[robustness] Execution Error

[Matt McKay]

@Smit-create can you please review the robustness lecture

AttributeError: module 'quantecon' has no attribute 'lqcontrol'

due to this code block

------------------
# Model parameters

a_0 = 100
a_1 = 0.5
ρ = 0.9
σ_d = 0.05
β = 0.95
c = 2
γ = 50.0

θ = 0.002
ac = (a_0 - c) / 2.0

# Define LQ matrices

R = np.array([[0.,   ac,   0.],
            [ac, -a_1,  0.5],
            [0.,  0.5,  0.]])

R = -R  # For minimization
Q = γ / 2

A = np.array([[1., 0., 0.],
            [0., 1., 0.],
            [0., 0., ρ]])
B = np.array([[0.],
            [1.],
            [0.]])
C = np.array([[0.],
            [0.],
            [σ_d]])

# ----------------------------------------------------------------------- #
#                                 Functions
# ----------------------------------------------------------------------- #


def evaluate_policy(θ, F):

    """
    Given θ (scalar, dtype=float) and policy F (array_like), returns the
    value associated with that policy under the worst case path for {w_t},
    as well as the entropy level.
    """

    rlq = qe.robustlq.RBLQ(Q, R, A, B, C, β, θ)
    K_F, P_F, d_F, O_F, o_F = rlq.evaluate_F(F)
    x0 = np.array([[1.], [0.], [0.]])
    value = - x0.T @ P_F @ x0 - d_F
    entropy = x0.T @ O_F @ x0 + o_F
    return list(map(float, (value, entropy)))


def value_and_entropy(emax, F, bw, grid_size=1000):

    """
    Compute the value function and entropy levels for a θ path
    increasing until it reaches the specified target entropy value.

    Parameters
    ==========
    emax: scalar
        The target entropy value

    F: array_like
        The policy function to be evaluated

    bw: str
        A string specifying whether the implied shock path follows best
        or worst assumptions. The only acceptable values are 'best' and
        'worst'.

    Returns
    =======
    df: pd.DataFrame
        A pandas DataFrame containing the value function and entropy
        values up to the emax parameter. The columns are 'value' and
        'entropy'.
    """

    if bw == 'worst':
        θs = 1 / np.linspace(1e-8, 1000, grid_size)
    else:
        θs = -1 / np.linspace(1e-8, 1000, grid_size)

    df = pd.DataFrame(index=θs, columns=('value', 'entropy'))

    for θ in θs:
        df.loc[θ] = evaluate_policy(θ, F)
        if df.loc[θ, 'entropy'] >= emax:
            break

    df = df.dropna(how='any')
    return df


# ------------------------------------------------------------------------ #
#                                    Main
# ------------------------------------------------------------------------ #


# Compute the optimal rule
optimal_lq = qe.lqcontrol.LQ(Q, R, A, B, C, beta=β)
Po, Fo, do = optimal_lq.stationary_values()

# Compute a robust rule given θ
baseline_robust = qe.robustlq.RBLQ(Q, R, A, B, C, β, θ)
Fb, Kb, Pb = baseline_robust.robust_rule()

# Check the positive definiteness of worst-case covariance matrix to
# ensure that θ exceeds the breakdown point
test_matrix = np.identity(Pb.shape[0]) - (C.T @ Pb @ C) / θ
eigenvals, eigenvecs = eig(test_matrix)
assert (eigenvals >= 0).all(), 'θ below breakdown point.'


emax = 1.6e6

optimal_best_case = value_and_entropy(emax, Fo, 'best')
robust_best_case = value_and_entropy(emax, Fb, 'best')
optimal_worst_case = value_and_entropy(emax, Fo, 'worst')
robust_worst_case = value_and_entropy(emax, Fb, 'worst')

fig, ax = plt.subplots()

ax.set_xlim(0, emax)
ax.set_ylabel("Value")
ax.set_xlabel("Entropy")
ax.grid()

for axis in 'x', 'y':
    plt.ticklabel_format(style='sci', axis=axis, scilimits=(0, 0))

plot_args = {'lw': 2, 'alpha': 0.7}

colors = 'r', 'b'

df_pairs = ((optimal_best_case, optimal_worst_case),
            (robust_best_case, robust_worst_case))


class Curve:

    def __init__(self, x, y):
        self.x, self.y = x, y

    def __call__(self, z):
        return np.interp(z, self.x, self.y)


for c, df_pair in zip(colors, df_pairs):
    curves = []
    for df in df_pair:
        # Plot curves
        x, y = df['entropy'], df['value']
        x, y = (np.asarray(a, dtype='float') for a in (x, y))
        egrid = np.linspace(0, emax, 100)
        curve = Curve(x, y)
        print(ax.plot(egrid, curve(egrid), color=c, **plot_args))
        curves.append(curve)
    # Color fill between curves
    ax.fill_between(egrid,
                    curves[0](egrid),
                    curves[1](egrid),
                    color=c, alpha=0.1)

plt.show()
------------------