O curse of dimensionality, where is thy sting?

Kenneth Judd

No 528, Computing in Economics and Finance 2006 from Society for Computational Economics

Abstract: Economic analysis often leads to multidimensional numerical problems. The {\em Curse of Dimensionality\/} often leads researchers to adopt methods designed for very high-dimension problems, but inefficient for problems of intermediate dimension. However, a little mathematics can greatly help dealing with the {\em Curse\/}. We will survey methods from approximation theory, numerical quadrature, and symbolic computation that have helped economists tackle high-dimensional problems, and current work that will further reduce the computational cost of multidimensional problems.

Date: 2006-07-04
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Persistent link: https://EconPapers.repec.org/RePEc:sce:scecfa:528

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