Solving dynamic stochastic economic models by mathematical programming decomposition methods

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dc.contributor.author Esteban-Bravo, Mercedes
dc.contributor.author Nogales, Francisco J.
dc.date.accessioned 2010-03-16T09:24:57Z
dc.date.accessioned 2010-05-17T13:54:13Z
dc.date.available 2010-05-17T13:54:13Z
dc.date.issued 2008-01
dc.identifier.bibliographicCitation Computers & Operations Research, 2008, v. 35, n. 1, pp. 226-240
dc.identifier.issn 0305-0548
dc.identifier.uri http://hdl.handle.net/10016/7356
dc.description.abstract Discrete-time optimal control problems arise naturally in many economic problems. Despite the rapid growth in computing power and new developments in the literature, many economic problems are still quite challenging to solve. Economists are aware of the limitations of some of these approaches for solving these problems due to memory and computational requirements. However, many of the economic models present some special structure that can be exploited in an efficient manner. This paper introduces a decomposition methodology, based on a mathematical programming framework, to compute the equilibrium path in dynamic models by breaking the problem into a set of smaller independent subproblems. We study the performance of the method solving a set of dynamic stochastic economic models. The numerical results reveal that the proposed methodology is efficient in terms of computing time and accuracy
dc.format.mimetype text/plain
dc.format.mimetype application/pdf
dc.language.iso eng
dc.publisher Elsevier
dc.rights Elsevier
dc.subject.other Dynamic stochastic economic model
dc.subject.other Computation of equilibrium
dc.subject.other Mathematical programming
dc.subject.other Decomposition techniques
dc.title Solving dynamic stochastic economic models by mathematical programming decomposition methods
dc.type article
dc.type.review PeerReviewed
dc.description.status Publicado
dc.relation.publisherversion http://dx.doi.org/10.1016/j.cor.2006.02.031
dc.subject.eciencia Empresa
dc.identifier.doi 10.1016/j.cor.2006.02.031
dc.rights.accessRights openAccess
dc.identifier.publicationfirstpage 226
dc.identifier.publicationissue 1
dc.identifier.publicationlastpage 240
dc.identifier.publicationtitle Computers & Operations Research
dc.identifier.publicationvolume 35
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