Skip to content

Latest commit

 

History

History
75 lines (73 loc) · 3.66 KB

README.extended-preprocessor.org

File metadata and controls

75 lines (73 loc) · 3.66 KB
Raw

In branch extended-preprocessor, we develop a version of Dynare preprocessor that produces C and Cuda routine that can be later linked within another program.

dynare_m options

  • new option output=dynamic|first|second|third
    • output=dynamic generates <fname>_dynamic
    • output=first generates <fname>_first_derivatives
    • output=second generates <fname>_first_derivatives and <fname>_second_derivatives
    • output=third generates <fname>_first_derivatives, <fname>_second_derivatives and <fname>_third_derivatives
    • routine <fname>_static is always generated
    • routine <fname>_steady_state is generated if the *.mod file contains a steady_state_model block
    • routine <fname>_auxiliary_variables_steady_state is always generated but doesn’t contain any instruction is the preprocessor didn’t add any auxiliary variable

Functions

  • <fname>_model: returns a structure containting fields describing the model, analogous to the M_ structure in Dynare. This structure is defined in dynare_model.h and must be accessible when compiling the second stage program.
  • <fname>_dynamic: the historical Dynare dynamic function, returns residuals, first, second and third order derivatives of the model, if needed.
  • <fname>_static: the historical Dynare static function, returns residuals of the static model
  • <fname>_steady_state: a function computing the steady state of the model, given the parameters. It comes from parsing a steady_state_model block in the *.mod file. Currently, there is no provision for calling a non-linear solver for a subset of equations/variables.
  • <fname>_auxiliary_variables_steady_state: a function to compute the steady state values of auxiliary variables automatically added by the preprocessor
  • <fname>_first_derivatives: returns the Jacobian of the model at the steady state, given the steady state. It is more efficient than <fname>_dynamic. Doesn’t exist in Dynare yet.
  • <fname>_second_derivatives: returns the second order derivatives of the model. There are as many rows as equations and as many column as the square of the number of endogenous and exogenous variables. The matrix is stored in compressed sparse row format. It is more efficient than compressed column format as there many more columns than rows and many columns are empty. Note that the transpose of the second derivatives matrix in compressed column format can be obtained directly from the same function by inverting the role of the two index vectors.
  • <fname>_third_derivatives: returns the third order derivatives of the model. See above for the storage format of this matrix.

Implementation

C++ version

  • the routines use C++ and classes from the STL

Cuda version

  • the routines have the __global__ keyword necessary to create CUDA kernls
  • vector addressing uses a stride parameter to allow for various storage schemes on the device

Changes with dynare-msdsge

  • removed erasing previous files as all files should be always written to faciliate application building
  • added back creating variables with the parameter name (otherwise it doesn’t work in Matlab backend) TO BE FIXED

Pre-processor

  • in DynareMain2.cc, in main2() option output != none calls ModFile::write_external_files()
  • in ModFile.cc, ModFile::writeExternalFiles() calls
    • ModFile::writeModelCC()
    • SteadyStateMode::writeSteadyStateFileCC()
    • DynamicModel::writeDynamicFile()
    • StaticModel::writeStaticFile()
    • DynamicModel::writeResidualsCC()
    • DynamicModel::writeParamsDerivativesFileCC()
    • DynamicModel::writeFirstDerivativesCC()
    • DynamicModel::writeSecondDerivativesCC_csr()
    • DynamicModel::writeThirdDerivativesCC_csr()