diff --git a/matlab/dyn_risky_steadystate_solver.m b/matlab/dyn_risky_steadystate_solver.m
index 93c75da4dc4d2b98b92f3f9fafca2668fe0b888e..7fa8a59ffecc9c07644f9f83a805ecbe69ac3617 100644
--- a/matlab/dyn_risky_steadystate_solver.m
+++ b/matlab/dyn_risky_steadystate_solver.m
@@ -62,7 +62,7 @@ function [dr,info] = dyn_risky_steadystate_solver(ys0,M, ...
%! @end deftypefn
%@eod:
-% Copyright (C) 2001-2018 Dynare Team
+% Copyright (C) 2001-2020 Dynare Team
%
% This file is part of Dynare.
%
@@ -165,12 +165,6 @@ if ~isreal(d1) || ~isreal(d2)
pause
end
-if options.use_dll
- % In USE_DLL mode, the hessian is in the 3-column sparse representation
- d2 = sparse(d2(:,1), d2(:,2), d2(:,3), ...
- size(d1, 1), size(d1, 2)*size(d1, 2));
-end
-
if isfield(options,'portfolio') && options.portfolio == 1
pm = portfolio_model_structure(M,options);
x = ys(pm.v_p);
@@ -224,12 +218,6 @@ if ~isreal(d1) || ~isreal(d2)
pause
end
-if options.use_dll
- % In USE_DLL mode, the hessian is in the 3-column sparse representation
- d2 = sparse(d2(:,1), d2(:,2), d2(:,3), ...
- size(d1, 1), size(d1, 2)*size(d1, 2));
-end
-
gu1 = dr_np.ghu(pm.i_fwrd_g,:);
@@ -257,12 +245,6 @@ if ~isreal(d1) || ~isreal(d2)
pause
end
-if options.use_dll
- % In USE_DLL mode, the hessian is in the 3-column sparse representation
- d2 = sparse(d2(:,1), d2(:,2), d2(:,3), ...
- size(d1, 1), size(d1, 2)*size(d1, 2));
-end
-
d1_np = d1(pm.eq_np,pm.i_d1_np);
d2_np = d2(pm.eq_np,pm.i_d2_np);
diff --git a/matlab/model_diagnostics.m b/matlab/model_diagnostics.m
index 636713047b9f45f30c708056ef1350b0ee5715c6..2bb2b1990449a96db91df276592b983054c19ed5 100644
--- a/matlab/model_diagnostics.m
+++ b/matlab/model_diagnostics.m
@@ -221,11 +221,6 @@ if ~options.block
exo_simul, ...
M.params, dr.ys, it_);
end
- if options.use_dll
- % In USE_DLL mode, the hessian is in the 3-column sparse representation
- hessian1 = sparse(hessian1(:,1), hessian1(:,2), hessian1(:,3), ...
- size(jacobia_, 1), size(jacobia_, 2)*size(jacobia_, 2));
- end
end
if any(any(isinf(jacobia_) | isnan(jacobia_)))
diff --git a/matlab/stochastic_solvers.m b/matlab/stochastic_solvers.m
index 87d88bacf128e8f6cbebe51320344cced1a7d693..85398fa94ce51372471a1cb11204ef90c68d8e11 100644
--- a/matlab/stochastic_solvers.m
+++ b/matlab/stochastic_solvers.m
@@ -128,11 +128,6 @@ elseif local_order == 2
exo_simul, ...
M_.params, dr.ys, it_);
end
- if options_.use_dll
- % In USE_DLL mode, the hessian is in the 3-column sparse representation
- hessian1 = sparse(hessian1(:,1), hessian1(:,2), hessian1(:,3), ...
- size(jacobia_, 1), size(jacobia_, 2)*size(jacobia_, 2));
- end
[infrow,infcol]=find(isinf(hessian1));
if options_.debug
if ~isempty(infrow)
diff --git a/mex/sources/k_order_perturbation/dynamic_dll.cc b/mex/sources/k_order_perturbation/dynamic_dll.cc
index 4688d66b5bc47d55754b66685195cbc036567e4a..c9a44c6d29d7dd47e798462ecdd8abe85bb29aca 100644
--- a/mex/sources/k_order_perturbation/dynamic_dll.cc
+++ b/mex/sources/k_order_perturbation/dynamic_dll.cc
@@ -1,5 +1,5 @@
/*
- * Copyright © 2008-2019 Dynare Team
+ * Copyright © 2008-2020 Dynare Team
*
* This file is part of Dynare.
*
@@ -19,8 +19,6 @@
#include "dynamic_dll.hh"
-#include "dynare_exception.hh"
-
#include <iostream>
#include <cassert>
@@ -45,34 +43,14 @@ DynamicModelDLL::DynamicModelDLL(const std::string &modName, int ntt_arg, int or
#endif
);
- for (int i = 0; i <= order; i++)
- {
- std::string funcname = "dynamic_" + (i == 0 ? "resid" : "g" + std::to_string(i));
- dynamic_deriv_fct deriv;
- dynamic_tt_fct tt;
-#if defined(__CYGWIN32__) || defined(_WIN32)
- deriv = reinterpret_cast<dynamic_deriv_fct>(GetProcAddress(dynamicHinstance, funcname.c_str()));
- tt = reinterpret_cast<dynamic_tt_fct>(GetProcAddress(dynamicHinstance, (funcname + "_tt").c_str()));
-#else
- deriv = reinterpret_cast<dynamic_deriv_fct>(dlsym(dynamicHinstance, funcname.c_str()));
- tt = reinterpret_cast<dynamic_tt_fct>(dlsym(dynamicHinstance, (funcname + "_tt").c_str()));
-#endif
- if (!deriv || !tt)
- {
-#if defined(__CYGWIN32__) || defined(_WIN32)
- FreeLibrary(dynamicHinstance);
-#else
- dlclose(dynamicHinstance);
-#endif
- throw DynareException(__FILE__, __LINE__, "Error when loading symbols from " + fName
-#if !defined(__CYGWIN32__) && !defined(_WIN32)
- + ": " + dlerror()
-#endif
- );
- }
- dynamic_deriv.push_back(deriv);
- dynamic_tt.push_back(tt);
- }
+ dynamic_tt.resize(order+1);
+
+ std::tie(dynamic_resid, dynamic_tt[0]) = getSymbolsFromDLL<dynamic_resid_or_g1_fct>("dynamic_resid", fName);
+ std::tie(dynamic_g1, dynamic_tt[1]) = getSymbolsFromDLL<dynamic_resid_or_g1_fct>("dynamic_g1", fName);
+
+ dynamic_higher_deriv.resize(std::max(0, order-1));
+ for (int i = 2; i <= order; i++)
+ std::tie(dynamic_higher_deriv[i-2], dynamic_tt[i]) = getSymbolsFromDLL<dynamic_higher_deriv_fct>("dynamic_g" + std::to_string(i), fName);
tt = std::make_unique<double[]>(ntt);
}
@@ -95,11 +73,16 @@ void
DynamicModelDLL::eval(const Vector &y, const Vector &x, const Vector &modParams, const Vector &ySteady,
Vector &residual, std::vector<TwoDMatrix> &md) noexcept(false)
{
- assert(md.size() == dynamic_deriv.size()-1);
+ assert(md.size() == dynamic_tt.size()-1);
- for (size_t i = 0; i < dynamic_deriv.size(); i++)
+ for (size_t i = 0; i < dynamic_tt.size(); i++)
{
dynamic_tt[i](y.base(), x.base(), 1, modParams.base(), ySteady.base(), 0, tt.get());
- dynamic_deriv[i](y.base(), x.base(), 1, modParams.base(), ySteady.base(), 0, tt.get(), i == 0 ? residual.base() : md[i-1].base());
+ if (i == 0)
+ dynamic_resid(y.base(), x.base(), 1, modParams.base(), ySteady.base(), 0, tt.get(), residual.base());
+ else if (i == 1)
+ dynamic_g1(y.base(), x.base(), 1, modParams.base(), ySteady.base(), 0, tt.get(), md[0].base());
+ else
+ dynamic_higher_deriv[i-2](y.base(), x.base(), 1, modParams.base(), ySteady.base(), 0, tt.get(), &md[i-1].get(0, 0), &md[i-1].get(0, 1), &md[i-1].get(0, 2));
}
}
diff --git a/mex/sources/k_order_perturbation/dynamic_dll.hh b/mex/sources/k_order_perturbation/dynamic_dll.hh
index 693e8b2b9d9a7aa583496fe5d25baed02bdafbf0..e9d9aa8a6ff9c3afb7242139944db24ee8432b15 100644
--- a/mex/sources/k_order_perturbation/dynamic_dll.hh
+++ b/mex/sources/k_order_perturbation/dynamic_dll.hh
@@ -1,5 +1,5 @@
/*
- * Copyright © 2008-2019 Dynare Team
+ * Copyright © 2008-2020 Dynare Team
*
* This file is part of Dynare.
*
@@ -31,11 +31,15 @@
#include <string>
#include <memory>
+#include <utility>
+
+#include "dynare_exception.hh"
#include "dynamic_abstract_class.hh"
using dynamic_tt_fct = void (*)(const double *y, const double *x, int nb_row_x, const double *params, const double *steady_state, int it_, double *T);
-using dynamic_deriv_fct = void (*)(const double *y, const double *x, int nb_row_x, const double *params, const double *steady_state, int it_, const double *T, double *deriv);
+using dynamic_resid_or_g1_fct = void (*)(const double *y, const double *x, int nb_row_x, const double *params, const double *steady_state, int it_, const double *T, double *resid_or_g1);
+using dynamic_higher_deriv_fct = void (*)(const double *y, const double *x, int nb_row_x, const double *params, const double *steady_state, int it_, const double *T, double *g_i, double *g_j, double *g_v);
/**
* creates pointer to Dynamic function inside <model>_dynamic.dll
@@ -45,7 +49,8 @@ class DynamicModelDLL : public DynamicModelAC
{
private:
std::vector<dynamic_tt_fct> dynamic_tt;
- std::vector<dynamic_deriv_fct> dynamic_deriv;
+ dynamic_resid_or_g1_fct dynamic_resid, dynamic_g1;
+ std::vector<dynamic_higher_deriv_fct> dynamic_higher_deriv; // Index 0 is g2
#if defined(_WIN32) || defined(__CYGWIN32__)
HINSTANCE dynamicHinstance; // DLL instance pointer in Windows
#else
@@ -53,6 +58,34 @@ private:
#endif
std::unique_ptr<double[]> tt; // Vector of temporary terms
+ template<typename T>
+ std::pair<T, dynamic_tt_fct>
+ getSymbolsFromDLL(const std::string &funcname, const std::string &fName)
+ {
+ dynamic_tt_fct tt;
+ T deriv;
+#if defined(__CYGWIN32__) || defined(_WIN32)
+ deriv = reinterpret_cast<T>(GetProcAddress(dynamicHinstance, funcname.c_str()));
+ tt = reinterpret_cast<dynamic_tt_fct>(GetProcAddress(dynamicHinstance, (funcname + "_tt").c_str()));
+#else
+ deriv = reinterpret_cast<T>(dlsym(dynamicHinstance, funcname.c_str()));
+ tt = reinterpret_cast<dynamic_tt_fct>(dlsym(dynamicHinstance, (funcname + "_tt").c_str()));
+#endif
+ if (!deriv || !tt)
+ {
+#if defined(__CYGWIN32__) || defined(_WIN32)
+ FreeLibrary(dynamicHinstance);
+#else
+ dlclose(dynamicHinstance);
+#endif
+ throw DynareException(__FILE__, __LINE__, "Error when loading symbols from " + fName
+#if !defined(__CYGWIN32__) && !defined(_WIN32)
+ + ": " + dlerror()
+#endif
+ );
+ }
+ return { deriv, tt };
+ }
public:
// construct and load Dynamic model DLL
explicit DynamicModelDLL(const std::string &fname, int ntt_arg, int order);
diff --git a/preprocessor b/preprocessor
index ad5e196d3064fd3b431b0a0dd34c66f42b52dbc6..c4351166a9828d67e555c617fb97dfc00a1bc880 160000
--- a/preprocessor
+++ b/preprocessor
@@ -1 +1 @@
-Subproject commit ad5e196d3064fd3b431b0a0dd34c66f42b52dbc6
+Subproject commit c4351166a9828d67e555c617fb97dfc00a1bc880