table.endo_nbr()
<< R"(, "nparam1cols": )" << symbol_table.param_nbr()
<< R"(, "nparam2cols": )" << symbol_table.param_nbr()
<< R"(, "entries": [)";
auto &gpp = params_derivatives.find({ 1, 2 })->second;
for (auto it = gpp.begin(); it != gpp.end(); ++it)
{
if (it != gpp.begin())
third_derivs_output << ", ";
auto [eq, var, param1, param2] = vectorToTuple<4>(it->first);
expr_t d2 = it->second;
int var_col = symbol_table.getTypeSpecificID(getSymbIDByDerivID(var)) + 1;
int param1_col = symbol_table.getTypeSpecificID(getSymbIDByDerivID(param1)) + 1;
int param2_col = symbol_table.getTypeSpecificID(getSymbIDByDerivID(param2)) + 1;
if (writeDetails)
third_derivs_output << R"({"eq": )" << eq + 1;
else
third_derivs_output << R"({"row": )" << eq + 1;
third_derivs_output << R"(, "var_col": )" << var_col
<< R"(, "param1_col": )" << param1_col
<< R"(, "param2_col": )" << param2_col;
if (writeDetails)
third_derivs_output << R"(, "var": ")" << symbol_table.getName(var) << R"(")"
<< R"(, "param1": ")" << symbol_table.getName(getSymbIDByDerivID(param1)) << R"(")"
<< R"(, "param2": ")" << symbol_table.getName(getSymbIDByDerivID(param2)) << R"(")";
third_derivs_output << R"(, "val": ")";
d2->writeJsonOutput(third_derivs_output, temp_term_union, tef_terms);
third_derivs_output << R"("})" << endl;
} third_derivs_output << "]}" << endl;
third_derivs1_output << R"("derivative_hessian_wrt_params": {)"
<< R"( "neqs": )" << equations.size()
<< R"(, "nvar1cols": )" << symbol_table.endo_nbr()
<< R"(, "nvar2cols": )" << symbol_table.endo_nbr()
<< R"(, "nparamcols": )" << symbol_table.param_nbr()
<< R"(, "entries": [)";
auto &hp = params_derivatives.find({ 2, 1 })->second;
for (auto it = hp.begin(); it != hp.end(); ++it)
{
if (it != hp.begin())
third_derivs1_output << ", ";
auto [eq, var1, var2, param] = vectorToTuple<4>(it->first);
expr_t d2 = it->second;
int var1_col = symbol_table.getTypeSpecificID(getSymbIDByDerivID(var1)) + 1;
int var2_col = symbol_table.getTypeSpecificID(getSymbIDByDerivID(var2)) + 1;
int param_col = symbol_table.getTypeSpecificID(getSymbIDByDerivID(param)) + 1;
if (writeDetails)
third_derivs1_output << R"({"eq": )" << eq + 1;
else
third_derivs1_output << R"({"row": )" << eq + 1;
third_derivs1_output << R"(, "var1_col": )" << var1_col
<< R"(, "var2_col": )" << var2_col
<< R"(, "param_col": )" << param_col;
if (writeDetails)
third_derivs1_output << R"(, "var1": ")" << symbol_table.getName(getSymbIDByDerivID(var1)) << R"(")"
<< R"(, "var2": ")" << symbol_table.getName(getSymbIDByDerivID(var2)) << R"(")"
<< R"(, "param1": ")" << symbol_table.getName(getSymbIDByDerivID(param)) << R"(")";
third_derivs1_output << R"(, "val": ")";
d2->writeJsonOutput(third_derivs1_output, temp_term_union, tef_terms);
third_derivs1_output << R"("})" << endl;
}
third_derivs1_output << "]}" << endl;
if (writeDetails)
output << R"("static_model_params_derivative": {)";
else
output << R"("static_model_params_derivatives_simple": {)";
output << model_local_vars_output.str()
<< ", " << model_output.str()
<< ", " << jacobian_output.str()
<< ", " << hessian_output.str()
<< ", " << hessian1_output.str()
<< ", " << third_derivs_output.str()
<< ", " << third_derivs1_output.str()
<< "}";
}