Functions needed for vfi with dolo

gistfile1.txt

from dolo import yaml_import
model = yaml_import('examples/models/rbc.yaml')

s = model.calibration['states']
x = model.calibration['controls']
y = model.calibration['auxiliaries']
e = model.calibration['shocks']
v = model.calibration['values']
p = model.calibration['parameters']


f = model.functions['arbitrage']
g = model.functions['transition']
a = model.functions['auxiliary']
val = model.functions['value']
lb = model.functions['arbitrage_lb']
ub = model.functions['arbitrage_ub']


# f(s,x,e,s,x,p)  # arbitrage equations
g(s,x,e,p)        # transition of the states
a(s,x,p)          # definition of auxiliary variables
val(s,x,s,x,v,p)  # value-updating equation
x_ub = ub(s,p)  # upper bounds
x_lb = lb(s,p)  # lower bounds

# state-space :
ss = model.options['approximation_space']
a = ss['a']
b = ss['b']
orders = ss['orders']

# create interpolator
from dolo.numeric.interpolation.import MultivariateSplines
dr = MultivariateSplines(a,b,orders)
dr.set_values(vals) # values to interpolate
dr(points)          # points at which to interpolate

# matrix of covariances
sigma = model.covariances

# discretization of the shocks
from dolo.numeric.discretization.quadrature import gauss_hermite_nodes
qorders = [5] # number of nodes for each dimension
[x,w] = gauss_hermite_nodes(qorders, sigma)
# x : (2d) each line is a point
# w : (1d) weights