On automatic derivation of first order conditions in dynamic stochastic optimisation problems

Grzegorz Klima and Kaja Retkiewicz-Wijtiwiak

MPRA Paper from University Library of Munich, Germany

Abstract: This note presents an algorithm for deriving first order conditions applicable to the most common optimisation problems encountered in dynamic stochastic models automatically. Given a symbolic library or a computer algebra system one can efficiently derive first order conditions which can then be used for solving models numerically (steady state, linearisation).

Keywords: DSGE; stochastic optimisation; first order conditions; symbolic computations (search for similar items in EconPapers)
JEL-codes: C61 C63 C68 (search for similar items in EconPapers)
Date: 2014-04-28
New Economics Papers: this item is included in nep-cmp and nep-ore
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Citations: View citations in EconPapers (3)

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