The use of interval arithmetic in solving a non-linear rational expectation based multiperiod output-inflation process model: the case of the IN/GB method

DOI10.1016/J.EJOR.2009.07.027MaRDI QIDQ1043352zbMATH OpenOpenAlexFDO

Authors Benito A. Stradi-Granados, Emmanuel Haven

Publication date 7 December 2009

Published in European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.ejor.2009.07.027

zbMATH Keywords

forward-looking macroeconomics modelsIN/GB methodinterval arithmeticinterval Gauss-Seidel methodrational expectations

Mathematics Subject Classification ID

Macroeconomic theory (monetary models, models of taxation) (91B64) Numerical methods (including Monte Carlo methods) (91G60)

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Cites work

• A heuristic algorithm for constrained multi-source Weber problem - the variational inequality approach
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• Algorithm 737: INTLIB—a portable Fortran 77 interval standard-function library
• An algorithm competition: First-order iterations versus Newton-based techniques
• An alternative methodology for solving nonlinear forward-looking models
• Analytic derivatives for linear rational expectations models
• Arithmetic operators in interval-valued fuzzy set theory
• Balanced random interval arithmetic in market model estimation
• Benders decomposition for a class of variational inequalities
• Derived eigenvalues of symmetric matrices, with applications to distance geometry
• scientific article; zbMATH DE number 4139201 (Why is no real title available?)
• scientific article; zbMATH DE number 54095 (Why is no real title available?)
• scientific article; zbMATH DE number 3281219 (Why is no real title available?)
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• Krylov methods for solving models with forward-looking variables
• OPTIMAL INVESTMENT STRATEGY VIA INTERVAL ARITHMETIC
• PROFIL/BIAS - A fast interval library
• Proving the existence of zeros using the topological degree and interval arithmetic
• Rigorous global search: continuous problems
• Sequential versus simultaneous approach in the location and design of two new facilities using planar Huff-like models
• Solution and Maximum Likelihood Estimation of Dynamic Nonlinear Rational Expectations Models
• Solving a huff-like competitive location and design model for profit maximization in the plane
• Solving finite difference schemes arising in trivariate option pricing.
• Some tests of generalized bisection
• Sparse direct methods for model simulation
• The Solution of Linear Difference Models under Rational Expectations

Cited in

(1)

• Interval arithmetic for nonlinear problem solving

Describes a project that uses

Uses Software

• INTLIB
• PROFIL/BIAS
• INTOPT_90
• Dynare

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