MarkovProcess object in distribution.py, towards #639

Documentation/CHANGELOG.md

@@ -17,7 +17,7 @@ Release Data: TBD
 * Adds a constructor for LogNormal distributions from mean and standard deviation (#891)[https://github.com/econ-ark/HARK/pull/891/]
 * Uses new LogNormal constructor in ConsPortfolioModel (#891)[https://github.com/econ-ark/HARK/pull/891/]
 * calcExpectations method for taking the expectation of a distribution over a function (#884)[https://github.com/econ-ark/HARK/pull/884/]
-
+* MarkovProcess class (#902)[https://github.com/econ-ark/HARK/pull/902]
 
 #### Minor Changes
 

HARK/distribution.py

@@ -1105,3 +1105,54 @@ def calcExpectation(dstn,func=None,values=None):
     # Compute expectations over the shocks and return it
     f_exp = np.dot(f_query, dstn.pmf)
     return f_exp
+
+
+class MarkovProcess(Distribution):
+    """
+    A representation of a discrete Markov process.
+
+    Parameters
+    ----------
+    transition_matrix : np.array
+        An array of floats representing a probability mass for
+        each state transition.
+    seed : int
+        Seed for random number generator.
+
+    """
+
+    transition_matrix = None
+
+    def __init__(self, transition_matrix, seed=0):
+        """
+        Initialize a discrete distribution.
+
+        """
+        self.transition_matrix = transition_matrix
+
+        # Set up the RNG
+        super().__init__(seed)
+
+    def draw(self, state):
+        """
+        Draw new states fromt the transition matrix.
+
+        Parameters
+        ----------
+        state : int or nd.array
+            The state or states (1-D array) from which to draw new states.
+
+        Returns
+        -------
+        new_state : int or nd.array
+            New states.
+        """
+        def sample(s):
+            return self.RNG.choice(
+                self.transition_matrix.shape[1],
+                p = self.transition_matrix[s,:]
+            )
+
+        array_sample = np.frompyfunc(sample, 1, 1)
+
+        return array_sample(state)

HARK/tests/test_distribution.py

@@ -6,7 +6,7 @@
 
 class DiscreteDistributionTests(unittest.TestCase):
     """
-    Tests for simulation.py sampling distributions
+    Tests for distribution.py sampling distributions
     with default seed.
     """
 
@@ -21,7 +21,7 @@ def test_drawDiscrete(self):
 
 class DistributionClassTests(unittest.TestCase):
     """
-    Tests for simulation.py sampling distributions
+    Tests for distribution.py sampling distributions
     with default seed.
     """
 
@@ -64,3 +64,25 @@ def test_Uniform(self):
 
     def test_Bernoulli(self):
         self.assertEqual(distribution.Bernoulli().draw(1)[0], False)
+
+
+class MarkovProcessTests(unittest.TestCase):
+    """
+    Tests for MarkovProcess class.
+    """
+
+    def test_draw(self):
+
+        mrkv_array = np.array(
+            [[.75, .25],[0.1, 0.9]]
+        )
+
+        mp = distribution.MarkovProcess(mrkv_array)
+
+        new_state = mp.draw(np.zeros(100).astype(int))
+
+        self.assertEqual(new_state.sum(), 20)
+
+        new_state = mp.draw(new_state)
+
+        self.assertEqual(new_state.sum(), 39)