Solving SDGE Models: A New Algorithm for the Sylvester Equation
AbstractThis paper presents a new numerical algorithm for solving the Sylvester equation involved in higher-order perturbation methods developed for solving stochastic dynamic general equilibrium models. The new algorithm surpasses other methods used so far (including the very popular doubling algorithm) in terms of computational time, memory consumption, and numerical stability. Copyright Springer Science + Business Media, Inc. 2005
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Bibliographic InfoArticle provided by Society for Computational Economics in its journal Computational Economics.
Volume (Year): 25 (2005)
Issue (Month): 1 (February)
stochastic dynamic general equilibrium models; high-order permutations; computational algorithms;
Other versions of this item:
- Ondrej Kamenik, 2005. "Solving SDGE Models: A New Algorithm for the Sylvester Equation," Working Papers 2005/10, Czech National Bank, Research Department.
- C63 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Computational Techniques
- C68 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Computable General Equilibrium Models
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