LCP solver for python
Optimal stopping time problems can often be rewritten as linear complementarity problems (LCP), which allows efficient solution algorithms
(see for example the Stopping time problems on Ben Moll's code section).
a python interface for pathlib, allowing to solve both linear and mixed complementarity problems. Among other requires gcc and cython to install.
Installation
- Download and extract the lcp folder
- Download and extract the pathlib folder into lcp/pathlib
- Download and extract the examples folder, use it to replace lcp/pathlib/examples.
- Go into lcp/pathlib/examples/SimpleLCP, and run "make -f makefile.lnx" (or other file if not on linux)
- Go into lcp/pathlib/examples/Standalone_C, and run "make -f makefile.lnx" (or other file if not on linux)
- Go into lcp/, run "python setup.py build_ext --inplace".