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The Gauss-Seidel-quasi-Newton method: A hybrid algorithm for solving dynamic economic models [An article from: Journal of Economic Dynamics and Control]
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This digital document is a journal article from Journal of Economic Dynamics and Control, published by Elsevier in 2007. The article is delivered in HTML format and is available in your Amazon.com Media Library immediately after purchase. You can view it with any web browser.
Description:
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.
Description:
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.
