Improving tatonnement methods for solving heterogeneous agent models

Alexander Ludwig

No 04-29, Papers from Sonderforschungsbreich 504

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.

Keywords: OLG models; Gauss-Seidel iterations; Quasi-Newton methods (search for similar items in EconPapers)
JEL-codes: C63 C68 E13 (search for similar items in EconPapers)
Date: 2004
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (8)

Downloads: (external link)
https://madoc.bib.uni-mannheim.de/2713/1/dp04_29.pdf

Related works:
Working Paper: Improving Tatonnement Methods of Solving Heterogeneous Agent Models (2004)
Working Paper: Improving tatonnement methods for solving heterogenous agent models (2004)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:mnh:spaper:2713

Access Statistics for this paper

More papers in Papers from Sonderforschungsbreich 504 Contact information at EDIRC.
Bibliographic data for series maintained by Katharina Rautenberg ().