Solving Finite Mixture Models in Parallel
Christopher Ferrall ()
Computational Economics from University Library of Munich, Germany
Many economic models are completed by finding a parameter vector that optimizes a function f, a task that only be accomplished by iterating from a starting vector. Use of a generic iterative optimizer to carry out this task can waste enormous amounts of computation when applied to a class of problems defined here as finite mixture models. The finite mixture class is large and important in economics and eliminating wasted computations requires only limited changes to standard code. Further, the approach described here greatly increases gains from parallel execution and opens possibilities for re-writing objective functions to make further efficiency gains.
Keywords: Numerical Optimization; Heterogeneous Agent Models (search for similar items in EconPapers)
JEL-codes: C61 C63 D58 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-cmp and nep-ecm
Note: Type of Document - PDF; prepared on MikTeX; pages: 47; figures: included/
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Persistent link: https://EconPapers.repec.org/RePEc:wpa:wuwpco:0303003
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