def denhaanerrors(model,
dr,
s0=None,
horizon=100,
n_sims=10,
seed=0,
integration_orders=None):
assert (model.model_type == 'dtcscc')
n_x = len(model.symbols['controls'])
n_s = len(model.symbols['states'])
distrib = model.get_distribution()
sigma = distrib.sigma
mean = sigma[0, :] * 0
if integration_orders is None:
integration_orders = [5] * len(mean)
[nodes, weights] = gauss_hermite_nodes(integration_orders, sigma)
if s0 is None:
s0 = model.calibration['states']
# standard simulation
simul = simulate(model,
dr,
s0,
horizon=horizon,
n_exp=n_sims,
seed=seed,
solve_expectations=False,
return_array=True)
simul_se = simulate(model,
dr,
s0,
horizon=horizon,
n_exp=n_sims,
seed=seed,
solve_expectations=True,
nodes=nodes,
weights=weights,
return_array=True)
x_simul = simul[:, n_s:n_s + n_x, :]
x_simul_se = simul_se[:, n_s:n_s + n_x, :]
diff = abs(x_simul_se - x_simul)
error_1 = (diff).max(axis=0).mean(axis=1)
error_2 = (diff).mean(axis=0).mean(axis=1)
d = dict(max_errors=error_1,
mean_errors=error_2,
horizon=horizon,
n_sims=n_sims)
return DenHaanErrors(d)
def simulate(model, *args, **kwargs):
if model.model_type == 'dtcscc':
from dolo.algos.dtcscc.simulations import simulate
elif model.model_type == 'dtmscc':
from dolo.algos.dtmscc.simulations import simulate
else:
raise Exception("Model type {} not supported.".format(model.model_type))
return simulate(model, *args, **kwargs)
def simulate(model, *args, **kwargs):
if model.model_type == 'dtcscc':
from dolo.algos.dtcscc.simulations import simulate
elif model.model_type == 'dtmscc':
from dolo.algos.dtmscc.simulations import simulate
else:
raise Exception("Model type {} not supported.".format(
model.model_type))
return simulate(model, *args, **kwargs)
def denhaanerrors(model, dr, s0=None, horizon=100, n_sims=10, seed=0,
integration_orders=None):
assert(model.model_type == 'dtcscc')
n_x = len(model.symbols['controls'])
n_s = len(model.symbols['states'])
distrib = model.get_distribution()
sigma = distrib.sigma
mean = sigma[0, :]*0
if integration_orders is None:
integration_orders = [5]*len(mean)
[nodes, weights] = gauss_hermite_nodes(integration_orders, sigma)
if s0 is None:
s0 = model.calibration['states']
# standard simulation
simul = simulate(model, dr, s0, horizon=horizon, n_exp=n_sims, seed=seed,
solve_expectations=False, return_array=True)
simul_se = simulate(model, dr, s0, horizon=horizon, n_exp=n_sims,
seed=seed, solve_expectations=True, nodes=nodes,
weights=weights, return_array=True)
x_simul = simul[:, n_s:n_s+n_x, :]
x_simul_se = simul_se[:, n_s:n_s+n_x, :]
diff = abs(x_simul_se - x_simul)
error_1 = (diff).max(axis=0).mean(axis=1)
error_2 = (diff).mean(axis=0).mean(axis=1)
d = dict(
max_errors=error_1,
mean_errors=error_2,
horizon=horizon,
n_sims=n_sims
)
return DenHaanErrors(d)
def omega(model, dr, n_exp=10000, orders=None, bounds=None,
n_draws=100, seed=0, horizon=50, s0=None,
solve_expectations=False, time_discount=None):
assert(model.model_type == 'dtcscc')
f = model.functions['arbitrage']
g = model.functions['transition']
sigma = model.covariances
parms = model.calibration['parameters']
mean = np.zeros(sigma.shape[0])
np.random.seed(seed)
epsilons = np.random.multivariate_normal(mean, sigma, n_draws)
weights = np.ones(epsilons.shape[0])/n_draws
if bounds is None:
approx = model.options['approximation_space']
a = approx['a']
b = approx['b']
bounds = np.row_stack([a, b])
else:
a, b = np.row_stack(bounds)
if orders is None:
orders = [100]*len(a)
domain = RectangularDomain(a, b, orders)
grid = domain.grid
n_s = len(model.symbols['states'])
errors = test_residuals(grid, dr, f, g, parms, epsilons, weights)
errors = abs(errors)
if s0 is None:
s0 = model.calibration['states']
simul = simulate(model, dr, s0, n_exp=n_exp, horizon=horizon+1,
discard=True, solve_expectations=solve_expectations, return_array=True)
s_simul = simul[:, :, :n_s]
densities = [domain.compute_density(s_simul[t, :, :])
for t in range(horizon)]
ergo_dens = densities[-1]
max_error = np.max(errors, axis=0) # maximum errors
ergo_error = np.dot(ergo_dens, errors) # weighted by erg. distr.
d = dict(
errors=errors,
densities=densities,
bounds=bounds,
max_errors=max_error,
ergodic=ergo_error,
domain=domain
)
if time_discount is not None:
beta = time_discount
time_weighted_errors = max_error*0
for i in range(horizon):
err = np.dot(densities[i], errors)
time_weighted_errors += beta**i * err
time_weighted_errors /= (1-beta**(horizon-1))/(1-beta)
d['time_weighted'] = time_weighted_errors
return EulerErrors(d)
def gssa(model, maxit=100, tol=1e-8, initial_dr=None, verbose=False,
n_sim=10000, deg=3, damp=0.1, seed=42):
"""
Sketch of algorithm:
0. Choose levels for the initial states and the simulation length (n_sim)
1. Obtain an initial decision rule -- here using first order perturbation
2. Draw a sequence of innovations epsilon
3. Iterate on the following steps:
- Use the epsilons, initial states, and proposed decision rule to
simulate model forward. Will leave us with time series of states and
controls
- Evaluate expectations using quadrature
- Use direct response to get alternative proposal for controls
- Regress updated controls on the simulated states to get proposal
coefficients. New coefficients are convex combination of previous
coefficients and proposal coefficients. Weights controlled by damp,
where damp is the weight on the old coefficients. This should be
fairly low to increase chances of convergence.
- Check difference between the simulated series of controls and the
direct response version of controls
"""
# verify input arguments
if deg < 0 or deg > 5:
raise ValueError("deg must be in [1, 5]")
if damp < 0 or damp > 1:
raise ValueError("damp must be in [0, 1]")
t1 = time.time()
# extract model functions and parameters
g = model.__original_functions__['transition']
g_gu = model.__original_gufunctions__['transition']
h_gu = model.__original_gufunctions__['expectation']
d_gu = model.__original_gufunctions__['direct_response']
p = model.calibration['parameters']
n_s = len(model.symbols["states"])
n_x = len(model.symbols["controls"])
n_z = len(model.symbols["expectations"])
n_eps = len(model.symbols["shocks"])
s0 = model.calibration["states"]
x0 = model.calibration["controls"]
# construct initial decision rule if not supplied
if initial_dr is None:
drp = approximate_controls(model)
else:
drp = initial_dr
# set up quadrature weights and nodes
distrib = model.get_distribution()
nodes, weights = distrib.discretize()
# draw sequence of innovations
np.random.seed(seed)
distrib = model.get_distribution()
sigma = distrib.sigma
epsilon = np.random.multivariate_normal(np.zeros(n_eps), sigma, n_sim)
# simulate initial decision rule and do initial regression for coefs
init_sim = simulate(model, drp, horizon=n_sim, return_array=True,
forcing_shocks=epsilon)
s_sim = init_sim[:, 0, 0:n_s]
x_sim = init_sim[:, 0, n_s:n_s + n_x]
Phi_sim = complete_polynomial(s_sim.T, deg).T
coefs = np.ascontiguousarray(lstsq(Phi_sim, x_sim)[0])
# NOTE: the ascontiguousarray above was needed for numba to compile the
# `np.dot` in the simulation function in no python mode. Appearantly
# the array returned from lstsq is not C-contiguous
# allocate for simulated series of expectations and next period states
z_sim = np.empty((n_sim, n_z))
S = np.empty_like(s_sim)
X = np.empty_like(x_sim)
H = np.empty_like(z_sim)
new_x = np.empty_like(x_sim)
# set initial states and controls
s_sim[0, :] = s0
x_sim[0, :] = x0
Phi_t = np.empty(n_complete(n_s, deg)) # buffer array for simulation
# create jitted function that will simulate states and controls, using
# the epsilon shocks from above (define here as closure over all data
# above).
@jit(nopython=True)
def simulate_states_controls(s, x, Phi_t, coefs):
for t in range(1, n_sim):
g(s[t - 1, :], x[t - 1, :], epsilon[t, :], p, s[t, :])
# fill Phi_t with new complete poly version of s[t, :]
_complete_poly_impl_vec(s[t, :], deg, Phi_t)
# do inner product to get new controls
x[t, :] = Phi_t @coefs
it = 0
err = 10.0
err_0 = 10
if verbose:
headline = '|{0:^4} | {1:10} | {2:8} | {3:8} |'
headline = headline.format('N', ' Error', 'Gain', 'Time')
stars = '-' * len(headline)
print(stars)
print(headline)
print(stars)
# format string for within loop
fmt_str = '|{0:4} | {1:10.3e} | {2:8.3f} | {3:8.3f} |'
while err > tol and it <= maxit:
t_start = time.time()
# simulate with new coefficients
simulate_states_controls(s_sim, x_sim, Phi_t, coefs)
# update expectations of z
# update_expectations(s_sim, x_sim, z_sim, Phi_sim)
z_sim[:, :] = 0.0
for i in range(weights.shape[0]):
e = nodes[i, :] # extract nodes
# evaluate future states at each node (stores in S)
g_gu(s_sim, x_sim, e, p, S)
# evaluate future controls at each future state
_complete_poly_impl(S.T, deg, Phi_sim.T)
np.dot(Phi_sim, coefs, out=X)
# compute expectation (stores in H)
h_gu(S, X, p, H)
z_sim += weights[i] * H
# get controls on the simulated points from direct_resposne
# (stores in new_x)
d_gu(s_sim, z_sim, p, new_x)
# update basis matrix and do regression of new_x on s_sim to get
# updated coefficients
_complete_poly_impl(s_sim.T, deg, Phi_sim.T)
new_coefs = np.ascontiguousarray(lstsq(Phi_sim, new_x)[0])
# check whether they differ from the preceding guess
err = (abs(new_x - x_sim).max())
# update the series of controls and coefficients
x_sim[:, :] = new_x
coefs = (1 - damp) * new_coefs + damp * coefs
if verbose:
# update error and print if `verbose`
err_SA = err / err_0
err_0 = err
t_finish = time.time()
elapsed = t_finish - t_start
if verbose:
print(fmt_str.format(it, err, err_SA, elapsed))
it += 1
if it == maxit:
warnings.warn(UserWarning("Maximum number of iterations reached"))
# compute final fime and do final printout if `verbose`
t2 = time.time()
if verbose:
print(stars)
print('Elapsed: {} seconds.'.format(t2 - t1))
print(stars)
cp = CompletePolynomial(deg, len(s0))
cp.fit_values(s_sim, x_sim)
return cp
