API Reference

ContinuousDP{N,TR,TS,Tf,Tg,Tlb,Tub}

Type that reperesents a continuous-state dynamic program

Fields

• f::Tf<:Function: Reward function
• g::Tg<:Function: State transition function
• discount::Float64: Discount factor
• shocks::TR<:AbstractVecOrMat: Random variables' nodes
• weights::Vector{Float64}: Random variables' weights
• x_lb::Tlb<:Function: Lower bound of action variables
• x_ub::Tub<:Function: Upper bound of action variables
• interp::Interp{N,TS<:VecOrMat}: Object that contains information about interpolation

approx_lq(s_star, x_star, f_star, Df_star, DDf_star, g_star, Dg_star,
          discount)

Return an approximating LQ instance.

Arguments

• s_star::ScalarOrArray{T}: State variables at the steady-state
• x_star::ScalarOrArray{T}: Action variables at the steady-state
• f_star::Real: Reward function evaluated at the steady-state
• Df_star::AbstractVector{T}: Gradient of f satisfying Df_star = [f_s', f_x']
• DDf_star::AbstractMatrix{T}: Hessian of f satisfying DDf_star::Array = [f_ss f_sx; f_xs f_xx]
• g_star::ScalarOrArray{T}: State transition function evaluated at the steady-state
• Dg_star::AbstractMatrix{T}: Jacobian of g satisfying Dg_star = [g_s, g_x]
• discount::Real: Discount factor

simulate([rng=GLOBAL_RNG], res, s_init, ts_length)

Generate a sample path of state variable(s)

Arguments

• rng::AbstractRNG: Random number generator
• res::CDPSolveResult: Object that contains result of dynamic programming
• s_init: Initial value of state variable(s)
• ts_length::Integer: Length of simulation

Return

• s_path::VecOrMat:: Generated sample path of state variable(s)

evaluate_policy!(cdp, X, C)

Update basis coefficients

Arguments

• cdp::ContinuousDP: Object that contains model parameters
• X::Vector{Float64}: Policy function vector
• C::Vector{Float64}: A buffer array to hold the basis coefficients

Returns

• C::Vector{Float64}: Updated basis coefficients vector

set_eval_nodes!(res, s_nodes_coord)

Set evaluation nodes

Arguments

• res::CDPSolveResult: Object that contains the result of dynamic programming
• s_nodes_coord::NTuple{N,AbstractVector}: Evaluation nodes