def __init__(self, solution_next, IncomeDstn, PrefShkDstn, LivPrb, DiscFac,
CRRA, Rfree, PermGroFac, BoroCnstArt, aXtraGrid, vFuncBool,
CubicBool):
'''
Constructor for a new solver for problems with risky income, a different
interest rate on borrowing and saving, and multiplicative shocks to utility.
Parameters
----------
solution_next : ConsumerSolution
The solution to the succeeding one period problem.
IncomeDstn : [np.array]
A list containing three arrays of floats, representing a discrete
approximation to the income process between the period being solved
and the one immediately following (in solution_next). Order: event
probabilities, permanent shocks, transitory shocks.
PrefShkDstn : [np.array]
Discrete distribution of the multiplicative utility shifter. Order:
probabilities, preference shocks.
LivPrb : float
Survival probability; likelihood of being alive at the beginning of
the succeeding period.
DiscFac : float
Intertemporal discount factor for future utility.
CRRA : float
Coefficient of relative risk aversion.
Rfree : float
Risk free interest factor on end-of-period assets.
PermGroGac : float
Expected permanent income growth factor at the end of this period.
BoroCnstArt: float or None
Borrowing constraint for the minimum allowable assets to end the
period with. If it is less than the natural borrowing constraint,
then it is irrelevant; BoroCnstArt=None indicates no artificial bor-
rowing constraint.
aXtraGrid: np.array
Array of "extra" end-of-period asset values-- assets above the
absolute minimum acceptable level.
vFuncBool: boolean
An indicator for whether the value function should be computed and
included in the reported solution.
CubicBool: boolean
An indicator for whether the solver should use cubic or linear inter-
polation.
Returns
-------
None
'''
ConsIndShockSolver.__init__(self, solution_next, IncomeDstn, LivPrb,
DiscFac, CRRA, Rfree, PermGroFac,
BoroCnstArt, aXtraGrid, vFuncBool,
CubicBool)
self.PrefShkPrbs = PrefShkDstn[0]
self.PrefShkVals = PrefShkDstn[1]
def __init__(
self,
solution_next,
IncShkDstn,
PrefShkDstn,
LivPrb,
DiscFac,
CRRA,
Rfree,
PermGroFac,
BoroCnstArt,
aXtraGrid,
vFuncBool,
CubicBool,
):
"""
Constructor for a new solver for problems with risky income, a different
interest rate on borrowing and saving, and multiplicative shocks to utility.
Returns
-------
None
"""
ConsIndShockSolver.__init__(
self,
solution_next,
IncShkDstn,
LivPrb,
DiscFac,
CRRA,
Rfree,
PermGroFac,
BoroCnstArt,
aXtraGrid,
vFuncBool,
CubicBool,
)
self.PrefShkPrbs = PrefShkDstn.pmf
self.PrefShkVals = PrefShkDstn.X
def calc_EndOfPrdvPcond(self):
"""
Calculate end-of-period marginal value of assets at each point in aNrmNow
conditional on a particular state occuring in the next period.
Parameters
----------
None
Returns
-------
EndOfPrdvP : np.array
A 1D array of end-of-period marginal value of assets.
"""
EndOfPrdvPcond = ConsIndShockSolver.calc_EndOfPrdvP(self)
return EndOfPrdvPcond
def __init__(self,solution_next,IncomeDstn_list,LivPrb,DiscFac,
CRRA,Rfree_list,PermGroFac_list,MrkvArray,BoroCnstArt,
aXtraGrid,vFuncBool,CubicBool):
'''
Constructor for a new solver for a one period problem with risky income
and transitions between discrete Markov states. In the descriptions below,
N is the number of discrete states.
Parameters
----------
solution_next : ConsumerSolution
The solution to next period's one period problem.
IncomeDstn_list : [[np.array]]
A length N list of income distributions in each succeeding Markov
state. Each income distribution contains three arrays of floats,
representing a discrete approximation to the income process at the
beginning of the succeeding period. Order: event probabilities,
permanent shocks, transitory shocks.
LivPrb : np.array
Survival probability; likelihood of being alive at the beginning of
the succeeding period for each Markov state.
DiscFac : float
Intertemporal discount factor for future utility.
CRRA : float
Coefficient of relative risk aversion.
Rfree_list : np.array
Risk free interest factor on end-of-period assets for each Markov
state in the succeeding period.
PermGroFac_list : np.array
Expected permanent income growth factor at the end of this period
for each Markov state in the succeeding period.
MrkvArray : np.array
An NxN array representing a Markov transition matrix between discrete
states. The i,j-th element of MrkvArray is the probability of
moving from state i in period t to state j in period t+1.
BoroCnstArt: float or None
Borrowing constraint for the minimum allowable assets to end the
period with. If it is less than the natural borrowing constraint,
then it is irrelevant; BoroCnstArt=None indicates no artificial bor-
rowing constraint.
aXtraGrid: np.array
Array of "extra" end-of-period asset values-- assets above the
absolute minimum acceptable level.
vFuncBool: boolean
An indicator for whether the value function should be computed and
included in the reported solution.
CubicBool: boolean
An indicator for whether the solver should use cubic or linear inter-
polation.
Returns
-------
None
'''
# Set basic attributes of the problem
ConsIndShockSolver.assignParameters(self,solution_next,np.nan,LivPrb,DiscFac,CRRA,np.nan,
np.nan,BoroCnstArt,aXtraGrid,vFuncBool,CubicBool)
self.defUtilityFuncs()
# Set additional attributes specific to the Markov model
self.IncomeDstn_list = IncomeDstn_list
self.Rfree_list = Rfree_list
self.PermGroFac_list = PermGroFac_list
self.MrkvArray = MrkvArray
self.StateCount = MrkvArray.shape[0]