-simplifying optimization techniques need to be employed. General methods for simulation optimization that do not inhibit system … economists. This paper describes the theory and algorithm of a robust and efficient simulation optimization approach, the Complex …

the Nested Fixed-Point approach. We present a direct optimization approach to the problem and show that it is … optimization problem qualitatively no more difficult to solve than standard maximum likelihood estimation problems. The direct … optimization approach is also applicable to other structural estimation problems such as auctions and RBC models, and also to other …

In economics, numerical optimization is usually carried out using a package designed to optimize a black-box function f … allow for the increased gains from parallel execution. This paper describes how to modify standard generic optimization code … are described and some leading examples of optimization problems in economics and econometrics are mapped into the general …

securities. In this paper we present three algorithms to approach the underlying NP-hard problem of portfolio optimization with a …

extension of Hahn-Banach separation theorem. We provide some consequences in optimization, in particular the existence of …