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We propose a simple and powerful method for determining the transition process in continuous-time DSGE models under Poisson uncertainty numerically. The idea is to transform the system of stochastic differential equations into a system of functional differential equations of the retarded type....
Persistent link: https://www.econbiz.de/10010270397
We propose a simple and powerful numerical algorithm to compute the transition process in continuous-time dynamic equilibrium models with rare events. In this paper we transform the dynamic system of stochastic differential equations into a system of functional differential equations of the...
Persistent link: https://www.econbiz.de/10010274762
In this paper we develop several regression algorithms for solving general stochastic optimal control problems via Monte Carlo. This type of algorithms is particularly useful for problems with a highdimensional state space and complex dependence structure of the underlying Markov process with...
Persistent link: https://www.econbiz.de/10010276592
Sets closed under rational behavior were introduced by Basu and Weibull (1991) as subsets of the strategy space that contain all best replies to all strategy profiles in the set. We here consider a more restrictive notion of closure under rational behavior: a subset of the strategy space is...
Persistent link: https://www.econbiz.de/10010281178
Bayesian inference for DSGE models is typically carried out by single block random walk Metropolis, involving very high computing costs. This paper combines two features, adaptive independent Metropolis-Hastings and parallelisation, to achieve large computational gains in DSGE model estimation....
Persistent link: https://www.econbiz.de/10010281400
Prefetching is a simple and general method for single-chain parallelisation of the Metropolis-Hastings algorithm based on the idea of evaluating the posterior in parallel and ahead of time. Improved Metropolis-Hastings prefetching algorithms are presented and evaluated. It is shown how to use...
Persistent link: https://www.econbiz.de/10010281448
Given a finite set of spheres of different sizes we study the three-dimensional StripPacking Problem (3D-SPP) as well as the three-dimensional Knapsack Problem (3D-KP).The 3D-SPP asks for a placement of all spheres within a cuboidal strip of fixed width andheight so that the variable length of...
Persistent link: https://www.econbiz.de/10005870648
The capacitated vehicle routing problem with three‐dimensional loading constraints combinescapacitated vehicle routing and three‐dimensional loading with additional packing constraints whichconcern, for example, unloading operations. An efficient hybrid algorithm including a tabu...
Persistent link: https://www.econbiz.de/10009138325
An estimation of the number of multiplication and addition operations fortraining articial neural networks by means of consecutive and parallel algorithmson a computer cluster is carried out. The evaluation of the eciency of thesealgorithms is developed. The multilayer perceptron, the Volterra...
Persistent link: https://www.econbiz.de/10009353918
This paper describes a parallel algorithm for selecting activation functionsof an articial network. For checking the eciency of this algorithm a count ofmultiplicative and additive operations is used.[...]
Persistent link: https://www.econbiz.de/10009353919