Generic monte carlo simulation

HARK/simulation/monte_carlo.py

@@ -0,0 +1,33 @@
+from inspect import signature
+from typing import Callable, Mapping
+
+
+class Control:
+    """
+    Should go in HARK.model
+    """
+
+    def __init__(self, args):
+        pass
+
+def sim_one_period(
+        dynamics : Mapping[str, Callable],
+        pre : Mapping,
+        dr : Mapping[str, Callable]
+):
+    vals = pre.copy()
+
+    for varn in dynamics:
+        # Using the fact that Python dictionaries are ordered
+
+        feq = dynamics[varn]
+
+        if isinstance(feq, Control):
+            vals[varn] = dr[varn](*[
+                vals[var]
+                for var 
+                in signature(dr[varn]).parameters]) # TODO: test for signature match with Control
+        else:
+            vals[varn] = feq(*[vals[var] for var in signature(feq).parameters])
+
+    return vals

HARK/simulation/test_monte_carlo.py

@@ -0,0 +1,113 @@
+"""
+This file implements unit tests for the Monte Carlo simulation module
+"""
+import unittest
+
+from HARK.simulation.monte_carlo import *
+
+
+pre = {
+    'R' : 1.05,
+    'aNrm' : 1,
+    'gamma' : 1.1,
+    'psi' : 1.1, # TODO: draw this from a shock,
+    'theta' : 1.1 # TODO: draw this from a shock
+}
+
+dynamics = {
+    'G' : lambda gamma, psi : gamma * psi,
+    'Rnrm' : lambda R, G : R / G,
+    'bNrm' : lambda Rnrm, aNrm : Rnrm * aNrm,
+    'mNrm' : lambda bNrm, theta : bNrm + theta,
+    'cNrm' : Control(['mNrm']),
+    'aNrm' : lambda mNrm, cNrm : mNrm - cNrm
+}
+
+dr = {
+    'cNrm' : lambda mNrm : mNrm / 2
+}
+
+
+class test_sim_one_period(unittest.TestCase):
+    def test_sim_one_period(self):
+
+        post = sim_one_period(dynamics, pre, dr)
+
+        self.assertAlmostEqual(post['cNrm'], 0.98388429)
+
+
+
+
+
+
+
+
+
+
+###############################################################3
+
+'''
+init_parameters = {}
+init_parameters["PermGroFac"] = 1.05
+init_parameters["PermShkStd"] = 1.5
+init_parameters["PermShkCount"] = 5
+init_parameters["TranShkStd"] = 3.0
+init_parameters["TranShkCount"] = 5
+init_parameters["RiskyAvg"] = 1.05
+init_parameters["RiskyStd"] = 1.5
+init_parameters["RiskyCount"] = 5
+init_parameters["Rfree"] = 1.03
+
+frames_A = [
+    Frame(("bNrm",), ("aNrm",), transition=lambda Rfree, aNrm: Rfree * aNrm),
+    Frame(("mNrm",), ("bNrm", "TranShk"), transition=lambda bNrm: mNrm),
+    Frame(("cNrm"), ("mNrm",), control=True),
+    Frame(
+        ("U"),
+        ("cNrm", "CRRA"),  # Note CRRA here is a parameter not a state var
+        transition=lambda cNrm, CRRA: (CRRAutility(cNrm, CRRA),),
+        reward=True,
+        context={"CRRA": 2.0},
+    ),
+    Frame(("aNrm"), ("mNrm", "cNrm"), transition=lambda mNrm, cNrm: (mNrm - cNrm,)),
+]
+
+
+class test_FrameModel(unittest.TestCase):
+    def setUp(self):
+        self.model = FrameModel(frames_A, init_parameters)
+
+    def test_init(self):
+        self.model.frames.var("aNrm")
+
+        self.assertTrue(
+            isinstance(
+                list(self.model.frames.var("bNrm").parents.values())[0],
+                BackwardFrameReference,
+            )
+        )
+
+        self.assertTrue(
+            isinstance(
+                list(self.model.frames.var("aNrm").children.values())[0],
+                ForwardFrameReference,
+            )
+        )
+
+    def test_make_terminal(self):
+        terminal_model = self.model.make_terminal()
+
+        self.assertEqual(len(self.model.make_terminal().frames.var("aNrm").children), 0)
+
+    def test_prepend(self):
+        double_model = self.model.prepend(self.model)
+
+        self.assertEqual(len(double_model.frames), 10)
+
+    def test_repeat(self):
+        repeat_model = self.model.repeat({"bNrm": {"Rfree": [1.01, 1.03, 1.02]}})
+
+        self.assertEqual(len(repeat_model.frames), 15)
+
+        self.assertEqual(repeat_model.frames.var("bNrm_1").context["Rfree"], 1.03)
+'''