Improving tatonnement methods for solving heterogeneous agent models


Ludwig, Alexander


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URL: http://ub-madoc.bib.uni-mannheim.de/2713
URN: urn:nbn:de:bsz:180-madoc-27138
Document Type: Working paper
Year of publication: 2004
Publication language: English
Institution: School of Law and Economics > Sonstige - Fakultät für Rechtswissenschaft und Volkswirtschaftslehre
MADOC publication series: Sonderforschungsbereich 504 > Rationalitätskonzepte, Entscheidungsverhalten und ökonomische Modellierung (Laufzeit 1997 - 2008)
Subject: 330 Economics
Classification: JEL: E13 C68 C63 ,
Subject headings (SWD): Mehrgenerationenmodell , Allgemeines Gleichgewicht , Theorie
Keywords (English): OLG models , Gauss-Seidel iterations , Quasi-Newton methods
Abstract: This paper modifies standard block Gauss-Seidel iterations used by tatonnement methods for solving large scale deterministic heterogeneous agent models. The composite method between first- and second-order tatonnement methods is shown to considerably improve convergence both in terms of speed as well as robustness relative to conventional first-order tatonnement methods. In addition, the relative advantage of the modified algorithm increases in the size and complexity of the economic model. Therefore, the algorithm allows significant reductions in computational time when solving large models. The algorithm is particularly attractive since it is easy to implement - it only augments conventional and intuitive tatonnement iterations with standard numerical methods.
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Das Dokument wird vom Publikationsserver der Universitätsbibliothek Mannheim bereitgestellt.




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Ludwig, Alexander (2004) Improving tatonnement methods for solving heterogeneous agent models. Open Access [Working paper]
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