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MAINT: Use multivariate_normal via random_state #581

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May 3, 2021
Merged

MAINT: Use multivariate_normal via random_state #581

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91225e4
MAINT: Use multivariate_normal via random_state
oyamad May 2, 2021
ef777d6
MAINT: PEP8 compliance
oyamad May 2, 2021
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8 changes: 4 additions & 4 deletions quantecon/lss.py
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Original file line number Diff line number Diff line change
Expand Up @@ -10,7 +10,6 @@

from textwrap import dedent
import numpy as np
from numpy.random import multivariate_normal
from scipy.linalg import solve
from .matrix_eqn import solve_discrete_lyapunov
from numba import jit
Expand Down Expand Up @@ -186,7 +185,8 @@ def simulate(self, ts_length=100, random_state=None):
"""
random_state = check_random_state(random_state)

x0 = multivariate_normal(self.mu_0.flatten(), self.Sigma_0)
x0 = random_state.multivariate_normal(self.mu_0.flatten(),
self.Sigma_0)
w = random_state.randn(self.m, ts_length-1)
v = self.C.dot(w) # Multiply each w_t by C to get v_t = C w_t
# == simulate time series == #
Expand Down Expand Up @@ -447,8 +447,8 @@ def __partition(self):
A_diag = np.diag(A)
num_const = 0
for idx in range(n):
if (A_diag[idx] == 1) and (C[idx, :] == 0).all() \
and np.linalg.norm(A[idx, :]) == 1:
if (A_diag[idx] == 1) and (C[idx, :] == 0).all() and \
np.linalg.norm(A[idx, :]) == 1:
sorted_idx.insert(0, idx)
num_const += 1
else:
Expand Down
16 changes: 9 additions & 7 deletions quantecon/tests/test_lss.py
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Expand Up @@ -52,7 +52,10 @@ def test_stationarity(self):

assert_allclose(ssmux.flatten(), np.array([2.5, 2.5, 1]))
assert_allclose(ssmuy.flatten(), np.array([2.5]))
assert_allclose(sssigx, self.ss2.A @ sssigx @ self.ss2.A.T + self.ss2.C @ self.ss2.C.T)
assert_allclose(
sssigx,
self.ss2.A @ sssigx @ self.ss2.A.T + self.ss2.C @ self.ss2.C.T
)
assert_allclose(sssigy, self.ss2.G @ sssigx @ self.ss2.G.T)
assert_allclose(sssigyx, self.ss2.G @ sssigx)

Expand All @@ -61,14 +64,14 @@ def test_simulate(self):

sim = ss.simulate(ts_length=250)
for arr in sim:
self.assertTrue(len(arr[0])==250)
self.assertTrue(len(arr[0]) == 250)

def test_simulate_with_seed(self):
ss = self.ss1

xval, yval = ss.simulate(ts_length=5, random_state=5)
expected_output = np.array([0.75 , 0.73456137, 0.6812898, 0.76876387,
.71772107])
expected_output = np.array([0.75, 0.69595649, 0.78269723, 0.73095776,
0.69989036])

assert_allclose(xval[0], expected_output)
assert_allclose(yval[0], expected_output)
Expand All @@ -82,8 +85,8 @@ def test_replicate(self):

def test_replicate_with_seed(self):
xval, yval = self.ss1.replicate(T=100, num_reps=5, random_state=5)
expected_output = np.array([0.06871204, 0.06937119, -0.1478022,
0.23841252, -0.06823762])
expected_output = np.array([0.10498898, 0.02892168, 0.04915998,
0.18568489, 0.04541764])

assert_allclose(xval[0], expected_output)
assert_allclose(yval[0], expected_output)
Expand All @@ -101,4 +104,3 @@ def test_non_square_A():
if __name__ == '__main__':
suite = unittest.TestLoader().loadTestsFromTestCase(TestLinearStateSpace)
unittest.TextTestRunner(verbosity=2, stream=sys.stderr).run(suite)