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Functions needed for vfi with dolo
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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 |
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