From 75b5f1d18a4d47a341508de2c4c7a18c20b44aea Mon Sep 17 00:00:00 2001
From: =?UTF-8?q?S=C3=A9bastien=20Villemot?= <sebastien@dynare.org>
Date: Thu, 25 Apr 2013 18:09:31 +0200
Subject: [PATCH] Add new model option 'differentiate_forward_vars' (ref. #351)
---
preprocessor/DynamicModel.cc | 15 +++++++
preprocessor/DynamicModel.hh | 3 ++
preprocessor/DynareBison.yy | 3 +-
preprocessor/DynareFlex.ll | 1 +
preprocessor/ExprNode.cc | 78 +++++++++++++++++++++++++++++++++++
preprocessor/ExprNode.hh | 14 +++++++
preprocessor/ModFile.cc | 4 ++
preprocessor/ModFile.hh | 3 ++
preprocessor/ParsingDriver.cc | 6 +++
preprocessor/ParsingDriver.hh | 2 +
preprocessor/SymbolTable.cc | 26 +++++++++++-
preprocessor/SymbolTable.hh | 10 ++++-
12 files changed, 161 insertions(+), 4 deletions(-)
diff --git a/preprocessor/DynamicModel.cc b/preprocessor/DynamicModel.cc
index 142a2afd2d..10ca5aa2fc 100644
--- a/preprocessor/DynamicModel.cc
+++ b/preprocessor/DynamicModel.cc
@@ -3975,6 +3975,9 @@ DynamicModel::substituteLeadLagInternal(aux_var_t type, bool deterministic_model
case avExoLag:
subst = value->substituteExoLag(subst_table, neweqs);
break;
+ case avDiffForward:
+ subst = value->differentiateForwardVars(subst_table, neweqs);
+ break;
default:
cerr << "DynamicModel::substituteLeadLagInternal: impossible case" << endl;
exit(EXIT_FAILURE);
@@ -4000,6 +4003,9 @@ DynamicModel::substituteLeadLagInternal(aux_var_t type, bool deterministic_model
case avExoLag:
subst = equations[i]->substituteExoLag(subst_table, neweqs);
break;
+ case avDiffForward:
+ subst = equations[i]->differentiateForwardVars(subst_table, neweqs);
+ break;
default:
cerr << "DynamicModel::substituteLeadLagInternal: impossible case" << endl;
exit(EXIT_FAILURE);
@@ -4039,6 +4045,9 @@ DynamicModel::substituteLeadLagInternal(aux_var_t type, bool deterministic_model
case avExpectation:
cout << "expectation";
break;
+ case avDiffForward:
+ cout << "forward vars";
+ break;
case avMultiplier:
cerr << "avMultiplier encountered: impossible case" << endl;
exit(EXIT_FAILURE);
@@ -4124,6 +4133,12 @@ DynamicModel::removeTrendVariableFromEquations()
}
}
+void
+DynamicModel::differentiateForwardVars()
+{
+ substituteLeadLagInternal(avDiffForward, true);
+}
+
void
DynamicModel::fillEvalContext(eval_context_t &eval_context) const
{
diff --git a/preprocessor/DynamicModel.hh b/preprocessor/DynamicModel.hh
index 57bd30a793..b3ca75c9bd 100644
--- a/preprocessor/DynamicModel.hh
+++ b/preprocessor/DynamicModel.hh
@@ -280,6 +280,9 @@ public:
//! Transforms the model by replacing trend variables with a 1
void removeTrendVariableFromEquations();
+ //! Transforms the model by creating aux vars for the diff of forward vars
+ void differentiateForwardVars();
+
//! Fills eval context with values of model local variables and auxiliary variables
void fillEvalContext(eval_context_t &eval_context) const;
diff --git a/preprocessor/DynareBison.yy b/preprocessor/DynareBison.yy
index 05a766efb9..92d4927555 100644
--- a/preprocessor/DynareBison.yy
+++ b/preprocessor/DynareBison.yy
@@ -96,7 +96,7 @@ class ParsingDriver;
%token BVAR_PRIOR_MU BVAR_PRIOR_OMEGA BVAR_PRIOR_TAU BVAR_PRIOR_TRAIN
%token BVAR_REPLIC BYTECODE ALL_VALUES_REQUIRED
%token CALIB_SMOOTHER CHANGE_TYPE CHECK CONDITIONAL_FORECAST CONDITIONAL_FORECAST_PATHS CONF_SIG CONSTANT CONTROLLED_VAREXO CORR COVAR CUTOFF CYCLE_REDUCTION LOGARITHMIC_REDUCTION
-%token DATAFILE FILE DETERMINISTIC DOUBLING DR_CYCLE_REDUCTION_TOL DR_LOGARITHMIC_REDUCTION_TOL DR_LOGARITHMIC_REDUCTION_MAXITER DR_ALGO DROP DSAMPLE DYNASAVE DYNATYPE CALIBRATION
+%token DATAFILE FILE DETERMINISTIC DOUBLING DR_CYCLE_REDUCTION_TOL DR_LOGARITHMIC_REDUCTION_TOL DR_LOGARITHMIC_REDUCTION_MAXITER DR_ALGO DROP DSAMPLE DYNASAVE DYNATYPE CALIBRATION DIFFERENTIATE_FORWARD_VARS
%token END ENDVAL EQUAL ESTIMATION ESTIMATED_PARAMS ESTIMATED_PARAMS_BOUNDS ESTIMATED_PARAMS_INIT EXTENDED_PATH ENDOGENOUS_PRIOR
%token FILENAME FILTER_STEP_AHEAD FILTERED_VARS FIRST_OBS LAST_OBS SET_TIME
%token <string_val> FLOAT_NUMBER
@@ -568,6 +568,7 @@ model_options : BLOCK { driver.block(); }
| BYTECODE { driver.byte_code(); }
| USE_DLL { driver.use_dll(); }
| NO_STATIC { driver.no_static();}
+ | DIFFERENTIATE_FORWARD_VARS { driver.differentiate_forward_vars(); }
| o_linear
;
diff --git a/preprocessor/DynareFlex.ll b/preprocessor/DynareFlex.ll
index 7f5904f270..8a8f1f4ae3 100644
--- a/preprocessor/DynareFlex.ll
+++ b/preprocessor/DynareFlex.ll
@@ -566,6 +566,7 @@ string eofbuff;
<DYNARE_BLOCK>bytecode {return token::BYTECODE;}
<DYNARE_BLOCK>all_values_required {return token::ALL_VALUES_REQUIRED;}
<DYNARE_BLOCK>no_static {return token::NO_STATIC;}
+<DYNARE_BLOCK>differentiate_forward_vars {return token::DIFFERENTIATE_FORWARD_VARS;}
<DYNARE_STATEMENT,DYNARE_BLOCK>linear {return token::LINEAR;}
diff --git a/preprocessor/ExprNode.cc b/preprocessor/ExprNode.cc
index abe47a2ad7..59d26fa264 100644
--- a/preprocessor/ExprNode.cc
+++ b/preprocessor/ExprNode.cc
@@ -430,6 +430,12 @@ NumConstNode::substituteExpectation(subst_table_t &subst_table, vector<BinaryOpN
return const_cast<NumConstNode *>(this);
}
+expr_t
+NumConstNode::differentiateForwardVars(subst_table_t &subst_table, vector<BinaryOpNode *> &neweqs) const
+{
+ return const_cast<NumConstNode *>(this);
+}
+
bool
NumConstNode::isNumConstNodeEqualTo(double value) const
{
@@ -1218,6 +1224,43 @@ VariableNode::substituteExpectation(subst_table_t &subst_table, vector<BinaryOpN
return const_cast<VariableNode *>(this);
}
+expr_t
+VariableNode::differentiateForwardVars(subst_table_t &subst_table, vector<BinaryOpNode *> &neweqs) const
+{
+ expr_t value;
+ switch (type)
+ {
+ case eEndogenous:
+ assert(lag <= 1);
+ if (lag <= 0)
+ return const_cast<VariableNode *>(this);
+ else
+ {
+ subst_table_t::iterator it = subst_table.find(this);
+ VariableNode *diffvar;
+ if (it != subst_table.end())
+ diffvar = const_cast<VariableNode *>(it->second);
+ else
+ {
+ int aux_symb_id = datatree.symbol_table.addDiffForwardAuxiliaryVar(symb_id);
+ neweqs.push_back(dynamic_cast<BinaryOpNode *>(datatree.AddEqual(datatree.AddVariable(aux_symb_id, 0), datatree.AddMinus(datatree.AddVariable(symb_id, 0),
+ datatree.AddVariable(symb_id, -1)))));
+ diffvar = datatree.AddVariable(aux_symb_id, 1);
+ subst_table[this] = diffvar;
+ }
+ return datatree.AddPlus(datatree.AddVariable(symb_id, 0), diffvar);
+ }
+ case eModelLocalVariable:
+ value = datatree.local_variables_table[symb_id];
+ if (value->maxEndoLead() <= 0)
+ return const_cast<VariableNode *>(this);
+ else
+ return value->differentiateForwardVars(subst_table, neweqs);
+ default:
+ return const_cast<VariableNode *>(this);
+ }
+}
+
bool
VariableNode::isNumConstNodeEqualTo(double value) const
{
@@ -2295,6 +2338,13 @@ UnaryOpNode::substituteExpectation(subst_table_t &subst_table, vector<BinaryOpNo
}
}
+expr_t
+UnaryOpNode::differentiateForwardVars(subst_table_t &subst_table, vector<BinaryOpNode *> &neweqs) const
+{
+ expr_t argsubst = arg->differentiateForwardVars(subst_table, neweqs);
+ return buildSimilarUnaryOpNode(argsubst, datatree);
+}
+
bool
UnaryOpNode::isNumConstNodeEqualTo(double value) const
{
@@ -3531,6 +3581,15 @@ BinaryOpNode::substituteExpectation(subst_table_t &subst_table, vector<BinaryOpN
return buildSimilarBinaryOpNode(arg1subst, arg2subst, datatree);
}
+
+expr_t
+BinaryOpNode::differentiateForwardVars(subst_table_t &subst_table, vector<BinaryOpNode *> &neweqs) const
+{
+ expr_t arg1subst = arg1->differentiateForwardVars(subst_table, neweqs);
+ expr_t arg2subst = arg2->differentiateForwardVars(subst_table, neweqs);
+ return buildSimilarBinaryOpNode(arg1subst, arg2subst, datatree);
+}
+
expr_t
BinaryOpNode::addMultipliersToConstraints(int i)
{
@@ -4139,6 +4198,16 @@ TrinaryOpNode::substituteExpectation(subst_table_t &subst_table, vector<BinaryOp
return buildSimilarTrinaryOpNode(arg1subst, arg2subst, arg3subst, datatree);
}
+
+expr_t
+TrinaryOpNode::differentiateForwardVars(subst_table_t &subst_table, vector<BinaryOpNode *> &neweqs) const
+{
+ expr_t arg1subst = arg1->differentiateForwardVars(subst_table, neweqs);
+ expr_t arg2subst = arg2->differentiateForwardVars(subst_table, neweqs);
+ expr_t arg3subst = arg3->differentiateForwardVars(subst_table, neweqs);
+ return buildSimilarTrinaryOpNode(arg1subst, arg2subst, arg3subst, datatree);
+}
+
bool
TrinaryOpNode::isNumConstNodeEqualTo(double value) const
{
@@ -4695,6 +4764,15 @@ ExternalFunctionNode::substituteExpectation(subst_table_t &subst_table, vector<B
return buildSimilarExternalFunctionNode(arguments_subst, datatree);
}
+expr_t
+ExternalFunctionNode::differentiateForwardVars(subst_table_t &subst_table, vector<BinaryOpNode *> &neweqs) const
+{
+ vector<expr_t> arguments_subst;
+ for (vector<expr_t>::const_iterator it = arguments.begin(); it != arguments.end(); it++)
+ arguments_subst.push_back((*it)->differentiateForwardVars(subst_table, neweqs));
+ return buildSimilarExternalFunctionNode(arguments_subst, datatree);
+}
+
expr_t
ExternalFunctionNode::buildSimilarExternalFunctionNode(vector<expr_t> &alt_args, DataTree &alt_datatree) const
{
diff --git a/preprocessor/ExprNode.hh b/preprocessor/ExprNode.hh
index 526a26b168..7ba4ccc2cf 100644
--- a/preprocessor/ExprNode.hh
+++ b/preprocessor/ExprNode.hh
@@ -359,6 +359,14 @@ public:
virtual expr_t decreaseLeadsLagsPredeterminedVariables() const = 0;
+ //! Constructs a new expression where forward variables (supposed to be at most in t+1) have been replaced by themselves at t, plus a new aux var representing their (time) differentiate
+ /*!
+ \param[in,out] subst_table Map used to store mapping between a given
+ forward variable and the aux var that contains its differentiate
+ \param[out] neweqs Equations to be added to the model to match the creation of auxiliary variables.
+ */
+ virtual expr_t differentiateForwardVars(subst_table_t &subst_table, vector<BinaryOpNode *> &neweqs) const = 0;
+
//! Return true if the nodeID is a numerical constant equal to value and false otherwise
/*!
\param[in] value of the numerical constante
@@ -444,6 +452,7 @@ public:
virtual expr_t substituteExoLag(subst_table_t &subst_table, vector<BinaryOpNode *> &neweqs) const;
virtual expr_t substituteExpectation(subst_table_t &subst_table, vector<BinaryOpNode *> &neweqs, bool partial_information_model) const;
virtual expr_t decreaseLeadsLagsPredeterminedVariables() const;
+ virtual expr_t differentiateForwardVars(subst_table_t &subst_table, vector<BinaryOpNode *> &neweqs) const;
virtual bool isNumConstNodeEqualTo(double value) const;
virtual bool containsEndogenous(void) const;
virtual bool isVariableNodeEqualTo(SymbolType type_arg, int variable_id, int lag_arg) const;
@@ -505,6 +514,7 @@ public:
virtual expr_t substituteExoLag(subst_table_t &subst_table, vector<BinaryOpNode *> &neweqs) const;
virtual expr_t substituteExpectation(subst_table_t &subst_table, vector<BinaryOpNode *> &neweqs, bool partial_information_model) const;
virtual expr_t decreaseLeadsLagsPredeterminedVariables() const;
+ virtual expr_t differentiateForwardVars(subst_table_t &subst_table, vector<BinaryOpNode *> &neweqs) const;
virtual bool isNumConstNodeEqualTo(double value) const;
virtual bool containsEndogenous(void) const;
virtual bool isVariableNodeEqualTo(SymbolType type_arg, int variable_id, int lag_arg) const;
@@ -581,6 +591,7 @@ public:
virtual expr_t substituteExoLag(subst_table_t &subst_table, vector<BinaryOpNode *> &neweqs) const;
virtual expr_t substituteExpectation(subst_table_t &subst_table, vector<BinaryOpNode *> &neweqs, bool partial_information_model) const;
virtual expr_t decreaseLeadsLagsPredeterminedVariables() const;
+ virtual expr_t differentiateForwardVars(subst_table_t &subst_table, vector<BinaryOpNode *> &neweqs) const;
virtual bool isNumConstNodeEqualTo(double value) const;
virtual bool containsEndogenous(void) const;
virtual bool isVariableNodeEqualTo(SymbolType type_arg, int variable_id, int lag_arg) const;
@@ -670,6 +681,7 @@ public:
virtual expr_t substituteExoLag(subst_table_t &subst_table, vector<BinaryOpNode *> &neweqs) const;
virtual expr_t substituteExpectation(subst_table_t &subst_table, vector<BinaryOpNode *> &neweqs, bool partial_information_model) const;
virtual expr_t decreaseLeadsLagsPredeterminedVariables() const;
+ virtual expr_t differentiateForwardVars(subst_table_t &subst_table, vector<BinaryOpNode *> &neweqs) const;
virtual bool isNumConstNodeEqualTo(double value) const;
virtual bool containsEndogenous(void) const;
virtual bool isVariableNodeEqualTo(SymbolType type_arg, int variable_id, int lag_arg) const;
@@ -739,6 +751,7 @@ public:
virtual expr_t substituteExoLag(subst_table_t &subst_table, vector<BinaryOpNode *> &neweqs) const;
virtual expr_t substituteExpectation(subst_table_t &subst_table, vector<BinaryOpNode *> &neweqs, bool partial_information_model) const;
virtual expr_t decreaseLeadsLagsPredeterminedVariables() const;
+ virtual expr_t differentiateForwardVars(subst_table_t &subst_table, vector<BinaryOpNode *> &neweqs) const;
virtual bool isNumConstNodeEqualTo(double value) const;
virtual bool containsEndogenous(void) const;
virtual bool isVariableNodeEqualTo(SymbolType type_arg, int variable_id, int lag_arg) const;
@@ -812,6 +825,7 @@ public:
virtual expr_t substituteExpectation(subst_table_t &subst_table, vector<BinaryOpNode *> &neweqs, bool partial_information_model) const;
virtual expr_t buildSimilarExternalFunctionNode(vector<expr_t> &alt_args, DataTree &alt_datatree) const;
virtual expr_t decreaseLeadsLagsPredeterminedVariables() const;
+ virtual expr_t differentiateForwardVars(subst_table_t &subst_table, vector<BinaryOpNode *> &neweqs) const;
virtual bool isNumConstNodeEqualTo(double value) const;
virtual bool containsEndogenous(void) const;
virtual bool isVariableNodeEqualTo(SymbolType type_arg, int variable_id, int lag_arg) const;
diff --git a/preprocessor/ModFile.cc b/preprocessor/ModFile.cc
index 73236f142a..503c9e20a4 100644
--- a/preprocessor/ModFile.cc
+++ b/preprocessor/ModFile.cc
@@ -38,6 +38,7 @@ ModFile::ModFile(WarningConsolidation &warnings_arg)
static_model(symbol_table, num_constants, external_functions_table),
steady_state_model(symbol_table, num_constants, external_functions_table, static_model),
linear(false), block(false), byte_code(false), use_dll(false), no_static(false),
+ differentiate_forward_vars(false),
nonstationary_variables(false), ramsey_policy_orig_eqn_nbr(0),
warnings(warnings_arg)
{
@@ -307,6 +308,9 @@ ModFile::transformPass()
dynamic_model.substituteEndoLagGreaterThanTwo(true);
}
+ if (differentiate_forward_vars)
+ dynamic_model.differentiateForwardVars();
+
if (mod_file_struct.dsge_var_estimated || !mod_file_struct.dsge_var_calibrated.empty())
try
{
diff --git a/preprocessor/ModFile.hh b/preprocessor/ModFile.hh
index 6e030d2207..ceba97b1cc 100644
--- a/preprocessor/ModFile.hh
+++ b/preprocessor/ModFile.hh
@@ -75,6 +75,9 @@ public:
//! Is the static model have to computed (no_static=false) or not (no_static=true). Option of 'model'
bool no_static;
+ //! Is the 'differentiate_forward_vars' option used?
+ bool differentiate_forward_vars;
+
//! Are nonstationary variables present ?
bool nonstationary_variables;
diff --git a/preprocessor/ParsingDriver.cc b/preprocessor/ParsingDriver.cc
index ca7c515b4d..2d8d4fa9c9 100644
--- a/preprocessor/ParsingDriver.cc
+++ b/preprocessor/ParsingDriver.cc
@@ -493,6 +493,12 @@ ParsingDriver::byte_code()
mod_file->byte_code = true;
}
+void
+ParsingDriver::differentiate_forward_vars()
+{
+ mod_file->differentiate_forward_vars = true;
+}
+
void
ParsingDriver::cutoff(string *value)
{
diff --git a/preprocessor/ParsingDriver.hh b/preprocessor/ParsingDriver.hh
index 279ba13d95..7da190a258 100644
--- a/preprocessor/ParsingDriver.hh
+++ b/preprocessor/ParsingDriver.hh
@@ -245,6 +245,8 @@ public:
void byte_code();
//! the static model is not computed
void no_static();
+ //! the differentiate_forward_vars option is enabled
+ void differentiate_forward_vars();
//! cutoff option of model block
void cutoff(string *value);
//! mfs option of model block
diff --git a/preprocessor/SymbolTable.cc b/preprocessor/SymbolTable.cc
index 9d1184c564..b90b1ce59d 100644
--- a/preprocessor/SymbolTable.cc
+++ b/preprocessor/SymbolTable.cc
@@ -1,5 +1,5 @@
/*
- * Copyright (C) 2003-2012 Dynare Team
+ * Copyright (C) 2003-2013 Dynare Team
*
* This file is part of Dynare.
*
@@ -236,6 +236,9 @@ SymbolTable::writeOutput(ostream &output) const throw (NotYetFrozenException)
case avMultiplier:
output << "M_.aux_vars(" << i+1 << ").eq_nbr = '" << aux_vars[i].get_equation_number_for_multiplier() << "';" << endl;
break;
+ case avDiffForward:
+ output << "M_.aux_vars(" << i+1 << ").orig_index = " << getTypeSpecificID(aux_vars[i].get_orig_symb_id())+1 << ";" << endl;
+ break;
}
}
@@ -386,6 +389,27 @@ SymbolTable::addMultiplierAuxiliaryVar(int index) throw (FrozenException)
return symb_id;
}
+int
+SymbolTable::addDiffForwardAuxiliaryVar(int orig_symb_id) throw (FrozenException)
+{
+ ostringstream varname;
+ int symb_id;
+ varname << "AUX_DIFF_FWRD_" << orig_symb_id+1;
+
+ try
+ {
+ symb_id = addSymbol(varname.str(), eEndogenous);
+ }
+ catch (AlreadyDeclaredException &e)
+ {
+ cerr << "ERROR: you should rename your variable called " << varname.str() << ", this name is internally used by Dynare" << endl;
+ exit(EXIT_FAILURE);
+ }
+
+ aux_vars.push_back(AuxVarInfo(symb_id, avDiffForward, orig_symb_id, 0, 0));
+ return symb_id;
+}
+
int
SymbolTable::searchAuxiliaryVars(int orig_symb_id, int orig_lead_lag) const throw (SearchFailedException)
{
diff --git a/preprocessor/SymbolTable.hh b/preprocessor/SymbolTable.hh
index 3a3f6ebb3e..a8a032f5a9 100644
--- a/preprocessor/SymbolTable.hh
+++ b/preprocessor/SymbolTable.hh
@@ -1,5 +1,5 @@
/*
- * Copyright (C) 2003-2012 Dynare Team
+ * Copyright (C) 2003-2013 Dynare Team
*
* This file is part of Dynare.
*
@@ -38,7 +38,7 @@ enum aux_var_t
avExoLead = 2, //!< Substitute for exo leads >= 2
avExoLag = 3, //!< Substitute for exo lags >= 2
avExpectation = 4, //!< Substitute for Expectation Operator
- // Type 5 now unused
+ avDiffForward = 5, //!< Substitute for the differentiate of a forward variable
avMultiplier = 6 //!< Multipliers for FOC of Ramsey Problem
};
@@ -221,6 +221,12 @@ public:
\return the symbol ID of the new symbol
*/
int addMultiplierAuxiliaryVar(int index) throw (FrozenException);
+ //! Adds an auxiliary variable for the (time) differentiate of a forward var
+ /*!
+ \param[in] orig_symb_id The symb_id of the forward variable
+ \return the symbol ID of the new symbol
+ */
+ int addDiffForwardAuxiliaryVar(int orig_symb_id) throw (FrozenException);
//! Searches auxiliary variables which are substitutes for a given symbol_id and lead/lag
/*!
The search is only performed among auxiliary variables of endo/exo lag.
--
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