wald_class.py 文件源码

def find_cutoff_rule(self, J):
        """
        This function takes a value function and returns the corresponding
        cutoffs of where you transition between continue and choosing a
        specific model
        """
        payoff_choose_f0 = self.payoff_choose_f0
        payoff_choose_f1 = self.payoff_choose_f1
        m, pgrid = self.m, self.pgrid

        # Evaluate cost at all points on grid for choosing a model
        p_c_0 = payoff_choose_f0(pgrid)
        p_c_1 = payoff_choose_f1(pgrid)

        # The cutoff points can be found by differencing these costs with
        # the Bellman equation (J is always less than or equal to p_c_i)
        lb = pgrid[np.searchsorted(p_c_1 - J, 1e-10) - 1]
        ub = pgrid[np.searchsorted(J - p_c_0, -1e-10)]

        return (lb, ub)