On automatic derivation of first order conditions in dynamic stochastic optimisation problems

This note presents an algorithm for deriving first order conditions applicable to the most common optimisation problems encountered in dynamic stochastic models automatically. Given a symbolic library or a computer algebra system one can efficiently derive first order conditions which can then be used for solving models numerically (steady state, linearisation).

MoreLess

Year of publication:	2014-04-28
Authors:	Klima, Grzegorz ; Retkiewicz-Wijtiwiak, Kaja
Institutions:	Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München
Subject:	DSGE \| stochastic optimisation \| first order conditions \| symbolic computations

freely available

Full text |

More access options

Check Google Scholar

In German libraries (KVK)

I need help

More details

Extent:	application/pdf
Series:	MPRA Paper.
Type of publication:	Book / Working Paper
Classification:	C61 - Optimization Techniques; Programming Models; Dynamic Analysis ; C63 - Computational Techniques ; C68 - Computable General Equilibrium Models
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10011111893