Have you looked at CVX? I feel like it may be relevant.
> On Aug 16, 2014, at 8:47 AM, Tomas Krehlik <[email protected]> wrote: > > I have a package that implements much of vector autoregression estimation and > I would like to develop a macro that would implement domain specific language > for imposing linear restriction in multidimensional time-series models. Of > course, the user could input the restrictions using some matrices, however I > tend to think that they will be much less readable than if I implement this > macro and I hope it should not be that bad. Typical example would be: > > restr = @restrictions begin > 2 beta[1,2,1] - beta[2,1,3] = 10 > beta[1,3,1] - beta[1,4,1] = 0 > end > > and the restr would be a tuple with matrix and vector after this. > > The beta has the following structure beta[from, to, lag]. The macro should > take each line and parse it and form proper restriction matrix R that will be > made from the signs and indexes at betas and vector r. So I need to parse the > signs, constants, and indeces of betas and the thing that is after the > equality. > > Am I right that the right direction is parsing the lines with regular > expressions to create the right matrices, or do you have suggestion for > better approach? Any further reference for something similar (or useful > resource) that has been done before is also very appreciated. > > Related on that note, is there any function to return all matches from regex? > That seems to be the biggest bottleneck so far. > > Any comments appreciated. Thanks!
