Project URL: https://github.com/Clpr/ConstrainedSimplexSearch.jl
This repository implements the Constrained Nelder-Mead (simplex) Search algorithm which is generalized from the unconstrained Nelder-Mead search method. It handles generic non-linear equality and inequality constraints using penalty which guides the simplex to move towards the admissible space. This package provides a robust solver for high-dimensional quantitative macroeconomic models where: 1. endogeneous constraints are imposed; 2. boundary bindingness are important; 3. High-dimensional numerical approximations are oscilliating.
This package has been registered at Julia’s general registry. To install it, simply run:
pkg> add ConstrainedSimplexSearch.jl