Some issues in solving large sparse systems of equations

DOI10.1016/0165-1889(90)90024-BMaRDI QIDQ919749zbMATH OpenOpenAlexFDO

Authors F. J. Henk Don

Publication date 1990

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(90)90024-b

zbMATH Keywords

convergenceeconometric modelsfeedback variablesGauss-Seidel algorithmlarge sparse systemsNewton-type algorithmnormalizationNumerical examplesreordering

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Numerical computation of solutions to systems of equations (65H10)

Review text

The author discusses some problems concerning the solution of large sparse systems of equations. They are argued to be solved efficiently if the equations are ordered in such a way that the set of feedback variables is small. Questions of applying the technology for reordering the equations when the presented systems are solved are discussed. These results can be applied to econometric models which are described by non normalized equations, implicit equations and vector equations. It is proved that a good normalization does not always exist (even if a bad one does). Note, that one can rewrite the system in an alternative (but mathematically equivalent) way which allows a good normalization. In spite of its large size the systems can often be solved efficiently by a Newton-type algorithm. It is noted that this procedure can be used to enchance the convergence of the Gauss-Seidel algorithm. Numerical examples are presented.

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Cites work

• Four Alternative Policies to Restore Balance of Payments Equilibrium
• scientific article; zbMATH DE number 3726053 (Why is no real title available?)
• scientific article; zbMATH DE number 3639144 (Why is no real title available?)
• scientific article; zbMATH DE number 3381785 (Why is no real title available?)
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Cited in

(10)

• Sparse direct methods for model simulation
• Sparse systems in fixed point form
• scientific article; zbMATH DE number 3885206 (Why is no real title available?)
• scientific article; zbMATH DE number 3874501 (Why is no real title available?)
• scientific article; zbMATH DE number 4151722 (Why is no real title available?)
• Equation reordering for iterative processes ? a comment
• On the solution of big systems of equations
• Matchings, covers, and Jacobian matrices
• Robust economic models
• Solving models with inequalities using standard econometric software

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