from compecon import demo import numpy as np import matplotlib.pyplot as plt from compecon import NLP # ### Define a NLP problem # # Here, we set convergence tolerance `tol=1e-20` and the option `all_x=True` to record all values taken by $x$ from the initial guess `x0=2.0` to the final solution. These values will be stored in the `.x_sequence` attribute. # # We also define `err` to compute the base-10 logarithm of the error (the gap between the current iteration and the solution). # In[2]: A = NLP(lambda x: (np.exp(x)-1, np.exp(x)), all_x=True, tol=1e-20) err = lambda z: np.log10(np.abs(z)).flatten() x0 = 2.0 # ### Solve the problem # #### * Using Newton's method # In[3]: A.newton(x0) err_newton = err(A.x_sequence) # #### * Using Broyden's method
# The ```solve``` method returns a pandas ```DataFrame```.
# In[11]:
S = model.solve()
S.head()
# ## Analysis
#
# ### Plot Action-Contingent Value Functions
# In[12]:
# Compute and Plot Critical Unit Profit Contributions
pcrit = [
NLP(lambda s: model.Value_j(s)[i].dot([1, -1])).broyden(0.0)[0]
for i in range(A)
]
vcrit = [model.Value(s)[i] for i, s in enumerate(pcrit)]
# In[13]:
fig1 = demo.figure('Action-Contingent Value Functions',
'Net Unit Profit',
'Value',
figsize=[10, 5])
cc = np.linspace(0.3, 0.9, model.dims.ni)
for a, i in enumerate(dstates):
plt.plot(S.loc[i, 'value[keep]'],
return price * s - kappa + delta * vhat(c, h(0))
def vhat0(c, s):
return delta * vhat(c, h(s))
def resid(c, s=snodes):
return vhat(c, s) - np.maximum(vhat0(c, s), vhat1(c, s))
# ### Solve collocation equation
# In[6]:
cc = NLP(resid).broyden(np.zeros(2))
# ### Compute critical biomass
# In[7]:
scrit = NLP(lambda s: vhat0(cc, s) - vhat1(cc, s)).broyden(0.0)[0]
# In[8]:
scrit
# ## ANALYSIS
# ### Compute refined state grid
# In[4]:
T = 300
pcrit = np.empty(T + 1)
# The critical exercise price is the price at which the value of exercising the option $K-\exp(p)$ equals the discounted expected value of keeping the option one more period $\delta E_\epsilon V(p + \epsilon)$. To find it, we set it as a nonlinear rootfinding problem by using the ```NLP``` class; here we assume that the option strike price is $K=1$ and that the discount factor is $\delta=0.9998$
# In[5]:
K = 1.0
delta = 0.9998
f = NLP(lambda p: K - np.exp(p) - delta * Value(p))
# Notice that we have not defined the ```Value(p)``` function yet. This function is unknown, so we are going to approximate it with a cubic spline, setting 500 nodes between -1 and 1. Since the basis is expressed in terms of log-prices, this interval corresponds to prices between 0.3679 and 2.7183.
# In[6]:
n = 500
pmin = -1 # minimum log price
pmax = 1 # maximum log price
Value = BasisSpline(n, pmin, pmax,
labels=['logprice'], l=['value'])
print(Value)
f, J = cournot(q)
step = -np.linalg.solve(J, f)
q += step
if np.linalg.norm(step) < 1.e-10: break
print(q)
''' Generate data for contour plot '''
n = 100
q1 = np.linspace(0.1, 1.5, n)
q2 = np.linspace(0.1, 1.5, n)
z = np.array([cournot(q)[0] for q in gridmake(q1, q2).T]).T
''' Using a NLP object '''
q = np.array([0.2, 0.2])
cournot_problem = NLP(cournot)#, q)
q_star, fq_star = cournot_problem.newton(q)
print(q_star)
''' Plot figures '''
steps_options = {'marker': 'o',
'color': (0.2, 0.2, .81),
'linewidth': 1.0,
'markersize': 6,
'markerfacecolor': 'red',
'markeredgecolor': 'red'}
contour_options = {'levels': [0.0],
'colors': '0.25',
'linewidths': 0.5}
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))
nplot = 501
t = np.linspace(0, T, nplot)
(p, s), (dp, ds) = F(t, [[0, 1]])
res_p = dp - r * p - k
res_s = ds + p ** -eta
plt.figure()
plt.subplot(2, 1, 1)
plt.plot(t, res_p)
plt.title('Residuals')
plt.ylabel('d(price) residual')
plt.subplot(2, 1, 2)
[e, w] = qnwnorm(m, mu, sigma**2) # We are going to compute the critical exercise price in terms of the time to expiration, up to an horizon of $T=300$ periods. First we allocate memory for the critical prices: # In[4]: T = 300 pcrit = np.empty(T + 1) # The critical exercise price is the price at which the value of exercising the option $K-\exp(p)$ equals the discounted expected value of keeping the option one more period $\delta E_\epsilon V(p + \epsilon)$. To find it, we set it as a nonlinear rootfinding problem by using the ```NLP``` class; here we assume that the option strike price is $K=1$ and that the discount factor is $\delta=0.9998$ # In[5]: K = 1.0 delta = 0.9998 f = NLP(lambda p: K - np.exp(p) - delta * Value(p)) # Notice that we have not defined the ```Value(p)``` function yet. This function is unknown, so we are going to approximate it with a cubic spline, setting 500 nodes between -1 and 1. Since the basis is expressed in terms of log-prices, this interval corresponds to prices between 0.3679 and 2.7183. # In[6]: n = 500 pmin = -1 # minimum log price pmax = 1 # maximum log price Value = BasisSpline(n, pmin, pmax, labels=['logprice'], l=['value']) print(Value) # In the last expression, by passing the option `l` with a one-element list we are telling the ```BasisSpline``` class that we a single function named "value". On creation, the function will be set by default to $V(p)=0$ for all values of $p$, which conveniently corresponds to the terminal condition of this problem. # ## Finding the critical exercise prices #
alpha = 0.6
beta = np.array([0.6, 0.8])
''' Set up the Cournot function '''
''' Generate data for contour plot '''
n = 100
q1 = np.linspace(0.3, 1.1, n)
q2 = np.linspace(0.4, 1.2, n)
z = np.array([cournot(q)[0] for q in gridmake(q1, q2).T]).T
''' Using a NLP object '''
q = np.array([1.0, 0.5])
cournot_problem = NLP(cournot)#, q)
q_star, fq_star = cournot_problem.newton(q)
print(q_star)
''' Plot figures '''
steps_options = {'marker': 'o',
'color': (0.2, 0.2, .81),
'linewidth': 1.0,
'markersize': 6,
'markerfacecolor': 'red',
'markeredgecolor': 'red'}
contour_options = {'levels': [0.0],
'colors': '0.25',
'linewidths': 0.5}
def resid(c):
S.c = c # update interpolation coefficients
q = S(p) # compute quantity supplied at price nodes
return p - q * (p ** (eta+1) / eta) - alpha * np.sqrt(q) - q ** 2
# Notice that `resid` only takes one argument. The other parameters (`Q`, `p`, `eta`, `alpha`) should be declared as such in the main script, were Python's scoping rules will find them.
# ### Solve for effective supply function
#
# Class `NLP` defines nonlinear problems. It can be used to solve `resid` by Broyden's method.
# In[7]:
cournot = NLP(resid)
S.c = cournot.broyden(S.c, tol=1e-12)
# ### Plot demand and effective supply for m=5 firms
# In[8]:
prices = np.linspace(a, b, 501)
fig1 = demo.figure('Cournot Effective Firm Supply Function',
'Quantity', 'Price', [0, 4], [0.5, 2])
plt.plot(5 * S(prices), prices, D(prices), prices)
plt.legend(('Supply','Demand'))
fjac = [[y * np.exp(x), np.exp(x) - 2], [y, x - 3 * y**2]]
return np.array(fval), np.array(fjac)
''' Parameters and initial value '''
alpha = 0.6
beta = np.array([0.6, 0.8])
''' Set up the Cournot function '''
''' Generate data for contour plot '''
n = 100
q1 = np.linspace(0.3, 1.1, n)
q2 = np.linspace(0.4, 1.2, n)
z = np.array([cournot(q)[0] for q in gridmake(q1, q2).T]).T
''' Using a NLP object '''
q = np.array([1.0, 0.5])
cournot_problem = NLP(cournot) #, q)
q_star, fq_star = cournot_problem.newton(q)
print(q_star)
''' Plot figures '''
steps_options = {
'marker': 'o',
'color': (0.2, 0.2, .81),
'linewidth': 1.0,
'markersize': 6,
'markerfacecolor': 'red',
'markeredgecolor': 'red'
}
contour_options = {'levels': [0.0], 'colors': '0.25', 'linewidths': 0.5}
Q1, Q2 = np.meshgrid(q1, q2)
methods. Initial values generated randomly. True root is x1=1 x2=1.
"""
from demos.setup import np, tic, toc
from compecon import NLP
''' Set up the problem '''
def f(x):
fval = [200 * x[0] * (x[1] - x[0] ** 2) + 1 - x[0], 100 * (x[0] ** 2 - x[1])]
fjac = [[200 * (x[1] - x[0] ** 2) - 400 * x[0] ** 2 - 1, 200 * x[0]],
[200 * x[0], -100]]
return np.array(fval), np.array(fjac)
problem = NLP(f)
''' Randomly generate starting point '''
problem.x0 = np.random.randn(2)
''' Compute root using Newton method '''
t0 = tic()
x1 = problem.newton()
t1 = 100 * toc(t0)
n1 = problem.fnorm
'''Compute root using Broyden method '''
t0 = tic()
x2 = problem.broyden()
t2 = 100 * toc(t0)
n2 = problem.fnorm
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))
nplot = 501
t = np.linspace(0, T, nplot)
(p, s), (dp, ds) = F(t, [[0, 1]])
res_p = dp - r * p - k
res_s = ds + p**-eta
plt.figure()
plt.subplot(2, 1, 1)
plt.plot(t, res_p)
plt.title('Residuals')
plt.ylabel('d(price) residual')
plt.subplot(2, 1, 2)
# In[3]: n, a, b = 21, 0.5, 2.5 Q = BasisChebyshev(n, a, b) c0 = np.zeros(n) c0[0] = 2 p = Q.nodes # ### Solve for effective supply function # In[4]: monopoly = NLP(resid) Q.c = monopoly.broyden(c0) # ### Setup plot # In[5]: nplot = 1000 p = np.linspace(a, b, nplot) rplot = resid(Q.c) # ### Plot effective supply
Initial values generated randomly. Some algorithms may fail to converge, depending on the initial value.
True fixedpoint is x = -0.09 y=-0.46.
"""
from demos.setup import np, tic, toc
from compecon import NLP
np.random.seed(12)
''' Set up the problem '''
def g(z):
x, y = z
return np.array([x **2 + y ** 3, x * y - 0.5])
problem_as_fixpoint = NLP(g, maxit=1500)
''' Equivalent Rootfinding Formulation'''
def f(z):
x, y = z
fval = [x - x ** 2 - y ** 3,
y - x * y + 0.5]
fjac = [[1 - 2 * x, -3 * y **2],
[-y, 1 - x]]
return np.array(fval), np.array(fjac)
problem_as_zero = NLP(f, maxit=1500)
'''% Randomly generate starting point'''
xinit = np.random.randn(2)
Compute root of f(x)=exp(-x)-1 using Newton and secant methods. Initial value generated randomly. True root is x=0.
"""
from demos.setup import np, plt, tic, toc
from numpy.linalg import norm
from compecon import NLP
''' Set up the problem '''
def f(x):
fval = np.exp(-x) - 1
fjac = -np.exp(-x)
return fval, fjac
problem = NLP(f, all_x=True)
''' Randomly generate starting point '''
problem.x0 = 10 * np.random.randn(1)
''' Compute root using Newton method '''
t0 = tic()
x1 = problem.newton()
t1 = 100 * toc(t0)
n1, x_newton = problem.fnorm, problem.x_sequence
''' Compute root using Broyden method '''
t0 = tic()
x2 = problem.broyden()
t2 = 100 * toc(t0)
n2, x_broyden = problem.fnorm, problem.x_sequence
''' Print results '''
print('Hundredths of seconds required to compute root of exp(-x)-1,')
print('via Newton and Broyden methods, starting at x = %4.2f.' % problem.x0)
DEMSLV01 Compute root of f(x)=exp(-x)-1
Compute root of f(x)=exp(-x)-1 using Newton and secant methods. Initial value generated randomly. True root is x=0.
"""
from demos.setup import np, plt, tic, toc
from numpy.linalg import norm
from compecon import NLP
''' Set up the problem '''
def f(x):
fval = np.exp(-x) - 1
fjac = -np.exp(-x)
return fval, fjac
problem = NLP(f, all_x=True)
''' Randomly generate starting point '''
problem.x0 = 10 * np.random.randn(1)
''' Compute root using Newton method '''
t0 = tic()
x1 = problem.newton()
t1 = 100 * toc(t0)
n1, x_newton = problem.fnorm, problem.x_sequence
''' Compute root using Broyden method '''
t0 = tic()
x2 = problem.broyden()
t2 = 100 * toc(t0)
Compute fixedpoint of f(x) = x^0.5 using Newton, Broyden, and function iteration methods.
Initial values generated randomly. Some alrorithms may fail to converge, depending on the initial value.
True fixedpoint is x=1.
"""
from demos.setup import np, tic, toc
from compecon import NLP
''' Randomly generate starting point '''
xinit = np.random.rand(1) + 0.5
''' Set up the problem '''
def g(x):
return np.sqrt(x)
problem_as_fixpoint = NLP(g, xinit)
''' Equivalent Rootfinding Formulation '''
def f(x):
fval = x - np.sqrt(x)
fjac = 1 - 0.5 / np.sqrt(x)
return fval, fjac
problem_as_zero = NLP(f, xinit)
''' Compute fixed-point using Newton method '''
t0 = tic()
x1 = problem_as_zero.newton()
t1 = 100 * toc(t0)
n1 = problem_as_zero.fnorm
for it in range(40):
f, J = cournot(q)
step = -np.linalg.solve(J, f)
q += step
if np.linalg.norm(step) < 1.e-10: break
print(q)
''' Generate data for contour plot '''
n = 100
q1 = np.linspace(0.1, 1.5, n)
q2 = np.linspace(0.1, 1.5, n)
z = np.array([cournot(q)[0] for q in gridmake(q1, q2).T]).T
''' Using a NLP object '''
q = np.array([0.2, 0.2])
cournot_problem = NLP(cournot) #, q)
q_star, fq_star = cournot_problem.newton(q)
print(q_star)
''' Plot figures '''
steps_options = {
'marker': 'o',
'color': (0.2, 0.2, .81),
'linewidth': 1.0,
'markersize': 6,
'markerfacecolor': 'red',
'markeredgecolor': 'red'
}
contour_options = {'levels': [0.0], 'colors': '0.25', 'linewidths': 0.5}
Q1, Q2 = np.meshgrid(q1, q2)
__author__ = 'Randall'
import numpy as np
from numpy import log, exp, sqrt
from scipy.stats import norm as Normal_distribution
from compecon import NLP, MCP, LCP
from compecon.tools import example, exercise
''' Example page 32 '''
example(32)
f = NLP(lambda x: x**3 - 2)
x = f.bisect(1, 2)
print('x = ', x)
''' Example page 33 '''
example(33)
g = NLP(lambda x: x**0.5)
x = g.fixpoint(0.4)
print('x = ', x)
''' Example page 35 '''
example(35)
def cournot(q):
c = np.array([0.6, 0.8])
eta = 1.6
e = -1 / eta
s = q.sum()
fval = s**e + e * s**(e - 1) * q - c * q
fjac = e*s**(e-1) * np.ones([2,2]) + e * s ** (e-1) * np.identity(2) +\
(e-1)*e*s **(e-2)* np.outer(q, [1,1]) - np.diag(c)
return fval, fjac
# ### Approximation structure
# In[3]:
n, a, b = 21, 0.5, 2.5
Q = BasisChebyshev(n, a, b)
c0 = np.zeros(n)
c0[0] = 2
p = Q.nodes
# ### Solve for effective supply function
# In[4]:
monopoly = NLP(resid)
Q.c = monopoly.broyden(c0)
# ### Setup plot
# In[5]:
nplot = 1000
p = np.linspace(a, b, nplot)
rplot = resid(Q.c)
# ### Plot effective supply
# In[6]:
demo.figure("Monopolist's Effective Supply Curve", 'Quantity', 'Price')
Compute fixedpoint of f(x) = x^0.5 using Newton, Broyden, and function iteration methods.
Initial values generated randomly. Some alrorithms may fail to converge, depending on the initial value.
True fixedpoint is x=1.
"""
from demos.setup import np, tic, toc
from compecon import NLP
''' Randomly generate starting point '''
xinit = np.random.rand(1) + 0.5
''' Set up the problem '''
def g(x):
return np.sqrt(x)
problem_as_fixpoint = NLP(g, xinit)
''' Equivalent Rootfinding Formulation '''
def f(x):
fval = x - np.sqrt(x)
fjac = 1-0.5 / np.sqrt(x)
return fval, fjac
problem_as_zero = NLP(f, xinit)
''' Compute fixed-point using Newton method '''
t0 = tic()
x1 = problem_as_zero.newton()
t1 = 100 * toc(t0)
n1 = problem_as_zero.fnorm
# In[6]:
def resid(c,s=vhat.nodes):
vhat.c = c
return vhat(s) - np.maximum(vhat0(s), vhat1(s))
# ### Solve collocation equation
# In[7]:
cc = NLP(resid).broyden(vhat.c)
# ### Compute critical biomass
# In[8]:
scrit = NLP(lambda s: vhat0(s)-vhat1(s)).broyden(0.0)[0]
# ## ANALYSIS
# ### Compute refined state grid
# In[9]:
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
# In[4]:
c0 = np.zeros(n) # set initial guess for coeffs
c0[0] = 0.2
problem = NLP(resid)
F.c = problem.broyden(c0) # compute coeff by Broyden's method
# ### Plot setup
# In[5]:
n = 1000
x = np.linspace(a, b, n)
r = resid(F.c)
# ### Plot function inverse
# In[1]: from compecon import demo import numpy as np import matplotlib.pyplot as plt from compecon import NLP # ### Define a NLP problem # # Here, we set convergence tolerance `tol=1e-20` and the option `all_x=True` to record all values taken by $x$ from the initial guess `x0=2.0` to the final solution. These values will be stored in the `.x_sequence` attribute. # # We also define `err` to compute the base-10 logarithm of the error (the gap between the current iteration and the solution). # In[2]: A = NLP(lambda x: (np.exp(x) - 1, np.exp(x)), all_x=True, tol=1e-20) err = lambda z: np.log10(np.abs(z)).flatten() x0 = 2.0 # ### Solve the problem # #### * Using Newton's method # In[3]: A.newton(x0) err_newton = err(A.x_sequence) # #### * Using Broyden's method # In[4]:
