[Feature Request] Generalized Schur decomposition
Hi, I'm translating some matlab code into Python/Scipy and noticed that Scipy lacks a generalized QZ decomposition that works like in Matlab. I found an equivalent by Sven Schreiber here: http://econ.schreiberlin.de/schreibersoftware.html which works exactly like Matlab's qz function. Could this be added to scipy.linalg? Cheers. -- Rodrigues Bruno ---------------------------- http://cbrunos.wordpress.com
On Mon, Mar 12, 2012 at 10:56 AM, Bruno André Rodrigues Coelho <r.c.bruno.andre@gmail.com> wrote:
Hi,
I'm translating some matlab code into Python/Scipy and noticed that Scipy lacks a generalized QZ decomposition that works like in Matlab.
I found an equivalent by Sven Schreiber here: http://econ.schreiberlin.de/schreibersoftware.html which works exactly like Matlab's qz function.
Could this be added to scipy.linalg?
Hi, I needed this as well for some macroeconometric estimators, and at the time I had problems with the ctypes implementation listed IIRC. I wrapped the lapack routines using f2py and you can find the standalone code here. http://eagle1.american.edu/~js2796a/qzordqz.tar.gz I will try to make a pull request against scipy this week. See the notes in the INSTALL file for a difference vs. MATLAB. Skipper
Hi, thanks for your reply. I also need this to estimate a DSGE model (I'm actually translating Sims' gensys function into python). Your implementation of qz looks interesting. Are you familiar with Sims' code to estimate a linear expectations model? Is ordqz equivalent to Sims' qzswitch? If not, what does it do? Cheers On Mon, Mar 12, 2012 at 4:07 PM, Skipper Seabold <jsseabold@gmail.com> wrote:
On Mon, Mar 12, 2012 at 10:56 AM, Bruno André Rodrigues Coelho <r.c.bruno.andre@gmail.com> wrote:
Hi,
I'm translating some matlab code into Python/Scipy and noticed that Scipy lacks a generalized QZ decomposition that works like in Matlab.
I found an equivalent by Sven Schreiber here: http://econ.schreiberlin.de/schreibersoftware.html which works exactly like Matlab's qz function.
Could this be added to scipy.linalg?
Hi,
I needed this as well for some macroeconometric estimators, and at the time I had problems with the ctypes implementation listed IIRC. I wrapped the lapack routines using f2py and you can find the standalone code here.
http://eagle1.american.edu/~js2796a/qzordqz.tar.gz
I will try to make a pull request against scipy this week. See the notes in the INSTALL file for a difference vs. MATLAB.
Skipper _______________________________________________ SciPy-Dev mailing list SciPy-Dev@scipy.org http://mail.scipy.org/mailman/listinfo/scipy-dev
-- Rodrigues Bruno ---------------------------- http://cbrunos.wordpress.com
On Mon, Mar 12, 2012 at 11:15 AM, Bruno André Rodrigues Coelho <r.c.bruno.andre@gmail.com> wrote:
Hi,
thanks for your reply. I also need this to estimate a DSGE model (I'm actually translating Sims' gensys function into python).
You might consider contributing to pymaclab. It certainly could use a little work. Last I checked it did not do full estimation, but it's the only project I know that is DSGE-related in Python. I haven't looked at this in a while though and the python dynare bindings may be pretty good now. AFAIK, my fork is the most up to date code, but I am not the original author. https://github.com/jseabold/pymaclab If you are interested, I can put you in touch with the original author. Let me know off list. You'll find that that package is installable and also has the implementations for ordqz as part of it. If you're interested on other macroeconometric estimators - e.g. filters, benchmarking code, (S)VAR, a Kalman filter implementation - you might be interested in statsmodels. http://statsmodels.sourceforge.net/devel/tsa.html
Your implementation of qz looks interesting. Are you familiar with Sims' code to estimate a linear expectations model? Is ordqz equivalent to Sims' qzswitch? If not, what does it do?
It has been a few years since I've looked at this, and I don't recall off the top of my head. It just looks like it reorders the output matrices. http://public.econ.duke.edu/~uribe/qzswitch.m My code is just a wrapper around the relevant LAPACK routines for the generalized Schur decomposition. Skipper
Cheers
On Mon, Mar 12, 2012 at 4:07 PM, Skipper Seabold <jsseabold@gmail.com> wrote:
On Mon, Mar 12, 2012 at 10:56 AM, Bruno André Rodrigues Coelho <r.c.bruno.andre@gmail.com> wrote:
Hi,
I'm translating some matlab code into Python/Scipy and noticed that Scipy lacks a generalized QZ decomposition that works like in Matlab.
I found an equivalent by Sven Schreiber here: http://econ.schreiberlin.de/schreibersoftware.html which works exactly like Matlab's qz function.
Could this be added to scipy.linalg?
Hi,
I needed this as well for some macroeconometric estimators, and at the time I had problems with the ctypes implementation listed IIRC. I wrapped the lapack routines using f2py and you can find the standalone code here.
http://eagle1.american.edu/~js2796a/qzordqz.tar.gz
I will try to make a pull request against scipy this week. See the notes in the INSTALL file for a difference vs. MATLAB.
Skipper _______________________________________________ SciPy-Dev mailing list SciPy-Dev@scipy.org http://mail.scipy.org/mailman/listinfo/scipy-dev
-- Rodrigues Bruno ---------------------------- http://cbrunos.wordpress.com _______________________________________________ SciPy-Dev mailing list SciPy-Dev@scipy.org http://mail.scipy.org/mailman/listinfo/scipy-dev
I was aware of pymaclab, but I don't really now how to use it and I'm not sure I could contribute right now, I'm still a beginner with Python. My thesis advisor uses Sims' functions to solve DSGE models and what I want to do is translate that into Python and then Cython to gain speed (he also wrote some function to estimate the model using Bayesian inference and compute irfs that I'll need to translate too). On Mon, Mar 12, 2012 at 4:39 PM, Skipper Seabold <jsseabold@gmail.com> wrote:
On Mon, Mar 12, 2012 at 11:15 AM, Bruno André Rodrigues Coelho <r.c.bruno.andre@gmail.com> wrote:
Hi,
thanks for your reply. I also need this to estimate a DSGE model (I'm actually translating Sims' gensys function into python).
You might consider contributing to pymaclab. It certainly could use a little work. Last I checked it did not do full estimation, but it's the only project I know that is DSGE-related in Python. I haven't looked at this in a while though and the python dynare bindings may be pretty good now. AFAIK, my fork is the most up to date code, but I am not the original author.
https://github.com/jseabold/pymaclab
If you are interested, I can put you in touch with the original author. Let me know off list. You'll find that that package is installable and also has the implementations for ordqz as part of it. If you're interested on other macroeconometric estimators - e.g. filters, benchmarking code, (S)VAR, a Kalman filter implementation - you might be interested in statsmodels.
http://statsmodels.sourceforge.net/devel/tsa.html
Your implementation of qz looks interesting. Are you familiar with Sims' code to estimate a linear expectations model? Is ordqz equivalent to Sims' qzswitch? If not, what does it do?
It has been a few years since I've looked at this, and I don't recall off the top of my head. It just looks like it reorders the output matrices.
http://public.econ.duke.edu/~uribe/qzswitch.m
My code is just a wrapper around the relevant LAPACK routines for the generalized Schur decomposition.
Skipper
Cheers
On Mon, Mar 12, 2012 at 4:07 PM, Skipper Seabold <jsseabold@gmail.com> wrote:
On Mon, Mar 12, 2012 at 10:56 AM, Bruno André Rodrigues Coelho <r.c.bruno.andre@gmail.com> wrote:
Hi,
I'm translating some matlab code into Python/Scipy and noticed that Scipy lacks a generalized QZ decomposition that works like in Matlab.
I found an equivalent by Sven Schreiber here: http://econ.schreiberlin.de/schreibersoftware.html which works exactly like Matlab's qz function.
Could this be added to scipy.linalg?
Hi,
I needed this as well for some macroeconometric estimators, and at the time I had problems with the ctypes implementation listed IIRC. I wrapped the lapack routines using f2py and you can find the standalone code here.
http://eagle1.american.edu/~js2796a/qzordqz.tar.gz
I will try to make a pull request against scipy this week. See the notes in the INSTALL file for a difference vs. MATLAB.
Skipper _______________________________________________ SciPy-Dev mailing list SciPy-Dev@scipy.org http://mail.scipy.org/mailman/listinfo/scipy-dev
-- Rodrigues Bruno ---------------------------- http://cbrunos.wordpress.com _______________________________________________ SciPy-Dev mailing list SciPy-Dev@scipy.org http://mail.scipy.org/mailman/listinfo/scipy-dev
SciPy-Dev mailing list SciPy-Dev@scipy.org http://mail.scipy.org/mailman/listinfo/scipy-dev
-- Rodrigues Bruno ---------------------------- http://cbrunos.wordpress.com
On Mon, Mar 12, 2012 at 11:51 AM, Bruno André Rodrigues Coelho <r.c.bruno.andre@gmail.com> wrote:
I was aware of pymaclab, but I don't really now how to use it and I'm not sure I could contribute right now, I'm still a beginner with Python. My thesis advisor uses Sims' functions to solve DSGE models and what I want to do is translate that into Python and then Cython to gain speed (he also wrote some function to estimate the model using Bayesian inference and compute irfs that I'll need to translate too).
I would be interested to hear of your efforts. It might be more relevant to the statsmodels list. In fact, it could possibly make a good google summer of code project. Please ping us here, if you'd like to discuss this more. We had a project implementing Structural VAR and IRFs last year. https://groups.google.com/group/pystatsmodels?hl=en&pli=1 Skipper
Hi, I posted a message. If interested people could participate, it could be awesome! On Mon, Mar 12, 2012 at 4:55 PM, Skipper Seabold <jsseabold@gmail.com> wrote:
On Mon, Mar 12, 2012 at 11:51 AM, Bruno André Rodrigues Coelho <r.c.bruno.andre@gmail.com> wrote:
I was aware of pymaclab, but I don't really now how to use it and I'm not sure I could contribute right now, I'm still a beginner with Python. My thesis advisor uses Sims' functions to solve DSGE models and what I want to do is translate that into Python and then Cython to gain speed (he also wrote some function to estimate the model using Bayesian inference and compute irfs that I'll need to translate too).
I would be interested to hear of your efforts. It might be more relevant to the statsmodels list. In fact, it could possibly make a good google summer of code project. Please ping us here, if you'd like to discuss this more. We had a project implementing Structural VAR and IRFs last year.
https://groups.google.com/group/pystatsmodels?hl=en&pli=1
Skipper _______________________________________________ SciPy-Dev mailing list SciPy-Dev@scipy.org http://mail.scipy.org/mailman/listinfo/scipy-dev
-- Rodrigues Bruno ---------------------------- http://cbrunos.wordpress.com
On Mon, Mar 12, 2012 at 10:56 AM, Bruno André Rodrigues Coelho <r.c.bruno.andre@gmail.com> wrote:
Hi,
I'm translating some matlab code into Python/Scipy and noticed that Scipy lacks a generalized QZ decomposition that works like in Matlab.
I found an equivalent by Sven Schreiber here: http://econ.schreiberlin.de/schreibersoftware.html which works exactly like Matlab's qz function.
Could this be added to scipy.linalg?
Pull request: https://github.com/scipy/scipy/pull/185 Skipper
participants (2)
-
Bruno André Rodrigues Coelho -
Skipper Seabold