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April 28, 2016 14:53
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using JuMP, Ipopt | |
m = Model(solver = IpoptSolver()) | |
# Parameters | |
const γ = 2 | |
const ρ = 0.05 | |
const r = 0.041 | |
const μR = 0.051 | |
const ζ = 1.5 | |
const σR = sqrt((ζ/γ+ 1)/2*(μR-r)^2/(ρ - r)) | |
const n = 5000 | |
const amin = -0.3 | |
const amax = 1e4 | |
x = map(x-> x + 5 * x^10, linspace(0, 1, n)) | |
a = (amax-amin)/(maximum(x) - minimum(x))*x + amin | |
z = 3.0 * [0.01, 0.03] | |
λ = [0.5, 0.5] | |
# Variables to minimize | |
@variable(m, V[i=1:n, j=1:2], start = (z[j] + r * a[i])^(1-γ) / (1-γ) / ρ) | |
# Expressions | |
## Constants | |
## First Derivative | |
### Backward | |
@NLexpression(m, Vpb1[j=1:2], (z[j] + a[1] * r)^(-γ)) | |
@NLexpression(m, Vpbo[i=2:n, j=1:2], (V[i,j] - V[i-1,j]) / (a[i] - a[i-1])) | |
@NLexpression(m, Vpb[i=1:n, j=1:2], (i==1) * Vpb1[j] + (i>1) * Vpbo[max(i, 2), j]) | |
### Forward | |
@NLexpression(m, Vpfo[i=1:(n-1), j=1:2], (V[i+1,j] - V[i,j]) / (a[i+1] - a[i])) | |
@NLexpression(m, Vpfn[j=1:2], (z[j] + a[n] * r + (μR-r)^2/(γ * σR^2) * a[n])^(-γ)) | |
@NLexpression(m, Vpf[i=1:n, j=1:2], (i==n) * Vpfn[j] + (i<n) * Vpfo[min(i, n-1), j]) | |
### All | |
@NLexpression(m, Vp[i=1:n, j=1:2, s=1:2], (s==1) * Vpb[i, j] + (s==2) * Vpf[i, j]) | |
## Second Derivative | |
@NLexpression(m, Vpp1[j=1:2], 0.0) | |
@NLexpression(m, Vppn[j=1:2], - γ * Vp[n, j, 1] / a[n]) | |
@NLexpression(m, Vppo[i=2:(n-1), j=1:2], ((a[i] - a[i-1]) * V[i+1,j] + (a[i+1] - a[i]) * V[i-1,j] - (a[i+1]- a[i-1]) * V[i,j]) / (0.5 * (a[i+1] - a[i-1]) * (a[i+1] - a[i]) * (a[i] - a[i-1]))) | |
@NLexpression(m, Vpp[i=1:n, j=1:2], (i==1) * Vpp1[j] + (i==n) * Vppn[j] + (i>1) * (i<n) * Vppo[min(max(i,2), n-1), j]) | |
# Policy functions | |
@NLexpression(m, c[i=1:n, j=1:2, s=1:2], abs(Vp[i,j,s])^(-1/γ)) | |
@NLexpression(m, k1[j=1:2, s=1:2], 0.0) | |
@NLexpression(m, ko[i=2:n, j=1:2, s=1:2], (- Vp[i,j,s] / Vpp[i,j]) * (μR - r) / σR^2) | |
@NLexpression(m, kk[i=1:n, j=1:2, s=1:2], (i==1) * k1[j,s] + (i>1) * ko[max(i, 2),j,s]) | |
@NLexpression(m, k[i=1:n, j=1:2, s=1:2], (kk[i,j,s] <= (a[i] - a[1])) * (kk[i,j,s] >= 0) * kk[i, j,s] + (kk[i,j,s] >= (a[i]-a[1])) * (a[i]-a[1])) | |
@NLexpression(m, savings[i=1:n, j=1:2, s=1:2], (z[j] + r * a[i] + (μR - r) * k[i, j, s] - c[i, j, s])) | |
#Upwind | |
@NLexpression(m, UVp[i=1:n, j=1:2], (savings[i, j, 1] <= 0) * Vp[i, j, 1] + (savings[i, j, 1] > 0) * (savings[i, j, 2] >= 0) * Vp[i, j, 2]) | |
@NLexpression(m, Uk[i=1:n, j=1:2], (savings[i, j, 1] <= 0) * k[i, j, 1] + (savings[i, j, 1] > 0) * (savings[i, j, 2] >= 0) * k[i, j, 2] + (savings[i, j, 1] > 0) * (savings[i, j, 2] < 0) * (k[i,j,1]+k[i,j,2])/2) | |
@NLexpression(m, Uc[i=1:n, j=1:2], (savings[i, j, 1] <= 0) * c[i, j, 1] + (savings[i, j, 1] > 0) * (savings[i, j, 2] >= 0) * c[i, j, 2] + (savings[i, j, 1] > 0) * (savings[i, j, 2] < 0) * (z[j] + r * a[i] + (μR-r) * Uk[i,j])) | |
# Constraint | |
@NLexpression(m, HJB[i=1:n, j=1:2], Uc[i,j]^(1 - γ) / (1 - γ) + UVp[i,j] * (z[j] + r * a[i] + (μR - r) *Uk[i, j] - Uc[i, j]) + Vpp[i,j] * 0.5 * Uk[i,j]^2 * σR^2 + λ[j] * (V[i, (j==1) * 2 + (j==2) * 1]- V[i, j])) | |
@NLconstraint(m, CHJB[i=1:n, j=1:2], ρ * V[i, j] == HJB[i, j]) | |
# Objective | |
@NLobjective(m, Max, 1.0) | |
@time solve(m) | |
@time c = getvalue(c) |
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The issue you're having is jump-dev/JuMP.jl#702. Run
Pkg.checkout("ReverseDiffSparse")