def inputs():
out = {}
disc_fac = 0.9999
num_states = 300
num_buses = 200
num_periods = 1000
scale = 0.001
init_dict = {
"groups": "group_4",
"binsize": 5000,
"model_specifications": {
"discount_factor": disc_fac,
"number_states": num_states,
"maint_cost_func": "linear",
"cost_scale": scale,
},
"optimizer": {"approach": "NFXP", "algorithm": "scipy_L-BFGS-B"},
"simulation": {
"discount_factor": disc_fac,
"seed": 123,
"buses": num_buses,
"periods": num_periods,
},
}
out["trans_base"] = np.loadtxt(TEST_FOLDER + "repl_test_trans.txt")
out["params_base"] = np.loadtxt(TEST_FOLDER + "repl_params_linear.txt")
trans_mat = create_transition_matrix(num_states, out["trans_base"])
costs = calc_obs_costs(num_states, lin_cost, out["params_base"], scale)
ev_known = calc_fixp(trans_mat, costs, disc_fac)[0]
df = simulate(init_dict["simulation"], ev_known, costs, trans_mat)
result_trans, result_fixp = estimate(init_dict, df)
out["trans_est"] = result_trans["x"]
out["params_est"] = result_fixp["x"]
out["status"] = result_fixp["status"]
return out
def get_ev(params, trans_mat, obs_costs, disc_fac, alg_details):
"""
A auxiliary function, which allows the log-likelihood function as well as its
derivative to share the same fixed point and to avoid the need to execute the
computation double.
Parameters
----------
params : numpy.array
see :ref:`params`
trans_mat : numpy.array
see :ref:`trans_mat`
obs_costs : numpy.array
see :ref:`costs`
disc_fac : numpy.float
see :ref:`disc_fac`
Returns
-------
ev : numpy.array
see :ref:`ev`
"""
global ev_intermed
global current_params
if (ev_intermed is not None) & np.array_equal(current_params, params):
ev = ev_intermed
ev_intermed = None
else:
ev = calc_fixp(trans_mat, obs_costs, disc_fac, **alg_details)
ev_intermed = ev
current_params = params
return ev
def test_regression_simulation(inputs):
init_dict = random_init(inputs)
# Draw parameter
param_1 = np.random.normal(17.5, 2)
param_2 = np.random.normal(21, 2)
param_3 = np.random.normal(-2, 0.1)
param_4 = np.random.normal(0.2, 0.1)
params = np.array([param_1, param_2, param_3, param_4])
disc_fac = init_dict["simulation"]["discount_factor"]
probs = np.array(init_dict["simulation"]["known_trans"])
num_states = 800
trans_mat = create_transition_matrix(num_states, probs)
costs = calc_obs_costs(num_states, cubic_costs, params, 0.00001)
ev = calc_fixp(trans_mat, costs, disc_fac)[0]
df = simulate(init_dict["simulation"], ev, costs, trans_mat)
v_disc = discount_utility(df, disc_fac)
assert_allclose(v_disc / ev[0], 1, rtol=1e-02)
def simulate_data(
seed,
disc_fac,
num_buses,
num_periods,
num_states,
cost_params,
trans_params,
cost_func,
scale,
):
"""
simulates a single data set with a given specification using the ``simulate``
function of ruspy.
Parameters
----------
seed : int
seed for the simulation function.
disc_fac : float
the discount factor in the Rust Model.
num_buses : int
the amount of buses that should be simulated.
num_periods : int
The number of periods that should be simulated for each bus.
num_states : int
the number of states for the which the mileage state is discretized.
cost_params : np.array
the cost parameters for which the data is simulated.
trans_params : np.array
the cost parameters for which the data is simulated..
cost_func : callable
the cost function that underlies the data generating process.
scale : float
the scale of the cost function.
Returns
-------
df : pd.DataFrame
Simulated data set for the given data generating process.
"""
init_dict = {
"simulation": {
"discount_factor": disc_fac,
"periods": num_periods,
"seed": seed,
"buses": num_buses,
},
}
costs = calc_obs_costs(num_states, cost_func, cost_params, scale)
trans_mat = create_transition_matrix(num_states, trans_params)
ev = calc_fixp(trans_mat, costs, disc_fac)[0]
df = simulate(init_dict["simulation"], ev, costs, trans_mat)
return df
def inputs_sim(inputs):
out = {}
out["init_dict"] = init_dict = random_init(inputs)["simulation"]
# Draw parameter
param1 = np.random.normal(10.0, 2)
param2 = np.random.normal(2.3, 0.5)
params = np.array([param1, param2])
disc_fac = init_dict["discount_factor"]
probs = np.array(init_dict["known_trans"])
num_states = 300
out["trans_mat"] = trans_mat = create_transition_matrix(num_states, probs)
out["costs"] = costs = calc_obs_costs(num_states, lin_cost, params, 0.001)
out["ev"] = ev = calc_fixp(trans_mat, costs, disc_fac)[0]
out["df"] = simulate(
init_dict,
ev,
costs,
trans_mat,
)
return out
def test_fixp(inputs, outputs):
assert_array_almost_equal(
calc_fixp(outputs["trans_mat"], outputs["costs"],
inputs["disc_fac"])[0],
outputs["fixp"],
)
def estimate_mpec_ipopt(
disc_fac,
num_states,
maint_func,
maint_func_dev,
num_params,
scale,
decision_mat,
trans_mat,
state_mat,
optimizer_options,
transition_results,
):
"""
Estimation function of Mathematical Programming with Equilibrium Constraints
(MPEC) in ruspy.
Parameters
----------
disc_fac : numpy.float
see :ref:`disc_fac`
num_states : int
The size of the state space.
maint_func: func
see :ref: `maint_func`
maint_func_dev: func
see :ref: `maint_func_dev`
num_params : int
The number of parameters to be estimated.
scale : numpy.float
see :ref:`scale`
decision_mat : numpy.array
see :ref:`decision_mat`
trans_mat : numpy.array
see :ref:`trans_mat`
state_mat : numpy.array
see :ref:`state_mat`
optimizer_options : dict
The options chosen for the optimization algorithm in the initialization
dictionairy.
transition_results : dict
The results from ``estimate_transitions``.
Returns
-------
transition_results : dictionary
see :ref:`result_trans`
mpec_cost_parameters : dictionary
see :ref:`result_costs`
"""
if not optional_package_is_available:
raise NotImplementedError(
"""To use this you need to install cyipopt. If you are mac or Linux user
the command is $ conda install -c conda-forge cyipopt. If you use
Windows you have to install from source. A description can be found
here: https://github.com/matthias-k/cyipopt""")
del optimizer_options["algorithm"]
gradient = optimizer_options.pop("derivative")
params = optimizer_options.pop("params")
lower_bounds = optimizer_options.pop("set_lower_bounds")
upper_bounds = optimizer_options.pop("set_upper_bounds")
bounds = np.vstack((lower_bounds, upper_bounds)).T
bounds = list(map(tuple, bounds))
if "get_expected_values" in optimizer_options:
get_expected_values = optimizer_options.pop("get_expected_values")
else:
get_expected_values = "No"
n_evaluations, neg_criterion = wrap_ipopt_likelihood(
mpec_loglike_cost_params,
args=(
maint_func,
maint_func_dev,
num_states,
num_params,
state_mat,
decision_mat,
disc_fac,
scale,
),
)
constraint_func = wrap_ipopt_constraint(
mpec_constraint,
args=(
maint_func,
maint_func_dev,
num_states,
num_params,
trans_mat,
disc_fac,
scale,
),
)
if gradient == "No":
def approx_gradient(params):
fun = approx_derivative(neg_criterion, params, method="2-point")
return fun
gradient_func = approx_gradient
def approx_jacobian(params):
fun = approx_derivative(constraint_func, params, method="2-point")
return fun
jacobian_func = approx_jacobian
else:
gradient_func = partial(
mpec_loglike_cost_params_derivative,
maint_func,
maint_func_dev,
num_states,
num_params,
disc_fac,
scale,
decision_mat,
state_mat,
)
jacobian_func = partial(
mpec_constraint_derivative,
maint_func,
maint_func_dev,
num_states,
num_params,
disc_fac,
scale,
trans_mat,
)
constraints = {
"type": "eq",
"fun": constraint_func,
"jac": jacobian_func,
}
tic = time.perf_counter()
if get_expected_values == "Yes":
obs_costs = calc_obs_costs(num_states, maint_func, params, scale)
ev = calc_fixp(trans_mat, obs_costs, disc_fac)[0]
params = np.concatenate((ev, params))
results_ipopt = minimize_ipopt(
neg_criterion,
params,
bounds=bounds,
jac=gradient_func,
constraints=constraints,
**optimizer_options,
)
toc = time.perf_counter()
timing = toc - tic
mpec_cost_parameters = {}
mpec_cost_parameters["x"] = results_ipopt["x"]
mpec_cost_parameters["fun"] = results_ipopt["fun"]
if results_ipopt["success"] is True:
mpec_cost_parameters["status"] = True
else:
mpec_cost_parameters["status"] = False
mpec_cost_parameters["n_iterations"] = results_ipopt["nit"]
mpec_cost_parameters["n_evaluations"] = results_ipopt["nfev"]
mpec_cost_parameters["time"] = timing
mpec_cost_parameters["n_evaluations_total"] = n_evaluations[0]
return transition_results, mpec_cost_parameters
def estimate_mpec_nlopt(
disc_fac,
num_states,
maint_func,
maint_func_dev,
num_params,
scale,
decision_mat,
trans_mat,
state_mat,
optimizer_options,
transition_results,
):
"""
Estimation function of Mathematical Programming with Equilibrium Constraints
(MPEC) in ruspy.
Parameters
----------
disc_fac : numpy.float
see :ref:`disc_fac`
num_states : int
The size of the state space.
maint_func: func
see :ref: `maint_func`
maint_func_dev: func
see :ref: `maint_func_dev`
num_params : int
The number of parameters to be estimated.
scale : numpy.float
see :ref:`scale`
decision_mat : numpy.array
see :ref:`decision_mat`
trans_mat : numpy.array
see :ref:`trans_mat`
state_mat : numpy.array
see :ref:`state_mat`
optimizer_options : dict
The options chosen for the optimization algorithm in the initialization
dictionairy.
transition_results : dict
The results from ``estimate_transitions``.
Returns
-------
transition_results : dictionary
see :ref:`result_trans`
mpec_cost_parameters : dictionary
see :ref:`result_costs`
"""
gradient = optimizer_options.pop("derivative")
# Calculate partial functions needed for nlopt
n_evaluations, partial_loglike_mpec = wrap_mpec_loglike(args=(
maint_func,
maint_func_dev,
num_states,
num_params,
state_mat,
decision_mat,
disc_fac,
scale,
gradient,
))
partial_constr_mpec = partial(
mpec_constraint,
maint_func,
maint_func_dev,
num_states,
num_params,
trans_mat,
disc_fac,
scale,
gradient,
)
# set up nlopt
opt = nlopt.opt(eval("nlopt." + optimizer_options.pop("algorithm")),
num_states + num_params)
opt.set_min_objective(partial_loglike_mpec)
opt.add_equality_mconstraint(
partial_constr_mpec,
np.full(num_states, 1e-6),
)
# supply user choices
params = optimizer_options.pop("params")
if "get_expected_values" in optimizer_options:
get_expected_values = optimizer_options.pop("get_expected_values")
else:
get_expected_values = "No"
if "set_local_optimizer" in optimizer_options:
sub = nlopt.opt( # noqa: F841
eval("nlopt." + optimizer_options.pop("set_local_optimizer")),
num_states + num_params,
)
exec("opt.set_local_optimizer(sub)")
for key, _value in optimizer_options.items():
exec("sub." + key + "(_value)")
for key, _value in optimizer_options.items():
exec("opt." + key + "(_value)")
# Solving nlopt
tic = time.perf_counter()
if get_expected_values == "Yes":
obs_costs = calc_obs_costs(num_states, maint_func, params, scale)
ev = calc_fixp(trans_mat, obs_costs, disc_fac)[0]
params = np.concatenate((ev, params))
result = opt.optimize(params)
toc = time.perf_counter()
timing = toc - tic
mpec_cost_parameters = {}
mpec_cost_parameters["x"] = result
mpec_cost_parameters["fun"] = opt.last_optimum_value()
if opt.last_optimize_result() > 0:
mpec_cost_parameters["status"] = True
else:
mpec_cost_parameters["status"] = False
mpec_cost_parameters["n_iterations"] = opt.get_numevals()
mpec_cost_parameters["n_evaluations"] = n_evaluations[0]
mpec_cost_parameters["reason"] = opt.last_optimize_result()
mpec_cost_parameters["time"] = timing
return transition_results, mpec_cost_parameters
def get_demand(init_dict, demand_dict, demand_params):
"""
Calculates the implied demand for a range of replacement costs
for a certain number of buses over a certain time period.
Parameters
----------
init_dict : dict
see :ref:`init_dict`.
demand_dict : dict
see :ref:`demand_dict`.
demand_params : np.array
see :ref:`demand_params`
Returns
-------
demand_results : pd.DataFrame
see :ref:`demand_results`
"""
params = demand_params.copy()
(
disc_fac,
num_states,
maint_func,
maint_func_dev,
num_params,
scale,
) = select_model_parameters(init_dict)
# Initialize the loop over the replacement costs
rc_range = np.linspace(
demand_dict["RC_lower_bound"],
demand_dict["RC_upper_bound"],
demand_dict["demand_evaluations"],
)
demand_results = pd.DataFrame(index=rc_range, columns=["demand", "success"])
demand_results.index.name = "RC"
for rc in rc_range:
params[-num_params] = rc
demand_results.loc[(rc), "success"] = "No"
# solve the model for the given paramaters
trans_mat = create_transition_matrix(num_states, params[:-num_params])
obs_costs = calc_obs_costs(num_states, maint_func, params[-num_params:], scale)
ev = calc_fixp(trans_mat, obs_costs, disc_fac)[0]
p_choice = choice_prob_gumbel(ev, obs_costs, disc_fac)
# calculate initial guess for pi and run contraction iterations
pi_new = np.full((num_states, 2), 1 / (2 * num_states))
tol = 1
iteration = 1
while tol >= demand_dict["tolerance"]:
pi = pi_new
pi_new = p_choice * (
np.dot(trans_mat.T, pi[:, 0])
+ np.dot(np.tile(trans_mat[0, :], (num_states, 1)).T, pi[:, 1])
).reshape((num_states, 1))
tol = np.max(np.abs(pi_new - pi))
iteration = +1
if iteration > 200:
break
if tol < demand_dict["tolerance"]:
demand_results.loc[(rc), "success"] = "Yes"
demand_results.loc[(rc), "demand"] = (
demand_dict["num_buses"] * demand_dict["num_periods"] * pi_new[:, 1].sum()
)
return demand_results