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implement changes from PR #157 to fix lqcontrol docstring #297

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merged 2 commits into from
Apr 20, 2017
Merged

implement changes from PR #157 to fix lqcontrol docstring #297

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0252b9b
implement changes from PR #157 to fix lqcontrol docstring
mmcky Apr 12, 2017
5ca783a
adjust test as w_path is now returned not Cw_path
mmcky Apr 12, 2017
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11 changes: 6 additions & 5 deletions quantecon/lqcontrol.py
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Original file line number Diff line number Diff line change
Expand Up @@ -238,13 +238,13 @@ def compute_sequence(self, x0, ts_length=None):
Returns
========
x_path : array_like(float)
An n x T matrix, where the t-th column represents x_t
An n x T+1 matrix, where the t-th column represents x_t

u_path : array_like(float)
A k x T matrix, where the t-th column represents u_t

w_path : array_like(float)
A j x T matrix, where the t-th column represent w_t
A j x T+1 matrix, where the t-th column represent w_t

"""

Expand All @@ -266,7 +266,8 @@ def compute_sequence(self, x0, ts_length=None):
x0 = x0.reshape(self.n, 1) # Make sure x0 is a column vector
x_path = np.empty((self.n, T+1))
u_path = np.empty((self.k, T))
w_path = dot(C, np.random.randn(self.j, T+1))
w_path = np.random.randn(self.j, T+1)
Cw_path = dot(C, w_path)

# == Compute and record the sequence of policies == #
policies = []
Expand All @@ -282,9 +283,9 @@ def compute_sequence(self, x0, ts_length=None):
for t in range(1, T):
F = policies.pop()
Ax, Bu = dot(A, x_path[:, t-1]), dot(B, u_path[:, t-1])
x_path[:, t] = Ax + Bu + w_path[:, t]
x_path[:, t] = Ax + Bu + Cw_path[:, t]
u_path[:, t] = - dot(F, x_path[:, t])
Ax, Bu = dot(A, x_path[:, T-1]), dot(B, u_path[:, T-1])
x_path[:, T] = Ax + Bu + w_path[:, T]
x_path[:, T] = Ax + Bu + Cw_path[:, T]

return x_path, u_path, w_path
3 changes: 2 additions & 1 deletion quantecon/tests/test_lqcontrol.py
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Expand Up @@ -11,6 +11,7 @@
import numpy as np
from scipy.linalg import LinAlgError
from numpy.testing import assert_allclose
from numpy import dot
from quantecon.lqcontrol import LQ


Expand Down Expand Up @@ -55,7 +56,7 @@ def test_scalar_sequences(self):
u_0 = (-2*lq_scalar.A*lq_scalar.B*lq_scalar.beta*lq_scalar.Rf) / \
(2*lq_scalar.Q+lq_scalar.beta*lq_scalar.Rf*2*lq_scalar.B**2) \
* x0
x_1 = lq_scalar.A * x0 + lq_scalar.B * u_0 + w_seq[0, -1]
x_1 = lq_scalar.A * x0 + lq_scalar.B * u_0 + dot(lq_scalar.C, w_seq[0, -1])

assert_allclose(u_0, u_seq, rtol=1e-4)
assert_allclose(x_1, x_seq[0, -1], rtol=1e-4)
Expand Down