Improving Tatonnement Methods for Solving Heterogeneous Agent Models

Alexander Ludwig

No 04-29, Sonderforschungsbereich 504 Publications from Sonderforschungsbereich 504, Universität Mannheim, Sonderforschungsbereich 504, University of Mannheim

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.

Pages: 30 pages
Date: 2004-09-07
Note: I thank Alan Auerbach, Axel Börsch-Supan,
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Citations: View citations in EconPapers (10)

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Related works:
Working Paper: Improving Tatonnement Methods of Solving Heterogeneous Agent Models (2004)
Working Paper: Improving tatonnement methods for solving heterogeneous agent models (2004)
Working Paper: Improving tatonnement methods for solving heterogenous agent models (2004)
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