pyCollocation 0.6.0-alpha

Installation

Assuming you have pip on your computer (as will be the case if you’ve installed Anaconda) you can install the latest stable release of pycollocation by typing

pip install pycollocation

at a terminal prompt.

Example notebooks

Roadmap to 1.0

Ultimately I am hoping to contribute this package to either SciPy or QuantEcon, depending. Ideally, version 1.0 of pyCollocation would include the following functionality…

• Support for at least two additional classes of basis functions: B-Splines, what else? Next obvious candidate would be some basis functions specifically used to approximate periodic functions.

• Support a solver for over-identified systems of equations. Currently the Solver class requires the system of equations defined by the collocation residuals to be exactly identified. Many economic applications, particularly models of optimal bidding functions for various types of auctions, naturally lead to over-identified systems.

• Built-in support for computing Jacobian matrix for the system of equations defined by the collocation residuals. Given a user-supplied Jacobian for the BVP, one can apply the chain rule to construct the Jacobian matrix for system of equations defined by the collocation residuals.

• Support for solving models with unknown parameters (similar to scikits.bvp_solver). This would allow for the possibility to simultaneously solve and calibrate a model.

• Support for free boundary conditions. This comes up a lot in auction theory applications where the upper bounds on the bidder valuation distributions are unknown.