def test_omega_errors(self):
from dolo.misc.yamlfile import yaml_import
from dolo.numeric.global_solve import global_solve
model = yaml_import('examples/global_models/rbc.yaml')
from dolo.compiler.converter import GModel_fg_from_fga
model = GModel_fg_from_fga( model )
from dolo.numeric.perturbations_to_states import approximate_controls
dr = approximate_controls(model)
dr_global = global_solve(model, smolyak_order=4, verbose=False, pert_order=1, method='newton', polish=True)
sigma = model.calibration['covariances']
# cmodel = CModel(model)
model.sigma = sigma
s_0 = dr.S_bar
from dolo.numeric.error_measures import omega
res = omega( dr, model, dr_global.bounds, [10,10], time_weight=[50, 0.96,s_0])
def solve_something(name, args):
from dolo.misc.yamlfile import yaml_import
from dolo.numeric.global_solve import global_solve
model = yaml_import('examples/global_models/{}.yaml'.format(name))
dr = global_solve(model, **args)
return dr
def test_omega_errors(self):
from dolo.misc.yamlfile import yaml_import
from dolo.numeric.global_solve import global_solve
model = yaml_import('examples/global_models/rbc.yaml')
from dolo.compiler.converter import GModel_fg_from_fga
model = GModel_fg_from_fga(model)
from dolo.numeric.perturbations_to_states import approximate_controls
dr = approximate_controls(model)
dr_global = global_solve(model,
smolyak_order=4,
verbose=False,
pert_order=1,
method='newton',
polish=True)
sigma = model.calibration['covariances']
# cmodel = CModel(model)
model.sigma = sigma
s_0 = dr.S_bar
from dolo.numeric.error_measures import omega
res = omega(dr,
model,
dr_global.bounds, [10, 10],
time_weight=[50, 0.96, s_0])
def test_denhaan_errors(self):
from dolo.misc.yamlfile import yaml_import
from dolo.numeric.global_solve import global_solve
model = yaml_import('examples/global_models/rbc.yaml')
from dolo.compiler.compiler_global import CModel
from dolo.numeric.perturbations_to_states import approximate_controls
dr = approximate_controls(model)
dr_global = global_solve(model, smolyak_order=4, verbose=False, pert_order=1, method='newton', polish=True)
sigma = model.calibration['covariances']
model.sigma = sigma
s_0 = dr.S_bar
from dolo.numeric.error_measures import denhaanerrors
[error_1, error_2] = denhaanerrors(model, dr, s_0)
[error_1_glob, error_2_glob] = denhaanerrors(model, dr_global, s_0)
print(error_1)
print(error_1_glob)
assert( max(error_1_glob) < 10-7) # errors with solyak colocations at order 4 are very small
assert( max(error_2_glob) < 10-7)
def solve_something(name, args):
from dolo.misc.yamlfile import yaml_import
from dolo.numeric.global_solve import global_solve
model = yaml_import('examples/global_models/{}.yaml'.format(name))
dr = global_solve(model, **args)
return dr
def test_denhaan_errors(self):
from dolo.misc.yamlfile import yaml_import
from dolo.numeric.global_solve import global_solve
model = yaml_import('examples/global_models/rbc.yaml')
from dolo.compiler.compiler_global import CModel
from dolo.numeric.perturbations_to_states import approximate_controls
dr = approximate_controls(model)
dr_global = global_solve(model,
smolyak_order=4,
verbose=False,
pert_order=1,
method='newton',
polish=True)
sigma = model.calibration['covariances']
model.sigma = sigma
s_0 = dr.S_bar
from dolo.numeric.error_measures import denhaanerrors
[error_1, error_2] = denhaanerrors(model, dr, s_0)
[error_1_glob, error_2_glob] = denhaanerrors(model, dr_global, s_0)
print(error_1)
print(error_1_glob)
assert (max(error_1_glob) < 10 - 7
) # errors with solyak colocations at order 4 are very small
assert (max(error_2_glob) < 10 - 7)
from dolo.numeric.perturbations_to_states import approximate_controls
model = yaml_import('../../../examples/global_models/rbc_fgah.yaml')
dr_pert = approximate_controls(model, order=1, substitute_auxiliary=True)
print(dr_pert.X_bar)
from dolo.numeric.interpolation.smolyak import SmolyakGrid
from dolo.numeric.global_solve import global_solve
dr_smol = global_solve(model, smolyak_order=2, maxit=2, polish=True)
smin = dr_smol.bounds[0,:]
smax = dr_smol.bounds[1,:]
dr_x = SmolyakGrid( smin, smax, 3)
dr_h = SmolyakGrid( smin, smax, 3)
grid = dr_x.grid
xh_init = dr_pert(dr_x.grid)
n_x = len(model['variables_groups']['controls'])
from dolo.numeric.global_solve import global_solve
model = yaml_import( 'examples/global_models/rbc_fgah.yaml')
model_bis = yaml_import( 'examples/global_models/rbc.yaml')
print(model)
print(model)
dr_pert = approximate_controls(model_bis)
cm = CModel_fgah(model)
cm_fg = cm.as_type('fg')
import time
t = time.time()
for n in range(10):
global_solve(model_bis, initial_dr=dr_pert, polish=False, interp_type='multilinear')
s = time.time()
print('Elapsed : {}'.format(s-t) )
# t = time.time()
# for n in range(10):
# global_solve_new(cm, initial_dr=dr_pert, polish=False, interp_type='multilinear')
# s = time.time()
# print('Elapsed : {}'.format(s-t) )
import copy
from numpy import concatenate
calibration = copy.copy(self.parent.calibration)
# calibration['controls'] = concatenate( [calibration['controls'], calibration['auxiliary']] )
self.calibration = calibration
def get_calibration(self, name):
return self.parent.get_calibration(name)
@property
def x_bounds(self):
return self.parent.x_bounds
if __name__ == "__main__":
from dolo import *
model = yaml_import("examples/global_models/rbc.yaml")
model_fg = GModel_fg_from_fga(model)
print( model_fg.get_calibration(['alpha','rho']) )
model_fg.set_calibration(alpha=0.1)
print( model_fg.get_calibration(['alpha','rho']) )
print(model_fg.x_bounds)
from dolo.numeric.global_solve import global_solve
dr = global_solve(model_fg, verbose=True)
print(dr)
from dolo import yaml_import
from dolo.numeric.perturbations_to_states import approximate_controls
model = yaml_import('../../../examples/global_models/rbc_fgah.yaml')
dr_pert = approximate_controls(model, order=1, substitute_auxiliary=True)
print(dr_pert.X_bar)
from dolo.numeric.interpolation.smolyak import SmolyakGrid
from dolo.numeric.global_solve import global_solve
dr_smol = global_solve(model, smolyak_order=2, maxit=2, polish=True)
smin = dr_smol.bounds[0, :]
smax = dr_smol.bounds[1, :]
dr_x = SmolyakGrid(smin, smax, 3)
dr_h = SmolyakGrid(smin, smax, 3)
grid = dr_x.grid
xh_init = dr_pert(dr_x.grid)
n_x = len(model['variables_groups']['controls'])
dr_x.set_values(xh_init[:n_x, :])
dr_h.set_values(xh_init[n_x:, :])
#dr2 = approximate_controls(model, order=2, substitute_auxiliary=True)
#drss = solve_model_around_risky_ss(fname)
#dr_smol = global_solve(model)
#dr_spline = global_solve(model, interp_type='spline', interp_orders=[50,5])
#drs = [dr1, dr2, drss, dr_smol, dr_spline]
# dr3 = approximate_controls(model, order=3, substitute_auxiliary=True)
# drg_smol = global_solve(model, bounds=bounds)
# drg_smol_4 = global_solve(model, bounds=bounds, smolyak_order=2, N_e=80)
# drs = [dr1,dr2,dr3,drg_smol, drg_smol_4]
#errors_sup = [omega(dr, model, bounds, [20,20], exponent='inf') for dr in drs]
#errors_L2 = [omega(dr, model, bounds, [20,20], exponent='L2') for dr in drs]
#print errors_sup
#print errors_L2
exit()
# dr3 = approximate_controls(model, order=3)
drg_smol = global_solve(model)
drg_spli = global_solve(model, interp_type='spline')
# drs = [dr1,dr2,dr3]
drs = [dr1, dr2, drg_smol, drg_spli]
# print dr2.S_bar
print bounds
errors_sup = [omega_sup(dr, model, bounds, [50, 50]) for dr in drs]
print errors_sup
from numpy import concatenate
calibration = copy.copy(self.parent.calibration)
# calibration['controls'] = concatenate( [calibration['controls'], calibration['auxiliary']] )
self.calibration = calibration
def get_calibration(self, name):
return self.parent.get_calibration(name)
@property
def x_bounds(self):
return self.parent.x_bounds
if __name__ == "__main__":
from dolo import *
model = yaml_import("examples/global_models/rbc.yaml")
model_fg = GModel_fg_from_fga(model)
print(model_fg.get_calibration(['alpha', 'rho']))
model_fg.set_calibration(alpha=0.1)
print(model_fg.get_calibration(['alpha', 'rho']))
print(model_fg.x_bounds)
from dolo.numeric.global_solve import global_solve
dr = global_solve(model_fg, verbose=True)
print(dr)
#drss = solve_model_around_risky_ss(fname)
#dr_smol = global_solve(model)
#dr_spline = global_solve(model, interp_type='spline', interp_orders=[50,5])
#drs = [dr1, dr2, drss, dr_smol, dr_spline]
# dr3 = approximate_controls(model, order=3, substitute_auxiliary=True)
# drg_smol = global_solve(model, bounds=bounds)
# drg_smol_4 = global_solve(model, bounds=bounds, smolyak_order=2, N_e=80)
# drs = [dr1,dr2,dr3,drg_smol, drg_smol_4]
#errors_sup = [omega(dr, model, bounds, [20,20], exponent='inf') for dr in drs]
#errors_L2 = [omega(dr, model, bounds, [20,20], exponent='L2') for dr in drs]
#print errors_sup
#print errors_L2
exit()
# dr3 = approximate_controls(model, order=3)
drg_smol = global_solve(model)
drg_spli = global_solve(model, interp_type='spline')
# drs = [dr1,dr2,dr3]
drs = [dr1,dr2, drg_smol, drg_spli]
# print dr2.S_bar
print bounds
errors_sup = [omega_sup(dr, model, bounds, [50,50]) for dr in drs]
print errors_sup
from dolo import * from dolo.numeric.global_solve import global_solve filename = '../examples/global_models/rbc.yaml' model = yaml_import(filename) dr = global_solve(model, pert_order=1, smolyak_order=5, memory_hungry=True)
