Sparse direct methods for model simulation

DOI10.1016/S0165-1889(97)00018-3zbMath0901.90036OpenAlexW1978634883MaRDI QIDQ1391667

Giorgio Pauletto, Manfred Gilli

Publication date: 22 July 1998

Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0165-1889(97)00018-3

zbMATH Keywords

forward-looking modelssparse Gaussian eliminationNewton type algorithmsblock LU

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Applications of mathematical programming (90C90) Economic growth models (91B62)

Related Items (7)

A sparse nonsymmetric eigensolver for distributed memory architectures ⋮ A simple but powerful simulated certainty equivalent approximation method for dynamic stochastic problems ⋮ Solution of finite-horizon multivariate linear rational expectations models and sparse linear systems ⋮ Krylov methods for solving models with forward-looking variables ⋮ Using the generalized Schur form to solve a multivariate linear rational expectations model ⋮ The use of interval arithmetic in solving a non-linear rational expectation based multiperiod output-inflation process model: the case of the IN/GB method ⋮ Solving finite difference schemes arising in trivariate option pricing.

Uses Software

• symrcm
• Dynare
• MA28

Cites Work

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• Optimally scaled matrices
• Algorithms for solving nonlinear dynamic decision models
• An alternative methodology for solving nonlinear forward-looking models
• Solution and Maximum Likelihood Estimation of Dynamic Nonlinear Rational Expectations Models
• Sparse Matrices in MATLAB: Design and Implementation
• Equation reordering for iterative processes ? a comment
• Predicting Structure in Sparse Matrix Computations

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