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QuantEcon / QuantEcon.py

A community based Python library for quantitative economics
https://quantecon.org/quantecon-py/
MIT License
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Method for computing linearized solution to system of ODEs #76

Open davidrpugh opened 10 years ago

davidrpugh commented 10 years ago

Should I add a method to the quantecon.ivp.IVP class that computes a linear approximation of the solution to the ODE around a specified point in state/phase space? Under the hood the method would use routines from scipy.linalg to compute eigenvalues and eigenvectors of the Jacobian and use them to construct the linearized solution. I think that this could be done in a fairly (if not completely) general way, but I will need to do a bit more reading to know for sure.

I suppose the real utility if such a method would be largely pedagogical: many, many papers use linearization around a steady state as the sole technique for analyzing dynamics of a model; accuracy of this approach degrades quickly away from steady state, other numerical solution methods are more accurate globally; with method for linearizing we could then demonstrate exactly how much it matters in practice.

jstac commented 10 years ago

It's hard for me to judge demand for that --- but I imagine it might be popular if supported by a notebook exposition.

davidrpugh commented 10 years ago

Yes, it is always tough to judge whether demand creates supply or the other way round.