Deep-MacroFin is a comprehensive deep-learning framework designed to solve equilibrium economic models in continuous time. The library leverages deep learning to alleviate curse of dimensionality.
Documentation: mkdocs
All the code are under deep_macrofin, and the tests are under tests
To run the code and tests locally
python -m venv venv
source venv/bin/activate # venv/Scripts/activate using Windows powershell
pip install -r requirements.txt
pip install -r requirements-dev.txt
pip install -r requirements-doc.txt
For easier testing, you can create a file in the root folder of the project, and import functions from deep_macrofin.
To properly run all tests in the tests/ folder
pip install -e .
pytest tests/
Various examples using the library, with comparisons to DeepXDE and PyMacroFin are included in examples
basic_examples: Solutions to basic ODEs/PDEs, diffusion equation, function approximation and systems of ODEs, with some comparisons to DeepXDE.initial_examples: Initial scripts for testing deep neural networks for ODE/PDE solutions, and macromodels.kan_examples: Solutions to basic ODEs, using KAN as approximatorsmacro_problems: Macroeconomic models in different dimensions.paper_example: Examples in the paper, with PyMacroFin and deepXDE comparisons. Models and log files for reproducing paper results can be found in Google Drive.pymacrofin_eg: Examples from PyMacroFin and proposition 2 from Brunnermeier and Sannikov (2014)
Note: PyMacroFin and DeepXDE are used as benchmarks in several examples, but the associated packages are not included in this repo's requirements.txt. To run the comparisons properly, please install their packages respectively.
The documentation site is based on mkdocs and mkdocs-mateiral.
Layouts
mkdocs.yml # The configuration file.
docs/
index.md # The documentation homepage.
... # Other markdown pages, images and other files.
To see the site locally, run the following command:
mkdocs serve
If you use Deep-MacroFin for academic research, you are encouraged to cite the following paper:
@misc{wu2024deepmacrofin,
title={Deep-MacroFin: Informed Equilibrium Neural Network for Continuous Time Economic Models},
author={Yuntao Wu and Jiayuan Guo and Goutham Gopalakrishna and Zisis Poulos},
year={2024},
eprint={2408.10368},
archivePrefix={arXiv},
primaryClass={cs.LG},
url={https://arxiv.org/abs/2408.10368},
}