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O curse of dimensionality, where is thy sting?

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  • Kenneth Judd

    (Hoover Institution, USA)

Abstract

Economic analysis often leads to multidimensional numerical problems. The {\em Curse of Dimensionality\/} often leads researchers to adopt methods designed for very high-dimension problems, but inefficient for problems of intermediate dimension. However, a little mathematics can greatly help dealing with the {\em Curse\/}. We will survey methods from approximation theory, numerical quadrature, and symbolic computation that have helped economists tackle high-dimensional problems, and current work that will further reduce the computational cost of multidimensional problems.

Suggested Citation

  • Kenneth Judd, 2006. "O curse of dimensionality, where is thy sting?," Computing in Economics and Finance 2006 528, Society for Computational Economics.
    • Handle: RePEc:sce:scecfa:528
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