2009 Lectures at Peking and Renmin Universities Home Page
Many economists use Matlab. Other software is better for me, such as Mathematica and AMPL combined with solvers such as KNITRO. One advantage of Matlab is that it is cheap for students at many universities. Recently Mathematica has lowered its prices for selling to students through university site licenses. AMPL and its solvers are still expensive, and GAMS, a similiar software system, is also expensive. However, you can get free versions of AMPL and GAMS that will solve small problems. There is no similar free version of Mathematica.
AMPL is a “modeling language” that allows you to formulate problems and then use a variety of solvers to solve the problems.
A free version of AMPL is available at http://www.ampl.com/. It comes with some basic solvers. In particular, MINOS, SNOPT, and lp_solve are useful for economics problems. Another good solver is KNITRO, which you can download at http://www.ziena.com/download.htm. The free versions can only handle problems with fewer than 300 variables and 300 constraints. This will be good enough for any project we do in the course.
You can submit larger AMPL-coded programs to NEOS at http://www-neos.mcs.anl.gov/. This is a free service, but your programs should not take more than a few hours to run.
Below are attached some tutorials on how to use AMPL