diff --git a/code_to_optimize/discrete_riccati.py b/code_to_optimize/discrete_riccati.py index 53fe30891..d29d4738b 100644 --- a/code_to_optimize/discrete_riccati.py +++ b/code_to_optimize/discrete_riccati.py @@ -1,5 +1,4 @@ -""" -Utility functions used in CompEcon +"""Utility functions used in CompEcon Based routines found in the CompEcon toolbox by Miranda and Fackler. @@ -9,14 +8,16 @@ and Finance, MIT Press, 2002. """ + from functools import reduce + +import numba as nb import numpy as np import torch def ckron(*arrays): - """ - Repeatedly applies the np.kron function to an arbitrary number of + """Repeatedly applies the np.kron function to an arbitrary number of input arrays Parameters @@ -43,8 +44,7 @@ def ckron(*arrays): def gridmake(*arrays): - """ - Expands one or more vectors (or matrices) into a matrix where rows span the + """Expands one or more vectors (or matrices) into a matrix where rows span the cartesian product of combinations of the input arrays. Each column of the input arrays will correspond to one column of the output matrix. @@ -79,13 +79,11 @@ def gridmake(*arrays): out = _gridmake2(out, arr) return out - else: - raise NotImplementedError("Come back here") + raise NotImplementedError("Come back here") def _gridmake2(x1, x2): - """ - Expands two vectors (or matrices) into a matrix where rows span the + """Expands two vectors (or matrices) into a matrix where rows span the cartesian product of combinations of the input arrays. Each column of the input arrays will correspond to one column of the output matrix. @@ -114,19 +112,14 @@ def _gridmake2(x1, x2): """ if x1.ndim == 1 and x2.ndim == 1: - return np.column_stack([np.tile(x1, x2.shape[0]), - np.repeat(x2, x1.shape[0])]) - elif x1.ndim > 1 and x2.ndim == 1: - first = np.tile(x1, (x2.shape[0], 1)) - second = np.repeat(x2, x1.shape[0]) - return np.column_stack([first, second]) - else: - raise NotImplementedError("Come back here") + return _gridmake2_1d_1d(x1, x2) + if x1.ndim > 1 and x2.ndim == 1: + return _gridmake2_2d_1d(x1, x2) + raise NotImplementedError("Come back here") def _gridmake2_torch(x1: torch.Tensor, x2: torch.Tensor) -> torch.Tensor: - """ - PyTorch version of _gridmake2. + """PyTorch version of _gridmake2. Expands two tensors into a matrix where rows span the cartesian product of combinations of the input tensors. Each column of the input tensors @@ -161,10 +154,40 @@ def _gridmake2_torch(x1: torch.Tensor, x2: torch.Tensor) -> torch.Tensor: first = x1.tile(x2.shape[0]) second = x2.repeat_interleave(x1.shape[0]) return torch.column_stack([first, second]) - elif x1.dim() > 1 and x2.dim() == 1: + if x1.dim() > 1 and x2.dim() == 1: # tile x1 along first dimension first = x1.tile(x2.shape[0], 1) second = x2.repeat_interleave(x1.shape[0]) return torch.column_stack([first, second]) - else: - raise NotImplementedError("Come back here") + raise NotImplementedError("Come back here") + + +@nb.njit +def _gridmake2_1d_1d(x1, x2): + n1 = x1.shape[0] + n2 = x2.shape[0] + out = np.empty((n1 * n2, 2), dtype=x1.dtype) + + for i in range(n2): + for j in range(n1): + out[i * n1 + j, 0] = x1[j] + out[i * n1 + j, 1] = x2[i] + + return out + + +@nb.njit +def _gridmake2_2d_1d(x1, x2): + n1 = x1.shape[0] + n2 = x2.shape[0] + n_cols = x1.shape[1] + out = np.empty((n1 * n2, n_cols + 1), dtype=x1.dtype) + + for i in range(n2): + for j in range(n1): + idx = i * n1 + j + for k in range(n_cols): + out[idx, k] = x1[j, k] + out[idx, n_cols] = x2[i] + + return out