def test_cheby_shape(self):
n, a, b = 7, 0, 2
basis = BasisChebyshev(n, a, b)
assert_equal(basis.nodes.size, n)
assert_equal(basis.Phi().shape, (n, n))
assert_equal(basis._diff(0, 2).shape, (n - 2, n))
assert_equal(basis._diff(0, -3).shape, (n + 3, n))
assert_equal(basis().shape, (n, ))
nx = 24
x = np.linspace(a, b, nx)
assert_equal(basis.Phi(x).shape, (nx, n))
assert_equal(basis.Phi(x, 1).shape, (nx, n))
assert_equal(basis.Phi(x, -1).shape, (nx, n))
assert_equal(basis(x).shape, (nx, ))
# In[1]:
import numpy as np
import matplotlib.pyplot as plt
from compecon import BasisChebyshev, NLP, demo
# ### Approximation structure
# In[2]:
n, a, b = 31, 1, 5
F = BasisChebyshev(n, a, b) # define basis functions
x = F.nodes # compute standard nodes
# ### Residual function
# In[3]:
def resid(c):
F.c = c # update basis coefficients
f = F(x) # interpolate at basis nodes x
return f ** -2 + f ** -5 - 2 * x
# ### Compute function inverse
# Construct uniform grid for error ploting
x = nodeunif(2001, a, b)
def subfig(k, x, y, xlim, ylim, title):
plt.subplot(2, 2, k)
plt.plot(x, y)
plt.xlim(xlim)
plt.ylim(ylim)
plt.title(title)
for ifunc, ff in enumerate(funcs):
# Construct interpolants
C = BasisChebyshev(n, a, b, f=ff)
S = BasisSpline(n, a, b, f=ff)
L = BasisSpline(n, a, b, k=1, f=ff)
# Compute actual and fitted values on grid
y = ff(x) # actual
yc = C(x) # Chebychev approximant
ys = S(x) # cubic spline approximant
yl = L(x) # linear spline approximant
# Plot function approximations
plt.figure()
ymin = np.floor(y.min())
ymax = np.ceil(y.max())
xlim = [a, b]
ylim = [-0.2, 1.2] if ifunc == 2 else [ymin, ymax]
s stock of wealth
Actions
k capital investment
Parameters
beta capital production elasticity
delta discount factor
"""
from demos.setup import demo, np, plt
from compecon import BasisChebyshev, DPmodel, DPoptions, qnwnorm
# =========== Approximation Structure
n, smin, smax = 15, 0.2, 1.0
basis = BasisChebyshev(n, smin, smax, labels=['Wealth'])
snodes = basis.nodes
# =========== Model specification
beta, delta = 0.5, 0.9
def bounds(s, i, j):
return np.zeros_like(s), s[:]
def reward(s, k, i, j):
sk = s - k
f = np.log(sk)
fx= - sk ** -1
b = [2, -3] # recreational user benefit function parameters
ymean = 1.0 # mean rainfall
sigma = 0.2 # rainfall volatility
delta = 0.9 # discount factor
# Continuous State Shock Distribution
m = 3 # number of rainfall shocks
e, w = qnwlogn(m,
np.log(ymean) - sigma**2 / 2,
sigma**2) # rainfall shocks and proabilities
# Approximation Structure
n = 15 # number of collocation nodes
smin = 2 # minimum state
smax = 10 # maximum state
basis = BasisChebyshev(n, smin, smax, labels=['reservoir']) # basis functions
def bounds(s, i, j):
return np.zeros_like(s), s.copy()
def reward(s, x, i, j):
a0, a1 = a
b0, b1 = b
f = 1.2 * (a0 / (1 + a1)) * x**(1 + a1) + (b0 /
(1 + b1)) * (s - x)**(1 + b1)
fx = 1.2 * a0 * x**a1 - b0 * (s - x)**b1
fxx = 1.2 * a0 * a1 * x**(a1 - 1) + b0 * b1 * (s - x)**(b1 - 1)
return f, fx, fxx
m = 1001 x = np.linspace(a, b, m) # ### % Plot monomial basis functions # In[6]: Phi = np.array([x**j for j in np.arange(n)]) basisplot(x, Phi, 'Monomial Basis Functions on [0,1]') # ### % Plot Chebychev basis functions and nodes # In[7]: B = BasisChebyshev(n, a, b) basisplot(x, B.Phi(x).T, 'Chebychev Polynomial Basis Functions on [0,1]') nodeplot(B.nodes, 'Chebychev Nodes on [0,1]') # ### % Plot linear spline basis functions and nodes # In[8]: L = BasisSpline(n, a, b, k=1) basisplot(x, L.Phi(x).T.toarray(), 'Linear Spline Basis Functions on [0,1]') nodeplot(L.nodes, 'Linear Spline Standard Nodes on [0,1]') # ### % Plot cubic spline basis functions and nodes # In[9]:
practical applications, the function to be approximated will not possess a known closed-form.
In order to carry out the exercise, one must first code the function to be approximated at arbitrary points.
Let's begin:
"""
# Function to be approximated
f = lambda x: np.sin(x[0]) / np.exp(x[1])
# Set the points of approximation interval:
a = -1 # left points
b = 1 # right points
# Choose an approximation scheme. In this case, let us use an 11 by 11 Chebychev approximation scheme:
n = 11 # order of approximation
basis = BasisChebyshev(
[n, n], a,
b) # write n twice to indicate the two dimensions. a and b are expanded
# Compute the basis coefficients c. There are various way to do this:
# One may compute the standard approximation nodes x and corresponding interpolation matrix Phi and function values y
# and use:
x = basis.nodes
Phi = basis.Phi(x) # input x may be omitted if evaluating at the basis nodes
y = f(x)
c = np.linalg.solve(Phi, y)
print('Interpolation coeff =\n ', c)
# Alternatively, one may compute the standard approximation nodes x and corresponding function values y and use these
# values to create an BasisChebyshev object with keyword argument y:
x = basis.nodes
y = f(x)
alpha = 2
f = lambda x: np.exp(-alpha * x)
F = BasisChebyshev(10, -1, 1, f=f)
x = np.linspace(-1, 1, 1001)
plt.figure()
plt.plot(x, F(x) - f(x))
plt.title('Figure 6.11 Approximation Error')
plt.show()
'''
# Example p147
r, k, eta, s0 = 0.1, 0.5, 5, 1
T, n = 1, 15
tnodes = BasisChebyshev(n - 1, 0, T).nodes
F = BasisChebyshev(n, 0, T, y=np.ones((2, n)))
def resid(c, tnodes, T, n, F, r, k, eta, s0):
F.c = np.reshape(c[:], (2, n))
(p, s), d = F(tnodes, [[0, 1]])
d[0] -= (r * p + k)
d[1] += p**-eta
(p_0, p_T), (s_0, s_T) = F([0, T])
return np.r_[d.flatten(), s_0 - s0, s_T]
storage = NLP(resid, F.c.flatten(), tnodes, T, n, F, r, k, eta, s0)
c = storage.broyden(print=True)
F.c = np.reshape(c, (2, n))
d11 = lambda x: -cos(x[0]) / exp(x[1]) d12 = lambda x: sin(x[0]) / exp(x[1]) d22 = lambda x: cos(x[0]) / exp(x[1]) # Set the points of approximation interval: # In[3]: a, b = 0, 1 # Choose an approximation scheme. In this case, let us use an 6 by 6 Chebychev approximation scheme: # In[4]: n = 6 # order of approximation basis = BasisChebyshev([n, n], a, b) # write n twice to indicate the two dimensions. # a and b are broadcast. # ### Compute the basis coefficients c. # There are various way to do this: # * One may compute the standard approximation nodes `x` and corresponding interpolation matrix `Phi` and function values `y` and use: # In[5]: x = basis.nodes Phi = basis.Phi(x) # input x may be omitted if evaluating at the basis nodes y = f(x) c = np.linalg.solve(Phi, y)
nrmunif, nrmcheb, conunif, concheb = (np.zeros(nn) for k in range(4))
# Compute approximation errors on refined grid and interpolation matrix condition numbers
for i in range(nn):
# Uniform-node monomial-basis approximant
xnodes = np.linspace(a, b, n[i])
c = np.polyfit(xnodes, runge(xnodes), n[i])
yfit = np.polyval(c, x)
phi = xnodes.reshape(-1, 1)**np.arange(n[i])
errunif[i] = yfit - y
nrmunif[i] = np.log10(norm(yfit - y, np.inf))
conunif[i] = np.log10(cond(phi, 2))
# Chebychev-node Chebychev-basis approximant
yapprox = BasisChebyshev(n[i], a, b, f=runge)
yfit = yapprox(
x) # [0] no longer needed? # index zero is to eliminate one dimension
phi = yapprox.Phi()
errcheb[i] = yfit - y
nrmcheb[i] = np.log10(norm(yfit - y, np.inf))
concheb[i] = np.log10(cond(phi, 2))
# Plot Chebychev- and uniform node polynomial approximation errors
ax2 = fig1.add_subplot(
212,
title="Runge's Function $11^{th}$-Degree\nPolynomial Approximation Error.",
xlabel='x',
ylabel='Error')
ax2.axhline(color='gray', linestyle='--')
ax2.plot(x, errcheb[4], label='Chebychev Nodes')
from demos.setup import np, plt, demo
## FORMULATION
# Model Parameters
alpha = 4.0 # growth function parameter
beta = 1.0 # growth function parameter
gamma = 0.5 # relative risk aversion
kappa = 0.2 # unit cost of harvest
delta = 0.9 # discount factor
# Approximation Structure
n = 8 # number of collocation nodes
smin = 6 # minimum state
smax = 9 # maximum state
basis = BasisChebyshev(n, smin, smax, labels=['available']) # basis functions
# Model Structure
def bounds(s, i, j):
return np.zeros_like(s), s[:] # important!!, pass a copy of s
def reward(s, q, i, j):
f = (q**(1 - gamma)) / (1 - gamma) - kappa * q
fx = q**(-gamma) - kappa
fxx = -gamma * q**(-gamma - 1)
return f, fx, fxx
# In[3]:
D = lambda p: p**(-eta)
# ### Approximation structure
#
# A degree-25 Chebychev basis on the interval [0.5, 3.0] is selected; also, the associated collocation nodes `p` are computed.
# In[4]:
n, a, b = 25, 0.5, 2.0
S = BasisChebyshev(n, a, b, labels=['price'], y=np.ones(n))
p = S.nodes
# In[5]:
S2 = BasisChebyshev(n, a, b, labels=['price'], l=['supply'])
S2.y = np.ones_like(p)
# ### Residual function
#
# Suppose, for example, that
#
# \begin{equation}
return g
# Set degree of approximation and endpoints of approximation interval
a = -1 # left endpoint
b = 1 # right endpoint
n = 10 # order of interpolatioin
# Construct refined uniform grid for error ploting
x = nodeunif(1001, a, b)
# Compute actual and fitted values on grid
y, d, s = f(x) # actual
# Construct and evaluate Chebychev interpolant
C = BasisChebyshev(n, a, b, f=f) # chose basis functions
yc = C(x) # values
dc = C(x, 1) # first derivative
sc = C(x, 2) # second derivative
# Construct and evaluate cubic spline interpolant
S = BasisSpline(n, a, b, f=f) # chose basis functions
ys = S(x) # values
ds = S(x, 1) # first derivative
ss = S(x, 2) # second derivative
# Plot function approximation error
plt.figure()
plt.subplot(2, 1, 1),
plt.plot(x, y - yc[0])
plt.ylabel('Chebychev')
"""
from compecon import BasisChebyshev
import numpy as np
import matplotlib.pyplot as plt
"""
EXAMPLE 1:
Using BasisChebyshev to interpolate a 1-D function with a Chebyshev basis
PROBLEM: Interpolate the function y = f(x) = 1 + sin(2*x) on the domain [0,pi], using 5 Gaussian nodes.
"""
# First, create the function f
f = lambda x: 1 + np.sin(2 * x)
# and the Chebyshev basis B. If the type of nodes is unspecified, Gaussian is computed by default
F = BasisChebyshev(5, 0, np.pi, f=f)
# Interpolation matrix and nodes: Obtain the interpolation matrix Phi, evaluated at the basis nodes.
# The basis nodes are:
xnodes = F.nodes
# and the basis coefficients are
c = F.c
# Next plot the function f and its approximation. To evaluate the function defined by the basis B and coefficients c
# at values xx we use the interpolation method:
# We also plot the residuals, showing the residuals at the interpolating nodes (zero by construction)
xx = np.linspace(F.a, F.b, 121)
f_approx = F(xx)
from demos.setup import np, plt
from compecon import BasisChebyshev
from compecon.tools import nodeunif
from mpl_toolkits.mplot3d import Axes3D
from matplotlib import cm
""" Approximating using the CompEcon toolbox """
'''Univariate approximation'''
# Define function and derivative
f1 = lambda x: np.exp(-2 * x)
d1 = lambda x: -2 * np.exp(-2 * x)
# Fit approximant
n, a, b = 10, -1, 1
f1fit = BasisChebyshev(n, a, b, f=f1)
# Graph approximation error for function and derivative
axopts = {'xlabel': 'x', 'ylabel': 'Error', 'xticks': [-1, 0, 1]}
x = np.linspace(a, b, 1001)
fig = plt.figure(figsize=[12, 6])
ax1 = fig.add_subplot(121, title='Function approximation error', **axopts)
ax1.axhline(linestyle='--', color='gray', linewidth=2)
ax1.plot(f1fit.nodes, np.zeros_like(f1fit.nodes), 'ro', markersize=12)
ax1.plot(x, f1fit(x) - f1(x))
ax2 = fig.add_subplot(122, title='Derivative approximation error', **axopts)
ax2.plot(x, np.zeros_like(x), '--', color='gray', linewidth=2)
ax2.plot(f1fit.nodes, np.zeros_like(f1fit.nodes), 'ro', markersize=12)
ax2.plot(x, f1fit(x, 1) - d1(x))
''' Bivariate Interpolation '''
# Define function
from demos.setup import np, plt, demo
## FORMULATION
# Model Parameters
alpha = 0.2 # relative risk aversion
beta = 0.5 # capital production elasticity
gamma = 0.9 # capital survival rate
sigma = 0.1 # production shock volatility
delta = 0.9 # discount factor
# Approximation Structure
n = 10 # number of collocation nodes
smin = 5 # minimum wealth
smax = 10 # maximum wealth
basis = BasisChebyshev(n, smin, smax, labels=['wealth']) # basis functions
# Continuous State Shock Distribution
m = 5 # number of production shocks
e, w = qnwlogn(m, -sigma**2 / 2,
sigma**2) # production shocks and probabilities
# Model specification
def bounds(s, i, j):
return np.zeros_like(s), 0.99 * s
def reward(s, k, i, j):
sk = s - k
sigma = 0.08 * np.identity(2), # shock covariance matrix
delta = 0.9 # discount factor
# Continuous State Shock Distribution
m = [3, 3] # number of shocks
mu = [0, 0] # means of shocks
[e, w] = qnwnorm(m, mu, sigma) # shocks and probabilities
# Approximation Structure
n = 21 # number of collocation coordinates, per dimension
smin = [-2, -3] # minimum states
smax = [2, 3] # maximum states
basis = BasisChebyshev(n,
smin,
smax,
method='complete',
labels=['GDP gap', 'inflation']) # basis functions
print(basis)
def bounds(s, i, j):
lb = np.zeros_like(s[0])
ub = np.full(lb.shape, np.inf)
return lb, ub
def reward(s, x, i, j):
s = s - sbar # todo make sure they broadcast (:,ones(1,n))'
f = np.zeros_like(s[0])
