Пример #1
0
    def test_noninteractive(self):
        "Test case for when agents don't interact with each other"
        # Copied these values from test_lqcontrol
        a = np.array([[.95, 0.], [0, .95]])
        b1 = np.array([.95, 0.])
        b2 = np.array([0., .95])
        r1 = np.array([[-.25, 0.], [0., 0.]])
        r2 = np.array([[0., 0.], [0., -.25]])
        q1 = np.array([[-.15]])
        q2 = np.array([[-.15]])
        f1, f2, p1, p2 = nnash(a, b1, b2, r1, r2, q1, q2, 0, 0, 0, 0, 0, 0,
                               tol=1e-8, max_iter=10000)

        alq = a[:1, :1]
        blq = b1[:1].reshape((1, 1))
        rlq = r1[:1, :1]
        qlq = q1

        lq_obj = LQ(qlq, rlq, alq, blq, beta=1.)
        p, f, d = lq_obj.stationary_values()

        assert_allclose(f1, f2[:, ::-1])
        assert_allclose(f1[0, 0], f[0])
        assert_allclose(p1[0, 0], p2[1, 1])
        assert_allclose(p1[0, 0], p[0, 0])
Пример #2
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    def test_noninteractive(self):
        "Test case for when agents don't interact with each other"
        # Copied these values from test_lqcontrol
        a = np.array([[.95, 0.], [0, .95]])
        b1 = np.array([.95, 0.])
        b2 = np.array([0., .95])
        r1 = np.array([[-.25, 0.], [0., 0.]])
        r2 = np.array([[0., 0.], [0., -.25]])
        q1 = np.array([[-.15]])
        q2 = np.array([[-.15]])
        f1, f2, p1, p2 = nnash(a, b1, b2, r1, r2, q1, q2, 0, 0, 0, 0, 0, 0,
                               tol=1e-8, max_iter=10000)

        alq = a[:1, :1]
        blq = b1[:1].reshape((1, 1))
        rlq = r1[:1, :1]
        qlq = q1

        lq_obj = LQ(qlq, rlq, alq, blq, beta=1.)
        p, f, d = lq_obj.stationary_values()

        assert_allclose(f1, f2[:, ::-1])
        assert_allclose(f1[0, 0], f[0])
        assert_allclose(p1[0, 0], p2[1, 1])
        assert_allclose(p1[0, 0], p[0, 0])
Пример #3
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    def setUp(self):
        # Initial Values
        a_0 = 100
        a_1 = 0.5
        rho = 0.9
        sigma_d = 0.05
        beta = 0.95
        c = 2
        gamma = 50.0
        theta = 0.002
        ac = (a_0 - c) / 2.0

        R = np.array([[0, ac, 0], [ac, -a_1, 0.5], [0., 0.5, 0]])

        R = -R
        Q = gamma / 2
        Q_pf = 0.

        A = np.array([[1., 0., 0.], [0., 1., 0.], [0., 0., rho]])
        B = np.array([[0.], [1.], [0.]])
        B_pf = np.zeros((3, 1))

        C = np.array([[0.], [0.], [sigma_d]])

        # the *_pf endings refer to an example with pure forecasting
        # (see p171 in Robustness)
        self.rblq_test = RBLQ(Q, R, A, B, C, beta, theta)
        self.rblq_test_pf = RBLQ(Q_pf, R, A, B_pf, C, beta, theta)
        self.lq_test = LQ(Q, R, A, B, C, beta)
        self.methods = ['doubling', 'qz']
Пример #4
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    def setUp(self):
        # Initial Values
        a_0     = 100
        a_1     = 0.5
        rho     = 0.9
        sigma_d = 0.05
        beta    = 0.95
        c       = 2
        gamma   = 50.0
        theta = 0.002
        ac    = (a_0 - c) / 2.0

        R = np.array([[0,  ac,    0],
                      [ac, -a_1, 0.5],
                      [0., 0.5,  0]])

        R = -R
        Q = gamma / 2

        A = np.array([[1., 0., 0.],
                      [0., 1., 0.],
                      [0., 0., rho]])
        B = np.array([[0.],
                      [1.],
                      [0.]])
        C = np.array([[0.],
                      [0.],
                      [sigma_d]])


        self.rblq_test = RBLQ(Q, R, A, B, C, beta, theta)
        self.lq_test = LQ(Q, R, A, B, C, beta)

        self.Fr, self.Kr, self.Pr = self.rblq_test.robust_rule()
Пример #5
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    def setUp(self):
        # Initial Values
        q = 1.
        r = 1.
        rf = 1.
        a = .95
        b = -1.
        c = .05
        beta = .95
        T = 1

        self.lq_scalar = LQ(q, r, a, b, C=c, beta=beta, T=T, Rf=rf)

        Q = np.array([[0., 0.], [0., 1]])
        R = np.array([[1., 0.], [0., 0]])
        RF = np.eye(2) * 100
        A = np.ones((2, 2)) * .95
        B = np.ones((2, 2)) * -1

        self.lq_mat = LQ(Q, R, A, B, beta=beta, T=T, Rf=RF)
    density=gaussian_kde(betaols)
    xs = np.linspace(-1,1)
    plt.plot(xs,density(xs))
    plt.show()

############
#  AD-HOC #
###########    
theta =2
R=-R
F, P, K = quantecon.robustlq.RBLQ(Q,R,A,B,C,beta,theta).robust_rule()

P = quantecon.solve_discrete_riccati(A, B, R, Q)
from quantecon.lqcontrol import LQ
I=np.eye(4)
lq = LQ(-beta*I*theta, R, A, C, beta=beta)

Ptest, ftest, dtest = lq.stationary_values()




theta =901

A=np.matrix([[rho1,0,0,0],
             [0,rho2,0,0],
             [0,0,rho3,0],
             [0,0,0,rho4]])

B=np.zeros((4,4))
Пример #7
0
B = np.matrix([[0, 0, 0, 0], [0, 0, 0, 0], [0, 0, 0, 0], [0, 0, 0, 0]])

C = np.matrix([[1, 0, 0, 0], [0, 1, 0, 0], [0, 0, 1, 0], [0, 0, 0, 1]])

Q = np.matrix([[0, 0, 0, 0], [0, 0, 0, 0], [0, 0, 0, 0], [0, 0, 0, 0]])

R = np.matrix([[r1, 0, 0, 0], [0, r2, 0, 0], [0, 0, r3, 0], [0, 0, 0, r4]])

P = np.ones(4)
I = np.ones(4)
Z = np.zeros(4)
quantecon.robustlq.RBLQ(Q, R, A, B, C, beta, theta).robust_rule()
F, K, P = quantecon.robustlq.RBLQ.robust_rule()

lq = LQ(-beta * I * theta, R, A, C, beta=beta)
P, f, d = lq.stationary_values()

#Define M for Schur-Decomposition

M11 = A + C * np.linalg.inv(beta * theta * A) * C.T * R
M12 = C * np.linalg.inv(beta * theta * A) * C.T
M21 = np.linalg.inv(A) * R
M22 = np.linalg.inv(A)

M1 = np.hstack((M11, M12))
M2 = np.hstack((M21, M22))

M = np.vstack((M1, M2))

[T, Z, sdim] = scipy.linalg.schur(M, output='real', sort='iuc')
Пример #8
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q       = 1e6

# == Formulate as an LQ problem == #
Q = 1
R = np.zeros((2, 2)) 
Rf = np.zeros((2, 2))
Rf[0, 0] = q
A = [[1 + r, -c_bar + mu], 
     [0,     1]]
B = [[-1],
     [0]]
C = [[sigma],
     [0]]

# == Compute solutions and simulate == #
lq = LQ(Q, R, A, B, C, beta=beta, T=T, Rf=Rf)
x0 = (0, 1)
xp, up, wp = lq.compute_sequence(x0)

# == Convert back to assets, consumption and income == #
assets = xp[0, :]           # a_t 
c = up.flatten() + c_bar    # c_t
income = wp[0, 1:] + mu     # y_t

# == Plot results == #
n_rows = 2
fig, axes = plt.subplots(n_rows, 1, figsize=(12, 10))

plt.subplots_adjust(hspace=0.5)
for i in range(n_rows):
    axes[i].grid()