The use of interval arithmetic in solving a non-linear rational expectation based multiperiod output-inflation process model: The case of the IN/GB method
The use of interval mathematics to solve non-linear problems is an attractive alternative to traditional real-number techniques. It was demonstrated in a previous paper [Stradi, B., Haven, E., 2005. Optimal investment strategy via interval arithmetic. International Journal of Theoretical and Applied Finance 8(2), 185-205] that interval arithmetic in the form of the Interval-Newton Generalized Bisection (IN/GB) method is effective in solving highly non-linear problems. In this paper we solve a rational expectations models with the help of the IN/GB method. This method is capable of (i) rapidly eliminating no solution sections of the multidimensional space and (ii) concentrate computational efforts on those areas of multidimensional space where there may be a solution.
Year of publication: |
2010
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Authors: | Stradi-Granados, Benito A. ; Haven, Emmanuel |
Published in: |
European Journal of Operational Research. - Elsevier, ISSN 0377-2217. - Vol. 203.2010, 1, p. 222-229
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Publisher: |
Elsevier |
Keywords: | Interval arithmetic Interval Gauss-Seidel method IN/GB method Rational expectations Forward-looking macroeconomics models |
Saved in:
Online Resource
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