A note on the radius of convergence of the USA algorithm

DOI10.1016/0165-1889(89)90025-0MaRDI QIDQ1115333zbMATH OpenOpenAlexFDO

Authors Arvind Khilnani, Edison Tse

Publication date 1989

Published in Journal of Economic Dynamics and Control (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/0165-1889(89)90025-0

zbMATH Keywords

computation of equilibriafixed-point algorithmradius of convergenceupdated successive approximation

Mathematics Subject Classification ID

Numerical computation of solutions to systems of equations (65H10) Numerical mathematical programming methods (65K05) Nonlinear programming (90C30)

Review text

The authors described previously an algorithm termed the method of updated successive approximation, or USA for short [ibid. 9, No.2, 127- 137 (1985; Zbl 0663.90011)]. USA is a fixed-point algorithm that converges to the true equilibrium for an arbitrary choice of initial conditions. This paper extends the results developed in the original paper by showing that the algorithm has an arbitrarily large radius of convergence. The radius of convergence is used to address an issue raised by \textit{D. Herceg} and \textit{L. Cvetković} [ibid. 13, No.2, 301-311 (1989; Zbl 0663.90012)]. Herceg and Cvetkovic present an example which they claim shows the nonconvergence of the USA algorithm for a particular set of initial conditions. A recomputation of their example with identical initial conditions but arbitrarily large radius of convergence shows that the algorithm does indeed converge to the true equilibrium as predicted.

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Cites work

• A fixed point algorithm with economic applications
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(4)

• A note on Khilnani and Tse's USA algorithm
• On the extrapolation method and the USA algorithm
• An integrated system model for a fishery management process. I: Model structure
• Nonstationary model solution techniques and the USA algorithm

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