From 92bb2a5831ca6e7f1bda013321f3dfd69954e5be Mon Sep 17 00:00:00 2001
From: =?UTF-8?q?S=C3=A9bastien=20Villemot?= <sebastien@dynare.org>
Date: Tue, 16 Apr 2024 15:44:57 +0200
Subject: [PATCH] New syntax for complementarity conditions, using the
perpendicular symbol
In particular, adapt the manual and the testsuite.
---
doc/manual/source/conf.py | 4 +++
doc/manual/source/the-model-file.rst | 31 +++++++++----------
preprocessor | 2 +-
.../histval_initval_test.mod | 6 ++--
.../initval_endval_test.mod | 6 ++--
tests/ep/rbcii_MCP.mod | 3 +-
tests/ep/rs2.mod | 8 ++---
tests/lmmcp/MCP_ramsey.mod | 5 ++-
tests/lmmcp/SMOPEC.mod | 6 ++--
tests/lmmcp/purely_backward.mod | 4 +--
tests/lmmcp/purely_forward.mod | 1 +
tests/lmmcp/rbcii.mod | 3 +-
tests/lmmcp/sw_lmmcp.mod | 3 +-
tests/path/lcp/mod1.mod | 5 ++-
14 files changed, 42 insertions(+), 45 deletions(-)
diff --git a/doc/manual/source/conf.py b/doc/manual/source/conf.py
index 064b224d38..eb9c74cca0 100644
--- a/doc/manual/source/conf.py
+++ b/doc/manual/source/conf.py
@@ -71,6 +71,10 @@ latex_elements = {
warningBorderColor={RGB}{255,50,50},OuterLinkColor={RGB}{34,139,34}, \
InnerLinkColor={RGB}{51,51,255},TitleColor={RGB}{51,51,255}',
'papersize': 'a4paper',
+ # Add support for the perpendicular symbol input as UTF-8
+ 'preamble': r'''
+\DeclareUnicodeCharacter{27C2}{\ensuremath{\perp}}
+'''
}
latex_documents = [
diff --git a/doc/manual/source/the-model-file.rst b/doc/manual/source/the-model-file.rst
index c0185e6a33..d4c2aaaa17 100644
--- a/doc/manual/source/the-model-file.rst
+++ b/doc/manual/source/the-model-file.rst
@@ -992,7 +992,7 @@ The model is declared inside a ``model`` block:
model;
- [name='Taylor rule',mcp = 'r > -1.94478']
+ [name='Taylor rule', endogenous='r']
r = rho*r(-1) + (1-rho)*(gpi*Infl+gy*YGap) + e;
end;
@@ -2975,14 +2975,14 @@ Finding the steady state with Dynare nonlinear solver
Levenberg-Marquardt mixed complementarity problem
(LMMCP) solver (*Kanzow and Petra (2004)*). The complementarity
- conditions are specified with an ``mcp`` equation tag, see
+ conditions are specified using the perpendicular symbol, see
:opt:`lmmcp`.
``11``
PATH mixed complementarity problem solver of *Ferris
and Munson (1999)*. The complementarity conditions are
- specified with an ``mcp`` equation tag, see
+ specified using the perpendicular symbol, see
:opt:`lmmcp`. Dynare only provides the interface for
using the solver. Due to licence restrictions, you have
to download the solver’s most current version yourself
@@ -3884,18 +3884,18 @@ speed-up on large models.
where :math:`X` denotes the vector of endogenous variables, :math:`F(X)` the equations
of the model, :math:`LB` denotes a lower bound, and :math:`UB` an upper bound. Such a setup
- is implemented by attaching an equation tag (see :ref:`model-decl`)
- with the ``mcp`` keyword to the affected equations. This tag states that
- the equation to which the tag is attached has to hold unless the inequality
- constraint within the tag is binding.
+ is implemented by specifying the complementarity condition after the
+ equation to which it is attached, the two being separated by the
+ perpendicular symbol (the latter can be input either in UTF-8, as ⟂,
+ corresponding to Unicode codepoint U+27C2; or alternatively as pure ASCII, as
+ _|_, *i.e.* a vertical bar enclosed within two underscores).
For instance, a ZLB on the nominal interest rate would be specified
as follows in the model block::
model;
...
- [mcp = 'r > -1.94478']
- r = rho*r(-1) + (1-rho)*(gpi*Infl+gy*YGap) + e;
+ r = rho*r(-1) + (1-rho)*(gpi*Infl+gy*YGap) + e ⟂ r > -1.94478;
...
end;
@@ -3906,12 +3906,11 @@ speed-up on large models.
``r<=-1.94478``, in which case the ``r`` is fixed at
``-1.94478`` (thereby being equivalent to a complementary
slackness condition). By restricting the value of ``r`` coming
- out of this equation, the ``mcp`` tag also avoids using
+ out of this equation, the complementarity condition also avoids using
``max(r,-1.94478)`` for other occurrences of ``r`` in the rest
- of the model. Two things are important to keep in mind. First, because the
- ``mcp`` tag effectively replaces a complementary slackness
- condition, it cannot be simply attached to any
- equation. Rather, it must be attached to the correct affected
+ of the model. Two things are important to keep in mind. First, the complementary slackness
+ condition cannot be simply attached to any
+ equation; it must be attached to the correct affected
equation as otherwise the solver will solve a different problem
than originally intended. Second, the sign of the residual of the dynamic
equation must conform to the MCP setup outlined above. In case of the ZLB,
@@ -3931,7 +3930,7 @@ speed-up on large models.
would be wrong.
Note that in the current implementation, the content of the
- ``mcp`` equation tag is not parsed by the preprocessor. The
+ complementarity condition is not parsed by the preprocessor. The
inequalities must therefore be as simple as possible: an
endogenous variable, followed by a relational operator,
followed by a number (not a variable, parameter or expression).
@@ -5182,7 +5181,7 @@ which is described below.
(2004)*), which allows to consider inequality constraints on
the endogenous variables (such as a ZLB on the nominal interest
rate or a model with irreversible investment). For specifying the
- necessary ``mcp`` tag, see :opt:`lmmcp`.
+ necessary complementarity conditions, see :opt:`lmmcp`.
Typology and ordering of variables
diff --git a/preprocessor b/preprocessor
index bdb8ef9961..8bfe3ef4bc 160000
--- a/preprocessor
+++ b/preprocessor
@@ -1 +1 @@
-Subproject commit bdb8ef996192b15cf8398d7d58d59954a9bb248b
+Subproject commit 8bfe3ef4bc8973589aa35d1a3cb265fb954748ee
diff --git a/tests/deterministic_simulations/initval_endval_blocks/histval_initval_test.mod b/tests/deterministic_simulations/initval_endval_blocks/histval_initval_test.mod
index 1d93c5e71d..ddc4868398 100644
--- a/tests/deterministic_simulations/initval_endval_blocks/histval_initval_test.mod
+++ b/tests/deterministic_simulations/initval_endval_blocks/histval_initval_test.mod
@@ -19,8 +19,8 @@ model;
//[name = 'FOC wrt L', mcp = 'L>0']
(1-alpha)*A*((K)^alpha)*(L^(-alpha)) = w*(1-eta);
-[name = 'FOC wrt K(+1)', mcp = 'q>0']
-beta*alpha*A*(K(+1)^(alpha-1))*(L(+1)^(1-alpha)) + beta*(1-delta)*q(+1) = q;
+[name = 'FOC wrt K(+1)']
+beta*alpha*A*(K(+1)^(alpha-1))*(L(+1)^(1-alpha)) + beta*(1-delta)*q(+1) = q ⟂ q>0;
KL_ratio = K/L;
@@ -73,4 +73,4 @@ end
if oo_.endo_simul(strmatch('K',M_.endo_names,'exact'),end)~=1000
error('endval does not match')
-end
\ No newline at end of file
+end
diff --git a/tests/deterministic_simulations/initval_endval_blocks/initval_endval_test.mod b/tests/deterministic_simulations/initval_endval_blocks/initval_endval_test.mod
index 153de9c243..3a1df9aa18 100644
--- a/tests/deterministic_simulations/initval_endval_blocks/initval_endval_test.mod
+++ b/tests/deterministic_simulations/initval_endval_blocks/initval_endval_test.mod
@@ -19,8 +19,8 @@ model;
//[name = 'FOC wrt L', mcp = 'L>0']
(1-alpha)*A*((K)^alpha)*(L^(-alpha)) = w*(1-eta);
-[name = 'FOC wrt K(+1)', mcp = 'q>0']
-beta*alpha*A*(K(+1)^(alpha-1))*(L(+1)^(1-alpha)) + beta*(1-delta)*q(+1) = q;
+[name = 'FOC wrt K(+1)']
+beta*alpha*A*(K(+1)^(alpha-1))*(L(+1)^(1-alpha)) + beta*(1-delta)*q(+1) = q ⟂ q>0;
KL_ratio = K/L;
@@ -73,4 +73,4 @@ end
if oo_.endo_simul(strmatch('K',M_.endo_names,'exact'),end)~=1000
error('endval does not match')
-end
\ No newline at end of file
+end
diff --git a/tests/ep/rbcii_MCP.mod b/tests/ep/rbcii_MCP.mod
index 69bb5912e4..ffad81e926 100644
--- a/tests/ep/rbcii_MCP.mod
+++ b/tests/ep/rbcii_MCP.mod
@@ -18,8 +18,7 @@ model(use_dll);
beta*(c(+1)^theta*(1-L(+1))^(1-theta))^(1-tau)/c(+1)
*(alpha*(y(+1)/k)^(1-psi)+1-delta)+mu(+1)*(1-delta);
i=y-c;
- [ mcp = 'i > 0' ]
- mu = 0;
+ mu = 0 ⟂ i > 0;
end;
diff --git a/tests/ep/rs2.mod b/tests/ep/rs2.mod
index f213b12569..7fbcd45b66 100644
--- a/tests/ep/rs2.mod
+++ b/tests/ep/rs2.mod
@@ -65,8 +65,7 @@ exp(lC)^-phi = beta *exp(10*Int1-10*lpi1(+1)) *exp(lC(+1))^-phi *exp(lDZ(+1))^-p
// Finally; the scaling and unscaling of Valphaexp by the constant VAIMSS and DZBar improves the
// numerical behavior of the model; without it; the steady-state value of Valphaexp can be minuscule
// (e.g.; 10^-50); which requires Mathematica to use astronomical levels of precision to solve. *)
-[mcp = 'Valphaexp > 1e-5']
-Valphaexp = (V(+1) *exp(lDZ(+1))^(1-phi) /VAIMSS /DZBar^(1-phi))^(1-alpha);
+Valphaexp = (V(+1) *exp(lDZ(+1))^(1-phi) /VAIMSS /DZBar^(1-phi))^(1-alpha) ⟂ Valphaexp > 1e-5;
Vkp = VAIMSS *DZBar^(1-phi) *Valphaexp^(1/(1-alpha));
exp(lzn) = (1+theta) *MC *exp(lY) + xi *beta *exp(lC(+1)-lC)^-phi *exp(lDZ(+1))^-phi
@@ -77,8 +76,7 @@ exp(lp0)^(1+(1+theta)/theta *(1-eta)/eta) = exp(lzn-lzd);
exp(lpi)^(-1/theta) = (1-xi) *exp(lp0+lpi)^(-1/theta) + xi;
// Marginal cost and real wage
MC = exp(lwreal) /eta *exp(lY)^((1-eta)/eta) /exp(lA)^(1/eta) /KBar^((1-eta)/eta);
-[mcp = 'lL < 1.0986']
-chi0 *(LMax-exp(lL))^-chi /exp(lC)^-phi = exp(lwreal);
+chi0 *(LMax-exp(lL))^-chi /exp(lC)^-phi = exp(lwreal) ⟂ lL < 1.0986;
// Output equations
exp(lY) = exp(lA) *KBar^(1-eta) *exp(lL)^eta /exp(lDisp);
exp(lDisp)^(1/eta) = (1-xi) *exp(lp0)^(-(1+theta)/theta/eta)
@@ -153,4 +151,4 @@ end;
//stoch_simul(order=3,periods=50000,pruning);
-extended_path(order=0,periods=3);
\ No newline at end of file
+extended_path(order=0,periods=3);
diff --git a/tests/lmmcp/MCP_ramsey.mod b/tests/lmmcp/MCP_ramsey.mod
index 34775e5883..e7be421168 100644
--- a/tests/lmmcp/MCP_ramsey.mod
+++ b/tests/lmmcp/MCP_ramsey.mod
@@ -13,8 +13,7 @@ lambda2 = 0.1;
pi_bar = 2.0;
model;
-[mcp = 'i > 0']
-y = beta1*y(-1) + beta2*y(+1) + beta3*(i-pi(+1)) + e_y;
+y = beta1*y(-1) + beta2*y(+1) + beta3*(i-pi(+1)) + e_y ⟂ i > 0;
pi = lambda1*pi(+1) + (1-lambda1)*pi(-1) + lambda2*y + e_pi;
end;
@@ -30,4 +29,4 @@ steady;
perfect_foresight_setup(periods=50);
perfect_foresight_solver(lmmcp);
-rplot i;
\ No newline at end of file
+rplot i;
diff --git a/tests/lmmcp/SMOPEC.mod b/tests/lmmcp/SMOPEC.mod
index 9aa97bf9d7..d5ccff5a7f 100644
--- a/tests/lmmcp/SMOPEC.mod
+++ b/tests/lmmcp/SMOPEC.mod
@@ -59,8 +59,8 @@ model;
y + d= c + (1+r_bar)*d(-1);
[name='Endowment']
y = 1;
- [name='Euler equation', mcp = 'd<2']
- beta*(1+r_bar)*1/c(+1)-1/c=0;
+ [name='Euler equation']
+ beta*(1+r_bar)*1/c(+1)-1/c=0 ⟂ d<2;
end;
initval;
@@ -70,4 +70,4 @@ c=y-r_bar*d;
end;
resid;
steady(solve_algo=10);
-resid;
\ No newline at end of file
+resid;
diff --git a/tests/lmmcp/purely_backward.mod b/tests/lmmcp/purely_backward.mod
index 7d3bce2727..c96f45e536 100644
--- a/tests/lmmcp/purely_backward.mod
+++ b/tests/lmmcp/purely_backward.mod
@@ -1,4 +1,5 @@
// Regression test for bug #1720 (in the purely backward case)
+// Also tests the alternative (ASCII) representation for the perpendicular symbol
var y;
@@ -9,8 +10,7 @@ parameters rho;
rho = 0.9;
model;
- [ mcp = 'y>1' ]
- y = y(-1)^rho*exp(eps);
+ y = y(-1)^rho*exp(eps) _|_ y>1;
end;
initval;
diff --git a/tests/lmmcp/purely_forward.mod b/tests/lmmcp/purely_forward.mod
index eb61ad29e8..c27ec4581b 100644
--- a/tests/lmmcp/purely_forward.mod
+++ b/tests/lmmcp/purely_forward.mod
@@ -1,4 +1,5 @@
// Regression test for bug #1720 (in the purely forward case)
+// Also tests the obsolete “mcp†tag syntax
var y;
diff --git a/tests/lmmcp/rbcii.mod b/tests/lmmcp/rbcii.mod
index 90b63d292d..03590cabd3 100644
--- a/tests/lmmcp/rbcii.mod
+++ b/tests/lmmcp/rbcii.mod
@@ -21,8 +21,7 @@ model;
k = y-c+(1-delta)*k(-1);
i = k-(1-delta)*k(-1);
-[ mcp = 'i > 0' ]
- mu = 0;
+ mu = 0 ⟂ i > 0;
end;
steady_state_model;
diff --git a/tests/lmmcp/sw_lmmcp.mod b/tests/lmmcp/sw_lmmcp.mod
index 59758a55c7..cb42bdcc7d 100644
--- a/tests/lmmcp/sw_lmmcp.mod
+++ b/tests/lmmcp/sw_lmmcp.mod
@@ -45,8 +45,7 @@ model;
+(1-xi_w)*(1-beta_bar*gamma*xi_w)/((1+beta_bar*gamma)*xi_w)*(1/((phi_w-1)*curv_w+1))*
(sigma_l*l + (1/(1-lambda/gamma))*c - ((lambda/gamma)/(1-lambda/gamma))*c(-1) -w)
+ 1*eps_w ;
- [mcp='r > -1.944781619515523']
- r = r_pi * (1-rho) * pinf + r_y * (1-rho) * (y-yf) + r_dy * ( y - yf - (y(-1) - yf(-1))) + rho * r(-1) + eps_r;
+ r = r_pi * (1-rho) * pinf + r_y * (1-rho) * (y-yf) + r_dy * ( y - yf - (y(-1) - yf(-1))) + rho * r(-1) + eps_r ⟂ r > -1.944781619515523;
eps_a = rho_a * eps_a(-1) + eta_a;
eps_b = rho_b * eps_b(-1) + eta_b;
eps_g = rho_g * eps_g(-1) + eta_g + rho_ga * eta_a;
diff --git a/tests/path/lcp/mod1.mod b/tests/path/lcp/mod1.mod
index 8db04f3753..75eb641b07 100644
--- a/tests/path/lcp/mod1.mod
+++ b/tests/path/lcp/mod1.mod
@@ -19,8 +19,7 @@ model(linear,use_dll);
pi = pi_bar*(1-alpha_1-(1-alpha_1)*alpha_2) + alpha_1*pi(-1) + (1-alpha_1)*alpha_2*pi(+1) + alpha_3*y + e_pi;
y = beta_1*y(-1) + (1-beta_1)*y(+1) - beta_2*(rl-rr_bar - pi(+1)) + e_y;
rs_shadow = gamma_r*rs(-1) + (1-gamma_r)*(rr_bar + pi_bar + gamma_pi*(pi-pi_bar) + gamma_y*y);
- [mcp = 'rs_shadow > 0']
- rs_1 = rs_shadow;
+ rs_1 = rs_shadow ⟂ rs_shadow > 0;
// [mcp = 'pi > 1.4']
rs = rs_1;
rl = 400*(((1+rs/400)
@@ -60,4 +59,4 @@ perfect_foresight_solver(stack_solve_algo=7);
rplot rs;
//rplot rl;
//rplot y;
-//rplot pi;
\ No newline at end of file
+//rplot pi;
--
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