def simulated_problem(request):
"""Configure and solve a simulated problem, either with or without supply-side data."""
name, supply = request.param
simulation, product_data = request.getfixturevalue(f'{name}_simulation')
product_formulations = simulation.product_formulations
if not supply:
product_data = np.lib.recfunctions.drop_fields(product_data, 'supply_instruments')
product_formulations = product_formulations[:2]
problem = Problem(product_formulations, product_data, simulation.agent_formulation, simulation.agent_data)
results = problem.solve(simulation.sigma, simulation.pi, steps=1, linear_costs=simulation.linear_costs)
return simulation, product_data, problem, results
def test_fixed_effects(simulated_problem: SimulatedProblemFixture, ED: int,
ES: int,
absorb_method: Optional[Union[str, Iteration]]) -> None:
"""Test that absorbing different numbers of demand- and supply-side fixed effects gives rise to essentially
identical first-stage results as does including indicator variables. Also test that optimal instruments results
and marginal costs remain unchanged.
"""
simulation, simulation_results, problem, solve_options, problem_results = simulated_problem
# there cannot be supply-side fixed effects if there isn't a supply side
if problem.K3 == 0:
ES = 0
if ED == ES == 0:
return
# make product data mutable
product_data = {
k: simulation_results.product_data[k]
for k in simulation_results.product_data.dtype.names
}
# remove constants and delete associated elements in the initial beta
solve_options = solve_options.copy()
product_formulations = list(problem.product_formulations).copy()
if ED > 0:
assert product_formulations[0] is not None
constant_indices = [
i for i, e in enumerate(product_formulations[0]._expressions)
if not e.free_symbols
]
solve_options['beta'] = np.delete(solve_options['beta'],
constant_indices,
axis=0)
product_formulations[0] = Formulation(
f'{product_formulations[0]._formula} - 1')
if ES > 0:
assert product_formulations[2] is not None
product_formulations[2] = Formulation(
f'{product_formulations[2]._formula} - 1')
# add fixed effect IDs to the data
demand_id_names: List[str] = []
supply_id_names: List[str] = []
state = np.random.RandomState(seed=0)
for side, count, names in [('demand', ED, demand_id_names),
('supply', ES, supply_id_names)]:
for index in range(count):
name = f'{side}_ids{index}'
ids = state.choice(['a', 'b', 'c'], problem.N)
product_data[name] = ids
names.append(name)
# split apart excluded demand-side instruments so they can be included in formulations
instrument_names: List[str] = []
for index, instrument in enumerate(product_data['demand_instruments'].T):
name = f'demand_instrument{index}'
product_data[name] = instrument
instrument_names.append(name)
# build formulas for the IDs
demand_id_formula = ' + '.join(demand_id_names)
supply_id_formula = ' + '.join(supply_id_names)
# solve the first stage of a problem in which the fixed effects are absorbed
solve_options1 = solve_options.copy()
product_formulations1 = product_formulations.copy()
if ED > 0:
assert product_formulations[0] is not None
product_formulations1[0] = Formulation(
product_formulations[0]._formula, demand_id_formula, absorb_method)
if ES > 0:
assert product_formulations[2] is not None
product_formulations1[2] = Formulation(
product_formulations[2]._formula, supply_id_formula, absorb_method)
problem1 = Problem(product_formulations1, product_data,
problem.agent_formulation, simulation.agent_data)
problem_results1 = problem1.solve(**solve_options1)
# solve the first stage of a problem in which fixed effects are included as indicator variables
solve_options2 = solve_options.copy()
product_formulations2 = product_formulations.copy()
if ED > 0:
assert product_formulations[0] is not None
product_formulations2[0] = Formulation(
f'{product_formulations[0]._formula} + {demand_id_formula}')
if ES > 0:
assert product_formulations[2] is not None
product_formulations2[2] = Formulation(
f'{product_formulations[2]._formula} + {supply_id_formula}')
problem2 = Problem(product_formulations2, product_data,
problem.agent_formulation, simulation.agent_data)
solve_options2['beta'] = np.r_[solve_options2['beta'],
np.full((problem2.K1 -
solve_options2['beta'].size,
1), np.nan)]
problem_results2 = problem2.solve(**solve_options2)
# solve the first stage of a problem in which some fixed effects are absorbed and some are included as indicators
if ED == ES == 0:
problem_results3 = problem_results2
else:
solve_options3 = solve_options.copy()
product_formulations3 = product_formulations.copy()
if ED > 0:
assert product_formulations[0] is not None
product_formulations3[0] = Formulation(
f'{product_formulations[0]._formula} + {demand_id_names[0]}',
' + '.join(demand_id_names[1:]) or None)
if ES > 0:
assert product_formulations[2] is not None
product_formulations3[2] = Formulation(
f'{product_formulations[2]._formula} + {supply_id_names[0]}',
' + '.join(supply_id_names[1:]) or None)
problem3 = Problem(product_formulations3, product_data,
problem.agent_formulation, simulation.agent_data)
solve_options3['beta'] = np.r_[solve_options3['beta'],
np.full((problem3.K1 -
solve_options3['beta'].size,
1), np.nan)]
problem_results3 = problem3.solve(**solve_options3)
# compute optimal instruments (use only two draws for speed; accuracy is not a concern here)
Z_results1 = problem_results1.compute_optimal_instruments(draws=2, seed=0)
Z_results2 = problem_results2.compute_optimal_instruments(draws=2, seed=0)
Z_results3 = problem_results3.compute_optimal_instruments(draws=2, seed=0)
# compute marginal costs
costs1 = problem_results1.compute_costs()
costs2 = problem_results2.compute_costs()
costs3 = problem_results3.compute_costs()
# choose tolerances (be more flexible with iterative de-meaning)
atol = 1e-8
rtol = 1e-5
if ED > 2 or ES > 2 or isinstance(absorb_method, Iteration):
atol *= 10
rtol *= 10
# test that all problem results expected to be identical are essentially identical
problem_results_keys = [
'theta', 'sigma', 'pi', 'rho', 'beta', 'gamma', 'sigma_se', 'pi_se',
'rho_se', 'beta_se', 'gamma_se', 'delta', 'tilde_costs', 'xi', 'omega',
'xi_by_theta_jacobian', 'omega_by_theta_jacobian', 'objective',
'gradient', 'gradient_norm', 'sigma_gradient', 'pi_gradient',
'rho_gradient', 'beta_gradient', 'gamma_gradient'
]
for key in problem_results_keys:
result1 = getattr(problem_results1, key)
result2 = getattr(problem_results2, key)
result3 = getattr(problem_results3, key)
if key in {
'beta', 'gamma', 'beta_se', 'gamma_se', 'beta_gradient',
'gamma_gradient'
}:
result2 = result2[:result1.size]
result3 = result3[:result1.size]
np.testing.assert_allclose(result1,
result2,
atol=atol,
rtol=rtol,
err_msg=key)
np.testing.assert_allclose(result1,
result3,
atol=atol,
rtol=rtol,
err_msg=key)
# test that all optimal instrument results expected to be identical are essentially identical
Z_results_keys = [
'demand_instruments', 'supply_instruments',
'inverse_covariance_matrix', 'expected_xi_by_theta_jacobian',
'expected_omega_by_theta_jacobian'
]
for key in Z_results_keys:
result1 = getattr(Z_results1, key)
result2 = getattr(Z_results2, key)
result3 = getattr(Z_results3, key)
np.testing.assert_allclose(result1,
result2,
atol=atol,
rtol=rtol,
err_msg=key)
np.testing.assert_allclose(result1,
result3,
atol=atol,
rtol=rtol,
err_msg=key)
# test that marginal costs are essentially identical
np.testing.assert_allclose(costs1, costs2, atol=atol, rtol=rtol)
np.testing.assert_allclose(costs1, costs3, atol=atol, rtol=rtol)
def test_fixed_effects(simulated_problem, ED, ES):
"""Test that absorbing different numbers of demand- and supply-side fixed effects gives rise to essentially
identical first-stage results as including indicator variables. Also test that results that should be equal when
there aren't any fixed effects are indeed equal.
"""
simulation, product_data, problem, results = simulated_problem
# test that results that should be equal when there aren't any fixed effects are indeed equal
for key in [
'delta', 'tilde_costs', 'xi', 'omega', 'xi_jacobian',
'omega_jacobian'
]:
result = getattr(results, key)
true_result = getattr(results, f'true_{key}')
assert (result is not None) == (true_result is not None)
if result is not None:
np.testing.assert_allclose(result,
true_result,
atol=1e-14,
rtol=0,
err_msg=key)
# there cannot be supply-side fixed effects if there isn't a supply side
if problem.K3 == 0:
ES = 0
if ED == ES == 0:
return
# add fixed effect IDs to the data
np.random.seed(0)
demand_names = []
supply_names = []
product_data = {k: product_data[k] for k in product_data.dtype.names}
for side, count, names in [('demand', ED, demand_names),
('supply', ES, supply_names)]:
for index in range(count):
name = f'{side}_ids{index}'
ids = np.random.choice(['a', 'b', 'c'],
product_data['market_ids'].size,
[0.7, 0.2, 0.1])
product_data[name] = ids
names.append(name)
# remove constants
product_formulations = list(problem.product_formulations).copy()
if ED > 0:
product_formulations[0] = Formulation(
f'{product_formulations[0]._formula} - 1')
product_data['demand_instruments'] = product_data[
'demand_instruments'][:, 1:]
if ES > 0:
product_formulations[2] = Formulation(
f'{product_formulations[2]._formula} - 1')
product_data['supply_instruments'] = product_data[
'supply_instruments'][:, 1:]
# build formulas for the IDs
demand_formula = ' + '.join(demand_names)
supply_formula = ' + '.join(supply_names)
# solve the first stage of a problem in which the fixed effects are absorbed
product_formulations1 = product_formulations.copy()
if ED > 0:
product_formulations1[0] = Formulation(
product_formulations[0]._formula, demand_formula)
if ES > 0:
product_formulations1[2] = Formulation(
product_formulations[2]._formula, supply_formula)
problem1 = Problem(product_formulations1, product_data,
problem.agent_formulation, simulation.agent_data)
results1 = problem1.solve(simulation.sigma, simulation.pi, steps=1)
# solve the first stage of a problem in which fixed effects are included as indicator variables
product_data2 = product_data.copy()
product_formulations2 = product_formulations.copy()
if ED > 0:
demand_indicators = build_matrix(Formulation(demand_formula),
product_data)
product_data2['demand_instruments'] = np.c_[
product_data['demand_instruments'], demand_indicators]
product_formulations2[0] = Formulation(
f'{product_formulations[0]._formula} + {demand_formula}')
if ES > 0:
supply_indicators = build_matrix(Formulation(supply_formula),
product_data)
product_data2['supply_instruments'] = np.c_[
product_data['supply_instruments'], supply_indicators]
product_formulations2[2] = Formulation(
f'{product_formulations[2]._formula} + {supply_formula}')
problem2 = Problem(product_formulations2, product_data2,
problem.agent_formulation, simulation.agent_data)
results2 = problem2.solve(simulation.sigma, simulation.pi, steps=1)
# test that all arrays expected to be identical are identical
keys = [
'theta', 'sigma', 'pi', 'beta', 'gamma', 'sigma_se', 'pi_se',
'beta_se', 'gamma_se', 'true_delta', 'true_tilde_costs', 'true_xi',
'true_omega', 'true_xi_jacobian', 'true_omega_jacobian', 'objective',
'gradient', 'sigma_gradient', 'pi_gradient'
]
for key in keys:
result1 = getattr(results1, key)
if result1 is not None:
result2 = getattr(results2, key)
if 'beta' in key or 'gamma' in key:
result2 = result2[:result1.size]
np.testing.assert_allclose(result1,
result2,
atol=1e-8,
rtol=1e-5,
err_msg=key)