A divide-and-conquer algorithm for exploiting policy function monotonicity is proposed and analyzed. To compute a discrete problem with n states and n choices, the algorithm requires at most 5n log2(n)n function evaluations and so is O(n log2 n). In contrast, existing methods for non-concave...

Computational Statistics is an international journal that fosters the publication of applications and methodological research in the field of computational statistics. In this article, we will discuss the motivation, history, some specialties, and the future scope of this journal

In this study, we consider multi-period portfolio optimization model that is formulated as a mixed-integer second-order cone programming problems (MISOCPs). The Markowitz (1952) mean/variance framework has been extended by including transaction costs, conditional value-at-risk (CVaR),...

Keane's bump function is considered as a standard benchmark for nonlinear constrained optimization. It is highly multi-modal and its optimum is located at the non-linear constrained boundary. The true minimum of this function is, perhaps, unknown. We intend in this paper to optimize Keane's...

The nearest correlation matrix problem is to find a valid (positive semidefinite) correlation matrix, R(m,m), that is nearest to a given invalid (non-positive semidefinite) or pseudo-correlation matrix, Q(m,m); m larger than 2. In the literature on this problem, 'nearest' is invariably defined...

We present a global sensitivity analysis that quantifies the impact of parameter uncertainty on model outcomes. Specifically, we propose variance‐decomposition‐based Sobol' indices to establish an importance ranking of parameters and univariate effects to determine the direction of their...

Objective: The objective of the article is to present the concept of evolutionary algorithms and indicates the possibility of their implementation for the needs of the economy, especially the entrepreneurial economy. Research Design & Methods: This conceptual article relies on literature review...

The computational time required to solve and estimate dynamic economic models is one of the main constraints in empirical research. The Endogenous Grid Method (EGM) proposed by Carroll (2006) is known to offer impressive speed gains over more traditional stochastic dynamic programming methods,...

Non-stationary income processes are standard in quantitative life-cycle models, prompted by the observation that within-cohort income inequality increases with age. This paper generalizes Tauchen (1986) and Rouwenhorst's (1995) discretization methods to non-stationary AR(1) processes. We...

The "histogram method" (Young, 2010), while the standard approach for analyzing distributional dynamics in heterogeneous agent models, is linear in optimal policies. We introduce a novel method that captures nonlinearities of distributional dynamics. This method solves the distributional...