julia
setup and Getting Started
Setup environment
Tools and Editors
Examples
Types
Essentials
Speed
Data and Statistical Packages
Integration and Function Approximation
Numerical Integration
Monte-Carlo integration
Gaussian Quadrature
Multidimensional Quadrature
Quadrature with correlated shocks
Function Approximation
Polynomial Interpolation
Basis functions and Coefficients
Regression as Approximation
Colocation Methods
Multidimensional Approximation
The Smolyak Grid
Optimisation 1
Intro
Conditions for Optima
Derivatives and Gradients
Numerical Differentiation
JuliaOpt
Optimisation 2
Bracketing
Local Descent
First/Second Order and Direct Methods
Constraints
JuMP.jl
Numerical Dynamic Programming
Review of DP theory
Different Solution methods for different cases
Discretization
Parametric approximation methods basically Function Approximation
The Endogenous Grid Method
Finite time vs inifinite horizon models
Solving the Growth Model in 7 Different ways
Constrained Optimisation Applications as MPECs
What is an MPEC?
How can we cast constrained problems as MPECs?
Applications:
MPEC on John Rust's Bus Engine Replacement
The Berry-Levinsohn-Pakes (BLP) paper as constrainted optimization problems
HPC julia
Brief intro to parallel computing concepts
Parallel computing with julia
GPU computing with julia
Rust Bus Model and Dynamic Discrete Choice
Intro to Machine Learning with julia
The julia ML stack
julia ML applications
We will try to honour Science Po's anti-plagiarism policy:
Plagiarism occurs when a student submits work that does not allow one to distinguish the student's own thoughts from those of other authors: it can be characterised by the absence of citation of a group of consecutive words (five or more), by reformulation or translation, or by copying directly." (article on intellectual honesty)
Reuse and building upon ideas or code are major parts of modern software development. As an economist writing code, you will (hopefully) never write anything from scratch. This class is structured such that all solutions are public. You are encouraged to learn from the work of your peers. As I said above, I won't hunt down people who are simply copying-and-pasting solutions, because without challenging themselves, they are simply wasting their time and money taking this class.
Please respect the terms of use and/or license of any code you find, and if you reimplement or duplicate an algorithm or code from elsewhere, credit the original source with an inline comment.
The copyright notice to be included in any copies and other derivative work of this material is:
Copyright 2021 Florian Oswald, Sciences Po Paris, florian.oswald@gmail.com
Thank you.
This is licensed under Creative Commons Attribution-NonCommercial-ShareAlike 4.0 International License