-
Notifications
You must be signed in to change notification settings - Fork 7
Expand file tree
/
Copy pathff_ds_az_loop.m
More file actions
498 lines (410 loc) · 18 KB
/
ff_ds_az_loop.m
File metadata and controls
498 lines (410 loc) · 18 KB
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
43
44
45
46
47
48
49
50
51
52
53
54
55
56
57
58
59
60
61
62
63
64
65
66
67
68
69
70
71
72
73
74
75
76
77
78
79
80
81
82
83
84
85
86
87
88
89
90
91
92
93
94
95
96
97
98
99
100
101
102
103
104
105
106
107
108
109
110
111
112
113
114
115
116
117
118
119
120
121
122
123
124
125
126
127
128
129
130
131
132
133
134
135
136
137
138
139
140
141
142
143
144
145
146
147
148
149
150
151
152
153
154
155
156
157
158
159
160
161
162
163
164
165
166
167
168
169
170
171
172
173
174
175
176
177
178
179
180
181
182
183
184
185
186
187
188
189
190
191
192
193
194
195
196
197
198
199
200
201
202
203
204
205
206
207
208
209
210
211
212
213
214
215
216
217
218
219
220
221
222
223
224
225
226
227
228
229
230
231
232
233
234
235
236
237
238
239
240
241
242
243
244
245
246
247
248
249
250
251
252
253
254
255
256
257
258
259
260
261
262
263
264
265
266
267
268
269
270
271
272
273
274
275
276
277
278
279
280
281
282
283
284
285
286
287
288
289
290
291
292
293
294
295
296
297
298
299
300
301
302
303
304
305
306
307
308
309
310
311
312
313
314
315
316
317
318
319
320
321
322
323
324
325
326
327
328
329
330
331
332
333
334
335
336
337
338
339
340
341
342
343
344
345
346
347
348
349
350
351
352
353
354
355
356
357
358
359
360
361
362
363
364
365
366
367
368
369
370
371
372
373
374
375
376
377
378
379
380
381
382
383
384
385
386
387
388
389
390
391
392
393
394
395
396
397
398
399
400
401
402
403
404
405
406
407
408
409
410
411
412
413
414
415
416
417
418
419
420
421
422
423
424
425
426
427
428
429
430
431
432
433
434
435
436
437
438
439
440
441
442
443
444
445
446
447
448
449
450
451
452
453
454
455
456
457
458
459
460
461
462
463
464
465
466
467
468
469
470
471
472
473
474
475
476
477
478
479
480
481
482
483
484
485
486
487
488
489
490
491
492
493
494
495
496
497
498
%% FF_DS_AZ_LOOP (Looped Discrete Choice) Dynamic Savings Distribution
% For the AZ model, dynamic savings with Shocks. Looped distributional
% solution for discrete asset choices. Policy function maps to
% state-space. Given Shock transition and policy function, the model
% generates various joint discrete random variables. Distributions over
% consumption, savings, cash-on-hand, income, etc...
%
% This function assumes that savings choices are on the savings grid.
%
% * MP_PARAMS controls model preference, prices, shock and asset grid
% parameters.
% * MP_SUPPORT controls convergence criterion, printing and summary
% controls
%
% % Some MP_PARAMS that can be modified, see below
% mp_params = containers.Map('KeyType','char', 'ValueType','any');
% mp_params('fl_crra') = 1.5;
% mp_params('fl_beta') = 0.95;
% mp_params('fl_w') = 1.05;
% mp_params('fl_r') = 0.03;
% mp_params('it_a_n') = 25;
% mp_params('it_z_n') = 5;
%
% mp_support = containers.Map('KeyType','char', 'ValueType','any');
% mp_support('it_maxiter_ds') = 500;
% mp_support('fl_tol_ds') = 10e-5;
% % printer various information
% mp_support('bl_timer') = true;
% mp_support('bl_print_params') = false;
% mp_support('bl_print_iterinfo') = false;
% % These names must match keys of mp_solu: faz= joint distribution over
% a and z, fa=marginal distribution over a, fz= the statationary
% distribution of the z shock process, v=value, ap=savings choice,
% c=consumption, y=income, coh=cash-on-hand (income + savings),
% savefraccoh = ap/coh.
% % generate distributional mass for what faz joint mass, fa mass over
% savings, fz, mass over shocks
% mp_support('ls_dsout') = {'faz', 'fa', 'fz'};
% % Solution outcomes for statistics: must include ap for distribution
% mp_support('ls_slout') = {'ap', 'v', 'c', 'y', 'coh', 'savefraccoh'};
% % present which distribution: only faz is allowed
% mp_support_ext('ls_ddsna') = {'faz'};
% % which distributional outcomes to graph: faz or fa allowed
% mp_support_ext('ls_ddgrh') = {'faz', 'fa', 'fz'};
%
% [MP_VALPOLDIST_OUT, FLAG] = FF_DS_AZ_LOOP() default savings and shock
% model distributional simulation.
%
% [MP_VALPOLDIST_OUT, FLAG] = FF_DS_AZ_LOOP(MP_PARAMS) change model
% parameters through MP_PARAMS
%
% [MP_VALPOLDIST_OUT, FLAG] = FF_DS_AZ_LOOP(MP_PARAMS, MP_SUPPORT)
% change various printing, storaging, graphing, convergence etc controls
% through MP_SUPPORT
%
% [MP_VALPOLDIST_OUT, FLAG] = FF_DS_AZ_LOOP(MP_PARAMS, MP_SUPPORT,
% MP_SUPPORT_GRAPH) also changing graphing options, see the
% FF_GRAPH_GRID function for what key value paris can be specified.
%
% [MP_VALPOLDIST_OUT, FLAG] = FF_DS_AZ_LOOP(MP_PARAMS, MP_SUPPORT,
% MP_SUPPORT_GRAPH, MP_VALPOL) Solve the distributional problem given
% provided MP_VALPOL which is the map that is the output of VFI. This
% should generally not be called, the function should solve for value
% and policy function given new parameters.
%
% see also FX_DS_AZ_LOOP, FF_DS_AZ_CTS_LOOP, FF_DS_AZ_CTS_VEC,
% FF_GRAPH_GRID
%
%%
function [mp_valpoldist_out, flag] = ff_ds_az_loop(varargin)
%% Set Default and Parse Inputs
if (~isempty(varargin))
if (length(varargin) == 1)
[mp_params_ext] = varargin{:};
elseif (length(varargin) == 2)
[mp_params_ext, mp_support_ext] = varargin{:};
elseif (length(varargin) == 3)
[mp_params_ext, mp_support_ext, mp_support_graph_ext] = varargin{:};
elseif (length(varargin) == 4)
[mp_params_ext, mp_support_ext, mp_support_graph_ext, mp_valpol] = varargin{:};
end
else
close all;
mp_params_ext = containers.Map('KeyType','char', 'ValueType','any');
% mp_params_ext('solu_method') = 'bisec_vec';
% mp_params_ext('solu_method') = 'mzoom_vec';
mp_params_ext('solu_method') = 'vec';
mp_support_ext = containers.Map('KeyType','char', 'ValueType','any');
mp_support_ext('bl_timer') = true;
mp_support_ext('bl_print_params') = true;
mp_support_ext('bl_print_iterinfo') = true;
mp_support_ext('bl_show_stats_table') = true;
%savings, fz, mass over shocks
mp_support_ext('ls_dsout') = {'faz', 'fa', 'fz'};
% Solution outcomes for statistics: must include ap for distribution
mp_support_ext('ls_slout') = {'ap', 'v', 'c', 'y', 'coh', 'savefraccoh'};
% outcome for ff_container_map_display
mp_support_ext('ls_ddcmd') = {'faz', 'fa', 'fz'};
% which distributional outcomes to graph
mp_support_ext('ls_ddgrh') = {'faz', 'fa', 'fz'};
mp_support_ext('ddcmd_opt_it_row_n_keep') = 75;
mp_support_ext('ddcmd_opt_it_col_n_keep') = 9;
end
%% Default Model Parameters
% Parameters for both VFI and Dist
mp_params = containers.Map('KeyType','char', 'ValueType','any');
mp_params('solu_method') = 'vec';
mp_params('fl_crra') = 1.5;
mp_params('fl_beta') = 0.95;
mp_params('fl_w') = 1.40;
mp_params('fl_r') = 0.04;
mp_params('fl_a_min') = 0;
mp_params('fl_a_max') = 50;
mp_params('it_a_n') = 100;
mp_params('st_grid_type') = 'grid_powerspace';
mp_params('fl_z_persist') = 0.80;
mp_params('fl_shk_std') = 0.20;
mp_params('it_z_n') = 7;
% override default support_map values
if (length(varargin)>=1 || isempty(varargin))
mp_params = [mp_params; mp_params_ext];
end
%% Parse mp_params
params_group = values(mp_params, {'solu_method'});
[solu_method] = params_group{:};
params_group = values(mp_params, {'fl_a_min', 'fl_a_max', 'it_a_n', 'st_grid_type'});
[fl_a_min, fl_a_max, it_a_n, st_grid_type] = params_group{:};
params_group = values(mp_params, {'fl_z_persist', 'fl_shk_std', 'it_z_n'});
[fl_z_persist, fl_shk_std, it_z_n] = params_group{:};
%% Generate A and Z Grids
% Same min and max and grid points
[ar_a] = ff_saveborr_grid(fl_a_min, fl_a_max, it_a_n, st_grid_type);
ar_a = ar_a';
% shock vector and transition, normalize mean exp(shk) to 1
[ar_z, mt_z_trans] = ffy_rouwenhorst(fl_z_persist, fl_shk_std, it_z_n);
% [ar_z, mt_z_trans] = ffy_tauchen(fl_z_persist, fl_shk_std, it_z_n);
% normalize mean of exp to 1, fl_shk_std does not shift mean.
ar_z_stationary = mt_z_trans^1000;
ar_z_stationary = ar_z_stationary(1,:);
fl_labor_agg = ar_z_stationary*exp(ar_z);
ar_z = exp(ar_z')/fl_labor_agg;
%% Default Support Parameters
% support_map
mp_support = containers.Map('KeyType','char', 'ValueType','any');
% Iteration Control
mp_support('it_maxiter_ds') = 500;
mp_support('fl_tol_ds') = 1e-5;
% printer various information
mp_support('bl_timer') = true;
mp_support('bl_print_params') = false;
mp_support('bl_print_iterinfo') = false;
mp_support('bl_show_stats_table') = false;
% These names must match keys of mp_solu:
%savings, fz, mass over shocks
mp_support('ls_dsout') = {'faz', 'fa'};
% Solution outcomes for statistics: must include ap for distribution
mp_support('ls_stout') = {'ap', 'v', 'c', 'y', 'coh', 'savefraccoh'};
% outcome for ff_container_map_display
mp_support('ls_ddcmd') = {'faz', 'fa', 'fz'};
% present which distribution: only faz is allowed
mp_support('ls_ddsna') = {};
% which distributional outcomes to graph: faz or fa allowed
mp_support('ls_ddgrh') = {'fa'};
mp_support('ddcmd_opt_it_row_n_keep') = 10;
mp_support('ddcmd_opt_it_col_n_keep') = 9;
% override default support_map values
if (length(varargin)>=2 || isempty(varargin))
mp_support = [mp_support; mp_support_ext];
end
% Parse mp_support
params_group = values(mp_support, {'it_maxiter_ds', 'fl_tol_ds'});
[it_maxiter_ds, fl_tol_ds] = params_group{:};
params_group = values(mp_support, {'bl_timer', 'bl_print_iterinfo', 'bl_show_stats_table'});
[bl_timer, bl_print_iterinfo, bl_show_stats_table] = params_group{:};
params_group = values(mp_support, {'ls_stout', 'ls_dsout', 'ls_ddcmd', 'ls_ddsna', 'ls_ddgrh', ...
'ddcmd_opt_it_row_n_keep', 'ddcmd_opt_it_col_n_keep'});
[ls_stout, ls_dsout, ls_ddcmd, ls_ddsna, ls_ddgrh, ...
ddcmd_opt_it_row_n_keep, ddcmd_opt_it_col_n_keep] = params_group{:};
%% Solve the Value Function
if (length(varargin) <= 4)
mp_support('ls_slout') = mp_support('ls_stout');
if (strcmp(solu_method, 'loop'))
[mp_valpol] = ff_vfi_az_loop(mp_params, mp_support);
elseif (strcmp(solu_method, 'vec'))
[mp_valpol] = ff_vfi_az_vec(mp_params, mp_support);
end
% params_group = values(mp_valpol_out, mp_support_ext('ls_slout'));
% [ls_slout, ls_ffcmd, ls_ffsna, ls_ffgrh] = params_group{:};
end
mt_aprime = mp_valpol('ap');
%% Initialize Matrix
mt_dist_az_init = ones(length(ar_a),it_z_n)/length(ar_a)/it_z_n;
mt_dist_az_cur = mt_dist_az_init;
mt_dist_az_zeros = zeros(length(ar_a),it_z_n);
ar_dist_diff_norm = zeros([it_maxiter_ds, 1]);
mt_dist_perc_change = zeros([it_maxiter_ds, it_z_n]);
%% Start Timer
if (bl_timer)
tm_start_tic = tic;
end
%% Iterate and Get Distribution
% initialize
it_iter = 0;
% After converge, one more iteration to store results
bl_continue = true;
bl_converged = false;
% Loop 0, continuous VFI iteration until convergence
while bl_continue
it_iter = it_iter + 1;
% initialize empty
mt_dist_az = mt_dist_az_zeros;
% loop 1: over exogenous states
for it_z_i = 1:it_z_n
% loop 2: over endogenous states
for it_a_j = 1:length(ar_a)
% f(a'|a) = 1 for only one a'
% get lowe rand higher index
fl_aprime = mt_aprime(it_a_j, it_z_i);
it_aprime_idx = find(ar_a == fl_aprime);
% loop 3: loop over future shocks
% E_{a,z}(f(a',z'|a,z)*f(a,z))
for it_zp_q = 1:it_z_n
% current probablity at (a,z)
fl_cur_za_prob = mt_dist_az_cur(it_a_j, it_z_i);
% f(z'|z) transition
fl_ztoz_trans = mt_z_trans(it_z_i, it_zp_q);
% f(a',z'|a,z)*f(a,z)
fl_zfromza = fl_cur_za_prob*fl_ztoz_trans;
% cumulating
mt_dist_az(it_aprime_idx, it_zp_q) = mt_dist_az(it_aprime_idx, it_zp_q) + fl_zfromza;
end
end
end
% Difference across iterations
fl_diff = norm(mt_dist_az-mt_dist_az_cur);
if (bl_print_iterinfo)
ar_dist_diff_norm(it_iter) = fl_diff;
mt_dist_perc_change(it_iter, :) = sum((abs(mt_dist_az - mt_dist_az_cur) > fl_tol_ds))/(it_a_n);
end
% Update
mt_dist_az_cur = mt_dist_az;
% Update Continue Criterion
if bl_converged
bl_continue = false;
elseif(fl_diff <= fl_tol_ds || it_iter >= it_maxiter_ds)
bl_converged = true;
if (fl_diff <= fl_tol_ds)
flag = 1;
else
flag = 2;
end
end
% Print Iteration Record
if(bl_print_iterinfo)
disp(['FF_DS_AZ_CTS_LOOP, it_iter:' num2str(it_iter) ...
', fl_diff:' num2str(fl_diff)]);
end
end
%% Timer Stop
if (bl_timer)
tm_total = toc(tm_start_tic);
disp(['FF_DS_AZ_LOOP finished. Distribution took = ' num2str(tm_total)])
end
%% Results for Printing, and Graphing
mp_print_graph = containers.Map('KeyType','char', 'ValueType','any');
mp_print_graph('faz') = mt_dist_az;
mp_print_graph('fa') = sum(mt_dist_az,2);
mp_print_graph('fz') = sum(mt_dist_az,1)';
%% Show Value Function Convergence Information
if (bl_print_iterinfo)
it_z_select = unique(round(linspace(1,length(ar_z), 7)));
ar_z_select = ar_z(it_z_select);
tb_dist_alliter = array2table([ar_dist_diff_norm(1:it_iter)';...
mt_dist_perc_change(1:it_iter,it_z_select)']');
ar_st_col_zs = matlab.lang.makeValidName(strcat('z=', string(ar_z_select)));
cl_col_names = ['distgap', ar_st_col_zs];
cl_row_names = strcat('iter=', string(1:it_iter));
tb_dist_alliter.Properties.VariableNames = cl_col_names;
tb_dist_alliter.Properties.RowNames = cl_row_names;
disp('xxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxx');
disp('Value Function Iteration Per Iteration Changes');
disp('xxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxx');
disp('distgap = norm(mt_dist_az - mt_dist_az_cur): distributional function difference across iterations');
disp(['z1 = z1 perc change: sum((abs(mt_dist_az - mt_dist_az_cur) > fl_tol_ds))/(it_a_n);: percentage of state space'...
' points conditional on shock where the distribution mass is changing larger than fl_tol_ds across iterations']);
disp(tb_dist_alliter);
end
%% ls_ddcmd summary
if (~isempty(ls_ddcmd))
mp_ddcmd = containers.Map(ls_ddcmd, values(mp_print_graph, ls_ddcmd));
ff_container_map_display(mp_ddcmd, ddcmd_opt_it_row_n_keep, ddcmd_opt_it_col_n_keep);
end
%% ls_ddsna summarize full
if (~isempty(ls_ddsna))
% container map subseting
mp_ddsna = containers.Map(ls_ddsna, values(mp_print_graph, ls_ddsna));
% ff_summ_nd_array parameters
it_aggd = 0;
bl_row = 1;
ar_permute = [2,1];
ar_st_stats = ["mean"];
bl_print_table = true;
cl_mp_datasetdesc = {};
cl_mp_datasetdesc{1} = containers.Map({'name', 'labval'}, {'a', ar_a});
cl_mp_datasetdesc{2} = containers.Map({'name', 'labval'}, {'z', ar_z});
% summarize
param_map_keys = keys(mp_ddsna);
param_map_vals = values(mp_ddsna);
for i = 1:length(mp_ddsna)
st_mt_name = param_map_keys{i};
mt_cur = param_map_vals{i};
st_title = ['FF_DS_AZ_LOOP, outcome=' st_mt_name];
ff_summ_nd_array(st_title, mt_cur, ...
bl_print_table, ar_st_stats, it_aggd, bl_row, ...
cl_mp_datasetdesc, ar_permute);
end
end
%% ls_ffgrh graph
if (~isempty(ls_ddgrh))
% container map subseting
mp_ddgrh = containers.Map(ls_ddgrh, values(mp_print_graph, ls_ddgrh));
% container map settings
mp_support_graph = containers.Map('KeyType', 'char', 'ValueType', 'any');
mp_support_graph('st_legend_loc') = 'best';
mp_support_graph('bl_graph_logy') = true; % do not log
mp_support_graph('st_rowvar_name') = 'shock=';
mp_support_graph('it_legend_select') = 5; % how many shock legends to show
mp_support_graph('st_rounding') = '6.2f'; % format shock legend
% Overide graph options here with external parameters
if (length(varargin)>=3)
mp_support_graph = [mp_support_graph; mp_support_graph_ext];
end
% summarize
param_map_keys = keys(mp_ddgrh);
param_map_vals = values(mp_ddgrh);
for i = 1:length(mp_ddgrh)
% Get matrix and key
st_mt_name = param_map_keys{i};
mt_cur = param_map_vals{i};
if (strcmp(st_mt_name, 'faz'))
% First Show F(a,z) as Y
% Color
mp_support_graph('cl_colors') = 'copper'; % any predefined matlab colormap
% Update Title and Y label
mp_support_graph('cl_st_graph_title') = {['f(a,z), savings state =x, shock state = color, joint']};
mp_support_graph('cl_st_ytitle') = {['f(a,z) joint mass']};
mp_support_graph('cl_st_xtitle') = {'savings states, a'};
% Call function
ff_graph_grid(mt_cur', ar_z, ar_a, mp_support_graph);
% Show F(a,z) as Scatter Size
% Color
mp_support_graph('cl_colors') = 'black'; % any predefined matlab colormap
% Update Title and Y label
mp_support_graph('cl_st_graph_title') = {['F(a,z), Prob Mass at State-Space as Scatter Size']};
mp_support_graph('cl_st_ytitle') = {'shock states, z'};
mp_support_graph('cl_st_xtitle') = {'savings states, a'};
mp_support_graph('st_rowvar_name') = 'z =';
mp_support_graph('bl_graph_logy') = false;
% Call function distributional
ff_graph_grid(mt_cur', ar_z, ar_a, mp_support_graph, 'dist');
elseif (strcmp(st_mt_name, 'fa'))
% Color
mp_support_graph('cl_colors') = 'lines'; % any predefined matlab colormap
% Update Title and Y label
mp_support_graph('cl_st_graph_title') = {['f(a), savings state =x, marginal']};
mp_support_graph('cl_st_ytitle') = {['f(a) marginal mass']};
mp_support_graph('cl_st_xtitle') = {'savings states, a'};
% Call function
ff_graph_grid(mt_cur', ["shock"], ar_a, mp_support_graph);
elseif (strcmp(st_mt_name, 'fz'))
% Color
mp_support_graph('cl_colors') = 'gray'; % any predefined matlab colormap
% Update Title and Y label
mp_support_graph('cl_st_graph_title') = {['f(z), shock state =x, stationary']};
mp_support_graph('cl_st_ytitle') = {['f(z) marginal mass']};
mp_support_graph('cl_st_xtitle') = {'shock states, z'};
% Call function
ff_graph_grid(mt_cur', ["f(z)"], ar_z, mp_support_graph);
end
end
end
%% Store Results for Output
mp_valpoldist_out = containers.Map(ls_dsout, values(mp_print_graph, ls_dsout));
%% Distributional Statistics
if (~isempty(ls_stout))
% container map subseting
mp_slout = containers.Map(ls_stout, values(mp_valpol, ls_stout));
mp_cl_ar_xyz_of_s = containers.Map('KeyType','char', 'ValueType','any');
param_map_keys = keys(mp_slout);
param_map_vals = values(mp_slout);
for i = 1:length(mp_slout)
st_mt_name = param_map_keys{i};
mt_cur = param_map_vals{i};
mp_cl_ar_xyz_of_s(st_mt_name) = {mt_cur(:), zeros(1)};
end
% Add Names to list
mp_cl_ar_xyz_of_s('ar_st_y_name') = string(ls_stout);
% controls
mp_support = containers.Map('KeyType','char', 'ValueType','any');
mp_support('ar_fl_percentiles') = [0.01 0.1 1 5 10 20 25 30 40 50 60 70 75 80 90 95 99 99.9 99.99];
mp_support('bl_display_final') = bl_show_stats_table;
mp_support('bl_display_detail') = false;
mp_support('bl_display_drvm2outcomes') = false;
mp_support('bl_display_drvstats') = false;
mp_support('bl_display_drvm2covcor') = false;
% Call Function
mp_cl_mt_xyz_of_s = ff_simu_stats(mt_dist_az(:), mp_cl_ar_xyz_of_s, mp_support);
mp_valpoldist_out('mp_cl_mt_xyz_of_s') = mp_cl_mt_xyz_of_s;
end
end