Improving Tatonnement Methods for Solving Heterogeneous Agent Models


Ludwig, Alexander


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URL: http://ub-madoc.bib.uni-mannheim.de/893
URN: urn:nbn:de:bsz:180-madoc-8939
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: Veröffentlichungen des MEA (Mannheim Research Institute For the Economics of Aging) > MEA Discussion Papers
Subject: 330 Economics
Classification: JEL: C63 C68 E13 ,
Subject headings (SWD): Gauß-Seidel-Iterationsverfahren , Quasi-Newton-Verfahren
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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