Tianhao Zhao

Approximate OU process with Markov chain when time step is non-integer

This package provides a programmatic framework of various lifetime problems of infinite and finite horizon. It provides a unified and user friendly API for economists.

This package provides types and methods for modeling vector-valued Markov chains in discrete time. It is useful for dynamic macroeconomic models and generic stochastic analysis. Project link: github.com/Clpr/MultivariateMarkovChain.jl

This package provides object-oriented API to define, train, evaluate and adapt multi-linear Adaptive Sparse Grid (ASG) interpolations. Project link: github.com/Clpr/AdaptiveSG.jl

A Julia implementation of box domains like [a1,b1]*[a2,b2]…. which are everywhere in economic modeling. The package allows users to define, manipulate, slice, transform, and discretize such spaces. In particular, most of the operations overload Julia Base such that users can have a native coding experience. Project URL: https://github.com/Clpr/BoxDomains.jl

This repository implements the Constrained Nelder-Mead (simplex) Search algorithm. It handles generic non-linear equality and inequality constraints using penalty which guides the simplex to move towards the admissible space. Project URL: https://github.com/Clpr/ConstrainedSimplexSearch.jl