The Nelder-Mead simplex method is an optimization routine that works well with irregular objective functions. For a function of <InlineEquation ID="IEq1"> <EquationSource Format="TEX">$$n$$</EquationSource> </InlineEquation> parameters, it compares the objective function at the <InlineEquation ID="IEq2"> <EquationSource Format="TEX">$$n+1$$</EquationSource> </InlineEquation> vertices of a simplex and updates the worst vertex through simplex search steps. However, a...</equationsource></inlineequation></equationsource></inlineequation>

Bayesian inference for stochastic volatility models using MCMC methods highly depends on actual parameter values in terms of sampling efficiency. While draws from the posterior utilizing the standard centered parameterization break down when the volatility of volatility parameter in the latent...

This paper presents a decomposition strategy applicable to DAE constrained optimization problems. A common solution method for such problems is to apply a direct transcription method and solve the resulting nonlinear program using an interior-point algorithm. For this approach, the time to solve...

In this paper, we consider two decomposition schemes for the graph theoretical description of the axial Multidimensional Assignment Problem (MAP). The problem is defined as finding n disjoint cliques of size m with minimum total cost in K <Subscript> m×n </Subscript>, which is an m-partite graph with n elements per...</subscript>

This paper discusses issues related to GPU for economic problems. It highlights new methodologies and resources that are available for solving and estimating economic models and emphasizes situations when they are useful and others where they are impractical. Two examples illustrate the...

Dynamic programming is the essential tool in dynamic economic analysis. Problems such as portfolio allocation for individuals and optimal economic growth are typical examples. Numerical methods typically approximate the value function. Recent work has focused on making numerical methods more...