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Solving Finite Mixture Models: Efficient Computation in Economics Under Serial and Parallel Execution

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  • Christopher Ferrall

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Abstract

Many economic models are completed by finding a parameter vector θ that optimizes a function f(θ), a task that can only be accomplished by iterating from a starting vector θ 0 . Use of a generic iterative optimizer to carry out this task can waste enormous amounts of computation when applied to a class of problems defined here as finite mixture models. The finite mixture class is large and important in economics and eliminating wasted computations requires only limited changes to standard code. Further, the approach described here greatly increases gains from parallel execution and opens possibilities for re-writing objective functions to make further efficiency gains. Copyright Springer Science + Business Media, Inc. 2005

Suggested Citation

  • Christopher Ferrall, 2005. "Solving Finite Mixture Models: Efficient Computation in Economics Under Serial and Parallel Execution," Computational Economics, Springer;Society for Computational Economics, vol. 25(4), pages 343-379, June.
  • Handle: RePEc:kap:compec:v:25:y:2005:i:4:p:343-379
    DOI: 10.1007/s10614-005-6413-3
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    References listed on IDEAS

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    1. Peter Arcidiacono & John Bailey Jones, 2003. "Finite Mixture Distributions, Sequential Likelihood and the EM Algorithm," Econometrica, Econometric Society, vol. 71(3), pages 933-946, May.
    2. Nagurney, Anna, 1996. "Parallel computation," Handbook of Computational Economics,in: H. M. Amman & D. A. Kendrick & J. Rust (ed.), Handbook of Computational Economics, edition 1, volume 1, chapter 7, pages 335-404 Elsevier.
    3. Daniel McFadden & Kenneth Train, 2000. "Mixed MNL models for discrete response," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 15(5), pages 447-470.
    4. Swann, Christopher A, 2002. "Maximum Likelihood Estimation Using Parallel Computing: An Introduction to MPI," Computational Economics, Springer;Society for Computational Economics, vol. 19(2), pages 145-178, April.
    5. Christopher A. Swann, 2001. "Software for parallel computing: the LAM implementation of MPI," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 16(2), pages 185-194.
    6. Victor Aguirregabiria & Pedro Mira, 2002. "Swapping the Nested Fixed Point Algorithm: A Class of Estimators for Discrete Markov Decision Models," Econometrica, Econometric Society, vol. 70(4), pages 1519-1543, July.
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    Citations

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    Cited by:

    1. Aguirregabiria, Victor & Mira, Pedro, 2010. "Dynamic discrete choice structural models: A survey," Journal of Econometrics, Elsevier, vol. 156(1), pages 38-67, May.
    2. Alexander W. Cappelen & James Konow & Erik ?. S?rensen & Bertil Tungodden, 2013. "Just Luck: An Experimental Study of Risk-Taking and Fairness," American Economic Review, American Economic Association, vol. 103(4), pages 1398-1413, June.
    3. Alexander W. Cappelen & Karl Ove Moene & Erik Ø. Sørensen & Bertil Tungodden, 2008. "Rich meets Poor - An International Fairness Experiment," Tinbergen Institute Discussion Papers 08-098/3, Tinbergen Institute.
    4. Alexander W. Cappelen & Astri Drange Hole & Erik Ø Sørensen & Bertil Tungodden, 2007. "The Pluralism of Fairness Ideals: An Experimental Approach," American Economic Review, American Economic Association, vol. 97(3), pages 818-827, June.
    5. Michael Creel & William Goffe, 2008. "Multi-core CPUs, Clusters, and Grid Computing: A Tutorial," Computational Economics, Springer;Society for Computational Economics, vol. 32(4), pages 353-382, November.
    6. Donghoon Lee & Matthew Wiswall, 2007. "A Parallel Implementation of the Simplex Function Minimization Routine," Computational Economics, Springer;Society for Computational Economics, vol. 30(2), pages 171-187, September.
    7. Christopher Ferrall, 2012. "Explaining and Forecasting Results of the Self-sufficiency Project," Review of Economic Studies, Oxford University Press, vol. 79(4), pages 1495-1526.
    8. Aguirregabiria, Victor & Mira, Pedro, 2010. "Dynamic discrete choice structural models: A survey," Journal of Econometrics, Elsevier, vol. 156(1), pages 38-67, May.
    9. Cappelen, Alexander W. & Sørensen, Erik Ø. & Tungodden, Bertil, 2010. "Responsibility for what? Fairness and individual responsibility," European Economic Review, Elsevier, vol. 54(3), pages 429-441, April.
    10. Kyle Klein & Julian Neira, 2014. "Nelder-Mead Simplex Optimization Routine for Large-Scale Problems: A Distributed Memory Implementation," Computational Economics, Springer;Society for Computational Economics, vol. 43(4), pages 447-461, April.

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