(moving the discussion back to the Dynare list)
Le mardi 06 août 2013 à 10:26 -0400, Jesus Fernandez-Villaverde a écrit :
Sebeastien: how do you compute the analytic derivatives in Julia (or are you just computing numerical ones?)
I compute analytic derivatives using the possibility given by Julia of manipulating the syntax tree of mathematical expressions. Note that my code is compatible with Julia 0.1, but probably not with the development branch since it changed the way of manipulating expressions; I will update my code for Julia 0.2 when it is out.
Concerning Julia, I am indeed very enthusiastic about it. I did an experiment with a sovereign default model that I had previously coded in C++ (the solution method is a variant of VFI), and it turns out that the Julia code for the same model is both shorter and faster. I therefore think that Julia may be the next big thing in scientific computing, though it is too early to be sure.
Concerning the relationship between Dynare and Julia, my view is a mix of possibilities 1 and 3 given by Michel. That is, I think we should strive towards developing a library of Julia code for manipulating and solving models, and then provide a frontend which would use that library and which would be able to parse MOD files (at least the non-MATLAB part of them).
I don't believe much in a MATLAB/Julia hybrid software, it would still have the limitations of MATLAB while increasing the complexity of the whole thing. For that reason, I think that Dynare as it exists today under MATLAB/Octave will continue to exist for quite some time. Next to that, we can create a distinct Julia-based software following the principles that I outline above. My code on Github is a first step in that direction, and I intend to continue that effort in the coming academic year.
Best,