JuMP is also a good place to look.
On Saturday, August 16, 2014 8:11:04 AM UTC-6, Stefan Karpinski wrote: > > Have you looked at CVX? I feel like it may be relevant. > > On Aug 16, 2014, at 8:47 AM, Tomas Krehlik <[email protected] > <javascript:>> 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! > >
