Riccati: Add option to use scipy.linalg.solve_discrete_are

quantecon/lqcontrol.py

@@ -46,7 +46,7 @@ class LQ:
 
          x_{t+1} = A x_t + B u_t + C w_{t+1}
 
-    Here :math:`x` is n x 1, :math:`u` is k x 1, :math:`w` is j x 1 and the 
+    Here :math:`x` is n x 1, :math:`u` is k x 1, :math:`w` is j x 1 and the
     matrices are conformable for these dimensions.  The sequence :math:`{w_t}`
     is assumed to be white noise, with zero mean and
     :math:`\mathbb{E} [ w_t' w_t ] = I`, the j x j identity.
@@ -68,16 +68,13 @@ class LQ:
     Parameters
     ----------
     Q : array_like(float)
-        Q is the payoff(or cost) matrix that corresponds with the
+        Q is the payoff (or cost) matrix that corresponds with the
         control variable u and is k x k. Should be symmetric and
-        nonnegative definite
+        non-negative definite
     R : array_like(float)
-        R is the payoff(or cost) matrix that corresponds with the
+        R is the payoff (or cost) matrix that corresponds with the
         state variable x and is n x n. Should be symetric and
         non-negative definite
-    N : array_like(float)
-        N is the cross product term in the payoff, as above.  It should
-        be k x n.
     A : array_like(float)
         A is part of the state transition as described above. It should
         be n x n
@@ -88,6 +85,9 @@ class LQ:
         C is part of the state transition as described above and
         corresponds to the random variable today.  If the model is
         deterministic then C should take default value of None
+    N : array_like(float), optional(default=None)
+        N is the cross product term in the payoff, as above. It should
+        be k x n.
     beta : scalar(float), optional(default=1)
         beta is the discount parameter
     T : scalar(int), optional(default=None)
@@ -97,7 +97,6 @@ class LQ:
         matrix that corresponds with the control variable u and is n x
         n.  Should be symetric and non-negative definite
 
-
     Attributes
     ----------
     Q, R, N, A, B, C, beta, T, Rf : see Parameters
@@ -197,17 +196,26 @@ def update_values(self):
         # == Set new state == #
         self.P, self.d = new_P, new_d
 
-    def stationary_values(self):
+    def stationary_values(self, method='doubling'):
         """
-        Computes the matrix :math:`P` and scalar :math:`d` that represent 
+        Computes the matrix :math:`P` and scalar :math:`d` that represent
         the value function
 
         .. math::
 
              V(x) = x' P x + d
 
         in the infinite horizon case.  Also computes the control matrix
-        :math:`F` from :math:`u = - Fx`
+        :math:`F` from :math:`u = - Fx`. Computation is via the solution
+        algorithm as specified by the `method` option (default to the
+        doubling algorithm) (see the documentation in
+        `matrix_eqn.solve_discrete_riccati`).
+
+        Parameters
+        ----------
+        method : str, optional(default='doubling')
+            Solution method used in solving the associated Riccati
+            equation, str in {'doubling', 'qz'}.
 
         Returns
         -------
@@ -227,7 +235,7 @@ def stationary_values(self):
 
         # === solve Riccati equation, obtain P === #
         A0, B0 = np.sqrt(self.beta) * A, np.sqrt(self.beta) * B
-        P = solve_discrete_riccati(A0, B0, R, Q, N)
+        P = solve_discrete_riccati(A0, B0, R, Q, N, method=method)
 
         # == Compute F == #
         S1 = Q + self.beta * dot(B.T, dot(P, B))
@@ -242,28 +250,34 @@ def stationary_values(self):
 
         return P, F, d
 
-    def compute_sequence(self, x0, ts_length=None, random_state=None):
+    def compute_sequence(self, x0, ts_length=None, method='doubling',
+                         random_state=None):
         """
         Compute and return the optimal state and control sequences
         :math:`x_0, ..., x_T` and :math:`u_0,..., u_T`  under the
         assumption that :math:`{w_t}` is iid and :math:`N(0, 1)`.
 
         Parameters
-        ===========
+        ----------
         x0 : array_like(float)
             The initial state, a vector of length n
 
         ts_length : scalar(int)
             Length of the simulation -- defaults to T in finite case
 
+        method : str, optional(default='doubling')
+            Solution method used in solving the associated Riccati
+            equation, str in {'doubling', 'qz'}. Only relevant when the
+            `T` attribute is `None` (i.e., the horizon is infinite).
+
         random_state : int or np.random.RandomState, optional
             Random seed (integer) or np.random.RandomState instance to set
             the initial state of the random number generator for
             reproducibility. If None, a randomly initialized RandomState is
             used.
 
         Returns
-        ========
+        -------
         x_path : array_like(float)
             An n x T+1 matrix, where the t-th column represents :math:`x_t`
 
@@ -286,7 +300,7 @@ def compute_sequence(self, x0, ts_length=None, random_state=None):
         # == Preliminaries, infinite horizon case == #
         else:
             T = ts_length if ts_length else 100
-            self.stationary_values()
+            self.stationary_values(method=method)
 
         # == Set up initial condition and arrays to store paths == #
         random_state = check_random_state(random_state)

quantecon/matrix_eqn.py

@@ -1,11 +1,11 @@
 """
 Filename: matrix_eqn.py
 
-This files holds several functions that are used to solve matrix
+This file holds several functions that are used to solve matrix
 equations.  Currently has functionality to solve:
 
 * Lyapunov Equations
-* Ricatti Equations
+* Riccati Equations
 
 TODO: 1. See issue 47 on github repository, should add support for
       Sylvester equations
@@ -16,6 +16,7 @@
 from numpy import dot
 from numpy.linalg import solve
 from scipy.linalg import solve_discrete_lyapunov as sp_solve_discrete_lyapunov
+from scipy.linalg import solve_discrete_are as sp_solve_discrete_are
 
 
 EPS = np.finfo(float).eps
@@ -60,9 +61,9 @@ def solve_discrete_lyapunov(A, B, max_it=50, method="doubling"):
         approach.
 
     Returns
-    ========
+    -------
     gamma1: array_like(float, ndim=2)
-        Represents the value :math:`V`
+        Represents the value :math:`X`
 
     """
     if method == "doubling":
@@ -98,21 +99,19 @@ def solve_discrete_lyapunov(A, B, max_it=50, method="doubling"):
     return gamma1
 
 
-def solve_discrete_riccati(A, B, Q, R, N=None, tolerance=1e-10, max_iter=500):
+def solve_discrete_riccati(A, B, Q, R, N=None, tolerance=1e-10, max_iter=500,
+                           method="doubling"):
     """
     Solves the discrete-time algebraic Riccati equation
 
     .. math::
 
         X = A'XA - (N + B'XA)'(B'XB + R)^{-1}(N + B'XA) + Q
 
-    via a modified structured doubling algorithm. An explanation of the
-    algorithm can be found in the reference below.
-
-    Note that SciPy also has a discrete riccati equation solver. However it
-    cannot handle the case where :math:`R` is not invertible, or when :math:`N`
-    is nonzero. Both of these cases can be handled in the algorithm implemented
-    below.
+    Computation is via a modified structured doubling algorithm, an
+    explanation of which can be found in the reference below, if
+    `method="doubling"` (default), and via a QZ decomposition method by
+    calling `scipy.linalg.solve_discrete_are` if `method="qz"`.
 
     Parameters
     ----------
@@ -130,11 +129,16 @@ def solve_discrete_riccati(A, B, Q, R, N=None, tolerance=1e-10, max_iter=500):
         The tolerance level for convergence
     max_iter : scalar(int), optional(default=500)
         The maximum number of iterations allowed
+    method : string, optional(default="doubling")
+        Describes the solution method to use.  If it is "doubling" then
+        uses the doubling algorithm to solve, if it is "qz" then it uses
+        `scipy.linalg.solve_discrete_are` (in which case `tolerance` and
+        `max_iter` are irrelevant).
 
     Returns
     -------
     X : array_like(float, ndim=2)
-        The fixed point of the Riccati equation; a  k x k array
+        The fixed point of the Riccati equation; a k x k array
         representing the approximate solution
 
     References
@@ -145,6 +149,11 @@ def solve_discrete_riccati(A, B, Q, R, N=None, tolerance=1e-10, max_iter=500):
     (2010): pp-935.
 
     """
+    methods = ['doubling', 'qz']
+    if method not in methods:
+        msg = "Check your method input. Should be {} or {}".format(*methods)
+        raise ValueError(msg)
+
     # == Set up == #
     error = tolerance + 1
     fail_msg = "Convergence failed after {} iterations."
@@ -158,6 +167,11 @@ def solve_discrete_riccati(A, B, Q, R, N=None, tolerance=1e-10, max_iter=500):
     else:
         N = np.atleast_2d(N)
 
+    if method == 'qz':
+        X = sp_solve_discrete_are(A, B, Q, R, s=N.T)
+        return X
+
+    # if method == 'doubling'
     # == Choose optimal value of gamma in R_hat = R + gamma B'B == #
     current_min = np.inf
     candidates = (0.0, 0.01, 0.1, 0.25, 0.5, 1.0, 2.0, 10.0, 100.0, 10e5)

quantecon/tests/test_lqcontrol.py

@@ -30,7 +30,6 @@ def setUp(self):
 
         self.lq_scalar = LQ(q, r, a, b, C=c, beta=beta, T=T, Rf=rf)
 
-
         Q = np.array([[0., 0.], [0., 1]])
         R = np.array([[1., 0.], [0., 0]])
         RF = np.eye(2) * 100
@@ -39,12 +38,12 @@ def setUp(self):
 
         self.lq_mat = LQ(Q, R, A, B, beta=beta, T=T, Rf=RF)
 
+        self.methods = ['doubling', 'qz']
 
     def tearDown(self):
         del self.lq_scalar
         del self.lq_mat
 
-
     def test_scalar_sequences(self):
 
         lq_scalar = self.lq_scalar
@@ -56,15 +55,17 @@ 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 + dot(lq_scalar.C, 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)
 
     def test_scalar_sequences_with_seed(self):
         lq_scalar = self.lq_scalar
         x0 = 2
-        x_seq, u_seq, w_seq = lq_scalar.compute_sequence(x0, 10, 5)
+        x_seq, u_seq, w_seq = \
+            lq_scalar.compute_sequence(x0, 10, random_state=5)
 
         expected_output = np.array([[ 0.44122749, -0.33087015]])
 
@@ -80,20 +81,20 @@ def test_mat_sequences(self):
         assert_allclose(np.sum(u_seq), .95 * np.sum(x0), atol=1e-3)
         assert_allclose(x_seq[:, -1], np.zeros_like(x0), atol=1e-3)
 
-
     def test_stationary_mat(self):
         x0 = np.random.randn(2) * 25
         lq_mat = self.lq_mat
 
-        P, F, d = lq_mat.stationary_values()
         f_answer = np.array([[-.95, -.95], [0., 0.]])
         p_answer = np.array([[1., 0], [0., 0.]])
-
-        val_func_lq = np.dot(x0, P).dot(x0)
         val_func_answer = x0[0]**2
 
-        assert_allclose(f_answer, F, atol=1e-3)
-        assert_allclose(val_func_lq, val_func_answer, atol=1e-3)
+        for method in self.methods:
+            P, F, d = lq_mat.stationary_values(method=method)
+            val_func_lq = np.dot(x0, P).dot(x0)
+
+            assert_allclose(f_answer, F, atol=1e-3)
+            assert_allclose(val_func_lq, val_func_answer, atol=1e-3)
 
 
 if __name__ == '__main__':