floswald / numericalmethods

website for numerical methods course

Computational Economics for PhDs

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Course Description

This is a course for PhD students in Computational Economics.

Course Overview

In this course you will learn about some commonly used methods in Computational Economics. These methods are being used in all fields of Economics. The course has a clear focus on applying what you learn. We will cover the theoretical concepts that underlie each topic, but you should expect a fair amount of hands on action required on your behalf. In the words of the great Che-Lin Su:

Doing Computation is the only way to learn Computation. Doing Computation is the only way to learn Computation. Doing Computation is the only way to learn Computation.

True to that motto, there will be homeworks for you to try out what you learned in class. There will also be a term paper.

Prerequisites

1. You need a laptop.
2. You should be familiar with the material from Introduction to Programming taught by Clement Mazet in M1. Check out the materials here
3. You must sign up for a free account at github.com. Choose a reasonable user name and upload a profile picture.
4. Before you come the first class, please do this:
   1. Download the latest stable julia release for your OS.
   2. Download the VSCode Editor

Getting Programming Skills

1. Check out Clement Mazet's materials. You must know this level.
2. We will be using Julia for this course.
   • Noteworthy Differences from Other Languages
   • MATLAB, Python, Julia Syntax Comparison
3. Clement in his course will introduce you to things like the Unix Shell and the verion control system Git. Both of those are very useful - for this course, and for the rest of your life as a scientist.
4. What is Version Control? watch this 5 minute video. and go back to Clement's stuff if unclear.

License

The copyright notice to be included in any copies and other derivative work of this material is:

Copyright 2021 Florian Oswald, Sciences Po Paris, [email protected]

Thank you.

This is licensed under Creative Commons Attribution-NonCommercial-ShareAlike 4.0 International License

numericalmethods's Issues

Homework 4 - Objective and Constraint

Hi, I'm following the course (thanks for making it public btw!) and struggling a bit with setting up the objective and constraint functions in homework 4. Unfortunately there is no check built-in to the notebook for those. These are the functions I have set up:

function obj(x::Vector, grad::Vector, data::Dict)
	a = data[:a]
	ns = data[:ns]
	z = data[:z]
	zp = data[:zp]
	π = data[:π]
	if length(grad) > 0
		grad[1] = up(a, x[1])
		grad[2] = sum(π * a .* zp[:, 1] * up(a, sum(x[2] * zp[:, 1])))
		grad[3] = sum(π * a .* zp[:, 2] * up(a, sum(x[3] * zp[:, 2])))
		grad[4] = sum(π * a .* zp[:, 3] * up(a, sum(x[4] * zp[:, 3])))
	end
	return u(a, x[1]) + sum([π[s] * u(a, sum(x[2:end] .* zp[s, :])) for s in 1:ns])
end

function constr(x::Vector, grad::Vector, data::Dict)
	p = data[:p]
	e = data[:e]
	if length(grad) > 0
		grad[1] = 1
		grad[2] = p[1]
		grad[3] = p[2]
		grad[4] = p[3]
	end
	return x[1] + sum(p .* x[2:end]) - sum(p .* e)
end

Would appreciate if you could let me know if this is correct or otherwise point out where I'm wrong.