کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
5099928 | 1377057 | 2007 | 23 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
The Gauss-Seidel-quasi-Newton method: A hybrid algorithm for solving dynamic economic models
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کلمات کلیدی
موضوعات مرتبط
مهندسی و علوم پایه
ریاضیات
کنترل و بهینه سازی
پیش نمایش صفحه اول مقاله
چکیده انگلیسی
The Jacobi matrix required for second-order iterations, such as standard Newton-Raphson procedures, is often too costly to determine for large systems of non-linear equations of a dynamic economic model. In such circumstances, first-order iterative methods are commonly adopted. The problem then, however, is that baseline first-order iterations may not converge. This paper provides a solution to this problem by developing a hybrid method of first- and second-order iterations for solving large-scale dynamic models. The modified algorithm is robust and fast and relative running times increase with the size and complexity of the economic model. As it is easy to implement - only using standard numerical procedures to augment conventional and intuitive first-order iterations - the algorithm is particularly attractive.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Economic Dynamics and Control - Volume 31, Issue 5, May 2007, Pages 1610-1632
Journal: Journal of Economic Dynamics and Control - Volume 31, Issue 5, May 2007, Pages 1610-1632
نویسندگان
Alexander Ludwig,