def profit(p, x, i, j):
return p * j - kappa * (1 - i) * j
def transition(p, x, i, j, in_, e):
return pbar + gamma * (p - pbar) + e
# Model
model = DPmodel(BasisSpline(n, pmin, pmax, labels=['profit']),
profit,
transition,
i=['idle', 'active'],
j=['idle', 'active'],
discount=delta,
e=e,
w=w,
h=[[0, 0], [1, 1]])
## SOLUTION
# Solve Bellman Equation
S = model.solve(print=True)
# Plot Action-Contingent Value Functions
S['ij'] = pd.Categorical(
S.i.astype(np.ndarray) + '--' + S.j.astype(np.ndarray))
S.ij.cat.categories = [
f = (a0 - b0 + b1 * s) * q - (a1 + b1 / 2) * q**2
fx = (a0 - b0 + b1 * s) - 2 * (a1 + b1 / 2) * q
fxx = -2 * (a1 + b1 / 2) * np.ones_like(s)
return f, fx, fxx
def transition(s, q, i, j, in_, e):
g = s - q
gx = -np.ones_like(s)
gxx = np.zeros_like(s)
return g, gx, gxx
model = DPmodel(basis,
reward,
transition,
bounds,
x=['extracted'],
discount=delta)
# Check Model Derivatives
# dpcheck(model,smax,0)
## SOLUTION
# Solve Bellman Equation
model.solve()
resid, s, v, q = model.residuals()
# Compute and print abandonment point
sstar = (b[0] - a[0]) / b[1]
print('Abandonment Point = %5.2f' % sstar)
n = 150
wmin = 0
wmax = 200
basis = BasisSpline(n, wmin, wmax, labels=['wage'])
# ## SOLUTION
#
# To represent the model, we create an instance of ```DPmodel```. Here, we assume a discout factor of $\delta=0.95$.
# In[7]:
model = DPmodel(basis,
reward,
transition,
i=['unemployed', 'employed'],
j=['idle', 'active'],
discount=0.95,
e=e,
w=w,
q=q)
# Then, we call the method ```solve``` to solve the Bellman equation
# In[8]:
S = model.solve(print=True)
S.head()
# ### Compute and Print Critical Action Wages
# In[9]:
n = 150
wmin = 0
wmax = 200
basis = BasisSpline(n, wmin, wmax, labels=['wage'])
# ## SOLUTION
#
# To represent the model, we create an instance of ```DPmodel```. Here, we assume a discout factor of $\delta=0.95$.
# In[7]:
model = DPmodel(basis, reward, transition,
i =['unemployed', 'employed'],
j = ['idle', 'active'],
discount=0.95, e=e, w=w, q=q)
# Then, we call the method ```solve``` to solve the Bellman equation
# In[8]:
S = model.solve(print=True)
S.head()
# ### Compute and Print Critical Action Wages
# In[9]:
def transition(s, k, i, j, in_, e):
g = k ** beta
gx = beta * k **(beta - 1)
gxx = (beta - 1) * beta * k ** (beta - 2)
return g, gx, gxx
sigma = 0.1
m=5
e,w = qnwnorm(m, -sigma**2 / 2, sigma**2)
growth_model = DPmodel(basis, reward, transition, bounds,
x=['Investment'],
discount=delta)
# ======== Steady-State
sstar = (beta * delta) ** (beta / (1 - beta)) # steady-state wealth
kstar = beta * delta * sstar # steady-state capital investment
vstar = np.log(sstar - kstar) / (1 - delta) # steady-state value
pstar = 1 / (sstar * (1 - beta * delta)) # steady-state shadow price
b = 1 / (1 - delta * beta)
# =========== Compute Analytic Solution at Collocation Nodes
vtrue = vstar + b * (np.log(snodes) - np.log(sstar))
ktrue = delta * beta * snodes
(q - s)**2)
fx = p[i] - beta[0] - beta[1] * q - alpha * (q - s)
fxx = (-beta[1] - alpha) * np.ones_like(s)
return f, fx, fxx
def transition(s, q, i, j, in_, e):
return q.copy(), np.ones_like(q), np.zeros_like(q)
# Model Structure
model = DPmodel(basis,
reward,
transition,
bounds,
i=['Low price', 'Average price', 'High Price'],
x=['Current production'],
discount=delta,
q=q)
# Check Model Derivatives
# dpcheck(model,sstar,sstar)
## SOLUTION
# Solve Bellman Equation
model.solve()
resid, s, v, x = model.solution()
"""
def reward(s, q, i, j):
f = p[i] * q - (beta[0] * q + 0.5 * beta[1] * q ** 2) - 0.5 * alpha * ((q - s) ** 2)
fx = p[i] - beta[0] - beta[1] * q - alpha * (q - s)
fxx = (-beta[1] - alpha) * np.ones_like(s)
return f, fx, fxx
def transition(s, q ,i, j, in_, e):
return q.copy(), np.ones_like(q), np.zeros_like(q)
# Model Structure
model = DPmodel(basis, reward, transition, bounds,
i=['Low price', 'Average price', 'High Price'],
x=['Current production'],
discount=delta, q=q)
# Check Model Derivatives
# dpcheck(model,sstar,sstar)
## SOLUTION
# Solve Bellman Equation
model.solve()
resid, s, v, x = model.solution()
"""
dstates = ['idle', 'active']
dactions = ['close', 'open']
# The Bellman equation is represeted by a ```DPmodel``` object, where we assume a discount factor of $\delta=0.9$. Notice that the discrete state transition is deterministic, with transition matrix
# \begin{equation}
# h=\begin{bmatrix}0&0\\1&1\end{bmatrix}
# \end{equation}
# In[7]:
model = DPmodel(basis,
profit,
transition,
i=dstates,
j=dactions,
discount=0.9,
e=e,
w=w,
h=[[0, 0], [1, 1]])
# ## SOLUTION
#
# To solve the model, we simply call the ```solve``` method on the ```model``` object.
# In[8]:
S = model.solve(print=True)
S.head()
# ### Plot Action-Contingent Value Functions
dstates = ['idle', 'active']
dactions = ['close', 'open']
# The Bellman equation is represeted by a ```DPmodel``` object, where we assume a discount factor of $\delta=0.9$. Notice that the discrete state transition is deterministic, with transition matrix
# \begin{equation}
# h=\begin{bmatrix}0&0\\1&1\end{bmatrix}
# \end{equation}
# In[7]:
model = DPmodel(basis,
profit, transition,
i=dstates,
j=dactions,
discount=0.9, e=e, w=w,
h=[[0, 0], [1, 1]])
# ## SOLUTION
#
# To solve the model, we simply call the ```solve``` method on the ```model``` object.
# In[8]:
S = model.solve(print=True)
S.head()
f = (q**(1 - gamma)) / (1 - gamma) - kappa * q
fx = q**(-gamma) - kappa
fxx = -gamma * q**(-gamma - 1)
return f, fx, fxx
def transition(s, q, i, j, in_, e):
g = alpha * (s - q) - 0.5 * beta * (s - q)**2
gx = -alpha + beta * (s - q)
gxx = -beta * np.zeros_like(s)
return g, gx, gxx
model = DPmodel(basis,
reward,
transition,
bounds,
x=['harvest'],
discount=delta)
# Steady-State
sstar = (alpha**2 - 1 / delta**2) / (2 * beta) # steady-state stock
qstar = sstar - (delta * alpha - 1) / (delta * beta) # steady-state action
# Print Steady-States
print('Steady States')
print('\tStock = %5.2f' % sstar)
print('\tHarvest = %5.2f' % qstar)
# Check Model Derivatives
# dpcheck(model,sstar,qstar)
# On the other hand, the age of the asset is deterministic: if it is replaced now it will be new ($a=0$) next period; otherwise its age will be $a+1$ next period if current age is $a$.
# In[9]:
h = np.zeros((2, A), int)
h[0, :-1] = np.arange(1, A)
# ## Model Structure
# In[10]:
model = DPmodel(basis,
profit,
transition,
i=dstates,
j=options,
discount=delta,
e=e,
w=w,
h=h)
# ### SOLUTION
# The ```solve``` method returns a pandas ```DataFrame```.
# In[11]:
S = model.solve()
S.head()
# ## Analysis
#
fx = np.zeros_like(x)
fxx = np.zeros_like(x)
return f, fx, fxx
def transition(s, x, i, j, in_, e):
g = alpha + beta @ s + gamma @ x + e
gx = np.tile(gamma, (1, x.size))
gxx = np.zeros_like(s)
return g, gx, gxx
# Model Structure
bank = DPmodel(basis, reward, transition, bounds,
x=['interest'], discount=delta, e=e, w=w)
# Solve Bellman Equation
#sol = bank.solve()
# resid, s, v, x = bank.residuals(nr=5) # fixme takes huge amount of memory to deal with vmax over the refined grid!
bank.check_derivatives()
"""
''' this is a temp fix '''
else:
return s + gamma * (smax - s)
# ### Model Structure
# The value of the stand, given that it contains $s$ units of biomass at the beginning of the period, satisfies the Bellman equation
#
# \begin{equation} V(s) = \max\left\{(ps-\kappa) + \delta V(\gamma s_{\max}),\quad \delta V[s+\gamma(s_{\max}-s)] \right\} \end{equation}
#
# To solve and simulate this model, use the CompEcon class ```DPmodel```.
# In[7]:
model = DPmodel(basis, reward, transition,
discount=delta,
j=options)
S = model.solve()
# The ```solve``` method retuns a pandas ```DataFrame```, which can easily be used to make plots. To see the first 10 entries of `S`, we use the `head` method
# In[8]:
S.head()
# ## Analysis
def reward(s, k, i, j):
sk = s - k
f = (sk ** (1 - alpha)) / (1 - alpha)
fx = - sk ** -alpha
fxx = -alpha * sk ** (-alpha - 1)
return f, fx, fxx
def transition(s, k, i, j, in_, e):
g = gamma * k + e * k ** beta
gx = gamma + beta * e * k **(beta - 1)
gxx = (beta - 1) * beta * e * k ** (beta - 2)
return g, gx, gxx
growth = DPmodel(basis, reward, transition, bounds,
x=['investment'], discount=delta, e=e, w=w)
# Deterministic Steady-State
kstar = ((1 - delta * gamma) / (delta * beta)) ** (1 / (beta - 1)) # determistic steady-state capital investment
sstar = gamma * kstar + kstar ** beta # deterministic steady-state wealth
# Check Model Derivatives
# dpcheck(model,sstar,kstar)
## SOLUTION
# Solve Bellman Equation
growth.solve()
resid, s, v, k = growth.solution()
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
def transition(s, x, i, j, in_, e):
g = s - x + e
gx = -np.ones_like(s)
gxx = np.zeros_like(s)
return g, gx, gxx
# Model object
model = DPmodel(basis, reward, transition, bounds,
x=['released'], discount=delta, e=e, w=w)
# Deterministic Steady-State
xstar = 1 # deterministic steady-state action
sstar = 1 + (a[0] *(1-delta)/b[0]) ** (1 / b[1]) # deterministic steady-state stock
# Check Model Derivatives
# dpcheck(model,sstar,xstar)
## SOLUTION
# Compute Linear-Quadratic Approximation at Collocation Nodes
model.lqapprox(sstar, xstar)
# Solve Bellman Equation
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
def transition(s, q, i, j, in_, e):
g = alpha * (s - q) - 0.5 * beta * (s - q) ** 2
gx = -alpha + beta * (s - q)
gxx = -beta* np.zeros_like(s)
return g, gx, gxx
model = DPmodel(basis, reward, transition, bounds,
x=['harvest'], discount=delta)
# Steady-State
sstar = (alpha ** 2 - 1 / delta ** 2) / (2 * beta) # steady-state stock
qstar = sstar - (delta * alpha - 1) / (delta * beta) # steady-state action
# Print Steady-States
print('Steady States')
print('\tStock = %5.2f' % sstar)
print('\tHarvest = %5.2f' % qstar)
# Check Model Derivatives
# dpcheck(model,sstar,qstar)
def reward(s, x, i, j):
return (price * s - kappa) * j
def transition(s, x, i, j, in_, e):
if j:
return np.full_like(s, gamma * smax)
else:
return s + gamma * (smax - s)
model = DPmodel(basis,
reward,
transition,
discount=delta,
j=['keep', 'clear cut'])
model.solve()
resid, sr, vr = model.residuals()
# Plot Action-Contingent Value Functions
demo.figure('Action-Contingent Value Functions', 'Biomass', 'Value of Stand')
plt.plot(sr, vr.T)
plt.legend(model.labels.j, loc='upper center')
# Compute and Plot Optimal Harvesting Stock Level
scrit = np.interp(0.0, vr[1] - vr[0], sr)
vcrit = np.interp(scrit, sr, vr[0])
# On the other hand, the age of the asset is deterministic: if it is replaced now it will be new ($a=0$) next period; otherwise its age will be $a+1$ next period if current age is $a$.
# In[9]:
h = np.zeros((2, A),int)
h[0, :-1] = np.arange(1, A)
# ## Model Structure
# In[10]:
model = DPmodel(basis, profit, transition,
i=dstates,
j=options,
discount=delta, e=e, w=w, h=h)
# ### SOLUTION
# The ```solve``` method returns a pandas ```DataFrame```.
# In[11]:
S = model.solve()
S.head()
# ## Analysis
#
# Model Structure
def profit(p, x, i, j):
a = i + 1
if j or a == A:
return p * 50 - kappa
else:
return p * (alpha[0] + alpha[1] * a + alpha[2] * a ** 2 )
def transition(p, x, i, j, in_, e):
return pbar + gamma * (p - pbar) + e
model = DPmodel(basis, profit, transition,
# i=['a={}'.format(a+1) for a in range(A)],
i=[a + 1 for a in range(A)],
j=['keep', 'replace'],
discount=delta, e=e, w=w, h=h)
# SOLUTION
S = model.solve()
pr = np.linspace(pmin, pmax, 10 * n)
# Plot Action-Contingent Value Functions
pp = demo.qplot('unit profit', 'value_j', 'i',
data=S,
main='Action-Contingent Value Functions',
xlab='Net Unit Profit',
return f, fx, fxx
def transition(s, x, i, j, in_, e):
g = s - x + e
gx = -np.ones_like(s)
gxx = np.zeros_like(s)
return g, gx, gxx
# Model object
model = DPmodel(basis,
reward,
transition,
bounds,
x=['released'],
discount=delta,
e=e,
w=w)
# Deterministic Steady-State
xstar = 1 # deterministic steady-state action
sstar = 1 + (a[0] * (1 - delta) / b[0])**(1 / b[1]
) # deterministic steady-state stock
# Check Model Derivatives
# dpcheck(model,sstar,xstar)
## SOLUTION
# Compute Linear-Quadratic Approximation at Collocation Nodes
fx = -sk**-alpha
fxx = -alpha * sk**(-alpha - 1)
return f, fx, fxx
def transition(s, k, i, j, in_, e):
g = gamma * k + e * k**beta
gx = gamma + beta * e * k**(beta - 1)
gxx = (beta - 1) * beta * e * k**(beta - 2)
return g, gx, gxx
growth = DPmodel(basis,
reward,
transition,
bounds,
x=['investment'],
discount=delta,
e=e,
w=w)
# Deterministic Steady-State
kstar = ((1 - delta * gamma) / (delta * beta))**(
1 / (beta - 1)) # determistic steady-state capital investment
sstar = gamma * kstar + kstar**beta # deterministic steady-state wealth
# Check Model Derivatives
# dpcheck(model,sstar,kstar)
## SOLUTION
# Solve Bellman Equation
return f, fx, fxx
def transition(s, x, i, j, in_, e):
g = alpha + beta @ s + gamma @ x + e
gx = np.tile(gamma, (1, x.size))
gxx = np.zeros_like(s)
return g, gx, gxx
# Model Structure
bank = DPmodel(basis,
reward,
transition,
bounds,
x=['interest'],
discount=delta,
e=e,
w=w)
# Solve Bellman Equation
#sol = bank.solve()
# resid, s, v, x = bank.residuals(nr=5) # fixme takes huge amount of memory to deal with vmax over the refined grid!
bank.check_derivatives()
"""
''' this is a temp fix '''
